libtrilinos-stokhos-dev 12.12.1-5 / usr / include / trilinos / Stokhos_KL_OneDExponentialCovarianceFunction.hpp

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#ifndef STOKHOS_KL_ONE_D_EXPONENTIAL_COVARIANCE_FUNCTION_HPP
#define STOKHOS_KL_ONE_D_EXPONENTIAL_COVARIANCE_FUNCTION_HPP

#include <string>
#include <cmath>
#include "Teuchos_ParameterList.hpp"
#include "Teuchos_ScalarTraits.hpp"
#include "Stokhos_KL_OneDExponentialEigenPair.hpp"

namespace Stokhos {

  namespace KL {

    /*!
     * \brief Class representing an exponential covariance function and its %KL
     * eigevalues/eigenfunctions.
     */
    /*!
     * This class provides the exponential covariance function
     * \f[
     *     \mbox{cov}(x,x') = \exp(-|x-x'|/L).
     * \f]
     * The corresponding eigenfunctions can be shown to be
     * \f$A_n\cos(\omega_n(x-\beta))\f$ and
     * \f$B_n\sin(\omega^\ast_n(x-\beta))\f$ for
     * \f$x\in[a,b]\f$ where \f$\omega_n\f$ and \f$\omega^\ast_n\f$
     * satisfy
     * \f[
     *     1 - L\omega_n\tan(\omega_n\alpha) = 0
     * \f]
     * and
     * \f[
     *     L\omega^\ast_n + \tan(\omega^\ast_n\alpha) = 0
     * \f]
     * respectively, where \f$\alpha=(b-a)/2\f$ and \f$\beta=(b+a)/2\f$.  Then
     * \f[
     *  A_n = \frac{1}{\left(\int_a^b\cos^2(\omega_n(x-\beta)) dx\right)^{1/2}}
     *      = \frac{1}{\sqrt{\alpha + \frac{\sin(2\omega_n\alpha)}{2\omega_n}}},
     * \f]
     * \f[
     *  B_n
     *    = \frac{1}{\left(\int_a^b\sin^2(\omega^\ast_n(x-\beta)) dx\right)^{1/2}}
     *    = \frac{1}{\sqrt{\alpha - \frac{\sin(2\omega_n^\ast\alpha)}{2\omega^\ast_n}}}
     * \f]
     * and the corresponding eigenvalues are given by
     * \f[
     *     \lambda_n = \frac{2L}{(L\omega_n)^2 + 1}
     * \f]
     * and
     * \f[
     *     \lambda^\ast_n = \frac{2L}{(L\omega^\ast_n)^2 + 1}.
     * \f]
     * It is straightforward to show that for each \f$n\f$,
     * \f$\omega^\ast_n < \omega_n\f$, and thus
     * \f$\lambda_n < \lambda^\ast_n\f$.  Hence when sorted on decreasing
     * eigenvalue, the eigenfunctions alternate between cosine and sine.
     * See "Stochastic Finite Elements" by Ghanem and Spanos for a complete
     * description of how to derive these relationships.
     *
     * For a given value of \f$M\f$, the code works by computing the \f$M\f$
     * eigenfunctions using a bisection root solver to compute the frequencies
     * \f$\omega_n\f$ and \f$\omega^\ast_n\f$.
     *
     * Data for the root solver is passed through a Teuchos::ParameterList,
     * which accepts the following parameters:
     * <ul>
     *   <li> "Bound Peturbation Size" -- [value_type] (1.0e-6)
     *        Perturbation away from \f$i\pi/2\f$ for bounding the
     *        frequencies \f$\omega\f$ in the bisection algorithm
     *   <li> "Nonlinear Solver Tolerance" -- [value_type] (1.0e-10)
     *        Tolerance for bisection nonlinear solver for computing frequencies
     *   <li> "Maximum Nonlinear Solver Iterations" -- [int] (100)
     *        Maximum number of nonlinear solver iterations for computing
     *        the frequencies.
     * </ul>
     */
    template <typename value_type>
    class OneDExponentialCovarianceFunction {
    public:

      typedef ExponentialOneDEigenFunction<value_type> eigen_function_type;
      typedef OneDEigenPair<eigen_function_type> eigen_pair_type;

      //! Constructor
      OneDExponentialCovarianceFunction(int M,
                                        const value_type& a,
                                        const value_type& b,
                                        const value_type& L,
                                        const int dim_name,
                                        Teuchos::ParameterList& solverParams);

      //! Destructor
      ~OneDExponentialCovarianceFunction() {}

      //! Evaluate covariance
      value_type evaluateCovariance(const value_type& x,
                                    const value_type& xp) const {
        return std::exp(-std::abs(x-xp)/L);
      }

      //! Get eigenpairs
      const Teuchos::Array<eigen_pair_type>& getEigenPairs() const {
        return eig_pair;
      }

    private:

      //! Prohibit copying
      OneDExponentialCovarianceFunction(const OneDExponentialCovarianceFunction&);

      //! Prohibit copying
      OneDExponentialCovarianceFunction& operator=(const OneDExponentialCovarianceFunction&);

    protected:

      typedef typename Teuchos::ScalarTraits<value_type>::magnitudeType magnitude_type;

      //! Correlation length
      value_type L;

      //! Eigenpairs
      Teuchos::Array<eigen_pair_type> eig_pair;

      //! A basic root finder based on Newton's method
      template <class Func>
      value_type newton(const Func& func, const value_type& a,
                        const value_type& b, magnitude_type tol,
                        int max_num_its);

      //! A basic root finder based on bisection
      template <class Func>
      value_type bisection(const Func& func, const value_type& a,
                           const value_type& b, magnitude_type tol,
                           int max_num_its);

      /*!
       * \brief Nonlinear function whose roots define eigenvalues for sin()
       * eigenfunction
       */
      struct EigFuncSin {
        const value_type& alpha;
        EigFuncSin(const value_type& alpha_) : alpha(alpha_) {}
        value_type eval(const value_type& u) const {
          return alpha*std::tan(u) + u; }
        value_type deriv(const value_type& u) const {
          return alpha/(std::cos(u)*std::cos(u)) + 1.0; }
      };

      /*!
       * \brief Nonlinear function whose roots define eigenvalues for cos()
       * eigenfunction
       */
      struct EigFuncCos {
        const value_type& alpha;
        EigFuncCos(const value_type& alpha_) : alpha(alpha_) {}
        value_type eval(const value_type& u) const {
          return alpha - u*std::tan(u); }
        value_type deriv(const value_type& u) const {
          return -std::tan(u) - u/(std::cos(u)*std::cos(u)); }
      };

    }; // class OneDExponentialCovarianceFunction

  } // namespace KL

} // namespace Stokhos

// Include template definitions
#include "Stokhos_KL_OneDExponentialCovarianceFunctionImp.hpp"

#endif // STOKHOS_KL_ONE_D_EXPONENTIAL_COVARIANCE_FUNCTION_HPP