mvgauss.hpp

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#ifndef GPLIB_MVGAUSS
#define GPLIB_MVGAUSS

#include <armadillo>
#include <vector>

namespace gplib {

  class mv_gauss {
    private:
      struct implementation;
      implementation* pimpl;
    public:
      mv_gauss();
      mv_gauss(const mv_gauss &other);
      mv_gauss(const arma::vec &mean, const arma::mat &cov);

      ~mv_gauss();

      void set_mean(const arma::vec &mean);
      void set_cov(const arma::mat &cov);
      arma::vec get_mean() const;
      arma::mat get_cov() const;
      arma::mat get_cov_inv() const;
      arma::mat get_cov_chol() const;
      size_t dimension() const;

      arma::mat sample(int n_samples) const;

      double log_density(const arma::vec &x) const;
      double density(const arma::vec &x) const;

      mv_gauss marginalize_hidden(const std::vector<bool> &observed) const;

      mv_gauss conditional(const arma::vec &observation,
          const std::vector<bool> &observed) const;

      mv_gauss operator=(const mv_gauss &other);
  };
};

#endif