NumericalErrorPropagation.h

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#ifndef _utl_NumericalErrorPropagation_h_
#define _utl_NumericalErrorPropagation_h_

#include <vector>


namespace utl {

  class CorrelationMatrix;


  class FCNCalculator {
  public:
    virtual ~FCNCalculator() = default;
    virtual std::vector<double> operator()(const std::vector<double>& p) const = 0;
  };


  // symmetrical error
  struct Parameter {
    Parameter() = default;
    Parameter(const double v, const double e) : value(v), error(e) { }
    Parameter(const Parameter& o) { value = o.value; error = o.error; }

    double value = 0;
    double error = 0;
  };


  class NumericalErrorPropagation {
  public:
    NumericalErrorPropagation(const FCNCalculator& calc,
                              const std::vector<Parameter>& params,
                              const CorrelationMatrix& corr);
    ~NumericalErrorPropagation();

    const std::vector<double>& GetFunctionResult() const { return fResult; }
    const std::vector<double>& GetPropagatedErrors() const { return fPropagatedErrors; }
    const CorrelationMatrix& GetPropagatedCorrelations() const { return *fPropagatedCorrelation; }

  private:
    NumericalErrorPropagation();
    NumericalErrorPropagation(const NumericalErrorPropagation& that);
    NumericalErrorPropagation& operator=(const NumericalErrorPropagation& that);

    void Propagate();

    const FCNCalculator& fFcn;
    const std::vector<Parameter> fParameter;
    const CorrelationMatrix& fCorrelation;

    std::vector<double> fResult;
    std::vector<double> fPropagatedErrors;
    CorrelationMatrix* fPropagatedCorrelation = nullptr;
  };

}


#endif