ROL
ROL_QuantileRadius.hpp
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43
44#ifndef ROL_QUANTILERADIUSQUADRANGLE_HPP
45#define ROL_QUANTILERADIUSQUADRANGLE_HPP
46
48#include "ROL_PlusFunction.hpp"
49
50#include "ROL_ParameterList.hpp"
51
52namespace ROL {
53
54template<class Real>
55class QuantileRadius : public RandVarFunctional<Real> {
56private:
57 Ptr<PlusFunction<Real> > plusFunction_;
58 Real prob_;
59 Real coeff_;
60 std::vector<Real> vec_;
61
62 using RandVarFunctional<Real>::val_;
63 using RandVarFunctional<Real>::gv_;
64 using RandVarFunctional<Real>::g_;
65 using RandVarFunctional<Real>::hv_;
67
68 using RandVarFunctional<Real>::point_;
70
75
76 void initializeQR(void) {
77 Real zero(0);
78 // Initialize temporary storage
79 vec_.clear(); vec_.resize(2,zero);
80 }
81
82 void checkInputs(void) {
83 Real zero(0), one(1);
84 // Check inputs
85 ROL_TEST_FOR_EXCEPTION((prob_>one || prob_<zero), std::invalid_argument,
86 ">>> ERROR (ROL::QuantileRadius): Confidence level out of range!");
87 ROL_TEST_FOR_EXCEPTION((coeff_<zero), std::invalid_argument,
88 ">>> ERROR (ROL::QuantileRadius): Coefficient is negative!");
90 }
91
92public:
93
94 QuantileRadius( ROL::ParameterList &parlist )
95 : RandVarFunctional<Real>() {
96 ROL::ParameterList &list
97 = parlist.sublist("SOL").sublist("Risk Measure").sublist("Quantile Radius");
98 // Grab probability and coefficient arrays
99 prob_ = list.get<Real>("Confidence Level");
100 coeff_ = list.get<Real>("Coefficient");
101 // Build (approximate) plus function
102 plusFunction_ = makePtr<PlusFunction<Real>>(list);
103 checkInputs();
104 }
105
106 QuantileRadius(const Real prob, const Real coeff,
107 const Ptr<PlusFunction<Real> > &pf)
108 : RandVarFunctional<Real>(), plusFunction_(pf), prob_(prob), coeff_(coeff) {
109 checkInputs();
110 }
111
112 void initialize(const Vector<Real> &x) {
114 vec_.assign(2,static_cast<Real>(0));
115 }
116
117 Real computeStatistic(const Ptr<std::vector<Real>> &xstat) const {
118 Real stat(0), half(0.5);
119 if (xstat != nullPtr) {
120 stat = half*((*xstat)[0] + (*xstat)[1]);
121 }
122 return stat;
123 }
124
126 const Vector<Real> &x,
127 const std::vector<Real> &xstat,
128 Real &tol) {
129 const Real half(0.5), one(1);
130 Real val = computeValue(obj,x,tol);
131 Real pf1 = plusFunction_->evaluate(val-xstat[0],0);
132 Real pf2 = plusFunction_->evaluate(-val-xstat[1],0);
133 RandVarFunctional<Real>::val_ += weight_*(val + half*coeff_/(one-prob_)*(pf1 + pf2));
134 }
135
136 Real getValue(const Vector<Real> &x,
137 const std::vector<Real> &xstat,
138 SampleGenerator<Real> &sampler) {
139 const Real half(0.5);
140 Real cvar(0);
141 sampler.sumAll(&val_,&cvar,1);
142 cvar += half*coeff_*(xstat[0] + xstat[1]);
143 return cvar;
144 }
145
147 const Vector<Real> &x,
148 const std::vector<Real> &xstat,
149 Real &tol) {
150 const Real half(0.5), one(1);
151 Real val = computeValue(obj,x,tol);
152 Real pf1 = plusFunction_->evaluate(val-xstat[0],1);
153 Real pf2 = plusFunction_->evaluate(-val-xstat[1],1);
154 Real c = half*weight_*coeff_/(one-prob_);
155 vec_[0] -= c*pf1;
156 vec_[1] -= c*pf2;
157 computeGradient(*dualVector_,obj,x,tol);
158 g_->axpy(weight_ + c * (pf1 - pf2),*dualVector_);
159 }
160
162 std::vector<Real> &gstat,
163 const Vector<Real> &x,
164 const std::vector<Real> &xstat,
165 SampleGenerator<Real> &sampler) {
166 const Real half(0.5);
167 sampler.sumAll(&vec_[0],&gstat[0],2);
168 sampler.sumAll(*g_,g);
169 gstat[0] += half*coeff_;
170 gstat[1] += half*coeff_;
171 }
172
174 const Vector<Real> &v,
175 const std::vector<Real> &vstat,
176 const Vector<Real> &x,
177 const std::vector<Real> &xstat,
178 Real &tol) {
179 const Real half(0.5), one(1);
180 Real val = computeValue(obj,x,tol);
181 Real pf11 = plusFunction_->evaluate(val-xstat[0],1);
182 Real pf12 = plusFunction_->evaluate(val-xstat[0],2);
183 Real pf21 = plusFunction_->evaluate(-val-xstat[1],1);
184 Real pf22 = plusFunction_->evaluate(-val-xstat[1],2);
185 Real c = half*weight_*coeff_/(one-prob_);
186 Real gv = computeGradVec(*dualVector_,obj,v,x,tol);
187 vec_[0] -= c*pf12*(gv-vstat[0]);
188 vec_[1] += c*pf22*(gv+vstat[1]);
189 hv_->axpy(c*(pf12*(gv-vstat[0]) + pf22*(gv+vstat[1])),*dualVector_);
190 computeHessVec(*dualVector_,obj,v,x,tol);
191 hv_->axpy(weight_ + c * (pf11 - pf21),*dualVector_);
192 }
193
195 std::vector<Real> &hvstat,
196 const Vector<Real> &v,
197 const std::vector<Real> &vstat,
198 const Vector<Real> &x,
199 const std::vector<Real> &xstat,
200 SampleGenerator<Real> &sampler) {
201 sampler.sumAll(&vec_[0],&hvstat[0],2);
202 sampler.sumAll(*hv_,hv);
203 }
204};
205
206}
207
208#endif
Objective_SerialSimOpt(const Ptr< Obj > &obj, const V &ui) z0 zero)()
Provides the interface to evaluate objective functions.
Real getValue(const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
Return risk measure value.
void updateHessVec(Objective< Real > &obj, const Vector< Real > &v, const std::vector< Real > &vstat, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Update internal risk measure storage for Hessian-time-a-vector computation.
void initialize(const Vector< Real > &x)
Initialize temporary variables.
Real computeStatistic(const Ptr< std::vector< Real > > &xstat) const
void getHessVec(Vector< Real > &hv, std::vector< Real > &hvstat, const Vector< Real > &v, const std::vector< Real > &vstat, const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
Return risk measure Hessian-times-a-vector.
QuantileRadius(ROL::ParameterList &parlist)
void updateGradient(Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Update internal risk measure storage for gradient computation.
void updateValue(Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Update internal storage for value computation.
QuantileRadius(const Real prob, const Real coeff, const Ptr< PlusFunction< Real > > &pf)
void getGradient(Vector< Real > &g, std::vector< Real > &gstat, const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
Return risk measure (sub)gradient.
std::vector< Real > vec_
Ptr< PlusFunction< Real > > plusFunction_
Provides the interface to implement any functional that maps a random variable to a (extended) real n...
Real computeValue(Objective< Real > &obj, const Vector< Real > &x, Real &tol)
virtual void initialize(const Vector< Real > &x)
Initialize temporary variables.
void computeHessVec(Vector< Real > &hv, Objective< Real > &obj, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
void computeGradient(Vector< Real > &g, Objective< Real > &obj, const Vector< Real > &x, Real &tol)
Ptr< Vector< Real > > dualVector_
Real computeGradVec(Vector< Real > &g, Objective< Real > &obj, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
void sumAll(Real *input, Real *output, int dim) const
Defines the linear algebra or vector space interface.