ROL
ROL_ExpectationQuadDeviation.hpp
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43
44#ifndef ROL_EXPECTATIONQUADDEVIATION_HPP
45#define ROL_EXPECTATIONQUADDEVIATION_HPP
46
49#include "ROL_Types.hpp"
50
86namespace ROL {
87
88template<class Real>
90private:
91 Ptr<ExpectationQuad<Real>> eq_;
92
93 using RandVarFunctional<Real>::val_;
94 using RandVarFunctional<Real>::gv_;
95 using RandVarFunctional<Real>::g_;
96 using RandVarFunctional<Real>::hv_;
98
99 using RandVarFunctional<Real>::point_;
100 using RandVarFunctional<Real>::weight_;
101
106
107public:
110
113 void checkRegret(void) {
114 eq_->check();
115 }
116
118 const Vector<Real> &x,
119 const std::vector<Real> &xstat,
120 Real &tol) {
121 Real val = computeValue(obj,x,tol);
122 Real r = eq_->error(val-xstat[0],0);
123 val_ += weight_ * r;
124 }
125
127 const Vector<Real> &x,
128 const std::vector<Real> &xstat,
129 Real &tol) {
130 Real val = computeValue(obj,x,tol);
131 Real r = eq_->error(val-xstat[0],1);
132 if (std::abs(r) >= ROL_EPSILON<Real>()) {
133 val_ -= weight_ * r;
134 computeGradient(*dualVector_,obj,x,tol);
135 g_->axpy(weight_*r,*dualVector_);
136 }
137 }
138
140 const Vector<Real> &v,
141 const std::vector<Real> &vstat,
142 const Vector<Real> &x,
143 const std::vector<Real> &xstat,
144 Real &tol) {
145 Real val = computeValue(obj,x,tol);
146 Real r1 = eq_->error(val-xstat[0],1);
147 Real r2 = eq_->error(val-xstat[0],2);
148 if (std::abs(r2) >= ROL_EPSILON<Real>()) {
149 Real gv = computeGradVec(*dualVector_,obj,v,x,tol);
150 val_ += weight_ * r2 * (vstat[0] - gv);
151 hv_->axpy(weight_*r2*(gv-vstat[0]),*dualVector_);
152 }
153 if (std::abs(r1) >= ROL_EPSILON<Real>()) {
154 computeHessVec(*dualVector_,obj,v,x,tol);
155 hv_->axpy(weight_*r1,*dualVector_);
156 }
157 }
158
159 Real getValue(const Vector<Real> &x,
160 const std::vector<Real> &xstat,
161 SampleGenerator<Real> &sampler) {
162 Real val(0);
163 sampler.sumAll(&val_,&val,1);
164 return val;
165 }
166
168 std::vector<Real> &gstat,
169 const Vector<Real> &x,
170 const std::vector<Real> &xstat,
171 SampleGenerator<Real> &sampler) {
172 Real stat(0);
173 sampler.sumAll(&val_,&stat,1);
174 gstat[0] = stat;
175 sampler.sumAll(*g_,g);
176 }
177
179 std::vector<Real> &hvstat,
180 const Vector<Real> &v,
181 const std::vector<Real> &vstat,
182 const Vector<Real> &x,
183 const std::vector<Real> &xstat,
184 SampleGenerator<Real> &sampler) {
185 Real stat(0);
186 sampler.sumAll(&val_,&stat,1);
187 hvstat[0] = stat;
188 sampler.sumAll(*hv_,hv);
189 }
190};
191
192}
193
194#endif
Contains definitions of custom data types in ROL.
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.
ExpectationQuadDeviation(const Ptr< ExpectationQuad< Real > > &eq)
void updateValue(Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Update internal storage for value computation.
void updateGradient(Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Update internal risk measure storage for gradient computation.
Real getValue(const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
Return risk measure value.
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.
void checkRegret(void)
Run derivative tests for the scalar regret function.
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.
Provides a general interface for risk and error measures generated through the expectation risk quadr...
Provides the interface to evaluate objective functions.
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)
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.