ROL
|
Provides an interface for a convex combination of risk measures. More...
#include <ROL_ConvexCombinationRiskMeasure.hpp>
Public Member Functions | |
ConvexCombinationRiskMeasure (Teuchos::ParameterList &parlist) | |
Constructor. More... | |
void | reset (Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x) |
Reset internal risk measure storage. Called for value and gradient computation. More... | |
void | reset (Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x, Teuchos::RCP< Vector< Real > > &v0, const Vector< Real > &v) |
Reset internal risk measure storage. Called for Hessian-times-a-vector computation. More... | |
void | update (const Real val, const Real weight) |
Update internal risk measure storage for value computation. More... | |
Real | getValue (SampleGenerator< Real > &sampler) |
Return risk measure value. More... | |
void | update (const Real val, const Vector< Real > &g, const Real weight) |
Update internal risk measure storage for gradient computation. More... | |
void | getGradient (Vector< Real > &g, SampleGenerator< Real > &sampler) |
Return risk measure (sub)gradient. More... | |
void | update (const Real val, const Vector< Real > &g, const Real gv, const Vector< Real > &hv, const Real weight) |
Update internal risk measure storage for Hessian-time-a-vector computation. More... | |
void | getHessVec (Vector< Real > &hv, SampleGenerator< Real > &sampler) |
Return risk measure Hessian-times-a-vector. More... | |
![]() | |
virtual | ~RiskMeasure () |
RiskMeasure (void) | |
Private Types | |
typedef std::vector< Real >::size_type | uint |
Private Member Functions | |
void | checkInputs (void) const |
Private Attributes | |
std::vector< Real > | lambda_ |
std::vector< Teuchos::ParameterList > | parlist_ |
std::vector< Teuchos::RCP< RiskMeasure< Real > > > | risk_ |
uint | size_ |
Teuchos::RCP< Vector< Real > > | dualVector0_ |
bool | firstReset_ |
Additional Inherited Members | |
![]() | |
Real | val_ |
Real | gv_ |
Teuchos::RCP< Vector< Real > > | g_ |
Teuchos::RCP< Vector< Real > > | hv_ |
Teuchos::RCP< Vector< Real > > | dualVector_ |
bool | firstReset_ |
Provides an interface for a convex combination of risk measures.
This function provides the capability to produce a convex combination of risk measure, i.e.,
\[ \mathcal{R}(X) = \sum_{k=1}^n \lambda_k \mathcal{R}_k(X) \]
where \(\mathcal{R}_k\) are risk measures and \(\lambda_k \ge 0\) with \(\lambda_1 + \ldots + \lambda_n = 1\). In general, \(\mathcal{R}\) is not law-invariant or coherent unless each \(\mathcal{R}_k\) is.
Definition at line 68 of file ROL_ConvexCombinationRiskMeasure.hpp.
|
private |
Definition at line 70 of file ROL_ConvexCombinationRiskMeasure.hpp.
|
inline |
Constructor.
[in] | parlist | is a parameter list specifying inputs |
parlist should contain sublists "SOL"->"Risk Measure"->"Convex Combination Risk Measure" and within the "Convex Combination Risk Measure" sublist should have the following parameters
Definition at line 106 of file ROL_ConvexCombinationRiskMeasure.hpp.
References ROL::ConvexCombinationRiskMeasure< Real >::checkInputs(), ROL::ConvexCombinationRiskMeasure< Real >::lambda_, ROL::ConvexCombinationRiskMeasure< Real >::parlist_, ROL::ConvexCombinationRiskMeasure< Real >::risk_, and ROL::ConvexCombinationRiskMeasure< Real >::size_.
|
inlineprivate |
Definition at line 80 of file ROL_ConvexCombinationRiskMeasure.hpp.
References ROL::ConvexCombinationRiskMeasure< Real >::lambda_, and ROL::ConvexCombinationRiskMeasure< Real >::risk_.
Referenced by ROL::ConvexCombinationRiskMeasure< Real >::ConvexCombinationRiskMeasure().
|
inlinevirtual |
Reset internal risk measure storage. Called for value and gradient computation.
[out] | x0 | is a user-provided optimization vector |
[in] | x | is a (potentially) augmented risk vector On input, \form#56 carries \form#323 and any statistics (scalars) associated with the risk measure. |
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 132 of file ROL_ConvexCombinationRiskMeasure.hpp.
References ROL::ConvexCombinationRiskMeasure< Real >::dualVector0_, ROL::ConvexCombinationRiskMeasure< Real >::firstReset_, ROL::RiskVector< Real >::getStatistic(), ROL::RiskVector< Real >::getVector(), ROL::ConvexCombinationRiskMeasure< Real >::parlist_, ROL::ConvexCombinationRiskMeasure< Real >::risk_, ROL::RiskVector< Real >::setStatistic(), and ROL::ConvexCombinationRiskMeasure< Real >::size_.
Referenced by ROL::ConvexCombinationRiskMeasure< Real >::reset().
|
inlinevirtual |
Reset internal risk measure storage. Called for Hessian-times-a-vector computation.
[out] | x0 | is a user-provided optimization vector |
[in] | x | is a (potentially) augmented risk vector |
[out] | v0 | is a user-provided direction vector |
[in] | v | is a (potentially) augmented risk vector On input, \form#56 carries \form#323 and any statistics (scalars) associated with the risk measure. Similarly, \form#37 carries\(v_0\) and any statistics (scalars) associated with the risk measure. |
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 161 of file ROL_ConvexCombinationRiskMeasure.hpp.
References ROL::ConvexCombinationRiskMeasure< Real >::dualVector0_, ROL::ConvexCombinationRiskMeasure< Real >::firstReset_, ROL::RiskVector< Real >::getStatistic(), ROL::RiskVector< Real >::getVector(), ROL::ConvexCombinationRiskMeasure< Real >::parlist_, ROL::ConvexCombinationRiskMeasure< Real >::reset(), ROL::ConvexCombinationRiskMeasure< Real >::risk_, ROL::RiskVector< Real >::setStatistic(), and ROL::ConvexCombinationRiskMeasure< Real >::size_.
|
inlinevirtual |
Update internal risk measure storage for value computation.
[in] | val | is the value of the random variable objective function at the current sample point |
[in] | weight | is the weight associated with the current sample point |
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 199 of file ROL_ConvexCombinationRiskMeasure.hpp.
References ROL::ConvexCombinationRiskMeasure< Real >::risk_, and ROL::ConvexCombinationRiskMeasure< Real >::size_.
|
inlinevirtual |
Return risk measure value.
[in] | sampler | is the ROL::SampleGenerator used to sample the objective function |
Upon return, getValue returns \(\mathcal{R}(f(x_0))\) where \(f(x_0)\) denotes the random variable objective function evaluated at \(x_0\).
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 205 of file ROL_ConvexCombinationRiskMeasure.hpp.
References ROL::ConvexCombinationRiskMeasure< Real >::lambda_, ROL::ConvexCombinationRiskMeasure< Real >::risk_, and ROL::ConvexCombinationRiskMeasure< Real >::size_.
|
inlinevirtual |
Update internal risk measure storage for gradient computation.
[in] | val | is the value of the random variable objective function at the current sample point |
[in] | g | is the gradient of the random variable objective function at the current sample point |
[in] | weight | is the weight associated with the current sample point |
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 213 of file ROL_ConvexCombinationRiskMeasure.hpp.
References ROL::ConvexCombinationRiskMeasure< Real >::risk_, and ROL::ConvexCombinationRiskMeasure< Real >::size_.
|
inlinevirtual |
Return risk measure (sub)gradient.
[out] | g | is the (sub)gradient of the risk measure |
[in] | sampler | is the ROL::SampleGenerator used to sample the objective function |
Upon return, getGradient returns \(\theta\in\partial\mathcal{R}(f(x_0))\) where \(f(x_0)\) denotes the random variable objective function evaluated at \(x_0\) and \(\partial\mathcal{R}(X)\) denotes the subdifferential of \(\mathcal{R}\) at \(X\).
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 219 of file ROL_ConvexCombinationRiskMeasure.hpp.
References ROL::ConvexCombinationRiskMeasure< Real >::dualVector0_, ROL::RiskVector< Real >::getStatistic(), ROL::RiskVector< Real >::getVector(), ROL::ConvexCombinationRiskMeasure< Real >::lambda_, ROL::ConvexCombinationRiskMeasure< Real >::parlist_, ROL::ConvexCombinationRiskMeasure< Real >::risk_, ROL::RiskVector< Real >::setStatistic(), ROL::ConvexCombinationRiskMeasure< Real >::size_, and ROL::Vector< Real >::zero().
|
inlinevirtual |
Update internal risk measure storage for Hessian-time-a-vector computation.
[in] | val | is the value of the random variable objective function at the current sample point |
[in] | g | is the gradient of the random variable objective function at the current sample point |
[in] | gv | is the gradient of the random variable objective function at the current sample point applied to the vector v0 |
[in] | hv | is the Hessian of the random variable objective function at the current sample point applied to the vector v0 |
[in] | weight | is the weight associated with the current sample point |
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 236 of file ROL_ConvexCombinationRiskMeasure.hpp.
References ROL::ConvexCombinationRiskMeasure< Real >::risk_, and ROL::ConvexCombinationRiskMeasure< Real >::size_.
|
inlinevirtual |
Return risk measure Hessian-times-a-vector.
[out] | hv | is the Hessian-times-a-vector of the risk measure |
[in] | sampler | is the ROL::SampleGenerator used to sample the objective function |
Upon return, getHessVec returns \(\nabla^2 \mathcal{R}(f(x_0))v_0\) (if available) where \(f(x_0)\) denotes the random variable objective function evaluated at \(x_0\).
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 243 of file ROL_ConvexCombinationRiskMeasure.hpp.
References ROL::ConvexCombinationRiskMeasure< Real >::dualVector0_, ROL::RiskVector< Real >::getStatistic(), ROL::RiskVector< Real >::getVector(), ROL::ConvexCombinationRiskMeasure< Real >::lambda_, ROL::ConvexCombinationRiskMeasure< Real >::parlist_, ROL::ConvexCombinationRiskMeasure< Real >::risk_, ROL::RiskVector< Real >::setStatistic(), ROL::ConvexCombinationRiskMeasure< Real >::size_, and ROL::Vector< Real >::zero().
|
private |
Definition at line 72 of file ROL_ConvexCombinationRiskMeasure.hpp.
Referenced by ROL::ConvexCombinationRiskMeasure< Real >::checkInputs(), ROL::ConvexCombinationRiskMeasure< Real >::ConvexCombinationRiskMeasure(), ROL::ConvexCombinationRiskMeasure< Real >::getGradient(), ROL::ConvexCombinationRiskMeasure< Real >::getHessVec(), and ROL::ConvexCombinationRiskMeasure< Real >::getValue().
|
private |
Definition at line 73 of file ROL_ConvexCombinationRiskMeasure.hpp.
Referenced by ROL::ConvexCombinationRiskMeasure< Real >::ConvexCombinationRiskMeasure(), ROL::ConvexCombinationRiskMeasure< Real >::getGradient(), ROL::ConvexCombinationRiskMeasure< Real >::getHessVec(), and ROL::ConvexCombinationRiskMeasure< Real >::reset().
|
private |
Definition at line 74 of file ROL_ConvexCombinationRiskMeasure.hpp.
Referenced by ROL::ConvexCombinationRiskMeasure< Real >::checkInputs(), ROL::ConvexCombinationRiskMeasure< Real >::ConvexCombinationRiskMeasure(), ROL::ConvexCombinationRiskMeasure< Real >::getGradient(), ROL::ConvexCombinationRiskMeasure< Real >::getHessVec(), ROL::ConvexCombinationRiskMeasure< Real >::getValue(), ROL::ConvexCombinationRiskMeasure< Real >::reset(), and ROL::ConvexCombinationRiskMeasure< Real >::update().
|
private |
Definition at line 75 of file ROL_ConvexCombinationRiskMeasure.hpp.
Referenced by ROL::ConvexCombinationRiskMeasure< Real >::ConvexCombinationRiskMeasure(), ROL::ConvexCombinationRiskMeasure< Real >::getGradient(), ROL::ConvexCombinationRiskMeasure< Real >::getHessVec(), ROL::ConvexCombinationRiskMeasure< Real >::getValue(), ROL::ConvexCombinationRiskMeasure< Real >::reset(), and ROL::ConvexCombinationRiskMeasure< Real >::update().
|
private |
Definition at line 77 of file ROL_ConvexCombinationRiskMeasure.hpp.
Referenced by ROL::ConvexCombinationRiskMeasure< Real >::getGradient(), ROL::ConvexCombinationRiskMeasure< Real >::getHessVec(), and ROL::ConvexCombinationRiskMeasure< Real >::reset().
|
private |
Definition at line 78 of file ROL_ConvexCombinationRiskMeasure.hpp.
Referenced by ROL::ConvexCombinationRiskMeasure< Real >::reset().