ROL
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Provides the interface for the coherent entropic risk measure. More...
#include <ROL_CoherentExpUtility.hpp>
Public Member Functions | |
CoherentExpUtility (void) | |
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... | |
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virtual | ~RiskMeasure () |
RiskMeasure (void) | |
Private Attributes | |
bool | firstReset_ |
Teuchos::RCP< Vector< Real > > | scaledGradient1_ |
Teuchos::RCP< Vector< Real > > | scaledGradient2_ |
Real | dval1_ |
Real | dval2_ |
Real | dval3_ |
Teuchos::RCP< Vector< Real > > | dualVector1_ |
Teuchos::RCP< Vector< Real > > | dualVector2_ |
Real | xstat_ |
Real | vstat_ |
Additional Inherited Members | |
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Real | val_ |
Real | gv_ |
Teuchos::RCP< Vector< Real > > | g_ |
Teuchos::RCP< Vector< Real > > | hv_ |
Teuchos::RCP< Vector< Real > > | dualVector_ |
bool | firstReset_ |
Provides the interface for the coherent entropic risk measure.
The coherent entropic risk measure is
\[ \mathcal{R}(X) = \inf_{\lambda > 0} \left\{ \lambda \log\mathbb{E}\left[\exp\left(\frac{X}{\lambda}\right)\right] \right\}. \]
\(\mathcal{R}\) is a law-invariant coherent risk measure. ROL implements this by augmenting the optimization vector \(x_0\) with the parameter \(\lambda\), then minimizes jointly for \((x_0,\lambda)\).
Definition at line 67 of file ROL_CoherentExpUtility.hpp.
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Definition at line 84 of file ROL_CoherentExpUtility.hpp.
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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 87 of file ROL_CoherentExpUtility.hpp.
References ROL::CoherentExpUtility< Real >::dualVector1_, ROL::CoherentExpUtility< Real >::dualVector2_, ROL::CoherentExpUtility< Real >::dval1_, ROL::CoherentExpUtility< Real >::dval2_, ROL::CoherentExpUtility< Real >::dval3_, ROL::CoherentExpUtility< Real >::firstReset_, ROL::RiskMeasure< Real >::reset(), ROL::CoherentExpUtility< Real >::scaledGradient1_, ROL::CoherentExpUtility< Real >::scaledGradient2_, and ROL::CoherentExpUtility< Real >::xstat_.
Referenced by ROL::CoherentExpUtility< Real >::reset().
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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 103 of file ROL_CoherentExpUtility.hpp.
References ROL::CoherentExpUtility< Real >::reset(), and ROL::CoherentExpUtility< Real >::vstat_.
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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 111 of file ROL_CoherentExpUtility.hpp.
References ROL::CoherentExpUtility< Real >::xstat_.
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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 115 of file ROL_CoherentExpUtility.hpp.
References ROL::SampleGenerator< Real >::sumAll(), and ROL::CoherentExpUtility< Real >::xstat_.
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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 121 of file ROL_CoherentExpUtility.hpp.
References ROL::CoherentExpUtility< Real >::xstat_.
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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 128 of file ROL_CoherentExpUtility.hpp.
References ROL::CoherentExpUtility< Real >::dualVector1_, ROL::SampleGenerator< Real >::sumAll(), and ROL::CoherentExpUtility< Real >::xstat_.
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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 144 of file ROL_CoherentExpUtility.hpp.
References ROL::CoherentExpUtility< Real >::dval1_, ROL::CoherentExpUtility< Real >::dval2_, ROL::CoherentExpUtility< Real >::dval3_, ROL::CoherentExpUtility< Real >::scaledGradient1_, ROL::CoherentExpUtility< Real >::scaledGradient2_, and ROL::CoherentExpUtility< Real >::xstat_.
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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 158 of file ROL_CoherentExpUtility.hpp.
References ROL::CoherentExpUtility< Real >::dualVector1_, ROL::CoherentExpUtility< Real >::dualVector2_, ROL::CoherentExpUtility< Real >::dval1_, ROL::CoherentExpUtility< Real >::dval2_, ROL::CoherentExpUtility< Real >::dval3_, ROL::CoherentExpUtility< Real >::scaledGradient1_, ROL::CoherentExpUtility< Real >::scaledGradient2_, ROL::SampleGenerator< Real >::sumAll(), ROL::CoherentExpUtility< Real >::vstat_, and ROL::CoherentExpUtility< Real >::xstat_.
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Definition at line 69 of file ROL_CoherentExpUtility.hpp.
Referenced by ROL::CoherentExpUtility< Real >::reset().
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Definition at line 71 of file ROL_CoherentExpUtility.hpp.
Referenced by ROL::CoherentExpUtility< Real >::getHessVec(), ROL::CoherentExpUtility< Real >::reset(), and ROL::CoherentExpUtility< Real >::update().
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Definition at line 72 of file ROL_CoherentExpUtility.hpp.
Referenced by ROL::CoherentExpUtility< Real >::getHessVec(), ROL::CoherentExpUtility< Real >::reset(), and ROL::CoherentExpUtility< Real >::update().
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Definition at line 73 of file ROL_CoherentExpUtility.hpp.
Referenced by ROL::CoherentExpUtility< Real >::getHessVec(), ROL::CoherentExpUtility< Real >::reset(), and ROL::CoherentExpUtility< Real >::update().
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Definition at line 74 of file ROL_CoherentExpUtility.hpp.
Referenced by ROL::CoherentExpUtility< Real >::getHessVec(), ROL::CoherentExpUtility< Real >::reset(), and ROL::CoherentExpUtility< Real >::update().
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Definition at line 75 of file ROL_CoherentExpUtility.hpp.
Referenced by ROL::CoherentExpUtility< Real >::getHessVec(), ROL::CoherentExpUtility< Real >::reset(), and ROL::CoherentExpUtility< Real >::update().
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Definition at line 77 of file ROL_CoherentExpUtility.hpp.
Referenced by ROL::CoherentExpUtility< Real >::getGradient(), ROL::CoherentExpUtility< Real >::getHessVec(), and ROL::CoherentExpUtility< Real >::reset().
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Definition at line 78 of file ROL_CoherentExpUtility.hpp.
Referenced by ROL::CoherentExpUtility< Real >::getHessVec(), and ROL::CoherentExpUtility< Real >::reset().
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Definition at line 80 of file ROL_CoherentExpUtility.hpp.
Referenced by ROL::CoherentExpUtility< Real >::getGradient(), ROL::CoherentExpUtility< Real >::getHessVec(), ROL::CoherentExpUtility< Real >::getValue(), ROL::CoherentExpUtility< Real >::reset(), and ROL::CoherentExpUtility< Real >::update().
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Definition at line 81 of file ROL_CoherentExpUtility.hpp.
Referenced by ROL::CoherentExpUtility< Real >::getHessVec(), and ROL::CoherentExpUtility< Real >::reset().