ROL
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Provides an interface for a convex combination of the expected value and the conditional value-at-risk using the expectation risk quadrangle. More...
#include <ROL_QuantileQuadrangle.hpp>
Public Member Functions | |
QuantileQuadrangle (Real prob, Real eps, Teuchos::RCP< PlusFunction< Real > > &pf) | |
Constructor. More... | |
QuantileQuadrangle (Real prob, Real lam, Real eps, Teuchos::RCP< PlusFunction< Real > > &pf) | |
Constructor. More... | |
QuantileQuadrangle (Teuchos::ParameterList &parlist) | |
Constructor. More... | |
Real | error (Real x, int deriv=0) |
Real | regret (Real x, int deriv=0) |
Evaluate the scalar regret function at x. More... | |
void | checkRegret (void) |
Run default derivative tests for the scalar regret function. More... | |
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ExpectationQuad (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... | |
void | update (const Real val, const Vector< Real > &g, const Real weight) |
Update internal risk measure storage for gradient computation. 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... | |
Real | getValue (SampleGenerator< Real > &sampler) |
Return risk measure value. More... | |
void | getGradient (Vector< Real > &g, SampleGenerator< Real > &sampler) |
Return risk measure (sub)gradient. 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 Member Functions | |
void | checkInputs (void) const |
void | setParameters (void) |
Private Attributes | |
Teuchos::RCP< PlusFunction< Real > > | pf_ |
Real | prob_ |
Real | lam_ |
Real | eps_ |
Real | alpha_ |
Real | beta_ |
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 an interface for a convex combination of the expected value and the conditional value-at-risk using the expectation risk quadrangle.
The conditional value-at-risk (also called the average value-at-risk or the expected shortfall) with confidence level \(0\le \beta < 1\) is
\[ \mathcal{R}(X) = \inf_{t\in\mathbb{R}} \left\{ t + \frac{1}{1-\beta} \mathbb{E}\left[(X-t)_+\right] \right\} \]
where \((x)_+ = \max\{0,x\}\). If the distribution of \(X\) is continuous, then \(\mathcal{R}\) is the conditional expectation of \(X\) exceeding the \(\beta\)-quantile of \(X\) and the optimal \(t\) is the \(\beta\)-quantile. Additionally, \(\mathcal{R}\) is a law-invariant coherent risk measure.
This class defines a convex combination of expected value and the conditional value-at-risk using the expectation risk quadrangle. In this case, the scalar regret function is
\[ v(x) = \alpha (x)_+ - \lambda (-x)_+ \]
for \(\alpha > 1\) and \(0 \le \lambda < 1\). The associated confidence level for the conditional value-at-risk is
\[ \beta = \frac{\alpha-1}{\alpha-\lambda}. \]
This convex combination of expected value and the conditional value-at-risk is then realized as
\[ \mathcal{R}(X) = \inf_{t\in\mathbb{R}}\left\{ t + \mathbb{E}[v(X-t)] \right\}. \]
ROL implements this by augmenting the optimization vector \(x_0\) with the parameter \(t\), then minimizes jointly for \((x_0,t)\).
When using derivative-based optimization, the user can provide a smooth approximation of \((\cdot)_+\) using the ROL::PlusFunction class.
Definition at line 97 of file ROL_QuantileQuadrangle.hpp.
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inline |
Constructor.
[in] | prob | is the confidence level |
[in] | eps | is the smoothing parameter for the plus function approximation |
[in] | pf | is the plus function or an approximation |
Definition at line 134 of file ROL_QuantileQuadrangle.hpp.
References ROL::QuantileQuadrangle< Real >::checkInputs(), and ROL::QuantileQuadrangle< Real >::setParameters().
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inline |
Constructor.
[in] | prob | is the confidence level |
[in] | lam | is the convex combination parameter (coeff=0 corresponds to the expected value whereas coeff=1 corresponds to the conditional value-at-risk) |
[in] | eps | is the smoothing parameter for the plus function approximation |
[in] | pf | is the plus function or an approximation |
Definition at line 149 of file ROL_QuantileQuadrangle.hpp.
References ROL::QuantileQuadrangle< Real >::checkInputs(), and ROL::QuantileQuadrangle< Real >::setParameters().
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inline |
Constructor.
[in] | parlist | is a parameter list specifying inputs |
parlist should contain sublists "SOL"->"Risk Measure"->"CVaR" and within the "CVaR" sublist should have the following parameters
Definition at line 167 of file ROL_QuantileQuadrangle.hpp.
References ROL::QuantileQuadrangle< Real >::checkInputs(), ROL::QuantileQuadrangle< Real >::eps_, ROL::QuantileQuadrangle< Real >::lam_, ROL::QuantileQuadrangle< Real >::pf_, ROL::QuantileQuadrangle< Real >::prob_, and ROL::QuantileQuadrangle< Real >::setParameters().
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Definition at line 109 of file ROL_QuantileQuadrangle.hpp.
References ROL::QuantileQuadrangle< Real >::eps_, ROL::QuantileQuadrangle< Real >::lam_, ROL::QuantileQuadrangle< Real >::pf_, and ROL::QuantileQuadrangle< Real >::prob_.
Referenced by ROL::QuantileQuadrangle< Real >::QuantileQuadrangle().
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Definition at line 121 of file ROL_QuantileQuadrangle.hpp.
References ROL::QuantileQuadrangle< Real >::alpha_, ROL::QuantileQuadrangle< Real >::beta_, ROL::QuantileQuadrangle< Real >::lam_, and ROL::QuantileQuadrangle< Real >::prob_.
Referenced by ROL::QuantileQuadrangle< Real >::QuantileQuadrangle().
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Definition at line 181 of file ROL_QuantileQuadrangle.hpp.
References ROL::QuantileQuadrangle< Real >::alpha_, ROL::QuantileQuadrangle< Real >::beta_, and ROL::QuantileQuadrangle< Real >::pf_.
Referenced by ROL::QuantileQuadrangle< Real >::regret().
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inlinevirtual |
Evaluate the scalar regret function at x.
[in] | x | is the scalar input |
[in] | deriv | is the derivative order |
This function returns \(v(x)\) or a derivative of \(v(x)\).
Implements ROL::ExpectationQuad< Real >.
Definition at line 188 of file ROL_QuantileQuadrangle.hpp.
References ROL::QuantileQuadrangle< Real >::error().
Referenced by ROL::QuantileQuadrangle< Real >::checkRegret().
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Run default derivative tests for the scalar regret function.
Reimplemented from ROL::ExpectationQuad< Real >.
Definition at line 195 of file ROL_QuantileQuadrangle.hpp.
References ROL::ExpectationQuad< Real >::checkRegret(), ROL::QuantileQuadrangle< Real >::eps_, and ROL::QuantileQuadrangle< Real >::regret().
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Definition at line 100 of file ROL_QuantileQuadrangle.hpp.
Referenced by ROL::QuantileQuadrangle< Real >::checkInputs(), ROL::QuantileQuadrangle< Real >::error(), and ROL::QuantileQuadrangle< Real >::QuantileQuadrangle().
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Definition at line 102 of file ROL_QuantileQuadrangle.hpp.
Referenced by ROL::QuantileQuadrangle< Real >::checkInputs(), ROL::QuantileQuadrangle< Real >::QuantileQuadrangle(), and ROL::QuantileQuadrangle< Real >::setParameters().
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Definition at line 103 of file ROL_QuantileQuadrangle.hpp.
Referenced by ROL::QuantileQuadrangle< Real >::checkInputs(), ROL::QuantileQuadrangle< Real >::QuantileQuadrangle(), and ROL::QuantileQuadrangle< Real >::setParameters().
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Definition at line 104 of file ROL_QuantileQuadrangle.hpp.
Referenced by ROL::QuantileQuadrangle< Real >::checkInputs(), ROL::QuantileQuadrangle< Real >::checkRegret(), and ROL::QuantileQuadrangle< Real >::QuantileQuadrangle().
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Definition at line 106 of file ROL_QuantileQuadrangle.hpp.
Referenced by ROL::QuantileQuadrangle< Real >::error(), and ROL::QuantileQuadrangle< Real >::setParameters().
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Definition at line 107 of file ROL_QuantileQuadrangle.hpp.
Referenced by ROL::QuantileQuadrangle< Real >::error(), and ROL::QuantileQuadrangle< Real >::setParameters().