ROL
Public Member Functions | Private Attributes | List of all members
ROL::CoherentExpUtility< Real > Class Template Reference

Provides the interface for the coherent entropic risk measure. More...

#include <ROL_CoherentExpUtility.hpp>

+ Inheritance diagram for ROL::CoherentExpUtility< Real >:

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...
 
- Public Member Functions inherited from ROL::RiskMeasure< Real >
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

- Protected Attributes inherited from ROL::RiskMeasure< Real >
Real val_
 
Real gv_
 
Teuchos::RCP< Vector< Real > > g_
 
Teuchos::RCP< Vector< Real > > hv_
 
Teuchos::RCP< Vector< Real > > dualVector_
 
bool firstReset_
 

Detailed Description

template<class Real>
class ROL::CoherentExpUtility< Real >

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.

Constructor & Destructor Documentation

◆ CoherentExpUtility()

template<class Real >
ROL::CoherentExpUtility< Real >::CoherentExpUtility ( void  )
inline

Definition at line 84 of file ROL_CoherentExpUtility.hpp.

Member Function Documentation

◆ reset() [1/2]

template<class Real >
void ROL::CoherentExpUtility< Real >::reset ( Teuchos::RCP< Vector< Real > > &  x0,
const Vector< Real > &  x 
)
inlinevirtual

Reset internal risk measure storage. Called for value and gradient computation.

Parameters
[out]x0is a user-provided optimization vector
[in]xis 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().

◆ reset() [2/2]

template<class Real >
void ROL::CoherentExpUtility< Real >::reset ( Teuchos::RCP< Vector< Real > > &  x0,
const Vector< Real > &  x,
Teuchos::RCP< Vector< Real > > &  v0,
const Vector< Real > &  v 
)
inlinevirtual

Reset internal risk measure storage. Called for Hessian-times-a-vector computation.

Parameters
[out]x0is a user-provided optimization vector
[in]xis a (potentially) augmented risk vector
[out]v0is a user-provided direction vector
[in]vis 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_.

◆ update() [1/3]

template<class Real >
void ROL::CoherentExpUtility< Real >::update ( const Real  val,
const Real  weight 
)
inlinevirtual

Update internal risk measure storage for value computation.

Parameters
[in]valis the value of the random variable objective function at the current sample point
[in]weightis 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_.

◆ getValue()

template<class Real >
Real ROL::CoherentExpUtility< Real >::getValue ( SampleGenerator< Real > &  sampler)
inlinevirtual

Return risk measure value.

Parameters
[in]sampleris 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_.

◆ update() [2/3]

template<class Real >
void ROL::CoherentExpUtility< Real >::update ( const Real  val,
const Vector< Real > &  g,
const Real  weight 
)
inlinevirtual

Update internal risk measure storage for gradient computation.

Parameters
[in]valis the value of the random variable objective function at the current sample point
[in]gis the gradient of the random variable objective function at the current sample point
[in]weightis 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_.

◆ getGradient()

template<class Real >
void ROL::CoherentExpUtility< Real >::getGradient ( Vector< Real > &  g,
SampleGenerator< Real > &  sampler 
)
inlinevirtual

Return risk measure (sub)gradient.

Parameters
[out]gis the (sub)gradient of the risk measure
[in]sampleris 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_.

◆ update() [3/3]

template<class Real >
void ROL::CoherentExpUtility< Real >::update ( const Real  val,
const Vector< Real > &  g,
const Real  gv,
const Vector< Real > &  hv,
const Real  weight 
)
inlinevirtual

Update internal risk measure storage for Hessian-time-a-vector computation.

Parameters
[in]valis the value of the random variable objective function at the current sample point
[in]gis the gradient of the random variable objective function at the current sample point
[in]gvis the gradient of the random variable objective function at the current sample point applied to the vector v0
[in]hvis the Hessian of the random variable objective function at the current sample point applied to the vector v0
[in]weightis 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_.

◆ getHessVec()

template<class Real >
void ROL::CoherentExpUtility< Real >::getHessVec ( Vector< Real > &  hv,
SampleGenerator< Real > &  sampler 
)
inlinevirtual

Return risk measure Hessian-times-a-vector.

Parameters
[out]hvis the Hessian-times-a-vector of the risk measure
[in]sampleris 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_.

Member Data Documentation

◆ firstReset_

template<class Real >
bool ROL::CoherentExpUtility< Real >::firstReset_
private

Definition at line 69 of file ROL_CoherentExpUtility.hpp.

Referenced by ROL::CoherentExpUtility< Real >::reset().

◆ scaledGradient1_

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::CoherentExpUtility< Real >::scaledGradient1_
private

◆ scaledGradient2_

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::CoherentExpUtility< Real >::scaledGradient2_
private

◆ dval1_

template<class Real >
Real ROL::CoherentExpUtility< Real >::dval1_
private

◆ dval2_

template<class Real >
Real ROL::CoherentExpUtility< Real >::dval2_
private

◆ dval3_

template<class Real >
Real ROL::CoherentExpUtility< Real >::dval3_
private

◆ dualVector1_

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::CoherentExpUtility< Real >::dualVector1_
private

◆ dualVector2_

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::CoherentExpUtility< Real >::dualVector2_
private

◆ xstat_

template<class Real >
Real ROL::CoherentExpUtility< Real >::xstat_
private

◆ vstat_

template<class Real >
Real ROL::CoherentExpUtility< Real >::vstat_
private

The documentation for this class was generated from the following file: