ROL
ROL_ExpUtility.hpp
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43 
44 #ifndef ROL_EXPUTILITY_HPP
45 #define ROL_EXPUTILITY_HPP
46 
47 #include "ROL_RiskMeasure.hpp"
48 
49 namespace ROL {
50 
65 template<class Real>
66 class ExpUtility : public RiskMeasure<Real> {
67 private:
68  Teuchos::RCP<Vector<Real> > scaledGradient_;
69  Teuchos::RCP<Vector<Real> > dualVector1_;
70  Teuchos::RCP<Vector<Real> > dualVector2_;
72 
73  Real coeff_;
74 
75  void checkInputs(void) const {
76  Real zero(0);
77  TEUCHOS_TEST_FOR_EXCEPTION((coeff_ <= zero), std::invalid_argument,
78  ">>> ERROR (ROL::ExpUtility): Rate must be positive!");
79  }
80 
81 public:
86  ExpUtility(const Real coeff = 1)
87  : RiskMeasure<Real>(), firstReset_(true), coeff_(coeff) {
88  checkInputs();
89  }
90 
99  ExpUtility(Teuchos::ParameterList &parlist)
100  : RiskMeasure<Real>(), firstReset_(true) {
101  Teuchos::ParameterList &list
102  = parlist.sublist("SOL").sublist("Risk Measure").sublist("Exponential Utility");
103  coeff_ = list.get<Real>("Rate");
104  checkInputs();
105  }
106 
107  void reset(Teuchos::RCP<Vector<Real> > &x0, const Vector<Real> &x) {
109  if ( firstReset_ ) {
110  scaledGradient_ = (x0->dual()).clone();
111  dualVector1_ = (x0->dual()).clone();
112  dualVector2_ = (x0->dual()).clone();
113  firstReset_ = false;
114  }
115  scaledGradient_->zero(); dualVector1_->zero(); dualVector2_->zero();
116  }
117 
118  void reset(Teuchos::RCP<Vector<Real> > &x0, const Vector<Real> &x,
119  Teuchos::RCP<Vector<Real> > &v0, const Vector<Real> &v) {
120  reset(x0,x);
121  v0 = Teuchos::rcp_const_cast<Vector<Real> >(
122  Teuchos::dyn_cast<const RiskVector<Real> >(v).getVector());
123  }
124 
125  void update(const Real val, const Real weight) {
126  RiskMeasure<Real>::val_ += weight * std::exp(coeff_*val);
127  }
128 
130  Real val = RiskMeasure<Real>::val_, ev(0);
131  sampler.sumAll(&val,&ev,1);
132  return std::log(ev)/coeff_;
133  }
134 
135  void update(const Real val, const Vector<Real> &g, const Real weight) {
136  Real ev = std::exp(coeff_*val);
137  RiskMeasure<Real>::val_ += weight * ev;
138  RiskMeasure<Real>::g_->axpy(weight*ev,g);
139  }
140 
142  Real val = RiskMeasure<Real>::val_, ev(0), one(1);
143  sampler.sumAll(&val,&ev,1);
144 
146  dualVector1_->scale(one/ev);
147 
148  (Teuchos::dyn_cast<RiskVector<Real> >(g)).setVector(*dualVector1_);
149  }
150 
151  void update(const Real val, const Vector<Real> &g, const Real gv, const Vector<Real> &hv,
152  const Real weight) {
153  Real ev = std::exp(coeff_*val);
154  RiskMeasure<Real>::val_ += weight * ev;
155  RiskMeasure<Real>::gv_ -= weight * ev * gv;
156  RiskMeasure<Real>::g_->axpy(weight*ev,g);
157  RiskMeasure<Real>::hv_->axpy(weight*ev,hv);
158  scaledGradient_->axpy(weight*ev*gv,g);
159  }
160 
162  Real one(1);
163  std::vector<Real> myval(2), val(2);
164  myval[0] = RiskMeasure<Real>::val_;
165  myval[1] = RiskMeasure<Real>::gv_;
166  sampler.sumAll(&myval[0],&val[0],2);
167 
169 
172  dualVector1_->scale(one/val[0]);
173 
174  dualVector2_->zero();
176  dualVector1_->axpy(coeff_*val[1]/(val[0]*val[0]),*dualVector2_);
177 
178  (Teuchos::dyn_cast<RiskVector<Real> >(hv)).setVector(*dualVector1_);
179  }
180 };
181 
182 }
183 
184 #endif
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.
ExpUtility(const Real coeff=1)
Constructor.
Provides an interface for the entropic risk.
void update(const Real val, const Vector< Real > &g, const Real weight)
Update internal risk measure storage for gradient computation.
Teuchos::RCP< Vector< Real > > dualVector2_
void sumAll(Real *input, Real *output, int dim) const
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:74
void getGradient(Vector< Real > &g, SampleGenerator< Real > &sampler)
Return risk measure (sub)gradient.
void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x)
Reset internal risk measure storage. Called for value and gradient computation.
Teuchos::RCP< Vector< Real > > scaledGradient_
Real getValue(SampleGenerator< Real > &sampler)
Return risk measure value.
void update(const Real val, const Real weight)
Update internal risk measure storage for value computation.
void checkInputs(void) const
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.
void getHessVec(Vector< Real > &hv, SampleGenerator< Real > &sampler)
Return risk measure Hessian-times-a-vector.
virtual void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x)
Reset internal risk measure storage. Called for value and gradient computation.
ExpUtility(Teuchos::ParameterList &parlist)
Constructor.
Teuchos::RCP< Vector< Real > > dualVector1_
Provides the interface to implement risk measures.