44 #ifndef ROL_RISKMEASUREFACTORY_HPP 45 #define ROL_RISKMEASUREFACTORY_HPP 47 #include "Teuchos_ParameterList.hpp" 108 std::string retString;
111 retString =
"CVaR";
break;
113 retString =
"Coherent Exponential Utility";
break;
115 retString =
"Exponential Utility";
break;
117 retString =
"HMCR";
break;
119 retString =
"Mean Plus Deviation From Target";
break;
121 retString =
"Mean Plus Deviation";
break;
123 retString =
"Mean Plus Variance From Target";
break;
125 retString =
"Mean Plus Variance";
break;
127 retString =
"Moreau-Yosida CVaR";
break;
129 retString =
"Log-Exponential Quadrangle";
break;
131 retString =
"Log-Quantile Quadrangle";
break;
133 retString =
"Mean-Variance Quadrangle";
break;
135 retString =
"Mixed-Quantile Quadrangle";
break;
137 retString =
"Super Quantile Quadrangle";
break;
139 retString =
"Chebyshev-Kusuoka";
break;
141 retString =
"Spectral Risk";
break;
143 retString =
"Quantile-Based Quadrangle";
break;
145 retString =
"Quantile-Radius Quadrangle";
break;
147 retString =
"Smoothed Worst-Case Quadrangle";
break;
149 retString =
"Truncated Mean Quadrangle";
break;
151 retString =
"Chi-Squared Divergence";
break;
153 retString =
"KL Divergence";
break;
155 retString =
"Last Type (Dummy)";
break;
157 retString =
"INVALID ERiskMeasure";
break;
219 std::string risk = parlist.sublist(
"SOL").sublist(
"Risk Measure").get(
"Name",
"CVaR");
267 TEUCHOS_TEST_FOR_EXCEPTION(
true,std::invalid_argument,
268 "Invalid risk measure type " << risk <<
"!");
Provides an interface for a smoothed version of the worst-case scenario risk measure using the expect...
Provides an interface for a convex combination of the expected value and the conditional value-at-ris...
Provides an interface for the Kullback-Leibler distributionally robust expectation.
Provides an interface for the entropic risk.
Provides an interface for a convex combination of conditional value-at-risks.
Provides an interface for a convex combination of the expected value and the conditional value-at-ris...
Contains definitions of custom data types in ROL.
std::string removeStringFormat(std::string s)
Provides an interface for a smooth approximation of the conditional value-at-risk.
ERiskMeasure StringToERiskMeasure(std::string s)
Provides an interface for the entropic risk using the expectation risk quadrangle.
Provides an interface for the chi-squared-divergence distributionally robust expectation.
int isValidRiskMeasure(ERiskMeasure ed)
Provides an interface for the mean plus a sum of arbitrary order deviations from targets.
Provides an interface for the mean plus a sum of arbitrary order deviations.
Provides the interface for the coherent entropic risk measure.
std::string ERiskMeasureToString(ERiskMeasure ed)
Provides an interface for the risk measure associated with the super quantile quadrangle.
Provides an interface for the conditioanl entropic risk using the expectation risk quadrangle...
Provides an interface for spectral risk measures.
ETrustRegion & operator--(ETrustRegion &type)
Provides an interface for the mean plus variance risk measure using the expectation risk quadrangle...
Provides an interface for the mean plus a sum of arbitrary order variances from targets.
Teuchos::RCP< RiskMeasure< Real > > RiskMeasureFactory(Teuchos::ParameterList &parlist)
Provides an interface for a convex combination of the expected value and the higher moment coherent r...
ETrustRegion & operator++(ETrustRegion &type)
Provides an interface for the mean plus a sum of arbitrary order variances.
Provides an interface for the Chebyshev-Kusuoka risk measure.