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

#include <ROL_QuantileRadiusQuadrangle.hpp>

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

Public Member Functions

 QuantileRadiusQuadrangle (Teuchos::ParameterList &parlist)
 
 QuantileRadiusQuadrangle (const Real prob, const Real coeff, const Teuchos::RCP< PlusFunction< Real > > &pf)
 
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 Member Functions

void checkInputs (void) const
 
void initialize (void)
 

Private Attributes

Teuchos::RCP< PlusFunction< Real > > plusFunction_
 
Real prob_
 
Real coeff_
 
Teuchos::RCP< Vector< Real > > dualVector_
 
std::vector< Real > xvar_
 
std::vector< Real > vvar_
 
std::vector< Real > vec_
 
bool firstReset_
 

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::QuantileRadiusQuadrangle< Real >

Definition at line 57 of file ROL_QuantileRadiusQuadrangle.hpp.

Constructor & Destructor Documentation

◆ QuantileRadiusQuadrangle() [1/2]

template<class Real >
ROL::QuantileRadiusQuadrangle< Real >::QuantileRadiusQuadrangle ( Teuchos::ParameterList &  parlist)
inline

◆ QuantileRadiusQuadrangle() [2/2]

template<class Real >
ROL::QuantileRadiusQuadrangle< Real >::QuantileRadiusQuadrangle ( const Real  prob,
const Real  coeff,
const Teuchos::RCP< PlusFunction< Real > > &  pf 
)
inline

Member Function Documentation

◆ checkInputs()

template<class Real >
void ROL::QuantileRadiusQuadrangle< Real >::checkInputs ( void  ) const
inlineprivate

◆ initialize()

template<class Real >
void ROL::QuantileRadiusQuadrangle< Real >::initialize ( void  )
inlineprivate

◆ reset() [1/2]

template<class Real >
void ROL::QuantileRadiusQuadrangle< 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 111 of file ROL_QuantileRadiusQuadrangle.hpp.

References ROL::QuantileRadiusQuadrangle< Real >::dualVector_, ROL::QuantileRadiusQuadrangle< Real >::firstReset_, ROL::RiskMeasure< Real >::reset(), ROL::QuantileRadiusQuadrangle< Real >::vec_, and ROL::QuantileRadiusQuadrangle< Real >::xvar_.

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

◆ reset() [2/2]

template<class Real >
void ROL::QuantileRadiusQuadrangle< 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 122 of file ROL_QuantileRadiusQuadrangle.hpp.

References ROL::QuantileRadiusQuadrangle< Real >::reset(), and ROL::QuantileRadiusQuadrangle< Real >::vvar_.

◆ update() [1/3]

template<class Real >
void ROL::QuantileRadiusQuadrangle< 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 129 of file ROL_QuantileRadiusQuadrangle.hpp.

References ROL::QuantileRadiusQuadrangle< Real >::coeff_, ROL::QuantileRadiusQuadrangle< Real >::plusFunction_, ROL::QuantileRadiusQuadrangle< Real >::prob_, and ROL::QuantileRadiusQuadrangle< Real >::xvar_.

◆ getValue()

template<class Real >
Real ROL::QuantileRadiusQuadrangle< 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 136 of file ROL_QuantileRadiusQuadrangle.hpp.

References ROL::QuantileRadiusQuadrangle< Real >::coeff_, ROL::SampleGenerator< Real >::sumAll(), and ROL::QuantileRadiusQuadrangle< Real >::xvar_.

◆ update() [2/3]

template<class Real >
void ROL::QuantileRadiusQuadrangle< 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 143 of file ROL_QuantileRadiusQuadrangle.hpp.

References ROL::QuantileRadiusQuadrangle< Real >::coeff_, ROL::QuantileRadiusQuadrangle< Real >::plusFunction_, ROL::QuantileRadiusQuadrangle< Real >::prob_, ROL::QuantileRadiusQuadrangle< Real >::vec_, and ROL::QuantileRadiusQuadrangle< Real >::xvar_.

◆ getGradient()

template<class Real >
void ROL::QuantileRadiusQuadrangle< 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 153 of file ROL_QuantileRadiusQuadrangle.hpp.

References ROL::QuantileRadiusQuadrangle< Real >::coeff_, ROL::QuantileRadiusQuadrangle< Real >::dualVector_, ROL::RiskVector< Real >::setStatistic(), ROL::RiskVector< Real >::setVector(), ROL::SampleGenerator< Real >::sumAll(), and ROL::QuantileRadiusQuadrangle< Real >::vec_.

◆ update() [3/3]

template<class Real >
void ROL::QuantileRadiusQuadrangle< 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 166 of file ROL_QuantileRadiusQuadrangle.hpp.

References ROL::QuantileRadiusQuadrangle< Real >::coeff_, ROL::QuantileRadiusQuadrangle< Real >::plusFunction_, ROL::QuantileRadiusQuadrangle< Real >::prob_, ROL::QuantileRadiusQuadrangle< Real >::vec_, ROL::QuantileRadiusQuadrangle< Real >::vvar_, and ROL::QuantileRadiusQuadrangle< Real >::xvar_.

◆ getHessVec()

template<class Real >
void ROL::QuantileRadiusQuadrangle< 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 180 of file ROL_QuantileRadiusQuadrangle.hpp.

References ROL::QuantileRadiusQuadrangle< Real >::dualVector_, ROL::RiskVector< Real >::setStatistic(), ROL::RiskVector< Real >::setVector(), ROL::SampleGenerator< Real >::sumAll(), and ROL::QuantileRadiusQuadrangle< Real >::vec_.

Member Data Documentation

◆ plusFunction_

template<class Real >
Teuchos::RCP<PlusFunction<Real> > ROL::QuantileRadiusQuadrangle< Real >::plusFunction_
private

◆ prob_

template<class Real >
Real ROL::QuantileRadiusQuadrangle< Real >::prob_
private

◆ coeff_

template<class Real >
Real ROL::QuantileRadiusQuadrangle< Real >::coeff_
private

◆ dualVector_

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::QuantileRadiusQuadrangle< Real >::dualVector_
private

◆ xvar_

template<class Real >
std::vector<Real> ROL::QuantileRadiusQuadrangle< Real >::xvar_
private

◆ vvar_

template<class Real >
std::vector<Real> ROL::QuantileRadiusQuadrangle< Real >::vvar_
private

◆ vec_

template<class Real >
std::vector<Real> ROL::QuantileRadiusQuadrangle< Real >::vec_
private

◆ firstReset_

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

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