44 #ifndef ROL_MOREAUYOSIDACVAR_HPP 45 #define ROL_MOREAUYOSIDACVAR_HPP 115 Real zero(0), one(1);
116 TEUCHOS_TEST_FOR_EXCEPTION((
prob_ <= zero) || (
prob_ >= one), std::invalid_argument,
117 ">>> ERROR (ROL::MoreauYosidaCVaR): Confidence level must be between 0 and 1!");
118 TEUCHOS_TEST_FOR_EXCEPTION((
eps_ <= zero), std::invalid_argument,
119 ">>> ERROR (ROL::MoreauYosidaCVaR): Smoothing parameter must be positive!");
151 Teuchos::ParameterList& list
152 = parlist.sublist(
"SOL").sublist(
"Risk Measure").sublist(
"Moreau-Yosida CVaR");
153 prob_ = list.get<Real>(
"Confidence Level");
154 eps_ = list.get<Real>(
"Smoothing Parameter");
160 Real zero(0), one(1);
161 Real X = ((deriv==0) ? x : ((deriv==1) ? one : zero));
162 return regret(x,deriv) - X;
166 Real zero(0), half(0.5), one(1), reg(0);
167 int region = ((x <= 0) ? -1 : ((x >=
ub_) ? 1 : 0));
169 reg = ((deriv == 0) ? half*x*x : ((deriv == 1) ? x : one));
172 else if ( region == 1 ) {
173 reg = ((deriv == 0) ? (x-half*
ub_) : ((deriv == 1) ? one : zero));
181 Real zero(0), one(1), two(2), p1(0.1);
184 Real vx = zero, vy = zero;
189 std::cout << std::right << std::setw(20) <<
"CHECK REGRET: v'(eps) is correct? \n";
190 std::cout << std::right << std::setw(20) <<
"t" 191 << std::setw(20) <<
"v'(x)" 192 << std::setw(20) <<
"(v(x+t)-v(x-t))/2t" 193 << std::setw(20) <<
"Error" 195 for (
int i = 0; i < 13; i++) {
198 diff = (vy-vx)/(two*t);
199 err = std::abs(diff-dv);
200 std::cout << std::scientific << std::setprecision(11) << std::right
201 << std::setw(20) << t
202 << std::setw(20) << dv
203 << std::setw(20) << diff
204 << std::setw(20) << err
216 std::cout << std::right << std::setw(20) <<
"CHECK REGRET: v''(eps) is correct? \n";
217 std::cout << std::right << std::setw(20) <<
"t" 218 << std::setw(20) <<
"v''(x)" 219 << std::setw(20) <<
"(v'(x+t)-v'(x-t))/2t" 220 << std::setw(20) <<
"Error" 222 for (
int i = 0; i < 13; i++) {
225 diff = (vy-vx)/(two*t);
226 err = std::abs(diff-dv);
227 std::cout << std::scientific << std::setprecision(11) << std::right
228 << std::setw(20) << t
229 << std::setw(20) << dv
230 << std::setw(20) << diff
231 << std::setw(20) << err
244 std::cout << std::right << std::setw(20) <<
"CHECK REGRET: v'(0) is correct? \n";
245 std::cout << std::right << std::setw(20) <<
"t" 246 << std::setw(20) <<
"v'(x)" 247 << std::setw(20) <<
"(v(x+t)-v(x-t))/2t" 248 << std::setw(20) <<
"Error" 250 for (
int i = 0; i < 13; i++) {
253 diff = (vy-vx)/(two*t);
254 err = std::abs(diff-dv);
255 std::cout << std::scientific << std::setprecision(11) << std::right
256 << std::setw(20) << t
257 << std::setw(20) << dv
258 << std::setw(20) << diff
259 << std::setw(20) << err
271 std::cout << std::right << std::setw(20) <<
"CHECK REGRET: v''(0) is correct? \n";
272 std::cout << std::right << std::setw(20) <<
"t" 273 << std::setw(20) <<
"v''(x)" 274 << std::setw(20) <<
"(v'(x+t)-v'(x-t))/2t" 275 << std::setw(20) <<
"Error" 277 for (
int i = 0; i < 13; i++) {
280 diff = (vy-vx)/(two*t);
281 err = std::abs(diff-dv);
282 std::cout << std::scientific << std::setprecision(11) << std::right
283 << std::setw(20) << t
284 << std::setw(20) << dv
285 << std::setw(20) << diff
286 << std::setw(20) << err
299 std::cout << std::right << std::setw(20) <<
"CHECK REGRET: v'(-eps) is correct? \n";
300 std::cout << std::right << std::setw(20) <<
"t" 301 << std::setw(20) <<
"v'(x)" 302 << std::setw(20) <<
"(v(x+t)-v(x-t))/2t" 303 << std::setw(20) <<
"Error" 305 for (
int i = 0; i < 13; i++) {
308 diff = (vy-vx)/(two*t);
309 err = std::abs(diff-dv);
310 std::cout << std::scientific << std::setprecision(11) << std::right
311 << std::setw(20) << t
312 << std::setw(20) << dv
313 << std::setw(20) << diff
314 << std::setw(20) << err
326 std::cout << std::right << std::setw(20) <<
"CHECK REGRET: v''(-eps) is correct? \n";
327 std::cout << std::right << std::setw(20) <<
"t" 328 << std::setw(20) <<
"v''(x)" 329 << std::setw(20) <<
"(v'(x+t)-v'(x-t))/2t" 330 << std::setw(20) <<
"Error" 332 for (
int i = 0; i < 13; i++) {
335 diff = (vy-vx)/(two*t);
336 err = std::abs(diff-dv);
337 std::cout << std::scientific << std::setprecision(11) << std::right
338 << std::setw(20) << t
339 << std::setw(20) << dv
340 << std::setw(20) << diff
341 << std::setw(20) << err
Provides a general interface for risk measures generated through the expectation risk quadrangle...
virtual void checkRegret(void)
Run default derivative tests for the scalar regret function.
MoreauYosidaCVaR(Teuchos::ParameterList &parlist)
Constructor.
Provides an interface for a smooth approximation of the conditional value-at-risk.
void checkRegret(void)
Run default derivative tests for the scalar regret function.
void checkInputs(void) const
MoreauYosidaCVaR(Real prob, Real eps)
Constructor.
Real error(Real x, int deriv=0)
Real regret(Real x, int deriv=0)
Evaluate the scalar regret function at x.