44 #ifndef ROL_RISKAVERSEOBJECTIVE_HPP 45 #define ROL_RISKAVERSEOBJECTIVE_HPP 47 #include "Teuchos_RCP.hpp" 73 Teuchos::RCP<Vector<Real> >
x_;
74 Teuchos::RCP<Vector<Real> >
v_;
75 Teuchos::RCP<Vector<Real> >
g_;
76 Teuchos::RCP<Vector<Real> >
hv_;
80 const std::vector<Real> ¶m, Real &tol) {
88 value_storage_.insert(std::pair<std::vector<Real>,Real>(param,val));
98 const std::vector<Real> ¶m, Real &tol) {
106 Teuchos::RCP<Vector<Real> > tmp = g.
clone();
118 const std::vector<Real> ¶m, Real &tol) {
131 const bool storage =
true )
143 const bool storage =
true )
154 const bool storage =
true )
163 Teuchos::ParameterList &parlist,
170 std::string name = parlist.sublist(
"SOL").sublist(
"Risk Measure").get(
"Name",
"CVaR");
171 if (name !=
"Convex Combination Risk Measure") {
177 storage_ = parlist.sublist(
"SOL").get(
"Store Sampled Value and Gradient",
true);
183 Teuchos::ParameterList &parlist,
189 std::string name = parlist.sublist(
"SOL").sublist(
"Risk Measure").get(
"Name",
"CVaR");
190 if (name !=
"Convex Combination Risk Measure") {
196 storage_ = parlist.sublist(
"SOL").get(
"Store Sampled Value and Gradient",
true);
202 Teuchos::ParameterList &parlist,
207 std::string name = parlist.sublist(
"SOL").sublist(
"Risk Measure").get(
"Name",
"CVaR");
208 if (name !=
"Convex Combination Risk Measure") {
214 storage_ = parlist.sublist(
"SOL").get(
"Store Sampled Value and Gradient",
true);
222 g_ = (
x_->dual()).clone();
223 hv_ = (
x_->dual()).clone();
264 Real val = 0.0, gv = 0.0;
271 gv =
g_->dot(
v_->dual());
virtual void gradient(Vector< Real > &g, const Vector< Real > &x, Real &tol)
Compute gradient.
Teuchos::RCP< Vector< Real > > g_
Provides the interface to evaluate objective functions.
RiskAverseObjective(const Teuchos::RCP< Objective< Real > > &pObj, const Teuchos::RCP< RiskMeasure< Real > > &rm, const Teuchos::RCP< SampleGenerator< Real > > &vsampler, const Teuchos::RCP< SampleGenerator< Real > > &gsampler, const Teuchos::RCP< SampleGenerator< Real > > &hsampler, const bool storage=true)
virtual void update(const Vector< Real > &x, bool flag=true, int iter=-1)
Update objective function.
void getValue(Real &val, const Vector< Real > &x, const std::vector< Real > ¶m, Real &tol)
virtual Teuchos::RCP< Vector > clone() const =0
Clone to make a new (uninitialized) vector.
RiskAverseObjective(const Teuchos::RCP< Objective< Real > > &pObj, Teuchos::ParameterList &parlist, const Teuchos::RCP< SampleGenerator< Real > > &vsampler, const Teuchos::RCP< SampleGenerator< Real > > &gsampler)
virtual void zero()
Set to zero vector.
Teuchos::RCP< SampleGenerator< Real > > GradientSampler_
Defines the linear algebra or vector space interface.
Teuchos::RCP< Vector< Real > > hv_
virtual void precond(Vector< Real > &Pv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Apply preconditioner to vector.
RiskAverseObjective(const Teuchos::RCP< Objective< Real > > &pObj, const Teuchos::RCP< RiskMeasure< Real > > &rm, const Teuchos::RCP< SampleGenerator< Real > > &vsampler, const Teuchos::RCP< SampleGenerator< Real > > &gsampler, const bool storage=true)
virtual const Vector & dual() const
Return dual representation of , for example, the result of applying a Riesz map, or change of basis...
RiskAverseObjective(const Teuchos::RCP< Objective< Real > > &pObj, Teuchos::ParameterList &parlist, const Teuchos::RCP< SampleGenerator< Real > > &vsampler, const Teuchos::RCP< SampleGenerator< Real > > &gsampler, const Teuchos::RCP< SampleGenerator< Real > > &hsampler)
Teuchos::RCP< Vector< Real > > x_
void getHessVec(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, const std::vector< Real > ¶m, Real &tol)
std::map< std::vector< Real >, Teuchos::RCP< Vector< Real > > > gradient_storage_
void getGradient(Vector< Real > &g, const Vector< Real > &x, const std::vector< Real > ¶m, Real &tol)
RiskAverseObjective(const Teuchos::RCP< Objective< Real > > &pObj, Teuchos::ParameterList &parlist, const Teuchos::RCP< SampleGenerator< Real > > &sampler)
std::map< std::vector< Real >, Real > value_storage_
Teuchos::RCP< Objective< Real > > ParametrizedObjective_
RiskAverseObjective(const Teuchos::RCP< Objective< Real > > &pObj, const Teuchos::RCP< RiskMeasure< Real > > &rm, const Teuchos::RCP< SampleGenerator< Real > > &sampler, const bool storage=true)
Teuchos::RCP< Vector< Real > > v_
Teuchos::RCP< RiskMeasure< Real > > RiskMeasure_
virtual void set(const Vector &x)
Set where .
virtual void hessVec(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Apply Hessian approximation to vector.
Provides the interface to implement risk measures.
virtual ~RiskAverseObjective()
Teuchos::RCP< SampleGenerator< Real > > HessianSampler_
Teuchos::RCP< SampleGenerator< Real > > ValueSampler_
Provides an interface for a convex combination of risk measures.
virtual Real value(const Vector< Real > &x, Real &tol)
Compute value.