ROL
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Provides an interface for the mean plus a sum of arbitrary order variances from targets. More...
#include <ROL_MeanVarianceFromTarget.hpp>
Public Member Functions | |
MeanVarianceFromTarget (const Real target, const Real order, const Real coeff, const Teuchos::RCP< PositiveFunction< Real > > &pf) | |
Constructor. More... | |
MeanVarianceFromTarget (const std::vector< Real > &target, const std::vector< Real > &order, const std::vector< Real > &coeff, const Teuchos::RCP< PositiveFunction< Real > > &pf) | |
Constructor. More... | |
MeanVarianceFromTarget (Teuchos::ParameterList &parlist) | |
Constructor. More... | |
void | update (const Real val, const Real weight) |
Update internal risk measure storage for value computation. More... | |
void | update (const Real val, const Vector< Real > &g, const Real weight) |
Update internal risk measure storage for gradient computation. 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... | |
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virtual | ~RiskMeasure () |
RiskMeasure (void) | |
virtual void | reset (Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x) |
Reset internal risk measure storage. Called for value and gradient computation. More... | |
virtual 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... | |
virtual Real | getValue (SampleGenerator< Real > &sampler) |
Return risk measure value. More... | |
virtual void | getGradient (Vector< Real > &g, SampleGenerator< Real > &sampler) |
Return risk measure (sub)gradient. More... | |
virtual void | getHessVec (Vector< Real > &hv, SampleGenerator< Real > &sampler) |
Return risk measure Hessian-times-a-vector. More... | |
Private Types | |
typedef std::vector< Real >::size_type | uint |
Private Member Functions | |
void | checkInputs (void) const |
Private Attributes | |
Teuchos::RCP< PositiveFunction< Real > > | positiveFunction_ |
std::vector< Real > | target_ |
std::vector< Real > | order_ |
std::vector< Real > | coeff_ |
uint | NumMoments_ |
Additional Inherited Members | |
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Real | val_ |
Real | gv_ |
Teuchos::RCP< Vector< Real > > | g_ |
Teuchos::RCP< Vector< Real > > | hv_ |
Teuchos::RCP< Vector< Real > > | dualVector_ |
bool | firstReset_ |
Provides an interface for the mean plus a sum of arbitrary order variances from targets.
The mean plus variances from targets risk measure is
\[ \mathcal{R}(X) = \mathbb{E}[X] + \sum_{k=1}^n c_k \mathbb{E}[\wp(X-t_k)^{p_k}] \]
where \(\wp:\mathbb{R}\to[0,\infty)\) is either the absolute value or \((x)_+ = \max\{0,x\}\), \(c_k > 0\) and \(p_k\in\mathbb{N}\). \(\mathcal{R}\) is law-invariant, but not coherent since it violates positive homogeneity and translation equivariance.
When using derivative-based optimization, the user can provide a smooth approximation of \((\cdot)_+\) using the ROL::PositiveFunction class.
Definition at line 78 of file ROL_MeanVarianceFromTarget.hpp.
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Definition at line 79 of file ROL_MeanVarianceFromTarget.hpp.
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Constructor.
[in] | target | is the scalar target |
[in] | order | is the variance order |
[in] | coeff | is the weight for variance term |
[in] | pf | is the plus function or an approximation |
This constructor produces a mean plus variance from target risk measure with a single variance.
Definition at line 115 of file ROL_MeanVarianceFromTarget.hpp.
References ROL::MeanVarianceFromTarget< Real >::checkInputs(), ROL::MeanVarianceFromTarget< Real >::coeff_, ROL::MeanVarianceFromTarget< Real >::NumMoments_, ROL::MeanVarianceFromTarget< Real >::order_, and ROL::MeanVarianceFromTarget< Real >::target_.
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Constructor.
[in] | target | is a vector of targets |
[in] | order | is a vector of variance orders |
[in] | coeff | is a vector of weights for the variance terms |
[in] | pf | is the plus function or an approximation |
This constructor produces a mean plus variance from target risk measure with an arbitrary number of variances.
Definition at line 135 of file ROL_MeanVarianceFromTarget.hpp.
References ROL::MeanVarianceFromTarget< Real >::checkInputs(), ROL::MeanVarianceFromTarget< Real >::coeff_, ROL::MeanVarianceFromTarget< Real >::NumMoments_, ROL::MeanVarianceFromTarget< Real >::order_, and ROL::MeanVarianceFromTarget< Real >::target_.
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Constructor.
[in] | parlist | is a parameter list specifying inputs |
parlist should contain sublists "SOL"->"Risk Measure"->"Mean Plus Variance From Target" and within the "Mean Plus Variance From Target" sublist should have the following parameters
Definition at line 166 of file ROL_MeanVarianceFromTarget.hpp.
References ROL::MeanVarianceFromTarget< Real >::checkInputs(), ROL::MeanVarianceFromTarget< Real >::coeff_, ROL::MeanVarianceFromTarget< Real >::NumMoments_, ROL::MeanVarianceFromTarget< Real >::order_, ROL::MeanVarianceFromTarget< Real >::positiveFunction_, and ROL::MeanVarianceFromTarget< Real >::target_.
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Definition at line 89 of file ROL_MeanVarianceFromTarget.hpp.
References ROL::MeanVarianceFromTarget< Real >::coeff_, ROL::MeanVarianceFromTarget< Real >::order_, and ROL::MeanVarianceFromTarget< Real >::positiveFunction_.
Referenced by ROL::MeanVarianceFromTarget< Real >::MeanVarianceFromTarget().
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Update internal risk measure storage for value computation.
[in] | val | is the value of the random variable objective function at the current sample point |
[in] | weight | is the weight associated with the current sample point |
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 197 of file ROL_MeanVarianceFromTarget.hpp.
References ROL::MeanVarianceFromTarget< Real >::coeff_, ROL::MeanVarianceFromTarget< Real >::NumMoments_, ROL::MeanVarianceFromTarget< Real >::order_, ROL::MeanVarianceFromTarget< Real >::positiveFunction_, and ROL::MeanVarianceFromTarget< Real >::target_.
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Update internal risk measure storage for gradient computation.
[in] | val | is the value of the random variable objective function at the current sample point |
[in] | g | is the gradient of the random variable objective function at the current sample point |
[in] | weight | is the weight associated with the current sample point |
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 207 of file ROL_MeanVarianceFromTarget.hpp.
References ROL::MeanVarianceFromTarget< Real >::coeff_, ROL::MeanVarianceFromTarget< Real >::NumMoments_, ROL::MeanVarianceFromTarget< Real >::order_, ROL::MeanVarianceFromTarget< Real >::positiveFunction_, and ROL::MeanVarianceFromTarget< Real >::target_.
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Update internal risk measure storage for Hessian-time-a-vector computation.
[in] | val | is the value of the random variable objective function at the current sample point |
[in] | g | is the gradient of the random variable objective function at the current sample point |
[in] | gv | is the gradient of the random variable objective function at the current sample point applied to the vector v0 |
[in] | hv | is the Hessian of the random variable objective function at the current sample point applied to the vector v0 |
[in] | weight | is the weight associated with the current sample point |
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 218 of file ROL_MeanVarianceFromTarget.hpp.
References ROL::MeanVarianceFromTarget< Real >::coeff_, ROL::MeanVarianceFromTarget< Real >::NumMoments_, ROL::MeanVarianceFromTarget< Real >::order_, ROL::MeanVarianceFromTarget< Real >::positiveFunction_, and ROL::MeanVarianceFromTarget< Real >::target_.
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Definition at line 82 of file ROL_MeanVarianceFromTarget.hpp.
Referenced by ROL::MeanVarianceFromTarget< Real >::checkInputs(), ROL::MeanVarianceFromTarget< Real >::MeanVarianceFromTarget(), and ROL::MeanVarianceFromTarget< Real >::update().
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Definition at line 84 of file ROL_MeanVarianceFromTarget.hpp.
Referenced by ROL::MeanVarianceFromTarget< Real >::MeanVarianceFromTarget(), and ROL::MeanVarianceFromTarget< Real >::update().
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Definition at line 85 of file ROL_MeanVarianceFromTarget.hpp.
Referenced by ROL::MeanVarianceFromTarget< Real >::checkInputs(), ROL::MeanVarianceFromTarget< Real >::MeanVarianceFromTarget(), and ROL::MeanVarianceFromTarget< Real >::update().
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Definition at line 86 of file ROL_MeanVarianceFromTarget.hpp.
Referenced by ROL::MeanVarianceFromTarget< Real >::checkInputs(), ROL::MeanVarianceFromTarget< Real >::MeanVarianceFromTarget(), and ROL::MeanVarianceFromTarget< Real >::update().
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Definition at line 87 of file ROL_MeanVarianceFromTarget.hpp.
Referenced by ROL::MeanVarianceFromTarget< Real >::MeanVarianceFromTarget(), and ROL::MeanVarianceFromTarget< Real >::update().