ROL
ROL_RiskMeasure.hpp
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43 
44 #ifndef ROL_RISKMEASURE_HPP
45 #define ROL_RISKMEASURE_HPP
46 
47 #include "ROL_RiskVector.hpp"
48 
93 namespace ROL {
94 
95 template<class Real>
96 class RiskMeasure {
97 protected:
98  Real val_;
99  Real gv_;
100  Teuchos::RCP<Vector<Real> > g_;
101  Teuchos::RCP<Vector<Real> > hv_;
102  Teuchos::RCP<Vector<Real> > dualVector_;
104 
105 public:
106  virtual ~RiskMeasure() {}
107 
108  RiskMeasure(void) : val_(0), gv_(0), firstReset_(true) {}
109 
119  virtual void reset(Teuchos::RCP<Vector<Real> > &x0, const Vector<Real> &x) {
120  x0 = Teuchos::rcp_const_cast<Vector<Real> >(
121  Teuchos::dyn_cast<const RiskVector<Real> >(x).getVector());
122  // Create memory for class members
123  if ( firstReset_ ) {
124  g_ = (x0->dual()).clone();
125  hv_ = (x0->dual()).clone();
126  dualVector_ = (x0->dual()).clone();
127  firstReset_ = false;
128  }
129  // Zero member variables
130  const Real zero(0);
131  val_ = zero; gv_ = zero;
132  g_->zero(); hv_->zero(); dualVector_->zero();
133  }
134 
148  virtual void reset(Teuchos::RCP<Vector<Real> > &x0, const Vector<Real> &x,
149  Teuchos::RCP<Vector<Real> > &v0, const Vector<Real> &v) {
150  reset(x0,x);
151  // Get vector component of v. This is important for CVaR.
152  v0 = Teuchos::rcp_const_cast<Vector<Real> >(
153  Teuchos::dyn_cast<const RiskVector<Real> >(v).getVector());
154  }
155 
163  virtual void update(const Real val, const Real weight) {
164  val_ += weight * val;
165  }
166 
176  virtual void update(const Real val, const Vector<Real> &g, const Real weight) {
177  g_->axpy(weight,g);
178  }
179 
195  virtual void update(const Real val, const Vector<Real> &g, const Real gv, const Vector<Real> &hv,
196  const Real weight) {
197  hv_->axpy(weight,hv);
198  }
199 
208  virtual Real getValue(SampleGenerator<Real> &sampler) {
209  Real val(0);
210  sampler.sumAll(&val_,&val,1);
211  return val;
212  }
213 
225  virtual void getGradient(Vector<Real> &g, SampleGenerator<Real> &sampler) {
226  sampler.sumAll(*g_,*dualVector_);
227  (Teuchos::dyn_cast<RiskVector<Real> >(g)).setVector(*dualVector_);
228  }
229 
241  virtual void getHessVec(Vector<Real> &hv, SampleGenerator<Real> &sampler) {
242  sampler.sumAll(*hv_,*dualVector_);
243  (Teuchos::dyn_cast<RiskVector<Real> >(hv)).setVector(*dualVector_);
244  }
245 };
246 
247 }
248 
249 #endif
virtual void getHessVec(Vector< Real > &hv, SampleGenerator< Real > &sampler)
Return risk measure Hessian-times-a-vector.
virtual Real getValue(SampleGenerator< Real > &sampler)
Return risk measure value.
void sumAll(Real *input, Real *output, int dim) const
virtual void getGradient(Vector< Real > &g, SampleGenerator< Real > &sampler)
Return risk measure (sub)gradient.
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:74
Teuchos::RCP< Vector< Real > > dualVector_
virtual 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.
Teuchos::RCP< Vector< Real > > hv_
virtual void update(const Real val, const Real weight)
Update internal risk measure storage for value computation.
virtual void update(const Real val, const Vector< Real > &g, const Real weight)
Update internal risk measure storage for gradient computation.
virtual void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x)
Reset internal risk measure storage. Called for value and gradient computation.
Provides the interface to implement risk measures.
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.
Teuchos::RCP< Vector< Real > > g_