ROL
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Provides an interface for the conditioanl entropic risk using the expectation risk quadrangle. More...
#include <ROL_LogQuantileQuadrangle.hpp>
Public Member Functions | |
LogQuantileQuadrangle (Real alpha, Real rate, Real eps, Teuchos::RCP< PlusFunction< Real > > &pf) | |
Constructor. More... | |
LogQuantileQuadrangle (Teuchos::ParameterList &parlist) | |
Constructor. More... | |
Real | error (Real x, int deriv=0) |
Real | regret (Real x, int deriv=0) |
Evaluate the scalar regret function at x. More... | |
void | checkRegret (void) |
Run default derivative tests for the scalar regret function. More... | |
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ExpectationQuad (void) | |
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... | |
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... | |
Real | getValue (SampleGenerator< Real > &sampler) |
Return risk measure value. More... | |
void | getGradient (Vector< Real > &g, SampleGenerator< Real > &sampler) |
Return risk measure (sub)gradient. More... | |
void | getHessVec (Vector< Real > &hv, SampleGenerator< Real > &sampler) |
Return risk measure Hessian-times-a-vector. More... | |
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virtual | ~RiskMeasure () |
RiskMeasure (void) | |
Private Member Functions | |
void | checkInputs (void) const |
Private Attributes | |
Teuchos::RCP< PlusFunction< Real > > | pf_ |
Real | alpha_ |
Real | rate_ |
Real | eps_ |
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 conditioanl entropic risk using the expectation risk quadrangle.
This class defines the conditional entropic risk measure using the framework of the expectation risk quadrangle. In this case, the scalar regret function is
\[ v(x) = \lambda(\exp\left(\frac{x}{\lambda}\right)-1)_+ - \alpha (-x)_+ \]
for \(\lambda > 0\) and \(0 \le \alpha < 1\). The entropic risk measure is then implemented as
\[ \mathcal{R}(X) = \inf_{t\in\mathbb{R}}\left\{ t + \mathbb{E}[v(X-t)] \right\}. \]
The conditional entropic risk is convex, translation equivariant and monotonic. ROL implements this by augmenting the optimization vector \(x_0\) with the parameter \(t\), then minimizes jointly for \((x_0,t)\).
Definition at line 76 of file ROL_LogQuantileQuadrangle.hpp.
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Constructor.
[in] | alpha | is the scale parameter for the negative branch of the scalar regret |
[in] | rate | is the rate parameter for the positive branch of the scalar regret |
[in] | eps | is the smoothing parameter for the approximate plus function |
[in] | pf | is the plus function or an approximation |
Definition at line 105 of file ROL_LogQuantileQuadrangle.hpp.
References ROL::LogQuantileQuadrangle< Real >::checkInputs().
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Constructor.
[in] | parlist | is a parameter list specifying inputs |
parlist should contain sublists "SOL"->"Risk Measures"->"Log-Quantile Quadrangle" and withing the "Log-Quantile Quadrangle" sublist should have
Definition at line 122 of file ROL_LogQuantileQuadrangle.hpp.
References ROL::LogQuantileQuadrangle< Real >::alpha_, ROL::LogQuantileQuadrangle< Real >::checkInputs(), ROL::LogQuantileQuadrangle< Real >::eps_, ROL::LogQuantileQuadrangle< Real >::pf_, and ROL::LogQuantileQuadrangle< Real >::rate_.
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Definition at line 85 of file ROL_LogQuantileQuadrangle.hpp.
References ROL::LogQuantileQuadrangle< Real >::alpha_, ROL::LogQuantileQuadrangle< Real >::eps_, ROL::LogQuantileQuadrangle< Real >::pf_, and ROL::LogQuantileQuadrangle< Real >::rate_.
Referenced by ROL::LogQuantileQuadrangle< Real >::LogQuantileQuadrangle().
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Definition at line 135 of file ROL_LogQuantileQuadrangle.hpp.
References ROL::LogQuantileQuadrangle< Real >::regret().
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Evaluate the scalar regret function at x.
[in] | x | is the scalar input |
[in] | deriv | is the derivative order |
This function returns \(v(x)\) or a derivative of \(v(x)\).
Implements ROL::ExpectationQuad< Real >.
Definition at line 146 of file ROL_LogQuantileQuadrangle.hpp.
References ROL::LogQuantileQuadrangle< Real >::alpha_, ROL::LogQuantileQuadrangle< Real >::pf_, and ROL::LogQuantileQuadrangle< Real >::rate_.
Referenced by ROL::LogQuantileQuadrangle< Real >::checkRegret(), and ROL::LogQuantileQuadrangle< Real >::error().
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Run default derivative tests for the scalar regret function.
Reimplemented from ROL::ExpectationQuad< Real >.
Definition at line 162 of file ROL_LogQuantileQuadrangle.hpp.
References ROL::ExpectationQuad< Real >::checkRegret(), ROL::LogQuantileQuadrangle< Real >::eps_, and ROL::LogQuantileQuadrangle< Real >::regret().
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Definition at line 79 of file ROL_LogQuantileQuadrangle.hpp.
Referenced by ROL::LogQuantileQuadrangle< Real >::checkInputs(), ROL::LogQuantileQuadrangle< Real >::LogQuantileQuadrangle(), and ROL::LogQuantileQuadrangle< Real >::regret().
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Definition at line 81 of file ROL_LogQuantileQuadrangle.hpp.
Referenced by ROL::LogQuantileQuadrangle< Real >::checkInputs(), ROL::LogQuantileQuadrangle< Real >::LogQuantileQuadrangle(), and ROL::LogQuantileQuadrangle< Real >::regret().
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Definition at line 82 of file ROL_LogQuantileQuadrangle.hpp.
Referenced by ROL::LogQuantileQuadrangle< Real >::checkInputs(), ROL::LogQuantileQuadrangle< Real >::LogQuantileQuadrangle(), and ROL::LogQuantileQuadrangle< Real >::regret().
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Definition at line 83 of file ROL_LogQuantileQuadrangle.hpp.
Referenced by ROL::LogQuantileQuadrangle< Real >::checkInputs(), ROL::LogQuantileQuadrangle< Real >::checkRegret(), and ROL::LogQuantileQuadrangle< Real >::LogQuantileQuadrangle().