ROL
ROL_ChebyshevSpectral.hpp
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43
44#ifndef ROL_CHEBYSHEVKUSUOKA_HPP
45#define ROL_CHEBYSHEVKUSUOKA_HPP
46
47#include "ROL_SpectralRisk.hpp"
48#include "ROL_GaussChebyshev1Quadrature.hpp"
49#include "ROL_GaussChebyshev2Quadrature.hpp"
50#include "ROL_GaussChebyshev3Quadrature.hpp"
51
94namespace ROL {
95
96template<class Real>
97class ChebyshevSpectral : public SpectralRisk<Real> {
98private:
99 ROL::Ptr<PlusFunction<Real> > plusFunction_;
100
102 int nQuad_;
104
105 std::vector<Real> wts_;
106 std::vector<Real> pts_;
107
108 void checkInputs(void) const {
109 ROL_TEST_FOR_EXCEPTION(lower_ > upper_, std::invalid_argument,
110 ">>> ERROR (ROL::ChebyshevSpectral): Lower bound exceeds upper!");
111 ROL_TEST_FOR_EXCEPTION(lower_ < static_cast<Real>(0), std::invalid_argument,
112 ">>> ERROR (ROL::ChebyshevSpectral): Lower bound is less than zero!");
113 ROL_TEST_FOR_EXCEPTION(static_cast<Real>(1) < upper_, std::invalid_argument,
114 ">>> ERROR (ROL::ChebyshevSpectral): Upper bound is greater than one!");
115 ROL_TEST_FOR_EXCEPTION((wType_ < 1 || wType_ > 3), std::invalid_argument,
116 ">>> ERROR (ROL::ChebyshevSpectral): Weight must be 1, 2 or 3!");
117 ROL_TEST_FOR_EXCEPTION(plusFunction_ == ROL::nullPtr, std::invalid_argument,
118 ">>> ERROR (ROL::ChebyshevSpectral): PlusFunction pointer is null!");
119 }
120
121 void initializeQuad(void) {
122 ROL::Ptr<Quadrature1D<Real> > quad;
123 if ( wType_ == 1 ) {
124 quad = ROL::makePtr<GaussChebyshev1Quadrature<Real>>(nQuad_);
125 }
126 else if ( wType_ == 2 ) {
127 quad = ROL::makePtr<GaussChebyshev2Quadrature<Real>>(nQuad_);
128 }
129 else if ( wType_ == 3 ) {
130 quad = ROL::makePtr<GaussChebyshev3Quadrature<Real>>(nQuad_);
131 }
132 // quad->test();
133 quad->get(pts_,wts_);
134 Real sum(0), half(0.5), one(1);
135 for (int i = 0; i < nQuad_; ++i) {
136 sum += wts_[i];
137 }
138 for (int i = 0; i < nQuad_; ++i) {
139 wts_[i] /= sum;
140 pts_[i] = lower_ + (upper_-lower_)*half*(pts_[i] + one);
141 }
143 }
144
145public:
158 ChebyshevSpectral( ROL::ParameterList &parlist )
159 : SpectralRisk<Real>() {
160 ROL::ParameterList &list
161 = parlist.sublist("SOL").sublist("Risk Measure").sublist("Chebyshev Spectral Risk");
162 // Grab confidence level and quadrature order
163 lower_ = list.get("Lower Bound",0.0);
164 upper_ = list.get("Upper Bound",1.0);
165 nQuad_ = list.get("Number of Quadrature Points",5);
166 wType_ = list.get("Weight Type",1);
167 plusFunction_ = ROL::makePtr<PlusFunction<Real>>(list);
168 // Check inputs
169 checkInputs();
171 }
172
181 ChebyshevSpectral(const Real lower, const Real upper,
182 const int nQuad, const int wType,
183 const ROL::Ptr<PlusFunction<Real> > &pf)
184 : SpectralRisk<Real>(), plusFunction_(pf),
185 lower_(lower), upper_(upper), nQuad_(nQuad), wType_(wType) {
186 // Check inputs
187 checkInputs();
189 }
190};
191
192}
193
194#endif
Provides an interface for the Chebyshev-Spectral risk measure.
ROL::Ptr< PlusFunction< Real > > plusFunction_
ChebyshevSpectral(const Real lower, const Real upper, const int nQuad, const int wType, const ROL::Ptr< PlusFunction< Real > > &pf)
Constructor.
ChebyshevSpectral(ROL::ParameterList &parlist)
Constructor.
Provides an interface for spectral risk measures.
void buildMixedQuantile(const std::vector< Real > &pts, const std::vector< Real > &wts, const ROL::Ptr< PlusFunction< Real > > &pf)