ROL
ROL_RiskMeasureFactory.hpp
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43
44#ifndef ROL_RISKMEASUREFACTORY_HPP
45#define ROL_RISKMEASUREFACTORY_HPP
46
47#include "ROL_ParameterList.hpp"
48
49#include "ROL_Types.hpp"
50
51// Standard Risk Measure Implementations
52#include "ROL_CVaR.hpp"
53#include "ROL_MixedCVaR.hpp"
56#include "ROL_SpectralRisk.hpp"
58#include "ROL_HMCR.hpp"
59#include "ROL_EntropicRisk.hpp"
62#include "ROL_MeanDeviation.hpp"
64#include "ROL_MeanVariance.hpp"
67
68// Risk Quadrangle Risk Measure Implementations
77
78// F-Divergence Distributionally Robust Risk Measure Implementations
80#include "ROL_KLDivergence.hpp"
81
82namespace ROL {
83
111
112 inline std::string ERiskMeasureToString(ERiskMeasure ed) {
113 std::string retString;
114 switch(ed) {
115 case RISKMEASURE_CVAR:
116 retString = "CVaR"; break;
118 retString = "Moreau-Yosida CVaR"; break;
120 retString = "Generalized Moreau-Yosida CVaR"; break;
122 retString = "Mixed CVaR"; break;
124 retString = "Spectral Risk"; break;
126 retString = "Second Order CVaR"; break;
128 retString = "Chebyshev Spectral Risk"; break;
130 retString = "Quantile Radius"; break;
131 case RISKMEASURE_HMCR:
132 retString = "HMCR"; break;
134 retString = "Entropic Risk"; break;
136 retString = "Coherent Entropic Risk"; break;
138 retString = "Mean Plus Semi-Deviation"; break;
140 retString = "Mean Plus Semi-Deviation From Target"; break;
142 retString = "Mean Plus Deviation From Target"; break;
144 retString = "Mean Plus Deviation"; break;
146 retString = "Mean Plus Variance From Target"; break;
148 retString = "Mean Plus Variance"; break;
150 retString = "Truncated Mean"; break;
152 retString = "Log Quantile"; break;
154 retString = "Smoothed Worst Case"; break;
156 retString = "Log Exponential"; break;
158 retString = "Safety Margin"; break;
160 retString = "Chi-Squared Divergence"; break;
162 retString = "KL Divergence"; break;
163 case RISKMEASURE_LAST:
164 retString = "Last Type (Dummy)"; break;
165 default:
166 retString = "INVALID ERiskMeasure"; break;
167 }
168 return retString;
169 }
170
197
199 return type = static_cast<ERiskMeasure>(type+1);
200 }
201
203 ERiskMeasure oldval = type;
204 ++type;
205 return oldval;
206 }
207
209 return type = static_cast<ERiskMeasure>(type-1);
210 }
211
213 ERiskMeasure oldval = type;
214 --type;
215 return oldval;
216 }
217
218 inline ERiskMeasure StringToERiskMeasure(std::string s) {
219 s = removeStringFormat(s);
220 for ( ERiskMeasure tr = RISKMEASURE_CVAR; tr < RISKMEASURE_LAST; tr++ ) {
221 if ( !s.compare(removeStringFormat(ERiskMeasureToString(tr))) ) {
222 return tr;
223 }
224 }
225 return RISKMEASURE_LAST;
226 }
227
228 template<class Real>
229 inline Ptr<RandVarFunctional<Real>> RiskMeasureFactory(ParameterList &parlist) {
230 std::string risk = parlist.sublist("SOL").sublist("Risk Measure").get("Name","CVaR");
232 switch(ed) {
233 case RISKMEASURE_CVAR:
234 return makePtr<CVaR<Real>>(parlist);
236 return makePtr<ExpectationQuadRisk<Real>>(makePtr<MoreauYosidaCVaR<Real>>(parlist));
238 return makePtr<ExpectationQuadRisk<Real>>(makePtr<GenMoreauYosidaCVaR<Real>>(parlist));
240 return makePtr<MixedCVaR<Real>>(parlist);
242 return makePtr<SpectralRisk<Real>>(parlist);
244 return makePtr<SecondOrderCVaR<Real>>(parlist);
246 return makePtr<ChebyshevSpectral<Real>>(parlist);
248 return makePtr<QuantileRadius<Real>>(parlist);
249 case RISKMEASURE_HMCR:
250 return makePtr<HMCR<Real>>(parlist);
252 return makePtr<EntropicRisk<Real>>(parlist);
254 return makePtr<CoherentEntropicRisk<Real>>();
256 return makePtr<MeanSemiDeviation<Real>>(parlist);
258 return makePtr<MeanSemiDeviationFromTarget<Real>>(parlist);
260 return makePtr<MeanDeviationFromTarget<Real>>(parlist);
262 return makePtr<MeanDeviation<Real>>(parlist);
264 return makePtr<MeanVarianceFromTarget<Real>>(parlist);
266 return makePtr<MeanVariance<Real>>(parlist);
268 return makePtr<ExpectationQuadRisk<Real>>(makePtr<TruncatedMeanQuadrangle<Real>>(parlist));
270 return makePtr<ExpectationQuadRisk<Real>>(makePtr<LogQuantileQuadrangle<Real>>(parlist));
272 return makePtr<ExpectationQuadRisk<Real>>(makePtr<SmoothedWorstCaseQuadrangle<Real>>(parlist));
274 return makePtr<ExpectationQuadRisk<Real>>(makePtr<LogExponentialQuadrangle<Real>>(parlist));
276 return makePtr<ExpectationQuadRisk<Real>>(makePtr<MeanVarianceQuadrangle<Real>>(parlist));
278 return makePtr<Chi2Divergence<Real>>(parlist);
280 return makePtr<KLDivergence<Real>>(parlist);
281 default:
282 ROL_TEST_FOR_EXCEPTION(true,std::invalid_argument,
283 "Invalid risk measure type " << risk << "!");
284 }
285 }
286}
287#endif
Contains definitions of custom data types in ROL.
int isValidRiskMeasure(ERiskMeasure ed)
std::string ERiskMeasureToString(ERiskMeasure ed)
Ptr< RandVarFunctional< Real > > RiskMeasureFactory(ParameterList &parlist)
std::string removeStringFormat(std::string s)
ERiskMeasure StringToERiskMeasure(std::string s)
EPolyProjAlgo & operator--(EPolyProjAlgo &type)
EPolyProjAlgo & operator++(EPolyProjAlgo &type)
@ RISKMEASURE_MEANDEVIATIONFROMTARGET
@ RISKMEASURE_MEANSEMIDEVIATION
@ RISKMEASURE_MEANVARIANCEFROMTARGET
@ RISKMEASURE_GENMOREAUYOSIDACVAR
@ RISKMEASURE_CHEBYSHEVSPECTRAL
@ RISKMEASURE_MEANSEMIDEVIATIONFROMTARGET
@ RISKMEASURE_COHERENTENTROPICRISK