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
93namespace ROL {
94
95template<class Real>
97protected:
98 Real val_;
99 Real gv_;
100 ROL::Ptr<Vector<Real> > g_;
101 ROL::Ptr<Vector<Real> > hv_;
102 ROL::Ptr<Vector<Real> > dualVector_;
104
105 int comp_;
107
108public:
109 virtual ~RiskMeasure() {}
110
111 RiskMeasure(void) : val_(0), gv_(0), firstReset_(true),
112 comp_(0), index_(0) {}
113
114 void setRiskVectorInfo(const int comp, const int index) {
115 comp_ = comp;
116 index_ = index;
117 }
118
119 int getComponent(void) const {
120 return comp_;
121 }
122
123 int getIndex(void) const {
124 return index_;
125 }
126
136 virtual void reset(ROL::Ptr<Vector<Real> > &x0, const Vector<Real> &x) {
137 x0 = ROL::constPtrCast<Vector<Real> >(
138 dynamic_cast<const RiskVector<Real>&>(x).getVector());
139 // Create memory for class members
140 if ( firstReset_ ) {
141 g_ = (x0->dual()).clone();
142 hv_ = (x0->dual()).clone();
143 dualVector_ = (x0->dual()).clone();
144 firstReset_ = false;
145 }
146 // Zero member variables
147 const Real zero(0);
148 val_ = zero; gv_ = zero;
149 g_->zero(); hv_->zero(); dualVector_->zero();
150 }
151
165 virtual void reset(ROL::Ptr<Vector<Real> > &x0, const Vector<Real> &x,
166 ROL::Ptr<Vector<Real> > &v0, const Vector<Real> &v) {
167 reset(x0,x);
168 // Get vector component of v. This is important for CVaR.
169 v0 = ROL::constPtrCast<Vector<Real> >(
170 dynamic_cast<const RiskVector<Real>&>(v).getVector());
171 }
172
180 virtual void update(const Real val, const Real weight) {
181 val_ += weight * val;
182 }
183
193 virtual void update(const Real val, const Vector<Real> &g, const Real weight) {
194 g_->axpy(weight,g);
195 }
196
212 virtual void update(const Real val, const Vector<Real> &g, const Real gv, const Vector<Real> &hv,
213 const Real weight) {
214 hv_->axpy(weight,hv);
215 }
216
225 virtual Real getValue(SampleGenerator<Real> &sampler) {
226 Real val(0);
227 sampler.sumAll(&val_,&val,1);
228 return val;
229 }
230
242 virtual void getGradient(Vector<Real> &g, SampleGenerator<Real> &sampler) {
243 sampler.sumAll(*g_,*dualVector_);
244 (dynamic_cast<RiskVector<Real>&>(g)).setVector(*dualVector_);
245 }
246
258 virtual void getHessVec(Vector<Real> &hv, SampleGenerator<Real> &sampler) {
259 sampler.sumAll(*hv_,*dualVector_);
260 (dynamic_cast<RiskVector<Real>&>(hv)).setVector(*dualVector_);
261 }
262};
263
264}
265
266#endif
Objective_SerialSimOpt(const Ptr< Obj > &obj, const V &ui) z0 zero)()
Provides the interface to implement risk measures.
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.
ROL::Ptr< Vector< Real > > dualVector_
ROL::Ptr< Vector< Real > > g_
int getIndex(void) const
virtual void reset(ROL::Ptr< Vector< Real > > &x0, const Vector< Real > &x)
Reset internal risk measure storage. Called for value and gradient computation.
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 Real getValue(SampleGenerator< Real > &sampler)
Return risk measure value.
virtual void reset(ROL::Ptr< Vector< Real > > &x0, const Vector< Real > &x, ROL::Ptr< Vector< Real > > &v0, const Vector< Real > &v)
Reset internal risk measure storage. Called for Hessian-times-a-vector computation.
ROL::Ptr< Vector< Real > > hv_
void setRiskVectorInfo(const int comp, const int index)
virtual void getGradient(Vector< Real > &g, SampleGenerator< Real > &sampler)
Return risk measure (sub)gradient.
int getComponent(void) const
virtual void getHessVec(Vector< Real > &hv, SampleGenerator< Real > &sampler)
Return risk measure Hessian-times-a-vector.
void sumAll(Real *input, Real *output, int dim) const
Defines the linear algebra or vector space interface.