44#ifndef ROL_EXPECTATIONQUADREGRET_HPP
45#define ROL_EXPECTATIONQUADREGRET_HPP
91 Ptr<ExpectationQuad<Real>>
eq_;
119 const std::vector<Real> &xstat,
127 const std::vector<Real> &xstat,
130 Real r =
eq_->regret(val,1);
131 if (std::abs(r) >= ROL_EPSILON<Real>()) {
139 const std::vector<Real> &vstat,
141 const std::vector<Real> &xstat,
144 Real r1 =
eq_->regret(val,1);
145 Real r2 =
eq_->regret(val,2);
146 if (std::abs(r2) >= ROL_EPSILON<Real>()) {
150 if (std::abs(r1) >= ROL_EPSILON<Real>()) {
157 const std::vector<Real> &xstat,
165 std::vector<Real> &gstat,
167 const std::vector<Real> &xstat,
173 std::vector<Real> &hvstat,
175 const std::vector<Real> &vstat,
177 const std::vector<Real> &xstat,
Contains definitions of custom data types in ROL.
Provides a general interface for regret measures generated through the expectation risk quadrangle.
Ptr< ExpectationQuad< Real > > eq_
void updateGradient(Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Update internal risk measure storage for gradient computation.
void getHessVec(Vector< Real > &hv, std::vector< Real > &hvstat, const Vector< Real > &v, const std::vector< Real > &vstat, const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
Return risk measure Hessian-times-a-vector.
void checkRegret(void)
Run derivative tests for the scalar regret function.
void updateValue(Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Update internal storage for value computation.
void updateHessVec(Objective< Real > &obj, const Vector< Real > &v, const std::vector< Real > &vstat, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Update internal risk measure storage for Hessian-time-a-vector computation.
void getGradient(Vector< Real > &g, std::vector< Real > &gstat, const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
Return risk measure (sub)gradient.
Real getValue(const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
Return risk measure value.
ExpectationQuadRegret(const Ptr< ExpectationQuad< Real > > &eq)
Provides a general interface for risk and error measures generated through the expectation risk quadr...
Provides the interface to evaluate objective functions.
Provides the interface to implement any functional that maps a random variable to a (extended) real n...
Real computeValue(Objective< Real > &obj, const Vector< Real > &x, Real &tol)
void computeHessVec(Vector< Real > &hv, Objective< Real > &obj, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Ptr< Vector< Real > > hv_
void computeGradient(Vector< Real > &g, Objective< Real > &obj, const Vector< Real > &x, Real &tol)
std::vector< Real > point_
Ptr< Vector< Real > > dualVector_
Real computeGradVec(Vector< Real > &g, Objective< Real > &obj, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
void sumAll(Real *input, Real *output, int dim) const
Defines the linear algebra or vector space interface.