ROL
ROL_StochasticProblem.hpp
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43
44#ifndef ROL_STOCHASTICPROBLEM_HPP
45#define ROL_STOCHASTICPROBLEM_HPP
46
47#include "ROL_Problem.hpp"
48
52
58
59#include "ROL_RiskVector.hpp"
63
64namespace ROL {
65
66template<typename Real>
67class StochasticProblem : public Problem<Real> {
68private:
69 Ptr<Objective<Real>> ORIGINAL_obj_;
70 Ptr<Vector<Real>> ORIGINAL_xprim_;
71 Ptr<Vector<Real>> ORIGINAL_xdual_;
72 Ptr<BoundConstraint<Real>> ORIGINAL_bnd_;
73 std::unordered_map<std::string,ConstraintData<Real>> ORIGINAL_con_;
74 std::unordered_map<std::string,ConstraintData<Real>> ORIGINAL_linear_con_;
75
77 std::vector<bool> needRiskLessCon_;
78 Ptr<ParameterList> objList_;
79 std::unordered_map<std::string,std::pair<Ptr<ParameterList>,bool>> conList_;
80 std::unordered_map<std::string,size_t> statMap_;
81
82 using Problem<Real>::INPUT_obj_;
83 using Problem<Real>::INPUT_xprim_;
84 using Problem<Real>::INPUT_xdual_;
85 using Problem<Real>::INPUT_bnd_;
86 using Problem<Real>::INPUT_con_;
88 using Problem<Real>::isFinalized;
89
90public:
97 StochasticProblem(const Ptr<Objective<Real>> &obj,
98 const Ptr<Vector<Real>> &x,
99 const Ptr<Vector<Real>> &g = nullPtr);
100
101 StochasticProblem(const Problem<Real> &problem) : Problem<Real>(problem) {}
102
103 /***************************************************************************/
104 /*** Set and remove methods for constraints ********************************/
105 /***************************************************************************/
106
107 void makeObjectiveStochastic(ParameterList &list,
108 const Ptr<SampleGenerator<Real>> &fsampler,
109 const Ptr<SampleGenerator<Real>> &gsampler = nullPtr,
110 const Ptr<SampleGenerator<Real>> &hsampler = nullPtr);
112 ParameterList &list,
113 const Ptr<SampleGenerator<Real>> &fsampler,
114 const Ptr<SampleGenerator<Real>> &gsampler = nullPtr,
115 const Ptr<SampleGenerator<Real>> &hsampler = nullPtr);
116 void makeConstraintStochastic(std::string name,
117 ParameterList &list,
118 const Ptr<SampleGenerator<Real>> &sampler,
119 const Ptr<BatchManager<Real>> &bman = nullPtr);
120 void makeLinearConstraintStochastic(std::string name,
121 ParameterList &list,
122 const Ptr<SampleGenerator<Real>> &sampler,
123 const Ptr<BatchManager<Real>> &bman = nullPtr);
124 void resetStochasticObjective(void);
125 void resetStochasticConstraint(std::string name);
126 void resetStochasticLinearConstraint(std::string name);
127 void resetStochastic(void);
128
129 std::vector<Real> getObjectiveStatistic(void) const;
130 std::vector<Real> getConstraintStatistic(std::string name) const;
131 Real getSolutionStatistic(int comp = 0, std::string name = "") const;
132
133 /***************************************************************************/
134 /*** Finalize and edit methods *********************************************/
135 /***************************************************************************/
136
137 void finalize(bool lumpConstraints = false, bool printToStream = false,
138 std::ostream &outStream = std::cout) override;
139
140 void edit(void) override;
141
142}; // class StochasticProblem
143
144} // namespace ROL
145
147
148#endif // ROL_STOCHASTICPROBLEM_HPP
Provides the interface to evaluate objective functions.
Ptr< BoundConstraint< Real > > INPUT_bnd_
Ptr< Objective< Real > > INPUT_obj_
bool isFinalized() const
Indicate whether or no finalize has been called.
std::unordered_map< std::string, ConstraintData< Real > > INPUT_linear_con_
Ptr< Vector< Real > > INPUT_xdual_
std::unordered_map< std::string, ConstraintData< Real > > INPUT_con_
Ptr< Vector< Real > > INPUT_xprim_
Provides the interface to implement any functional that maps a random variable to a (extended) real n...
std::vector< Real > getConstraintStatistic(std::string name) const
void makeConstraintStochastic(std::string name, ParameterList &list, const Ptr< SampleGenerator< Real > > &sampler, const Ptr< BatchManager< Real > > &bman=nullPtr)
std::unordered_map< std::string, ConstraintData< Real > > ORIGINAL_con_
void edit(void) override
Resume editting optimization problem after finalize has been called.
void resetStochasticLinearConstraint(std::string name)
Ptr< Vector< Real > > ORIGINAL_xdual_
std::unordered_map< std::string, std::pair< Ptr< ParameterList >, bool > > conList_
void resetStochasticConstraint(std::string name)
Ptr< ParameterList > objList_
std::unordered_map< std::string, size_t > statMap_
void makeLinearConstraintStochastic(std::string name, ParameterList &list, const Ptr< SampleGenerator< Real > > &sampler, const Ptr< BatchManager< Real > > &bman=nullPtr)
Ptr< Objective< Real > > ORIGINAL_obj_
Ptr< Vector< Real > > ORIGINAL_xprim_
std::vector< Real > getObjectiveStatistic(void) const
void finalize(bool lumpConstraints=false, bool printToStream=false, std::ostream &outStream=std::cout) override
Tranform user-supplied constraints to consist of only bounds and equalities. Optimization problem can...
StochasticProblem(const Problem< Real > &problem)
Real getSolutionStatistic(int comp=0, std::string name="") const
Ptr< BoundConstraint< Real > > ORIGINAL_bnd_
std::vector< bool > needRiskLessCon_
void makeObjectiveStochastic(ParameterList &list, const Ptr< SampleGenerator< Real > > &fsampler, const Ptr< SampleGenerator< Real > > &gsampler=nullPtr, const Ptr< SampleGenerator< Real > > &hsampler=nullPtr)
std::unordered_map< std::string, ConstraintData< Real > > ORIGINAL_linear_con_
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:84