ROL
ROL_SimulatedObjective.hpp
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43
44#ifndef ROL_SIMULATED_OBJECTIVE_H
45#define ROL_SIMULATED_OBJECTIVE_H
46
49
50namespace ROL {
51
52template <class Real>
53class SimulatedObjective : public Objective<Real> {
54private:
55 const ROL::Ptr<SampleGenerator<Real> > sampler_;
56 const ROL::Ptr<Objective_SimOpt<Real> > pobj_;
57
58public:
59
61
62 SimulatedObjective(const ROL::Ptr<SampleGenerator<Real> > & sampler,
63 const ROL::Ptr<Objective_SimOpt<Real> > & pobj)
64 : sampler_(sampler), pobj_(pobj) {}
65
66 void update( const Vector<Real> &x, bool flag = true, int iter = -1 ) {
67 pobj_->update(x,flag,iter);
68 }
69 void update( const Vector<Real> &x, UpdateType type, int iter = -1 ) {
70 pobj_->update(x,type,iter);
71 }
72
73
74 Real value(const Vector<Real> &x,
75 Real &tol) {
76 const Vector_SimOpt<Real> &uz = dynamic_cast<const Vector_SimOpt<Real>&>(x);
77 ROL::Ptr<const Vector<Real> > uptr = uz.get_1();
78 ROL::Ptr<const Vector<Real> > zptr = uz.get_2();
79 const SimulatedVector<Real> &pu = dynamic_cast<const SimulatedVector<Real>&>(*uptr);
80
81 std::vector<Real> param;
82 Real weight(0);
83 Real val = 0;
84 Real tmpval = 0;
85 Real tmpsum = 0;
86 for (typename std::vector<SimulatedVector<Real> >::size_type i=0; i<pu.numVectors(); ++i) {
87 param = sampler_->getMyPoint(static_cast<int>(i));
88 weight = sampler_->getMyWeight(static_cast<int>(i));
89 pobj_->setParameter(param);
90 pobj_->update(*(pu.get(i)), *zptr);
91 tmpval = pobj_->value(*(pu.get(i)), *zptr, tol);
92 tmpsum += tmpval*weight;
93 }
94 sampler_->sumAll(&tmpsum, &val, 1);
95 return val;
96 }
97
98 virtual void gradient(Vector<Real> &g,
99 const Vector<Real> &x,
100 Real &tol) {
101 g.zero();
102 // split x
103 const Vector_SimOpt<Real> &xuz = dynamic_cast<const Vector_SimOpt<Real>&>(x);
104 ROL::Ptr<const Vector<Real> > xuptr = xuz.get_1();
105 ROL::Ptr<const Vector<Real> > xzptr = xuz.get_2();
106 const SimulatedVector<Real> &pxu = dynamic_cast<const SimulatedVector<Real>&>(*xuptr);
107 // split g
108 Vector_SimOpt<Real> &guz = dynamic_cast<Vector_SimOpt<Real>&>(g);
109 ROL::Ptr<Vector<Real> > guptr = guz.get_1();
110 ROL::Ptr<Vector<Real> > gzptr = guz.get_2();
111 SimulatedVector<Real> &pgu = dynamic_cast<SimulatedVector<Real>&>(*guptr);
112
113 std::vector<Real> param;
114 Real weight(0);
115 ROL::Ptr<Vector<Real> > tmp1 = gzptr->clone();
116 ROL::Ptr<Vector<Real> > tmp2 = gzptr->clone();
117 for (typename std::vector<SimulatedVector<Real> >::size_type i=0; i<pgu.numVectors(); ++i) {
118 param = sampler_->getMyPoint(static_cast<int>(i));
119 weight = sampler_->getMyWeight(static_cast<int>(i));
120 pobj_->setParameter(param);
121 Vector_SimOpt<Real> xi(ROL::constPtrCast<Vector<Real> >(pxu.get(i)), ROL::constPtrCast<Vector<Real> >(xzptr));
122 Vector_SimOpt<Real> gi(pgu.get(i), tmp1);
123 pobj_->update(xi);
124 pobj_->gradient(gi, xi, tol);
125 gi.scale(weight);
126 tmp2->plus(*tmp1);
127 }
128 sampler_->sumAll(*tmp2, *gzptr);
129
130 }
131
132
133 virtual void hessVec(Vector<Real> &hv,
134 const Vector<Real> &v,
135 const Vector<Real> &x,
136 Real &tol) {
137 hv.zero();
138 // split x
139 const Vector_SimOpt<Real> &xuz = dynamic_cast<const Vector_SimOpt<Real>&>(x);
140 ROL::Ptr<const Vector<Real> > xuptr = xuz.get_1();
141 ROL::Ptr<const Vector<Real> > xzptr = xuz.get_2();
142 const SimulatedVector<Real> &pxu = dynamic_cast<const SimulatedVector<Real>&>(*xuptr);
143 // split v
144 const Vector_SimOpt<Real> &vuz = dynamic_cast<const Vector_SimOpt<Real>&>(v);
145 ROL::Ptr<const Vector<Real> > vuptr = vuz.get_1();
146 ROL::Ptr<const Vector<Real> > vzptr = vuz.get_2();
147 const SimulatedVector<Real> &pvu = dynamic_cast<const SimulatedVector<Real>&>(*vuptr);
148 // split hv
149 Vector_SimOpt<Real> &hvuz = dynamic_cast<Vector_SimOpt<Real>&>(hv);
150 ROL::Ptr<Vector<Real> > hvuptr = hvuz.get_1();
151 ROL::Ptr<Vector<Real> > hvzptr = hvuz.get_2();
152 SimulatedVector<Real> &phvu = dynamic_cast<SimulatedVector<Real>&>(*hvuptr);
153
154 std::vector<Real> param;
155 Real weight(0);
156 ROL::Ptr<Vector<Real> > tmp1 = hvzptr->clone();
157 ROL::Ptr<Vector<Real> > tmp2 = hvzptr->clone();
158 for (typename std::vector<SimulatedVector<Real> >::size_type i=0; i<phvu.numVectors(); ++i) {
159 param = sampler_->getMyPoint(static_cast<int>(i));
160 weight = sampler_->getMyWeight(static_cast<int>(i));
161 pobj_->setParameter(param);
162 Vector_SimOpt<Real> xi(ROL::constPtrCast<Vector<Real> >(pxu.get(i)), ROL::constPtrCast<Vector<Real> >(xzptr));
163 Vector_SimOpt<Real> vi(ROL::constPtrCast<Vector<Real> >(pvu.get(i)), ROL::constPtrCast<Vector<Real> >(vzptr));
164 Vector_SimOpt<Real> hvi(phvu.get(i), tmp1);
165 pobj_->update(xi);
166 pobj_->hessVec(hvi, vi, xi, tol);
167 hvi.scale(weight);
168 tmp2->plus(*tmp1);
169 }
170 sampler_->sumAll(*tmp2, *hvzptr);
171 }
172
173}; // class SimulatedObjective
174
175} // namespace ROL
176
177#endif
typename PV< Real >::size_type size_type
Provides the interface to evaluate simulation-based objective functions.
Provides the interface to evaluate objective functions.
SimulatedObjective(const ROL::Ptr< SampleGenerator< Real > > &sampler, const ROL::Ptr< Objective_SimOpt< Real > > &pobj)
void update(const Vector< Real > &x, UpdateType type, int iter=-1)
Update objective function.
const ROL::Ptr< SampleGenerator< Real > > sampler_
const ROL::Ptr< Objective_SimOpt< Real > > pobj_
void update(const Vector< Real > &x, bool flag=true, int iter=-1)
Update objective function.
virtual void hessVec(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Apply Hessian approximation to vector.
Real value(const Vector< Real > &x, Real &tol)
Compute value.
virtual void gradient(Vector< Real > &g, const Vector< Real > &x, Real &tol)
Compute gradient.
Defines the linear algebra of a vector space on a generic partitioned vector where the individual vec...
ROL::Ptr< const Vector< Real > > get(size_type i) const
size_type numVectors() const
Defines the linear algebra or vector space interface for simulation-based optimization.
ROL::Ptr< const Vector< Real > > get_2() const
ROL::Ptr< const Vector< Real > > get_1() const
void scale(const Real alpha)
Compute where .
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:84
virtual void zero()
Set to zero vector.
Definition: ROL_Vector.hpp:167