ROL
ROL_PD_CVaR.hpp
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43
44#ifndef ROL_PD_CVAR_HPP
45#define ROL_PD_CVAR_HPP
46
48#include "ROL_Types.hpp"
49
50namespace ROL {
51
52template<class Real>
53class PD_CVaR : public PD_RandVarFunctional<Real> {
54private:
55 Real alpha_;
56 Real beta_;
57
58 Ptr<ScalarController<Real>> values_;
59 Ptr<ScalarController<Real>> gradvecs_;
60 Ptr<VectorController<Real>> gradients_;
61 Ptr<VectorController<Real>> hessvecs_;
62
63 using RandVarFunctional<Real>::val_;
64 using RandVarFunctional<Real>::g_;
65 using RandVarFunctional<Real>::gv_;
66 using RandVarFunctional<Real>::hv_;
68
69 using RandVarFunctional<Real>::point_;
71
76
80 using PD_RandVarFunctional<Real>::ppf;
81
82 void initializeStorage(void) {
83 values_ = makePtr<ScalarController<Real>>();
84 gradvecs_ = makePtr<ScalarController<Real>>();
85 gradients_ = makePtr<VectorController<Real>>();
86 hessvecs_ = makePtr<VectorController<Real>>();
87
90 }
91
92 void clear(void) {
93 gradvecs_->reset();
94 hessvecs_->reset();
95 }
96
97 void checkInputs(void) {
98 Real zero(0), one(1);
99 ROL_TEST_FOR_EXCEPTION((alpha_ <= zero) || (alpha_ > one), std::invalid_argument,
100 ">>> ERROR (ROL::PD_CVaR): Convex combination parameter alpha is out of range!");
101 ROL_TEST_FOR_EXCEPTION((beta_ < zero) || (beta_ >= one), std::invalid_argument,
102 ">>> ERROR (ROL::PD_CVaR): Confidence parameter beta is out of range!");
104 }
105
106public:
107 PD_CVaR(const Real alpha, const Real beta)
108 : PD_RandVarFunctional<Real>(), alpha_(alpha), beta_(beta) {
109 checkInputs();
110 }
111
112 void setStorage(const Ptr<ScalarController<Real>> &value_storage,
113 const Ptr<VectorController<Real>> &gradient_storage) {
114 values_ = value_storage;
115 gradients_ = gradient_storage;
117 }
118
119 void setHessVecStorage(const Ptr<ScalarController<Real>> &gradvec_storage,
120 const Ptr<VectorController<Real>> &hessvec_storage) {
121 gradvecs_ = gradvec_storage;
122 hessvecs_ = hessvec_storage;
124 }
125
126 void initialize(const Vector<Real> &x) {
128 clear();
129 }
130
132 const Vector<Real> &x,
133 const std::vector<Real> &xstat,
134 Real &tol) {
135 const Real one(1);
136 Real lam(0);
137 getMultiplier(lam, point_);
138 Real val = computeValue(obj, x, tol);
139 Real arg = val - xstat[0];
140 Real pf = ppf(arg, lam, getPenaltyParameter(), 0);
141 val_ += weight_ * ((one-alpha_) * val + alpha_/(one-beta_) * pf);
142 setValue(arg, point_);
143 }
144
145 Real getValue(const Vector<Real> &x,
146 const std::vector<Real> &xstat,
147 SampleGenerator<Real> &sampler) {
148 Real ev(0);
149 sampler.sumAll(&val_, &ev, 1);
150 return ev + alpha_ * xstat[0];
151 }
152
154 const Vector<Real> &x,
155 const std::vector<Real> &xstat,
156 Real &tol) {
157 const Real zero(0), one(1);
158 Real lam(0);
159 getMultiplier(lam, point_);
160 Real val = computeValue(obj, x, tol);
161 Real arg = val - xstat[0];
162 Real pf = ppf(arg, lam, getPenaltyParameter(), 1);
163 val_ += weight_ * pf;
164 Real c = (one-alpha_) + alpha_/(one-beta_) * pf;
165 if ( std::abs(c) > zero ) {
166 computeGradient(*dualVector_, obj, x, tol);
167 g_->axpy(weight_ * c, *dualVector_);
168 }
169 }
170
172 std::vector<Real> &gstat,
173 const Vector<Real> &x,
174 const std::vector<Real> &xstat,
175 SampleGenerator<Real> &sampler) {
176 const Real one(1);
177 Real ev(0);
178 sampler.sumAll(&val_, &ev, 1);
179 ev *= -alpha_/(one-beta_);
180 ev += alpha_;
181 gstat[0] = ev;
182 sampler.sumAll(*g_, g);
183 }
184
186 const Vector<Real> &v,
187 const std::vector<Real> &vstat,
188 const Vector<Real> &x,
189 const std::vector<Real> &xstat,
190 Real &tol) {
191 const Real zero(0), one(1);
192 Real lam(0);
193 getMultiplier(lam, point_);
194 Real val = computeValue(obj, x, tol);
195 Real arg = val - xstat[0];
196 Real pf1 = ppf(arg, lam, getPenaltyParameter(), 1);
197 Real pf2 = ppf(arg, lam, getPenaltyParameter(), 2);
198 Real c(0);
199 if ( std::abs(pf2) > zero ) {
200 Real gv = computeGradVec(*dualVector_, obj, v, x, tol);
201 val_ += weight_ * pf2 * (vstat[0] - gv);
202 c = pf2 * alpha_/(one-beta_) * (gv - vstat[0]);
203 hv_->axpy(weight_ * c, *dualVector_);
204 }
205 c = (one-alpha_) + alpha_/(one-beta_) * pf1;
206 if ( std::abs(c) > zero ) {
207 computeHessVec(*dualVector_, obj, v, x, tol);
208 hv_->axpy(weight_ * c, *dualVector_);
209 }
210 }
211
213 std::vector<Real> &hvstat,
214 const Vector<Real> &v,
215 const std::vector<Real> &vstat,
216 const Vector<Real> &x,
217 const std::vector<Real> &xstat,
218 SampleGenerator<Real> &sampler) {
219 const Real one(1);
220 Real ev(0);
221 sampler.sumAll(&val_, &ev, 1);
222 ev *= alpha_/(one-beta_);
223 hvstat[0] = ev;
224 sampler.sumAll(*hv_, hv);
225 }
226};
227
228}
229
230#endif
Objective_SerialSimOpt(const Ptr< Obj > &obj, const V &ui) z0_ zero()
Contains definitions of custom data types in ROL.
Provides the interface to evaluate objective functions.
void clear(void)
Definition: ROL_PD_CVaR.hpp:92
void initializeStorage(void)
Definition: ROL_PD_CVaR.hpp:82
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 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.
Ptr< ScalarController< Real > > gradvecs_
Definition: ROL_PD_CVaR.hpp:59
Ptr< VectorController< Real > > gradients_
Definition: ROL_PD_CVaR.hpp:60
Ptr< ScalarController< Real > > values_
Definition: ROL_PD_CVaR.hpp:58
void updateValue(Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Update internal storage for value computation.
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 setHessVecStorage(const Ptr< ScalarController< Real > > &gradvec_storage, const Ptr< VectorController< Real > > &hessvec_storage)
Real getValue(const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
Return risk measure value.
PD_CVaR(const Real alpha, const Real beta)
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.
Ptr< VectorController< Real > > hessvecs_
Definition: ROL_PD_CVaR.hpp:61
void checkInputs(void)
Definition: ROL_PD_CVaR.hpp:97
void setStorage(const Ptr< ScalarController< Real > > &value_storage, const Ptr< VectorController< Real > > &gradient_storage)
void initialize(const Vector< Real > &x)
Initialize temporary variables.
void getMultiplier(Real &lam, const std::vector< Real > &pt) const
Real ppf(const Real x, const Real t, const Real r, const int deriv=0) const
virtual void setHessVecStorage(const Ptr< ScalarController< Real > > &gradvec_storage, const Ptr< VectorController< Real > > &hessvec_storage)
void setValue(const Real val, const std::vector< Real > &pt)
virtual void initialize(const Vector< Real > &x)
Initialize temporary variables.
virtual void setStorage(const Ptr< ScalarController< Real > > &value_storage, const Ptr< VectorController< Real > > &gradient_storage)
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)
Ptr< Vector< Real > > g_
void computeHessVec(Vector< Real > &hv, Objective< Real > &obj, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
virtual void setStorage(const Ptr< ScalarController< Real > > &value_storage, const Ptr< VectorController< Real > > &gradient_storage)
Ptr< Vector< Real > > hv_
void computeGradient(Vector< Real > &g, Objective< Real > &obj, const Vector< Real > &x, Real &tol)
Ptr< Vector< Real > > dualVector_
virtual void setHessVecStorage(const Ptr< ScalarController< Real > > &gradvec_storage, const Ptr< VectorController< Real > > &hessvec_storage)
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.
Definition: ROL_Vector.hpp:84