ROL
ROL_PH_Objective.hpp
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44#ifndef PH_OBJECTIVE_H
45#define PH_OBJECTIVE_H
46
53
60namespace ROL {
61
62template <class Real>
63class PH_Objective : public Objective<Real> {
64private:
65 Ptr<Objective<Real>> obj_;
66 Ptr<const Vector<Real>> xbar_, w_;
67 Ptr<Vector<Real>> xprimal_;
69
70public:
71
73 const Ptr<Vector<Real>> &x,
74 const Real penaltyParam,
75 ParameterList &parlist)
76 : xbar_(nullPtr), w_(nullPtr), xprimal_(nullPtr),
77 penaltyParam_(penaltyParam) {
78 xprimal_ = x->clone();
79 std::string type = parlist.sublist("SOL").get("Type","Risk Neutral");
80 if (type == "Risk Averse") {
81 obj_ = makePtr<PH_RiskObjective<Real>>(obj,parlist);
82 }
83 else if (type == "Deviation") {
84 obj_ = makePtr<PH_DeviationObjective<Real>>(obj,parlist);
85 }
86 else if (type == "Regret") {
87 obj_ = makePtr<PH_RegretObjective<Real>>(obj,parlist);
88 }
89 else if (type == "Error") {
90 obj_ = makePtr<PH_ErrorObjective<Real>>(obj,parlist);
91 }
92 else if (type == "Probability") {
93 std::string prob = parlist.sublist("SOL").sublist("Probability").get("Name","bPOE");
94 if (prob == "Smoothed POE") {
95 obj_ = makePtr<PH_ProbObjective<Real>>(obj,parlist);
96 }
97 else if (prob == "bPOE") {
98 obj_ = makePtr<PH_bPOEObjective<Real>>(obj,parlist);
99 }
100 else {
101 ROL_TEST_FOR_EXCEPTION(true,std::invalid_argument,
102 "Invalid probability type " << prob << "!");
103 }
104 }
105 else if (type == "Risk Neutral") {
106 obj_ = obj;
107 }
108 else {
109 ROL_TEST_FOR_EXCEPTION(true,std::invalid_argument,
110 "Invalid stochastic component type " << type << "!");
111 }
112 }
113
114 void setData(const Ptr<const Vector<Real>> &xbar,
115 const Ptr<const Vector<Real>> &w,
116 const Real penaltyParam) {
117 xbar_ = xbar;
118 w_ = w;
119 penaltyParam_ = penaltyParam;
120 }
121
122 void update( const Vector<Real> &x, bool flag = true, int iter = -1 ) {
123 obj_->update(x,flag,iter);
124 }
125
126 Real value( const Vector<Real> &x, Real &tol ) {
127 const Real half(0.5), one(1);
128 Real val = obj_->value(x,tol);
129 Real wx = x.dot(*w_);
130 xprimal_->set(x);
131 xprimal_->axpy(-one,*xbar_);
132 Real xx = xprimal_->dot(*xprimal_);
133 return val + wx + half*penaltyParam_*xx;
134 }
135
136 void gradient( Vector<Real> &g, const Vector<Real> &x, Real &tol ) {
137 obj_->gradient(g,x,tol);
138 xprimal_->set(*w_);
139 xprimal_->axpy(penaltyParam_,x);
141 g.plus(xprimal_->dual());
142 }
143
144 void hessVec( Vector<Real> &hv, const Vector<Real> &v, const Vector<Real> &x, Real &tol ) {
145 obj_->hessVec(hv,v,x,tol);
146 hv.axpy(penaltyParam_,v.dual());
147 }
148
149 void setParameter(const std::vector<Real> &param) {
150 obj_->setParameter(param);
152 }
153
154};
155
156}
157#endif
Provides the interface to evaluate objective functions.
virtual void setParameter(const std::vector< Real > &param)
Provides the interface for the progressive hedging objective.
void gradient(Vector< Real > &g, const Vector< Real > &x, Real &tol)
Compute gradient.
Ptr< Vector< Real > > xprimal_
void hessVec(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Apply Hessian approximation to vector.
Ptr< Objective< Real > > obj_
void update(const Vector< Real > &x, bool flag=true, int iter=-1)
Update objective function.
Ptr< const Vector< Real > > w_
void setData(const Ptr< const Vector< Real > > &xbar, const Ptr< const Vector< Real > > &w, const Real penaltyParam)
void setParameter(const std::vector< Real > &param)
Ptr< const Vector< Real > > xbar_
Real value(const Vector< Real > &x, Real &tol)
Compute value.
PH_Objective(const Ptr< Objective< Real > > &obj, const Ptr< Vector< Real > > &x, const Real penaltyParam, ParameterList &parlist)
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:84
virtual const Vector & dual() const
Return dual representation of , for example, the result of applying a Riesz map, or change of basis,...
Definition: ROL_Vector.hpp:226
virtual void plus(const Vector &x)=0
Compute , where .
virtual void axpy(const Real alpha, const Vector &x)
Compute where .
Definition: ROL_Vector.hpp:153
virtual Real dot(const Vector &x) const =0
Compute where .