ROL
ROL_PD_BPOE.hpp
Go to the documentation of this file.
1// @HEADER
2// ************************************************************************
3//
4// Rapid Optimization Library (ROL) Package
5// Copyright (2014) Sandia Corporation
6//
7// Under terms of Contract DE-AC04-94AL85000, there is a non-exclusive
8// license for use of this work by or on behalf of the U.S. Government.
9//
10// Redistribution and use in source and binary forms, with or without
11// modification, are permitted provided that the following conditions are
12// met:
13//
14// 1. Redistributions of source code must retain the above copyright
15// notice, this list of conditions and the following disclaimer.
16//
17// 2. Redistributions in binary form must reproduce the above copyright
18// notice, this list of conditions and the following disclaimer in the
19// documentation and/or other materials provided with the distribution.
20//
21// 3. Neither the name of the Corporation nor the names of the
22// contributors may be used to endorse or promote products derived from
23// this software without specific prior written permission.
24//
25// THIS SOFTWARE IS PROVIDED BY SANDIA CORPORATION "AS IS" AND ANY
26// EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
27// IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR
28// PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL SANDIA CORPORATION OR THE
29// CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
30// EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
31// PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
32// PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
33// LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
34// NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
35// SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
36//
37// Questions? Contact lead developers:
38// Drew Kouri (dpkouri@sandia.gov) and
39// Denis Ridzal (dridzal@sandia.gov)
40//
41// ************************************************************************
42// @HEADER
43
44#ifndef ROL_PD_BPOE_HPP
45#define ROL_PD_BPOE_HPP
46
48#include "ROL_Types.hpp"
49
50namespace ROL {
51
52template<class Real>
53class PD_BPOE : public PD_RandVarFunctional<Real> {
54private:
55 Real thresh_;
56
57 Ptr<ScalarController<Real>> values_;
58 Ptr<ScalarController<Real>> gradvecs_;
59 Ptr<VectorController<Real>> gradients_;
60 Ptr<VectorController<Real>> hessvecs_;
61
62 using RandVarFunctional<Real>::val_;
63 using RandVarFunctional<Real>::g_;
64 using RandVarFunctional<Real>::gv_;
65 using RandVarFunctional<Real>::hv_;
67
68 using RandVarFunctional<Real>::point_;
70
75
79 using PD_RandVarFunctional<Real>::ppf;
80
81 void initializeStorage(void) {
82 values_ = makePtr<ScalarController<Real>>();
83 gradvecs_ = makePtr<ScalarController<Real>>();
84 gradients_ = makePtr<VectorController<Real>>();
85 hessvecs_ = makePtr<VectorController<Real>>();
86
89 }
90
91 void clear(void) {
92 gradvecs_->reset();
93 hessvecs_->reset();
94 }
95
96 void checkInputs(void) {
98 }
99
100public:
101 PD_BPOE(const Real thresh)
102 : PD_RandVarFunctional<Real>(), thresh_(thresh) {
103 checkInputs();
104 }
105
106 void setStorage(const Ptr<ScalarController<Real>> &value_storage,
107 const Ptr<VectorController<Real>> &gradient_storage) {
108 values_ = value_storage;
109 gradients_ = gradient_storage;
111 }
112
113 void setHessVecStorage(const Ptr<ScalarController<Real>> &gradvec_storage,
114 const Ptr<VectorController<Real>> &hessvec_storage) {
115 gradvecs_ = gradvec_storage;
116 hessvecs_ = hessvec_storage;
118 }
119
120 void initialize(const Vector<Real> &x) {
122 clear();
123 }
124
126 const Vector<Real> &x,
127 const std::vector<Real> &xstat,
128 Real &tol) {
129 const Real one(1);
130 Real lam(0);
131 getMultiplier(lam, point_);
132 Real val = computeValue(obj, x, tol);
133 Real arg = xstat[0] * (val - thresh_) + one;
134 Real pf = ppf(arg, lam, getPenaltyParameter(), 0);
135 val_ += weight_ * pf;
136 setValue(arg, point_);
137 }
138
139 Real getValue(const Vector<Real> &x,
140 const std::vector<Real> &xstat,
141 SampleGenerator<Real> &sampler) {
142 Real ev(0);
143 sampler.sumAll(&val_, &ev, 1);
144 return ev;
145 }
146
148 const Vector<Real> &x,
149 const std::vector<Real> &xstat,
150 Real &tol) {
151 const Real zero(0), one(1);
152 Real lam(0);
153 getMultiplier(lam, point_);
154 Real val = computeValue(obj, x, tol);
155 Real arg = xstat[0] * (val - thresh_) + one;
156 Real pf = ppf(arg, lam, getPenaltyParameter(), 1);
157 if ( pf > zero ) {
158 computeGradient(*dualVector_, obj, x, tol);
159 val_ += weight_ * pf * (val - thresh_);
160 g_->axpy(weight_ * pf * xstat[0], *dualVector_);
161 }
162 }
163
165 std::vector<Real> &gstat,
166 const Vector<Real> &x,
167 const std::vector<Real> &xstat,
168 SampleGenerator<Real> &sampler) {
169 Real ev(0);
170 sampler.sumAll(&val_, &ev, 1);
171 sampler.sumAll(*g_, g);
172 gstat[0] = ev;
173 }
174
176 const Vector<Real> &v,
177 const std::vector<Real> &vstat,
178 const Vector<Real> &x,
179 const std::vector<Real> &xstat,
180 Real &tol) {
181 const Real zero(0), one(1);
182 Real lam(0);
183 getMultiplier(lam, point_);
184 Real val = computeValue(obj, x, tol);
185 Real arg = xstat[0] * (val - thresh_) + one;
186 Real pf1 = ppf(arg, lam, getPenaltyParameter(), 1);
187 Real pf2 = ppf(arg, lam, getPenaltyParameter(), 2);
188 if ( pf1 > zero ) {
189 Real gv = computeGradVec(*dualVector_, obj, v, x, tol);
190 val_ += weight_ * pf1 * gv;
191 hv_->axpy(weight_ * pf1 * vstat[0], *dualVector_);
192 computeHessVec(*dualVector_, obj, v, x, tol);
193 hv_->axpy(weight_ * pf1 * xstat[0], *dualVector_);
194 }
195 if ( pf2 > zero ) {
196 Real gv = computeGradVec(*dualVector_, obj, v, x, tol);
197 Real c1 = pf2 * (val - thresh_) * xstat[0];
198 Real c2 = pf2 * (val - thresh_) * (val - thresh_);
199 Real c3 = pf2 * xstat[0] * xstat[0];
200 val_ += weight_ * (c1 * gv + c2 * vstat[0]);
201 hv_->axpy(weight_ * (c3 * gv + c1 * vstat[0]), *dualVector_);
202 }
203 }
204
206 std::vector<Real> &hvstat,
207 const Vector<Real> &v,
208 const std::vector<Real> &vstat,
209 const Vector<Real> &x,
210 const std::vector<Real> &xstat,
211 SampleGenerator<Real> &sampler) {
212 Real ev(0);
213 sampler.sumAll(&val_, &ev, 1);
214 sampler.sumAll(*hv_, hv);
215 hvstat[0] = ev;
216 }
217};
218
219}
220
221#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.
Ptr< VectorController< Real > > hessvecs_
Definition: ROL_PD_BPOE.hpp:60
void initializeStorage(void)
Definition: ROL_PD_BPOE.hpp:81
Real getValue(const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
Return risk measure value.
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.
Ptr< VectorController< Real > > gradients_
Definition: ROL_PD_BPOE.hpp:59
PD_BPOE(const Real thresh)
void updateValue(Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Update internal storage for value computation.
void setStorage(const Ptr< ScalarController< Real > > &value_storage, const Ptr< VectorController< Real > > &gradient_storage)
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.
void setHessVecStorage(const Ptr< ScalarController< Real > > &gradvec_storage, const Ptr< VectorController< Real > > &hessvec_storage)
void clear(void)
Definition: ROL_PD_BPOE.hpp:91
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 checkInputs(void)
Definition: ROL_PD_BPOE.hpp:96
Ptr< ScalarController< Real > > gradvecs_
Definition: ROL_PD_BPOE.hpp:58
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 initialize(const Vector< Real > &x)
Initialize temporary variables.
Ptr< ScalarController< Real > > values_
Definition: ROL_PD_BPOE.hpp:57
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