ROL
ROL_RiskMeasure.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_RISKMEASURE_HPP
45 #define ROL_RISKMEASURE_HPP
46 
47 #include "ROL_Vector.hpp"
48 
49 namespace ROL {
50 
51 template<class Real>
52 class RiskMeasure {
53 protected:
54  Real val_;
55  Real gv_;
56  Teuchos::RCP<Vector<Real> > g_;
57  Teuchos::RCP<Vector<Real> > hv_;
58 
59 public:
60  virtual ~RiskMeasure() {}
61 
62  virtual void reset(Teuchos::RCP<Vector<Real> > &x0, const Vector<Real> &x) {
63  this->val_ = 0.0;
64  this->gv_ = 0.0;
65  this->g_ = x.clone(); this->g_->zero();
66  this->hv_ = x.clone(); this->hv_->zero();
67  x0 = Teuchos::rcp(&const_cast<Vector<Real> &>(x),false);
68  }
69 
70  virtual void reset(Teuchos::RCP<Vector<Real> > &x0, const Vector<Real> &x,
71  Teuchos::RCP<Vector<Real> > &v0, const Vector<Real> &v) {
72  this->val_ = 0.0;
73  this->gv_ = 0.0;
74  this->g_ = x.clone(); this->g_->zero();
75  this->hv_ = x.clone(); this->hv_->zero();
76  x0 = Teuchos::rcp(&const_cast<Vector<Real> &>(x),false);
77  v0 = Teuchos::rcp(&const_cast<Vector<Real> &>(v),false);
78  }
79 
80  virtual void update(const Real val, const Real weight) {
81  this->val_ += weight * val;
82  }
83 
84  virtual void update(const Real val, const Vector<Real> &g, const Real weight) {
85  this->g_->axpy(weight,g);
86  }
87 
88  virtual void update(const Real val, const Vector<Real> &g, const Real gv, const Vector<Real> &hv,
89  const Real weight) {
90  this->hv_->axpy(weight,hv);
91  }
92 
93  virtual Real getValue(SampleGenerator<Real> &sampler) {
94  Real val = 0.0;
95  sampler.sumAll(&(this->val_),&val,1);
96  return val;
97  }
98 
99  virtual void getGradient(Vector<Real> &g, SampleGenerator<Real> &sampler) {
100  sampler.sumAll(*(this->g_),g);
101  }
102 
103  virtual void getHessVec(Vector<Real> &hv, SampleGenerator<Real> &sampler) {
104  sampler.sumAll(*(this->hv_),hv);
105  }
106 };
107 
108 }
109 
110 #endif
virtual void getHessVec(Vector< Real > &hv, SampleGenerator< Real > &sampler)
virtual Real getValue(SampleGenerator< Real > &sampler)
virtual Teuchos::RCP< Vector > clone() const =0
Clone to make a new (uninitialized) vector.
virtual void getGradient(Vector< Real > &g, SampleGenerator< Real > &sampler)
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:72
void sumAll(Real *input, Real *output, int dim) const
virtual void update(const Real val, const Vector< Real > &g, const Real gv, const Vector< Real > &hv, const Real weight)
Teuchos::RCP< Vector< Real > > hv_
virtual void update(const Real val, const Real weight)
virtual void update(const Real val, const Vector< Real > &g, const Real weight)
virtual void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x)
virtual void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x, Teuchos::RCP< Vector< Real > > &v0, const Vector< Real > &v)
Teuchos::RCP< Vector< Real > > g_