ROL
ROL_ExpUtility.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_EXPUTILITY_HPP
45 #define ROL_EXPUTILITY_HPP
46 
47 #include "ROL_RiskMeasure.hpp"
48 
49 namespace ROL {
50 
51 template<class Real>
52 class ExpUtility : public RiskMeasure<Real> {
53 private:
54  Teuchos::RCP<Vector<Real> > eg_;
55 
56 public:
57  void reset(Teuchos::RCP<Vector<Real> > &x0, const Vector<Real> &x) {
62  this->eg_ = x.clone(); this->eg_->zero();
63  x0 = Teuchos::rcp(&const_cast<Vector<Real> &>(x),false);
64  }
65 
66  void reset(Teuchos::RCP<Vector<Real> > &x0, const Vector<Real> &x,
67  Teuchos::RCP<Vector<Real> > &v0, const Vector<Real> &v) {
72  this->eg_ = x.clone(); this->eg_->zero();
73  x0 = Teuchos::rcp(&const_cast<Vector<Real> &>(x),false);
74  v0 = Teuchos::rcp(&const_cast<Vector<Real> &>(v),false);
75  }
76 
77  void update(const Real val, const Real weight) {
78  RiskMeasure<Real>::val_ += weight * std::exp(val);
79  }
80 
81  void update(const Real val, const Vector<Real> &g, const Real weight) {
82  Real ev = std::exp(val);
83  RiskMeasure<Real>::val_ += weight * ev;
84  RiskMeasure<Real>::g_->axpy(weight*ev,g);
85  }
86 
87  void update(const Real val, const Vector<Real> &g, const Real gv, const Vector<Real> &hv,
88  const Real weight) {
89  Real ev = std::exp(val);
90  RiskMeasure<Real>::val_ += weight * ev;
91  RiskMeasure<Real>::gv_ -= weight * ev * gv;
92  RiskMeasure<Real>::g_->axpy(weight*ev,g);
93  RiskMeasure<Real>::hv_->axpy(weight*ev,hv);
94  this->eg_->axpy(weight*ev*gv,g);
95  }
96 
98  Real val = RiskMeasure<Real>::val_;
99  Real ev = 0.0;
100  sampler.sumAll(&val,&ev,1);
101  return std::log(ev);
102  }
103 
104  virtual void getGradient(Vector<Real> &g, SampleGenerator<Real> &sampler) {
105  Real val = RiskMeasure<Real>::val_;
106  Real ev = 0.0;
107  sampler.sumAll(&val,&ev,1);
108  sampler.sumAll(*(RiskMeasure<Real>::g_),g);
109  g.scale(1.0/ev);
110  }
111 
112  virtual void getHessVec(Vector<Real> &hv, SampleGenerator<Real> &sampler) {
113  Real val = RiskMeasure<Real>::val_;
114  Real ev = 0.0;
115  sampler.sumAll(&val,&ev,1);
116 
117  Real gv = RiskMeasure<Real>::gv_;
118  Real egv = 0.0;
119  sampler.sumAll(&gv,&egv,1);
120 
121  sampler.sumAll(*(RiskMeasure<Real>::hv_),hv);
122 
123  Teuchos::RCP<Vector<Real> > g = hv.clone();
124  sampler.sumAll(*(this->eg_),*g);
125  hv.plus(*g);
126  hv.scale(1.0/ev);
127 
128  g = hv.clone();
129  sampler.sumAll(*(RiskMeasure<Real>::g_),*g);
130  g->scale(egv/(ev*ev));
131  hv.plus(*g);
132  }
133 };
134 
135 }
136 
137 #endif
Teuchos::RCP< Vector< Real > > eg_
virtual void scale(const Real alpha)=0
Compute where .
void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x, Teuchos::RCP< Vector< Real > > &v0, const Vector< Real > &v)
virtual void plus(const Vector &x)=0
Compute , where .
void update(const Real val, const Vector< Real > &g, const Real weight)
virtual Teuchos::RCP< Vector > clone() const =0
Clone to make a new (uninitialized) vector.
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:72
void sumAll(Real *input, Real *output, int dim) const
void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x)
virtual void getHessVec(Vector< Real > &hv, SampleGenerator< Real > &sampler)
Real getValue(SampleGenerator< Real > &sampler)
void update(const Real val, const Real weight)
virtual void getGradient(Vector< Real > &g, SampleGenerator< Real > &sampler)
void update(const Real val, const Vector< Real > &g, const Real gv, const Vector< Real > &hv, const Real weight)