10 #ifndef ROL_PD_BPOE_HPP
11 #define ROL_PD_BPOE_HPP
48 values_ = makePtr<ScalarController<Real>>();
49 gradvecs_ = makePtr<ScalarController<Real>>();
50 gradients_ = makePtr<VectorController<Real>>();
51 hessvecs_ = makePtr<VectorController<Real>>();
93 const std::vector<Real> &xstat,
99 Real arg = xstat[0] * (val -
thresh_) + one;
106 const std::vector<Real> &xstat,
115 const std::vector<Real> &xstat,
117 const Real
zero(0), one(1);
121 Real arg = xstat[0] * (val -
thresh_) + one;
131 std::vector<Real> &gstat,
133 const std::vector<Real> &xstat,
143 const std::vector<Real> &vstat,
145 const std::vector<Real> &xstat,
147 const Real
zero(0), one(1);
151 Real arg = xstat[0] * (val -
thresh_) + one;
163 Real c1 = pf2 * (val -
thresh_) * xstat[0];
165 Real c3 = pf2 * xstat[0] * xstat[0];
172 std::vector<Real> &hvstat,
174 const std::vector<Real> &vstat,
176 const std::vector<Real> &xstat,
Provides the interface to evaluate objective functions.
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 computeHessVec(Vector< Real > &hv, Objective< Real > &obj, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
virtual void setHessVecStorage(const Ptr< ScalarController< Real >> &gradvec_storage, const Ptr< VectorController< Real >> &hessvec_storage)
Real computeValue(Objective< Real > &obj, const Vector< Real > &x, Real &tol)
Ptr< Vector< Real > > hv_
Real ppf(const Real x, const Real t, const Real r, const int deriv=0) const
void initialize(const Vector< Real > &x)
Initialize temporary variables.
Contains definitions of custom data types in ROL.
Real getPenaltyParameter(void) const
std::vector< Real > point_
Ptr< Vector< Real > > dualVector_
virtual void setStorage(const Ptr< ScalarController< Real >> &value_storage, const Ptr< VectorController< Real >> &gradient_storage)
Defines the linear algebra or vector space interface.
void sumAll(Real *input, Real *output, int dim) const
Objective_SerialSimOpt(const Ptr< Obj > &obj, const V &ui) z0_ zero()
Ptr< ScalarController< Real > > gradvecs_
void setStorage(const Ptr< ScalarController< Real >> &value_storage, const Ptr< VectorController< Real >> &gradient_storage)
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.
virtual void setStorage(const Ptr< ScalarController< Real >> &value_storage, const Ptr< VectorController< Real >> &gradient_storage)
Ptr< VectorController< Real > > gradients_
void updateValue(Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Update internal storage for value computation.
Ptr< ScalarController< Real > > values_
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 getMultiplier(Real &lam, const std::vector< Real > &pt) const
Real getValue(const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
Return risk measure value.
void computeGradient(Vector< Real > &g, Objective< Real > &obj, const Vector< Real > &x, Real &tol)
virtual void initialize(const Vector< Real > &x)
Initialize temporary variables.
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 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.
Provides the interface to implement any functional that maps a random variable to a (extended) real n...
PD_BPOE(const Real thresh)
void setValue(const Real val, const std::vector< Real > &pt)
virtual void setHessVecStorage(const Ptr< ScalarController< Real >> &gradvec_storage, const Ptr< VectorController< Real >> &hessvec_storage)
Ptr< VectorController< Real > > hessvecs_
void initializeStorage(void)