ROL
ROL_RiskMeasureFactory.hpp
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1 // @HEADER
2 // *****************************************************************************
3 // Rapid Optimization Library (ROL) Package
4 //
5 // Copyright 2014 NTESS and the ROL contributors.
6 // SPDX-License-Identifier: BSD-3-Clause
7 // *****************************************************************************
8 // @HEADER
9 
10 #ifndef ROL_RISKMEASUREFACTORY_HPP
11 #define ROL_RISKMEASUREFACTORY_HPP
12 
13 #include "ROL_ParameterList.hpp"
14 
15 #include "ROL_Types.hpp"
16 
17 // Standard Risk Measure Implementations
18 #include "ROL_CVaR.hpp"
19 #include "ROL_MixedCVaR.hpp"
20 #include "ROL_SecondOrderCVaR.hpp"
21 #include "ROL_ChebyshevSpectral.hpp"
22 #include "ROL_SpectralRisk.hpp"
23 #include "ROL_QuantileRadius.hpp"
24 #include "ROL_HMCR.hpp"
25 #include "ROL_EntropicRisk.hpp"
26 #include "ROL_CoherentEntropicRisk.hpp"
27 #include "ROL_MeanDeviationFromTarget.hpp"
28 #include "ROL_MeanDeviation.hpp"
29 #include "ROL_MeanVarianceFromTarget.hpp"
30 #include "ROL_MeanVariance.hpp"
31 #include "ROL_MeanSemiDeviation.hpp"
32 #include "ROL_MeanSemiDeviationFromTarget.hpp"
33 
34 // Risk Quadrangle Risk Measure Implementations
35 #include "ROL_ExpectationQuadRisk.hpp"
36 #include "ROL_LogQuantileQuadrangle.hpp"
37 #include "ROL_SmoothedWorstCaseQuadrangle.hpp"
38 #include "ROL_TruncatedMeanQuadrangle.hpp"
39 #include "ROL_MoreauYosidaCVaR.hpp"
40 #include "ROL_GenMoreauYosidaCVaR.hpp"
41 #include "ROL_LogExponentialQuadrangle.hpp"
42 #include "ROL_MeanVarianceQuadrangle.hpp"
43 
44 // F-Divergence Distributionally Robust Risk Measure Implementations
45 #include "ROL_Chi2Divergence.hpp"
46 #include "ROL_KLDivergence.hpp"
47 
48 namespace ROL {
49 
50  enum ERiskMeasure {
51  RISKMEASURE_CVAR = 0,
52  RISKMEASURE_MOREAUYOSIDACVAR,
53  RISKMEASURE_GENMOREAUYOSIDACVAR,
54  RISKMEASURE_MIXEDCVAR,
55  RISKMEASURE_SPECTRALRISK,
56  RISKMEASURE_SECONDORDERCVAR,
57  RISKMEASURE_CHEBYSHEVSPECTRAL,
58  RISKMEASURE_QUANTILERADIUS,
59  RISKMEASURE_HMCR,
60  RISKMEASURE_ENTROPICRISK,
61  RISKMEASURE_COHERENTENTROPICRISK,
62  RISKMEASURE_MEANSEMIDEVIATION,
63  RISKMEASURE_MEANSEMIDEVIATIONFROMTARGET,
64  RISKMEASURE_MEANDEVIATIONFROMTARGET,
65  RISKMEASURE_MEANDEVIATION,
66  RISKMEASURE_MEANVARIANCEFROMTARGET,
67  RISKMEASURE_MEANVARIANCE,
68  RISKMEASURE_TRUNCATEDMEAN,
69  RISKMEASURE_LOGQUANTILE,
70  RISKMEASURE_SMOOTHEDWORSTCASE,
71  RISKMEASURE_LOGEXPONENTIAL,
72  RISKMEASURE_SAFETYMARGIN,
73  RISKMEASURE_CHI2DIVERGENCE,
74  RISKMEASURE_KLDIVERGENCE,
75  RISKMEASURE_LAST
76  };
77 
78  inline std::string ERiskMeasureToString(ERiskMeasure ed) {
79  std::string retString;
80  switch(ed) {
81  case RISKMEASURE_CVAR:
82  retString = "CVaR"; break;
83  case RISKMEASURE_MOREAUYOSIDACVAR:
84  retString = "Moreau-Yosida CVaR"; break;
85  case RISKMEASURE_GENMOREAUYOSIDACVAR:
86  retString = "Generalized Moreau-Yosida CVaR"; break;
87  case RISKMEASURE_MIXEDCVAR:
88  retString = "Mixed CVaR"; break;
89  case RISKMEASURE_SPECTRALRISK:
90  retString = "Spectral Risk"; break;
91  case RISKMEASURE_SECONDORDERCVAR:
92  retString = "Second Order CVaR"; break;
93  case RISKMEASURE_CHEBYSHEVSPECTRAL:
94  retString = "Chebyshev Spectral Risk"; break;
95  case RISKMEASURE_QUANTILERADIUS:
96  retString = "Quantile Radius"; break;
97  case RISKMEASURE_HMCR:
98  retString = "HMCR"; break;
99  case RISKMEASURE_ENTROPICRISK:
100  retString = "Entropic Risk"; break;
101  case RISKMEASURE_COHERENTENTROPICRISK:
102  retString = "Coherent Entropic Risk"; break;
103  case RISKMEASURE_MEANSEMIDEVIATION:
104  retString = "Mean Plus Semi-Deviation"; break;
105  case RISKMEASURE_MEANSEMIDEVIATIONFROMTARGET:
106  retString = "Mean Plus Semi-Deviation From Target"; break;
107  case RISKMEASURE_MEANDEVIATIONFROMTARGET:
108  retString = "Mean Plus Deviation From Target"; break;
109  case RISKMEASURE_MEANDEVIATION:
110  retString = "Mean Plus Deviation"; break;
111  case RISKMEASURE_MEANVARIANCEFROMTARGET:
112  retString = "Mean Plus Variance From Target"; break;
113  case RISKMEASURE_MEANVARIANCE:
114  retString = "Mean Plus Variance"; break;
115  case RISKMEASURE_TRUNCATEDMEAN:
116  retString = "Truncated Mean"; break;
117  case RISKMEASURE_LOGQUANTILE:
118  retString = "Log Quantile"; break;
119  case RISKMEASURE_SMOOTHEDWORSTCASE:
120  retString = "Smoothed Worst Case"; break;
121  case RISKMEASURE_LOGEXPONENTIAL:
122  retString = "Log Exponential"; break;
123  case RISKMEASURE_SAFETYMARGIN:
124  retString = "Safety Margin"; break;
125  case RISKMEASURE_CHI2DIVERGENCE:
126  retString = "Chi-Squared Divergence"; break;
127  case RISKMEASURE_KLDIVERGENCE:
128  retString = "KL Divergence"; break;
129  case RISKMEASURE_LAST:
130  retString = "Last Type (Dummy)"; break;
131  default:
132  retString = "INVALID ERiskMeasure"; break;
133  }
134  return retString;
135  }
136 
137  inline int isValidRiskMeasure(ERiskMeasure ed) {
138  return( (ed == RISKMEASURE_CVAR) ||
139  (ed == RISKMEASURE_MOREAUYOSIDACVAR) ||
140  (ed == RISKMEASURE_GENMOREAUYOSIDACVAR) ||
141  (ed == RISKMEASURE_MIXEDCVAR) ||
142  (ed == RISKMEASURE_SPECTRALRISK) ||
143  (ed == RISKMEASURE_SECONDORDERCVAR) ||
144  (ed == RISKMEASURE_CHEBYSHEVSPECTRAL) ||
145  (ed == RISKMEASURE_QUANTILERADIUS) ||
146  (ed == RISKMEASURE_HMCR) ||
147  (ed == RISKMEASURE_ENTROPICRISK) ||
148  (ed == RISKMEASURE_COHERENTENTROPICRISK) ||
149  (ed == RISKMEASURE_MEANSEMIDEVIATION) ||
150  (ed == RISKMEASURE_MEANSEMIDEVIATIONFROMTARGET) ||
151  (ed == RISKMEASURE_MEANDEVIATIONFROMTARGET) ||
152  (ed == RISKMEASURE_MEANDEVIATION) ||
153  (ed == RISKMEASURE_MEANVARIANCEFROMTARGET) ||
154  (ed == RISKMEASURE_MEANVARIANCE) ||
155  (ed == RISKMEASURE_TRUNCATEDMEAN) ||
156  (ed == RISKMEASURE_LOGQUANTILE) ||
157  (ed == RISKMEASURE_SMOOTHEDWORSTCASE) ||
158  (ed == RISKMEASURE_LOGEXPONENTIAL) ||
159  (ed == RISKMEASURE_SAFETYMARGIN) ||
160  (ed == RISKMEASURE_CHI2DIVERGENCE) ||
161  (ed == RISKMEASURE_KLDIVERGENCE));
162  }
163 
164  inline ERiskMeasure & operator++(ERiskMeasure &type) {
165  return type = static_cast<ERiskMeasure>(type+1);
166  }
167 
168  inline ERiskMeasure operator++(ERiskMeasure &type, int) {
169  ERiskMeasure oldval = type;
170  ++type;
171  return oldval;
172  }
173 
174  inline ERiskMeasure & operator--(ERiskMeasure &type) {
175  return type = static_cast<ERiskMeasure>(type-1);
176  }
177 
178  inline ERiskMeasure operator--(ERiskMeasure &type, int) {
179  ERiskMeasure oldval = type;
180  --type;
181  return oldval;
182  }
183 
184  inline ERiskMeasure StringToERiskMeasure(std::string s) {
185  s = removeStringFormat(s);
186  for ( ERiskMeasure tr = RISKMEASURE_CVAR; tr < RISKMEASURE_LAST; tr++ ) {
187  if ( !s.compare(removeStringFormat(ERiskMeasureToString(tr))) ) {
188  return tr;
189  }
190  }
191  return RISKMEASURE_LAST;
192  }
193 
194  template<class Real>
195  inline Ptr<RandVarFunctional<Real>> RiskMeasureFactory(ParameterList &parlist) {
196  std::string risk = parlist.sublist("SOL").sublist("Risk Measure").get("Name","CVaR");
197  ERiskMeasure ed = StringToERiskMeasure(risk);
198  switch(ed) {
199  case RISKMEASURE_CVAR:
200  return makePtr<CVaR<Real>>(parlist);
201  case RISKMEASURE_MOREAUYOSIDACVAR:
202  return makePtr<ExpectationQuadRisk<Real>>(makePtr<MoreauYosidaCVaR<Real>>(parlist));
203  case RISKMEASURE_GENMOREAUYOSIDACVAR:
204  return makePtr<ExpectationQuadRisk<Real>>(makePtr<GenMoreauYosidaCVaR<Real>>(parlist));
205  case RISKMEASURE_MIXEDCVAR:
206  return makePtr<MixedCVaR<Real>>(parlist);
207  case RISKMEASURE_SPECTRALRISK:
208  return makePtr<SpectralRisk<Real>>(parlist);
209  case RISKMEASURE_SECONDORDERCVAR:
210  return makePtr<SecondOrderCVaR<Real>>(parlist);
211  case RISKMEASURE_CHEBYSHEVSPECTRAL:
212  return makePtr<ChebyshevSpectral<Real>>(parlist);
213  case RISKMEASURE_QUANTILERADIUS:
214  return makePtr<QuantileRadius<Real>>(parlist);
215  case RISKMEASURE_HMCR:
216  return makePtr<HMCR<Real>>(parlist);
217  case RISKMEASURE_ENTROPICRISK:
218  return makePtr<EntropicRisk<Real>>(parlist);
219  case RISKMEASURE_COHERENTENTROPICRISK:
220  return makePtr<CoherentEntropicRisk<Real>>();
221  case RISKMEASURE_MEANSEMIDEVIATION:
222  return makePtr<MeanSemiDeviation<Real>>(parlist);
223  case RISKMEASURE_MEANSEMIDEVIATIONFROMTARGET:
224  return makePtr<MeanSemiDeviationFromTarget<Real>>(parlist);
225  case RISKMEASURE_MEANDEVIATIONFROMTARGET:
226  return makePtr<MeanDeviationFromTarget<Real>>(parlist);
227  case RISKMEASURE_MEANDEVIATION:
228  return makePtr<MeanDeviation<Real>>(parlist);
229  case RISKMEASURE_MEANVARIANCEFROMTARGET:
230  return makePtr<MeanVarianceFromTarget<Real>>(parlist);
231  case RISKMEASURE_MEANVARIANCE:
232  return makePtr<MeanVariance<Real>>(parlist);
233  case RISKMEASURE_TRUNCATEDMEAN:
234  return makePtr<ExpectationQuadRisk<Real>>(makePtr<TruncatedMeanQuadrangle<Real>>(parlist));
235  case RISKMEASURE_LOGQUANTILE:
236  return makePtr<ExpectationQuadRisk<Real>>(makePtr<LogQuantileQuadrangle<Real>>(parlist));
237  case RISKMEASURE_SMOOTHEDWORSTCASE:
238  return makePtr<ExpectationQuadRisk<Real>>(makePtr<SmoothedWorstCaseQuadrangle<Real>>(parlist));
239  case RISKMEASURE_LOGEXPONENTIAL:
240  return makePtr<ExpectationQuadRisk<Real>>(makePtr<LogExponentialQuadrangle<Real>>(parlist));
241  case RISKMEASURE_SAFETYMARGIN:
242  return makePtr<ExpectationQuadRisk<Real>>(makePtr<MeanVarianceQuadrangle<Real>>(parlist));
243  case RISKMEASURE_CHI2DIVERGENCE:
244  return makePtr<Chi2Divergence<Real>>(parlist);
245  case RISKMEASURE_KLDIVERGENCE:
246  return makePtr<KLDivergence<Real>>(parlist);
247  default:
248  ROL_TEST_FOR_EXCEPTION(true,std::invalid_argument,
249  "Invalid risk measure type " << risk << "!");
250  }
251  }
252 }
253 #endif
ROL_KLDivergence.hpp
ROL_LogExponentialQuadrangle.hpp
ROL::operator++
EPolyProjAlgo & operator++(EPolyProjAlgo &type)
Definition: ROL_PolyhedralProjectionFactory.hpp:71
ROL_SecondOrderCVaR.hpp
ROL_Types.hpp
Contains definitions of custom data types in ROL.
ROL::removeStringFormat
std::string removeStringFormat(std::string s)
Definition: ROL_Types.hpp:215
ROL::StringToERiskMeasure
ERiskMeasure StringToERiskMeasure(std::string s)
Definition: ROL_RiskMeasureFactory.hpp:184
ROL::isValidRiskMeasure
int isValidRiskMeasure(ERiskMeasure ed)
Definition: ROL_RiskMeasureFactory.hpp:137
ROL_ExpectationQuadRisk.hpp
ROL_MeanSemiDeviation.hpp
ROL_CoherentEntropicRisk.hpp
ROL_MeanVarianceFromTarget.hpp
ROL_MeanVariance.hpp
ROL_GenMoreauYosidaCVaR.hpp
ROL_SpectralRisk.hpp
ROL_MixedCVaR.hpp
ROL_MoreauYosidaCVaR.hpp
ROL_MeanSemiDeviationFromTarget.hpp
ROL::operator--
EPolyProjAlgo & operator--(EPolyProjAlgo &type)
Definition: ROL_PolyhedralProjectionFactory.hpp:81
ROL_TruncatedMeanQuadrangle.hpp
ROL_HMCR.hpp
ROL::ERiskMeasureToString
std::string ERiskMeasureToString(ERiskMeasure ed)
Definition: ROL_RiskMeasureFactory.hpp:78
ROL_QuantileRadius.hpp
ROL_LogQuantileQuadrangle.hpp
ROL_EntropicRisk.hpp
ROL_MeanVarianceQuadrangle.hpp
ROL_SmoothedWorstCaseQuadrangle.hpp
ROL_ChebyshevSpectral.hpp
ROL_MeanDeviation.hpp
ROL_MeanDeviationFromTarget.hpp
ROL_Chi2Divergence.hpp
ROL::RiskMeasureFactory
Ptr< RandVarFunctional< Real > > RiskMeasureFactory(ParameterList &parlist)
Definition: ROL_RiskMeasureFactory.hpp:195
ROL_CVaR.hpp
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