ROL
ROL_RiskNeutralConstraint.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_RISKNEUTRALCONSTRAINT_HPP
11 #define ROL_RISKNEUTRALCONSTRAINT_HPP
12 
13 #include "ROL_Ptr.hpp"
14 #include "ROL_Vector.hpp"
15 #include "ROL_Constraint.hpp"
16 #include "ROL_SampleGenerator.hpp"
17 
18 namespace ROL {
19 
20 template<class Real>
21 class RiskNeutralConstraint : public Constraint<Real> {
22 private:
23  const Ptr<Constraint<Real>> con_;
24  const Ptr<SampleGenerator<Real>> xsampler_;
25  const Ptr<BatchManager<Real>> cbman_;
26 
27  Ptr<Vector<Real>> conVec_;
28  Ptr<Vector<Real>> optVec_;
29 
31 
32  void init(const Vector<Real> &c, const Vector<Real> &x) {
33  if (!initialized_) {
34  conVec_ = c.clone();
35  optVec_ = x.dual().clone();
36  initialized_ = true;
37  }
38  }
39 
40 public:
42  const Ptr<SampleGenerator<Real>> &xsampler,
43  const Ptr<BatchManager<Real>> &cbman)
44  : con_(con), xsampler_(xsampler), cbman_(cbman), initialized_(false) {}
45 
46  void update( const Vector<Real> &x, bool flag = true, int iter = -1 ) {
47  con_->update(x,flag,iter);
48  }
49 
50  void update( const Vector<Real> &x, UpdateType type, int iter = -1 ) {
51  con_->update(x,type,iter);
52  }
53 
54  void value(Vector<Real> &c, const Vector<Real> &x, Real &tol ) {
55  init(c,x);
56  conVec_->zero();
57  for ( int i = 0; i < xsampler_->numMySamples(); ++i ) {
58  con_->setParameter(xsampler_->getMyPoint(i));
59  con_->value(c,x,tol);
60  conVec_->axpy(xsampler_->getMyWeight(i),c);
61  }
62  c.zero();
63  cbman_->sumAll(*conVec_,c);
64  }
65 
66  void applyJacobian(Vector<Real> &jv, const Vector<Real> &v, const Vector<Real> &x, Real &tol) {
67  init(jv,x);
68  conVec_->zero();
69  for ( int i = 0; i < xsampler_->numMySamples(); ++i ) {
70  con_->setParameter(xsampler_->getMyPoint(i));
71  con_->applyJacobian(jv,v,x,tol);
72  conVec_->axpy(xsampler_->getMyWeight(i),jv);
73  }
74  jv.zero();
75  cbman_->sumAll(*conVec_,jv);
76  }
77 
78  void applyAdjointJacobian(Vector<Real> &ajv, const Vector<Real> &v, const Vector<Real> &x, Real &tol) {
79  init(v.dual(),x);
80  optVec_->zero();
81  for ( int i = 0; i < xsampler_->numMySamples(); ++i ) {
82  con_->setParameter(xsampler_->getMyPoint(i));
83  con_->applyAdjointJacobian(ajv,v,x,tol);
84  optVec_->axpy(xsampler_->getMyWeight(i),ajv);
85  }
86  ajv.zero();
87  xsampler_->sumAll(*optVec_,ajv);
88  }
89 
90  void applyAdjointHessian(Vector<Real> &ahuv, const Vector<Real> &u, const Vector<Real> &v, const Vector<Real> &x, Real &tol) {
91  init(u.dual(),x);
92  optVec_->zero();
93  for ( int i = 0; i < xsampler_->numMySamples(); ++i ) {
94  con_->setParameter(xsampler_->getMyPoint(i));
95  con_->applyAdjointHessian(ahuv,u,v,x,tol);
96  optVec_->axpy(xsampler_->getMyWeight(i),ahuv);
97  }
98  ahuv.zero();
99  xsampler_->sumAll(*optVec_,ahuv);
100  }
101 
102 };
103 
104 }
105 
106 #endif
RiskNeutralConstraint(const Ptr< Constraint< Real >> &con, const Ptr< SampleGenerator< Real >> &xsampler, const Ptr< BatchManager< Real >> &cbman)
virtual const Vector & dual() const
Return dual representation of , for example, the result of applying a Riesz map, or change of basis...
Definition: ROL_Vector.hpp:192
virtual ROL::Ptr< Vector > clone() const =0
Clone to make a new (uninitialized) vector.
void init(const Vector< Real > &c, const Vector< Real > &x)
virtual void zero()
Set to zero vector.
Definition: ROL_Vector.hpp:133
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:46
void applyJacobian(Vector< Real > &jv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Apply the constraint Jacobian at , , to vector .
void applyAdjointJacobian(Vector< Real > &ajv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Apply the adjoint of the the constraint Jacobian at , , to vector .
void applyAdjointHessian(Vector< Real > &ahuv, const Vector< Real > &u, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Apply the derivative of the adjoint of the constraint Jacobian at to vector in direction ...
const Ptr< SampleGenerator< Real > > xsampler_
void update(const Vector< Real > &x, bool flag=true, int iter=-1)
Update constraint functions. x is the optimization variable, flag = true if optimization variable is ...
void value(Vector< Real > &c, const Vector< Real > &x, Real &tol)
Evaluate the constraint operator at .
const Ptr< Constraint< Real > > con_
const Ptr< BatchManager< Real > > cbman_
Defines the general constraint operator interface.
void update(const Vector< Real > &x, UpdateType type, int iter=-1)
Update constraint function.