ROL_StochasticProblem.hpp

Go to the documentation of this file.

// @HEADER
// ************************************************************************
//
//               Rapid Optimization Library (ROL) Package
//                 Copyright (2014) Sandia Corporation
//
// Under terms of Contract DE-AC04-94AL85000, there is a non-exclusive
// license for use of this work by or on behalf of the U.S. Government.
//
// Redistribution and use in source and binary forms, with or without
// modification, are permitted provided that the following conditions are
// met:
//
// 1. Redistributions of source code must retain the above copyright
// notice, this list of conditions and the following disclaimer.
//
// 2. Redistributions in binary form must reproduce the above copyright
// notice, this list of conditions and the following disclaimer in the
// documentation and/or other materials provided with the distribution.
//
// 3. Neither the name of the Corporation nor the names of the
// contributors may be used to endorse or promote products derived from
// this software without specific prior written permission.
//
// THIS SOFTWARE IS PROVIDED BY SANDIA CORPORATION "AS IS" AND ANY
// EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
// IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR
// PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL SANDIA CORPORATION OR THE
// CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
// EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
// PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
// PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
// LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
// NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
// SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
//
// Questions? Contact lead developers:
//              Drew Kouri   (dpkouri@sandia.gov) and
//              Denis Ridzal (dridzal@sandia.gov)
//
// ************************************************************************
// @HEADER

#ifndef ROL_STOCHASTICPROBLEM_HPP
#define ROL_STOCHASTICPROBLEM_HPP

#include "ROL_Problem.hpp"

#include "ROL_MeanValueObjective.hpp"
#include "ROL_RiskNeutralObjective.hpp"
#include "ROL_StochasticObjective.hpp"

#include "ROL_AlmostSureConstraint.hpp"
#include "ROL_MeanValueConstraint.hpp"
#include "ROL_RiskNeutralConstraint.hpp"
#include "ROL_StochasticConstraint.hpp"
#include "ROL_SimulatedBoundConstraint.hpp"

#include "ROL_RiskVector.hpp"
#include "ROL_RiskBoundConstraint.hpp"
#include "ROL_RiskLessObjective.hpp"
#include "ROL_RiskLessConstraint.hpp"

namespace ROL {

template<typename Real>
class StochasticProblem : public Problem<Real> {
private:
  Ptr<Objective<Real>>                                 ORIGINAL_obj_;
  Ptr<Vector<Real>>                                    ORIGINAL_xprim_;
  Ptr<Vector<Real>>                                    ORIGINAL_xdual_;
  Ptr<BoundConstraint<Real>>                           ORIGINAL_bnd_;
  std::unordered_map<std::string,ConstraintData<Real>> ORIGINAL_con_;
  std::unordered_map<std::string,ConstraintData<Real>> ORIGINAL_linear_con_;

  bool needRiskLessObj_, risk_;
  std::vector<bool> needRiskLessCon_;
  Ptr<ParameterList>                                                 objList_;
  std::unordered_map<std::string,std::pair<Ptr<ParameterList>,bool>> conList_;
  std::unordered_map<std::string,size_t> statMap_;

  using Problem<Real>::INPUT_obj_;
  using Problem<Real>::INPUT_xprim_;
  using Problem<Real>::INPUT_xdual_;
  using Problem<Real>::INPUT_bnd_;
  using Problem<Real>::INPUT_con_;
  using Problem<Real>::INPUT_linear_con_;
  using Problem<Real>::isFinalized;

public:
  StochasticProblem(const Ptr<Objective<Real>> &obj,
                    const Ptr<Vector<Real>>    &x,
                    const Ptr<Vector<Real>>    &g = nullPtr);

  StochasticProblem(const Problem<Real> &problem) : Problem<Real>(problem) {}

  /***************************************************************************/
  /*** Set and remove methods for constraints ********************************/
  /***************************************************************************/

  void makeObjectiveStochastic(ParameterList                    &list,
                               const Ptr<SampleGenerator<Real>> &fsampler,
                               const Ptr<SampleGenerator<Real>> &gsampler = nullPtr,
                               const Ptr<SampleGenerator<Real>> &hsampler = nullPtr);
  void makeObjectiveStochastic(const Ptr<RandVarFunctional<Real>> &rvf,
                               ParameterList                      &list,
                               const Ptr<SampleGenerator<Real>>   &fsampler,
                               const Ptr<SampleGenerator<Real>>   &gsampler = nullPtr,
                               const Ptr<SampleGenerator<Real>>   &hsampler = nullPtr);
  void makeConstraintStochastic(std::string                       name,
                                ParameterList                    &list,
                                const Ptr<SampleGenerator<Real>> &sampler,
                                const Ptr<BatchManager<Real>>    &bman = nullPtr);
  void makeLinearConstraintStochastic(std::string                       name,
                                      ParameterList                    &list,
                                      const Ptr<SampleGenerator<Real>> &sampler,
                                      const Ptr<BatchManager<Real>>    &bman = nullPtr);
  void resetStochasticObjective(void);
  void resetStochasticConstraint(std::string name);
  void resetStochasticLinearConstraint(std::string name);
  void resetStochastic(void);

  std::vector<Real> getObjectiveStatistic(void) const;
  std::vector<Real> getConstraintStatistic(std::string name) const;
  Real getSolutionStatistic(int comp = 0, std::string name = "") const;

  /***************************************************************************/
  /*** Finalize and edit methods *********************************************/
  /***************************************************************************/

  void finalize(bool lumpConstraints = false, bool printToStream = false,
                std::ostream &outStream = std::cout) override;

  void edit(void) override;

}; // class StochasticProblem

}  // namespace ROL

#include "ROL_StochasticProblem_Def.hpp"

#endif // ROL_STOCHASTICPROBLEM_HPP