#include <ROL_CDFObjective.hpp>

Inheritance diagram for ROL::CDFObjective< Real >:

Public Member Functions
	CDFObjective (const std::vector< ROL::Ptr< Distribution< Real > > > &dist, const ROL::Ptr< BatchManager< Real > > &bman, const Real scale=1.e-2, const bool optProb=true, const bool optAtom=true)

Real	value (const Vector< Real > &x, Real &tol)
	Compute value. More...

void	gradient (Vector< Real > &g, const Vector< Real > &x, Real &tol)
	Compute gradient. More...

void	hessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply Hessian approximation to vector. More...

Public Member Functions inherited from ROL::Objective< Real >
virtual	~Objective ()

	Objective ()

virtual void	update (const Vector< Real > &x, UpdateType type, int iter=-1)
	Update objective function. More...

virtual void	update (const Vector< Real > &x, bool flag=true, int iter=-1)
	Update objective function. More...

virtual Real	dirDeriv (const Vector< Real > &x, const Vector< Real > &d, Real &tol)
	Compute directional derivative. More...

virtual void	invHessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply inverse Hessian approximation to vector. More...

virtual void	precond (Vector< Real > &Pv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply preconditioner to vector. More...

virtual void	prox (Vector< Real > &Pv, const Vector< Real > &v, Real t, Real &tol)

virtual std::vector < std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference gradient check. More...

virtual std::vector < std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference gradient check. More...

virtual std::vector < std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference gradient check with specified step sizes. More...

virtual std::vector < std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference gradient check with specified step sizes. More...

virtual std::vector < std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference Hessian-applied-to-vector check. More...

virtual std::vector < std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference Hessian-applied-to-vector check. More...

virtual std::vector < std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference Hessian-applied-to-vector check with specified step sizes. More...

virtual std::vector < std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference Hessian-applied-to-vector check with specified step sizes. More...

virtual std::vector< Real >	checkHessSym (const Vector< Real > &x, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
	Hessian symmetry check. More...

virtual std::vector< Real >	checkHessSym (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
	Hessian symmetry check. More...

virtual void	setParameter (const std::vector< Real > &param)

Private Member Functions
void	initializeQuadrature (void)

Real	valueCDF (const int dim, const Real loc, const ProbabilityVector< Real > &prob, const AtomVector< Real > &atom) const

Real	gradientCDF (std::vector< Real > &gradx, std::vector< Real > &gradp, const int dim, const Real loc, const ProbabilityVector< Real > &prob, const AtomVector< Real > &atom) const

Real	hessVecCDF (std::vector< Real > &hvxx, std::vector< Real > &hvxp, std::vector< Real > &hvpx, std::vector< Real > &gradx, std::vector< Real > &gradp, Real &sumx, Real &sump, const int dim, const Real loc, const ProbabilityVector< Real > &prob, const AtomVector< Real > &atom, const ProbabilityVector< Real > &vprob, const AtomVector< Real > &vatom) const

Private Attributes
ROL::Ptr< BatchManager< Real > >	bman_

std::vector< ROL::Ptr < Distribution< Real > > >	dist_

std::vector< Real >	lowerBound_

std::vector< Real >	upperBound_

int	dimension_

const Real	scale_

const Real	sqrt2_

const Real	sqrtpi_

const bool	optProb_

const bool	optAtom_

std::vector< Real >	pts_

std::vector< Real >	wts_

int	numPoints_

Additional Inherited Members
Protected Member Functions inherited from ROL::Objective< Real >
const std::vector< Real >	getParameter (void) const

Detailed Description

template<class Real>
class ROL::CDFObjective< Real >

Definition at line 23 of file ROL_CDFObjective.hpp.

Constructor & Destructor Documentation

template<class Real >

ROL::CDFObjective< Real >::CDFObjective	(	const std::vector< ROL::Ptr< Distribution< Real > > > &	dist,
		const ROL::Ptr< BatchManager< Real > > &	bman,
		const Real	scale = `1.e-2`,
		const bool	optProb = `true`,
		const bool	optAtom = `true`
	)

inline

Definition at line 145 of file ROL_CDFObjective.hpp.

References ROL::CDFObjective< Real >::dimension_, ROL::CDFObjective< Real >::initializeQuadrature(), ROL::CDFObjective< Real >::lowerBound_, and ROL::CDFObjective< Real >::upperBound_.

Member Function Documentation

template<class Real >

void ROL::CDFObjective< Real >::initializeQuadrature ( void )

inlineprivate

Definition at line 47 of file ROL_CDFObjective.hpp.

References ROL::CDFObjective< Real >::numPoints_, ROL::CDFObjective< Real >::pts_, and ROL::CDFObjective< Real >::wts_.

Referenced by ROL::CDFObjective< Real >::CDFObjective().

template<class Real >

Real ROL::CDFObjective< Real >::valueCDF	(	const int	dim,
		const Real	loc,
		const ProbabilityVector< Real > &	prob,
		const AtomVector< Real > &	atom
	)		const

inlineprivate

Definition at line 77 of file ROL_CDFObjective.hpp.

References ROL::CDFObjective< Real >::bman_, ROL::AtomVector< Real >::getAtom(), ROL::ProbabilityVector< Real >::getNumMyAtoms(), ROL::ProbabilityVector< Real >::getProbability(), ROL::CDFObjective< Real >::scale_, and ROL::CDFObjective< Real >::sqrt2_.

Referenced by ROL::CDFObjective< Real >::value().

template<class Real >

Real ROL::CDFObjective< Real >::gradientCDF	(	std::vector< Real > &	gradx,
		std::vector< Real > &	gradp,
		const int	dim,
		const Real	loc,
		const ProbabilityVector< Real > &	prob,
		const AtomVector< Real > &	atom
	)		const

inlineprivate

Definition at line 91 of file ROL_CDFObjective.hpp.

References ROL::CDFObjective< Real >::bman_, ROL::AtomVector< Real >::getAtom(), ROL::ProbabilityVector< Real >::getNumMyAtoms(), ROL::ProbabilityVector< Real >::getProbability(), ROL::CDFObjective< Real >::scale_, ROL::CDFObjective< Real >::sqrt2_, and ROL::CDFObjective< Real >::sqrtpi_.

Referenced by ROL::CDFObjective< Real >::gradient().

template<class Real >

Real ROL::CDFObjective< Real >::hessVecCDF	(	std::vector< Real > &	hvxx,
		std::vector< Real > &	hvxp,
		std::vector< Real > &	hvpx,
		std::vector< Real > &	gradx,
		std::vector< Real > &	gradp,
		Real &	sumx,
		Real &	sump,
		const int	dim,
		const Real	loc,
		const ProbabilityVector< Real > &	prob,
		const AtomVector< Real > &	atom,
		const ProbabilityVector< Real > &	vprob,
		const AtomVector< Real > &	vatom
	)		const

inlineprivate

Definition at line 110 of file ROL_CDFObjective.hpp.

References ROL::CDFObjective< Real >::bman_, ROL::AtomVector< Real >::getAtom(), ROL::ProbabilityVector< Real >::getNumMyAtoms(), ROL::ProbabilityVector< Real >::getProbability(), ROL::CDFObjective< Real >::scale_, ROL::CDFObjective< Real >::sqrt2_, and ROL::CDFObjective< Real >::sqrtpi_.

Referenced by ROL::CDFObjective< Real >::hessVec().

template<class Real >

Real ROL::CDFObjective< Real >::value	(	const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Compute value.

This function returns the objective function value.

Parameters

[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact objective function computation.

Implements ROL::Objective< Real >.

Definition at line 161 of file ROL_CDFObjective.hpp.

References ROL::CDFObjective< Real >::dimension_, ROL::CDFObjective< Real >::dist_, ROL::SROMVector< Real >::getAtomVector(), ROL::SROMVector< Real >::getProbabilityVector(), ROL::CDFObjective< Real >::lowerBound_, ROL::CDFObjective< Real >::numPoints_, ROL::CDFObjective< Real >::pts_, ROL::CDFObjective< Real >::upperBound_, ROL::CDFObjective< Real >::valueCDF(), and ROL::CDFObjective< Real >::wts_.

template<class Real >

void ROL::CDFObjective< Real >::gradient	(	Vector< Real > &	g,
		const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Compute gradient.

This function returns the objective function gradient.

Parameters

[out]	g	is the gradient.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact objective function computation.

The default implementation is a finite-difference approximation based on the function value. This requires the definition of a basis \(\{\phi_i\}\) for the optimization vectors x and the definition of a basis \(\{\psi_j\}\) for the dual optimization vectors (gradient vectors g). The bases must be related through the Riesz map, i.e., \( R \{\phi_i\} = \{\psi_j\}\), and this must be reflected in the implementation of the ROL::Vector::dual() method.

Reimplemented from ROL::Objective< Real >.

Definition at line 180 of file ROL_CDFObjective.hpp.

template<class Real >

void ROL::CDFObjective< Real >::hessVec	(	Vector< Real > &	hv,
		const Vector< Real > &	v,
		const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Apply Hessian approximation to vector.

This function applies the Hessian of the objective function to the vector \(v\).

Parameters

[out]	hv	is the the action of the Hessian on \(v\).
[in]	v	is the direction vector.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact objective function computation.