ROL
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Provides the interface for the coherent entropic risk measure. More...
#include <ROL_CoherentEntropicRisk.hpp>
Public Member Functions | |
CoherentEntropicRisk (void) | |
void | initialize (const Vector< Real > &x) |
Initialize temporary variables. More... | |
void | updateValue (Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol) |
Update internal storage for value computation. More... | |
Real | getValue (const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler) |
Return risk measure value. More... | |
void | updateGradient (Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol) |
Update internal risk measure storage for gradient computation. More... | |
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. More... | |
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. More... | |
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. More... | |
Public Member Functions inherited from ROL::RandVarFunctional< Real > | |
virtual | ~RandVarFunctional () |
RandVarFunctional (void) | |
weight_ (0) | |
void | useStorage (bool storage) |
void | useHessVecStorage (bool storage) |
virtual void | setStorage (const Ptr< ScalarController< Real >> &value_storage, const Ptr< VectorController< Real >> &gradient_storage) |
virtual void | setHessVecStorage (const Ptr< ScalarController< Real >> &gradvec_storage, const Ptr< VectorController< Real >> &hessvec_storage) |
virtual void | resetStorage (bool flag=true) |
Reset internal storage. More... | |
virtual void | resetStorage (UpdateType type) |
virtual void | setSample (const std::vector< Real > &point, const Real weight) |
virtual Real | computeStatistic (const Ptr< const std::vector< Real >> &xstat) const |
Compute statistic. More... | |
Private Attributes | |
Real | dval1_ |
Real | dval2_ |
Real | dval3_ |
Additional Inherited Members | |
Protected Member Functions inherited from ROL::RandVarFunctional< Real > | |
Real | computeValue (Objective< Real > &obj, const Vector< Real > &x, Real &tol) |
void | computeGradient (Vector< Real > &g, Objective< Real > &obj, const Vector< Real > &x, Real &tol) |
Real | computeGradVec (Vector< Real > &g, Objective< Real > &obj, const Vector< Real > &v, const Vector< Real > &x, Real &tol) |
void | computeHessVec (Vector< Real > &hv, Objective< Real > &obj, const Vector< Real > &v, const Vector< Real > &x, Real &tol) |
Protected Attributes inherited from ROL::RandVarFunctional< Real > | |
Real | val_ |
Real | gv_ |
Ptr< Vector< Real > > | g_ |
Ptr< Vector< Real > > | hv_ |
Ptr< Vector< Real > > | dualVector_ |
bool | firstReset_ |
std::vector< Real > | point_ |
Real | weight_ |
Provides the interface for the coherent entropic risk measure.
The coherent entropic risk measure is
\[ \mathcal{R}(X) = \inf_{\lambda > 0} \left\{ \lambda \log\mathbb{E}\left[\exp\left(\frac{X}{\lambda}\right)\right] \right\}. \]
\(\mathcal{R}\) is a law-invariant coherent risk measure. ROL implements this by augmenting the optimization vector \(x_0\) with the parameter \(\lambda\), then minimizes jointly for \((x_0,\lambda)\).
Definition at line 33 of file ROL_CoherentEntropicRisk.hpp.
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Definition at line 53 of file ROL_CoherentEntropicRisk.hpp.
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inlinevirtual |
Initialize temporary variables.
[in] | x | is a vector used for initializing storage |
Reimplemented from ROL::RandVarFunctional< Real >.
Definition at line 56 of file ROL_CoherentEntropicRisk.hpp.
References ROL::CoherentEntropicRisk< Real >::dval1_, ROL::CoherentEntropicRisk< Real >::dval2_, ROL::CoherentEntropicRisk< Real >::dval3_, ROL::RandVarFunctional< Real >::initialize(), and zero.
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inlinevirtual |
Update internal storage for value computation.
[in] | val | is the value of the random variable objective function at the current sample point |
[in] | weight | is the weight associated with the current sample point |
Reimplemented from ROL::RandVarFunctional< Real >.
Definition at line 62 of file ROL_CoherentEntropicRisk.hpp.
References ROL::RandVarFunctional< Real >::computeValue(), ROL::RandVarFunctional< Real >::val_, and ROL::RandVarFunctional< Real >::weight_.
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inlinevirtual |
Return risk measure value.
[in] | sampler | is the ROL::SampleGenerator used to sample the objective function |
Upon return, getValue returns \(\mathcal{R}(f(x_0))\) where \(f(x_0)\) denotes the random variable objective function evaluated at \(x_0\).
Reimplemented from ROL::RandVarFunctional< Real >.
Definition at line 70 of file ROL_CoherentEntropicRisk.hpp.
References ROL::SampleGenerator< Real >::sumAll(), and ROL::RandVarFunctional< Real >::val_.
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inlinevirtual |
Update internal risk measure storage for gradient computation.
[in] | val | is the value of the random variable objective function at the current sample point |
[in] | g | is the gradient of the random variable objective function at the current sample point |
[in] | weight | is the weight associated with the current sample point |
Reimplemented from ROL::RandVarFunctional< Real >.
Definition at line 78 of file ROL_CoherentEntropicRisk.hpp.
References ROL::RandVarFunctional< Real >::computeGradient(), ROL::RandVarFunctional< Real >::computeValue(), ROL::RandVarFunctional< Real >::dualVector_, ROL::RandVarFunctional< Real >::g_, ROL::RandVarFunctional< Real >::gv_, ROL::RandVarFunctional< Real >::val_, and ROL::RandVarFunctional< Real >::weight_.
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inlinevirtual |
Return risk measure (sub)gradient.
[out] | g | is the (sub)gradient of the risk measure |
[in] | sampler | is the ROL::SampleGenerator used to sample the objective function |
Upon return, getGradient returns \(\theta\in\partial\mathcal{R}(f(x_0))\) where \(f(x_0)\) denotes the random variable objective function evaluated at \(x_0\) and \(\partial\mathcal{R}(X)\) denotes the subdifferential of \(\mathcal{R}\) at \(X\).
Reimplemented from ROL::RandVarFunctional< Real >.
Definition at line 90 of file ROL_CoherentEntropicRisk.hpp.
References ROL::RandVarFunctional< Real >::g_, ROL::RandVarFunctional< Real >::gv_, ROL::Vector< Real >::scale(), ROL::SampleGenerator< Real >::sumAll(), and ROL::RandVarFunctional< Real >::val_.
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inlinevirtual |
Update internal risk measure storage for Hessian-time-a-vector computation.
[in] | val | is the value of the random variable objective function at the current sample point |
[in] | g | is the gradient of the random variable objective function at the current sample point |
[in] | gv | is the gradient of the random variable objective function at the current sample point applied to the vector v0 |
[in] | hv | is the Hessian of the random variable objective function at the current sample point applied to the vector v0 |
[in] | weight | is the weight associated with the current sample point |
Reimplemented from ROL::RandVarFunctional< Real >.
Definition at line 107 of file ROL_CoherentEntropicRisk.hpp.
References ROL::RandVarFunctional< Real >::computeGradVec(), ROL::RandVarFunctional< Real >::computeHessVec(), ROL::RandVarFunctional< Real >::computeValue(), ROL::RandVarFunctional< Real >::dualVector_, ROL::CoherentEntropicRisk< Real >::dval1_, ROL::CoherentEntropicRisk< Real >::dval2_, ROL::CoherentEntropicRisk< Real >::dval3_, ROL::RandVarFunctional< Real >::g_, ROL::RandVarFunctional< Real >::gv_, ROL::RandVarFunctional< Real >::hv_, ROL::RandVarFunctional< Real >::val_, and ROL::RandVarFunctional< Real >::weight_.
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inlinevirtual |
Return risk measure Hessian-times-a-vector.
[out] | hv | is the Hessian-times-a-vector of the risk measure |
[in] | sampler | is the ROL::SampleGenerator used to sample the objective function |
Upon return, getHessVec returns \(\nabla^2 \mathcal{R}(f(x_0))v_0\) (if available) where \(f(x_0)\) denotes the random variable objective function evaluated at \(x_0\).
Reimplemented from ROL::RandVarFunctional< Real >.
Definition at line 130 of file ROL_CoherentEntropicRisk.hpp.
References ROL::Vector< Real >::axpy(), ROL::RandVarFunctional< Real >::dualVector_, ROL::CoherentEntropicRisk< Real >::dval1_, ROL::CoherentEntropicRisk< Real >::dval2_, ROL::CoherentEntropicRisk< Real >::dval3_, ROL::RandVarFunctional< Real >::g_, ROL::RandVarFunctional< Real >::gv_, ROL::RandVarFunctional< Real >::hv_, ROL::Vector< Real >::scale(), ROL::SampleGenerator< Real >::sumAll(), and ROL::RandVarFunctional< Real >::val_.
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private |
Definition at line 35 of file ROL_CoherentEntropicRisk.hpp.
Referenced by ROL::CoherentEntropicRisk< Real >::getHessVec(), ROL::CoherentEntropicRisk< Real >::initialize(), and ROL::CoherentEntropicRisk< Real >::updateHessVec().
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private |
Definition at line 36 of file ROL_CoherentEntropicRisk.hpp.
Referenced by ROL::CoherentEntropicRisk< Real >::getHessVec(), ROL::CoherentEntropicRisk< Real >::initialize(), and ROL::CoherentEntropicRisk< Real >::updateHessVec().
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private |
Definition at line 37 of file ROL_CoherentEntropicRisk.hpp.
Referenced by ROL::CoherentEntropicRisk< Real >::getHessVec(), ROL::CoherentEntropicRisk< Real >::initialize(), and ROL::CoherentEntropicRisk< Real >::updateHessVec().