#include <ROL_GenMoreauYosidaCVaR.hpp>
Inheritance diagram for ROL::GenMoreauYosidaCVaR< Real >:
Public Member Functions | |
| GenMoreauYosidaCVaR (Real prob, Real eps) | |
| Constructor. More... | |
| GenMoreauYosidaCVaR (Real prob, Real lam, Real eps) | |
| Constructor. More... | |
| GenMoreauYosidaCVaR (ROL::ParameterList &parlist) | |
| Constructor. More... | |
| Real | error (Real x, int deriv=0) |
| Evaluate the scalar error function at x. More... | |
| Real | regret (Real x, int deriv=0) |
| Evaluate the scalar regret function at x. More... | |
| void | check (void) |
| Run default derivative tests for the scalar regret function. More... | |
| Public Member Functions inherited from ROL::ExpectationQuad< Real > | |
| virtual | ~ExpectationQuad (void) |
| ExpectationQuad (void) | |
Private Member Functions | |
| void | parseParameterList (ROL::ParameterList &parlist) |
| void | checkInputs (void) const |
| void | setParameters (void) |
Private Attributes | |
| Real | prob_ |
| Real | lam_ |
| Real | eps_ |
| Real | alpha_ |
| Real | beta_ |
| Real | omp_ |
| Real | oma_ |
| Real | bmo_ |
| Real | lb_ |
| Real | ub_ |
Detailed Description
template<class Real>
class ROL::GenMoreauYosidaCVaR< Real >
Definition at line 71 of file ROL_GenMoreauYosidaCVaR.hpp.
Constructor & Destructor Documentation
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inline |
Constructor.
- Parameters
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[in] prob is the confidence level [in] eps is the regularization parameter
Definition at line 134 of file ROL_GenMoreauYosidaCVaR.hpp.
References ROL::GenMoreauYosidaCVaR< Real >::checkInputs(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().
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inline |
Constructor.
- Parameters
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[in] prob is the confidence level [in] lam is the convex combination parameter [in] eps is the regularization parameter
Definition at line 146 of file ROL_GenMoreauYosidaCVaR.hpp.
References ROL::GenMoreauYosidaCVaR< Real >::checkInputs(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().
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inline |
Constructor.
- Parameters
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[in] parlist is a parameter list specifying inputs
parlist should contain sublists "SOL"->"Risk Measure"->"Moreau-Yosida CVaR" and within the "Moreau-Yosida CVaR" sublist should have the following parameters
- "Confidence Level" (between 0 and 1)
- "Convex Combination Parameter" (between 0 and 1)
- "Smoothing Parameter" (must be positive)
Definition at line 162 of file ROL_GenMoreauYosidaCVaR.hpp.
References ROL::GenMoreauYosidaCVaR< Real >::checkInputs(), ROL::GenMoreauYosidaCVaR< Real >::parseParameterList(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().
Member Function Documentation
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inlineprivate |
Definition at line 87 of file ROL_GenMoreauYosidaCVaR.hpp.
References ROL::GenMoreauYosidaCVaR< Real >::eps_, ROL::GenMoreauYosidaCVaR< Real >::lam_, and ROL::GenMoreauYosidaCVaR< Real >::prob_.
Referenced by ROL::GenMoreauYosidaCVaR< Real >::GenMoreauYosidaCVaR().
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inlineprivate |
Definition at line 107 of file ROL_GenMoreauYosidaCVaR.hpp.
References ROL::GenMoreauYosidaCVaR< Real >::eps_, ROL::GenMoreauYosidaCVaR< Real >::lam_, ROL::GenMoreauYosidaCVaR< Real >::prob_, and zero.
Referenced by ROL::GenMoreauYosidaCVaR< Real >::GenMoreauYosidaCVaR().
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inlineprivate |
Definition at line 117 of file ROL_GenMoreauYosidaCVaR.hpp.
References ROL::GenMoreauYosidaCVaR< Real >::alpha_, ROL::GenMoreauYosidaCVaR< Real >::beta_, ROL::GenMoreauYosidaCVaR< Real >::bmo_, ROL::GenMoreauYosidaCVaR< Real >::eps_, ROL::GenMoreauYosidaCVaR< Real >::lam_, ROL::GenMoreauYosidaCVaR< Real >::lb_, ROL::GenMoreauYosidaCVaR< Real >::oma_, ROL::GenMoreauYosidaCVaR< Real >::omp_, ROL::GenMoreauYosidaCVaR< Real >::prob_, and ROL::GenMoreauYosidaCVaR< Real >::ub_.
Referenced by ROL::GenMoreauYosidaCVaR< Real >::GenMoreauYosidaCVaR().
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inlinevirtual |
Evaluate the scalar error function at x.
- Parameters
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[in] x is the scalar input [in] deriv is the derivative order
This function returns \(e(x)\) or a derivative of \(e(x)\).
Reimplemented from ROL::ExpectationQuad< Real >.
Definition at line 169 of file ROL_GenMoreauYosidaCVaR.hpp.
References ROL::GenMoreauYosidaCVaR< Real >::regret(), and zero.
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inlinevirtual |
Evaluate the scalar regret function at x.
- Parameters
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[in] x is the scalar input [in] deriv is the derivative order
This function returns \(v(x)\) or a derivative of \(v(x)\).
Implements ROL::ExpectationQuad< Real >.
Definition at line 175 of file ROL_GenMoreauYosidaCVaR.hpp.
References ROL::GenMoreauYosidaCVaR< Real >::alpha_, ROL::GenMoreauYosidaCVaR< Real >::beta_, ROL::GenMoreauYosidaCVaR< Real >::bmo_, ROL::GenMoreauYosidaCVaR< Real >::eps_, ROL::GenMoreauYosidaCVaR< Real >::lb_, ROL::GenMoreauYosidaCVaR< Real >::oma_, ROL::GenMoreauYosidaCVaR< Real >::ub_, and zero.
Referenced by ROL::GenMoreauYosidaCVaR< Real >::check(), and ROL::GenMoreauYosidaCVaR< Real >::error().
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inlinevirtual |
Run default derivative tests for the scalar regret function.
Reimplemented from ROL::ExpectationQuad< Real >.
Definition at line 192 of file ROL_GenMoreauYosidaCVaR.hpp.
References ROL::ExpectationQuad< Real >::check(), ROL::GenMoreauYosidaCVaR< Real >::lb_, ROL::GenMoreauYosidaCVaR< Real >::regret(), ROL::GenMoreauYosidaCVaR< Real >::ub_, and zero.
Member Data Documentation
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private |
Definition at line 74 of file ROL_GenMoreauYosidaCVaR.hpp.
Referenced by ROL::GenMoreauYosidaCVaR< Real >::checkInputs(), ROL::GenMoreauYosidaCVaR< Real >::parseParameterList(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().
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private |
Definition at line 75 of file ROL_GenMoreauYosidaCVaR.hpp.
Referenced by ROL::GenMoreauYosidaCVaR< Real >::checkInputs(), ROL::GenMoreauYosidaCVaR< Real >::parseParameterList(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().
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private |
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private |
Definition at line 78 of file ROL_GenMoreauYosidaCVaR.hpp.
Referenced by ROL::GenMoreauYosidaCVaR< Real >::regret(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().
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private |
Definition at line 79 of file ROL_GenMoreauYosidaCVaR.hpp.
Referenced by ROL::GenMoreauYosidaCVaR< Real >::regret(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().
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Definition at line 81 of file ROL_GenMoreauYosidaCVaR.hpp.
Referenced by ROL::GenMoreauYosidaCVaR< Real >::setParameters().
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Definition at line 82 of file ROL_GenMoreauYosidaCVaR.hpp.
Referenced by ROL::GenMoreauYosidaCVaR< Real >::regret(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().
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private |
Definition at line 83 of file ROL_GenMoreauYosidaCVaR.hpp.
Referenced by ROL::GenMoreauYosidaCVaR< Real >::regret(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().
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private |
Definition at line 84 of file ROL_GenMoreauYosidaCVaR.hpp.
Referenced by ROL::GenMoreauYosidaCVaR< Real >::check(), ROL::GenMoreauYosidaCVaR< Real >::regret(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().
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private |
Definition at line 85 of file ROL_GenMoreauYosidaCVaR.hpp.
Referenced by ROL::GenMoreauYosidaCVaR< Real >::check(), ROL::GenMoreauYosidaCVaR< Real >::regret(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().
The documentation for this class was generated from the following file:
