ROL
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Provides an interface for the mean plus a sum of arbitrary order deviations. More...
#include <ROL_MeanDeviation.hpp>
Public Member Functions | |
MeanDeviation (const Real order, const Real coeff, const Ptr< PositiveFunction< Real > > &pf) | |
Constructor. More... | |
MeanDeviation (const std::vector< Real > &order, const std::vector< Real > &coeff, const Ptr< PositiveFunction< Real > > &pf) | |
Constructor. More... | |
MeanDeviation (ROL::ParameterList &parlist) | |
Constructor. More... | |
void | setStorage (const Ptr< ScalarController< Real >> &value_storage, const Ptr< VectorController< Real >> &gradient_storage) |
void | setHessVecStorage (const Ptr< ScalarController< Real >> &gradvec_storage, const Ptr< VectorController< Real >> &hessvec_storage) |
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... | |
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 | 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... | |
Real | getValue (const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler) |
Return risk measure value. 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 | 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 | 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 Types | |
typedef std::vector< Real > ::size_type | uint |
Private Member Functions | |
void | initializeStorage (void) |
void | clear (void) |
void | checkInputs (void) |
Private Attributes | |
Ptr< PositiveFunction< Real > > | positiveFunction_ |
std::vector< Real > | order_ |
std::vector< Real > | coeff_ |
uint | NumMoments_ |
std::vector< Real > | dev0_ |
std::vector< Real > | dev1_ |
std::vector< Real > | dev2_ |
std::vector< Real > | dev3_ |
std::vector< Real > | des0_ |
std::vector< Real > | des1_ |
std::vector< Real > | des2_ |
std::vector< Real > | des3_ |
std::vector< Real > | devp_ |
std::vector< Real > | gvp1_ |
std::vector< Real > | gvp2_ |
std::vector< Real > | gvp3_ |
std::vector< Real > | gvs1_ |
std::vector< Real > | gvs2_ |
std::vector< Real > | gvs3_ |
Ptr< ScalarController< Real > > | values_ |
Ptr< ScalarController< Real > > | gradvecs_ |
Ptr< VectorController< Real > > | gradients_ |
Ptr< VectorController< Real > > | hessvecs_ |
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 an interface for the mean plus a sum of arbitrary order deviations.
The mean plus deviations risk measure is
\[ \mathcal{R}(X) = \mathbb{E}[X] + \sum_{k=1}^n c_k \mathbb{E}[\wp(X-\mathbb{E}[X])^{p_k}]^{1/p_k} \]
where \(\wp:\mathbb{R}\to[0,\infty)\) is either the absolute value or \((x)_+ = \max\{0,x\}\), \(c_k > 0\) and \(p_k\in\mathbb{N}\). In general, \(\mathcal{R}\) is law-invariant, but not coherent. In the specific case that \(\wp(x) = (x)_+\) and \(c_k\in[0,1]\), \(\mathcal{R}\) is coherent. On the other hand, the common mean-plus-standard-deviation risk measure (i.e., \(\wp(x) = |x|\), \(n=1\) and \(p_1 = 2\)) is not coherent since it violates monotonicity.
When using derivative-based optimization, the user can provide a smooth approximation of \((\cdot)_+\) using the ROL::PositiveFunction class.
Definition at line 46 of file ROL_MeanDeviation.hpp.
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Definition at line 47 of file ROL_MeanDeviation.hpp.
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Constructor.
[in] | order | is the deviation order |
[in] | coeff | is the weight for deviation term |
[in] | pf | is the plus function or an approximation |
This constructor produces a mean plus deviation risk measure with a single deviation.
Definition at line 159 of file ROL_MeanDeviation.hpp.
References ROL::MeanDeviation< Real >::checkInputs(), ROL::MeanDeviation< Real >::coeff_, and ROL::MeanDeviation< Real >::order_.
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Constructor.
[in] | order | is a vector of deviation orders |
[in] | coeff | is a vector of weights for the deviation terms |
[in] | pf | is the plus function or an approximation |
This constructor produces a mean plus deviation risk measure with an arbitrary number of deviations.
Definition at line 176 of file ROL_MeanDeviation.hpp.
References ROL::MeanDeviation< Real >::checkInputs(), ROL::MeanDeviation< Real >::coeff_, and ROL::MeanDeviation< Real >::order_.
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Constructor.
[in] | parlist | is a parameter list specifying inputs |
parlist should contain sublists "SOL"->"Risk Measure"->"Mean Plus Deviation" and within the "Mean Plus Deviation" sublist should have the following parameters
Definition at line 201 of file ROL_MeanDeviation.hpp.
References ROL::MeanDeviation< Real >::checkInputs(), ROL::MeanDeviation< Real >::coeff_, ROL::MeanDeviation< Real >::order_, and ROL::MeanDeviation< Real >::positiveFunction_.
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Definition at line 89 of file ROL_MeanDeviation.hpp.
References ROL::MeanDeviation< Real >::des0_, ROL::MeanDeviation< Real >::des1_, ROL::MeanDeviation< Real >::des2_, ROL::MeanDeviation< Real >::des3_, ROL::MeanDeviation< Real >::dev0_, ROL::MeanDeviation< Real >::dev1_, ROL::MeanDeviation< Real >::dev2_, ROL::MeanDeviation< Real >::dev3_, ROL::MeanDeviation< Real >::devp_, ROL::MeanDeviation< Real >::gradients_, ROL::MeanDeviation< Real >::gradvecs_, ROL::MeanDeviation< Real >::gvp1_, ROL::MeanDeviation< Real >::gvp2_, ROL::MeanDeviation< Real >::gvp3_, ROL::MeanDeviation< Real >::gvs1_, ROL::MeanDeviation< Real >::gvs2_, ROL::MeanDeviation< Real >::gvs3_, ROL::MeanDeviation< Real >::hessvecs_, ROL::MeanDeviation< Real >::NumMoments_, ROL::MeanDeviation< Real >::order_, ROL::RandVarFunctional< Real >::setHessVecStorage(), ROL::RandVarFunctional< Real >::setStorage(), and ROL::MeanDeviation< Real >::values_.
Referenced by ROL::MeanDeviation< Real >::checkInputs().
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Definition at line 117 of file ROL_MeanDeviation.hpp.
References ROL::MeanDeviation< Real >::des0_, ROL::MeanDeviation< Real >::des1_, ROL::MeanDeviation< Real >::des2_, ROL::MeanDeviation< Real >::des3_, ROL::MeanDeviation< Real >::dev0_, ROL::MeanDeviation< Real >::dev1_, ROL::MeanDeviation< Real >::dev2_, ROL::MeanDeviation< Real >::dev3_, ROL::MeanDeviation< Real >::devp_, ROL::MeanDeviation< Real >::gradvecs_, ROL::MeanDeviation< Real >::gvp1_, ROL::MeanDeviation< Real >::gvp2_, ROL::MeanDeviation< Real >::gvp3_, ROL::MeanDeviation< Real >::gvs1_, ROL::MeanDeviation< Real >::gvs2_, ROL::MeanDeviation< Real >::gvs3_, ROL::MeanDeviation< Real >::hessvecs_, ROL::MeanDeviation< Real >::NumMoments_, and zero.
Referenced by ROL::MeanDeviation< Real >::initialize().
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Definition at line 133 of file ROL_MeanDeviation.hpp.
References ROL::MeanDeviation< Real >::coeff_, ROL::MeanDeviation< Real >::initializeStorage(), ROL::MeanDeviation< Real >::order_, ROL::MeanDeviation< Real >::positiveFunction_, and zero.
Referenced by ROL::MeanDeviation< Real >::MeanDeviation().
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Reimplemented from ROL::RandVarFunctional< Real >.
Definition at line 227 of file ROL_MeanDeviation.hpp.
References ROL::MeanDeviation< Real >::gradients_, ROL::RandVarFunctional< Real >::setStorage(), and ROL::MeanDeviation< Real >::values_.
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Reimplemented from ROL::RandVarFunctional< Real >.
Definition at line 234 of file ROL_MeanDeviation.hpp.
References ROL::MeanDeviation< Real >::gradvecs_, ROL::MeanDeviation< Real >::hessvecs_, and ROL::RandVarFunctional< Real >::setHessVecStorage().
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Initialize temporary variables.
[in] | x | is a vector used for initializing storage |
Reimplemented from ROL::RandVarFunctional< Real >.
Definition at line 241 of file ROL_MeanDeviation.hpp.
References ROL::MeanDeviation< Real >::clear(), and ROL::RandVarFunctional< Real >::initialize().
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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 246 of file ROL_MeanDeviation.hpp.
References ROL::RandVarFunctional< Real >::computeValue(), ROL::RandVarFunctional< Real >::val_, and ROL::RandVarFunctional< Real >::weight_.
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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 254 of file ROL_MeanDeviation.hpp.
References ROL::RandVarFunctional< Real >::computeGradient(), ROL::RandVarFunctional< Real >::computeValue(), ROL::RandVarFunctional< Real >::dualVector_, ROL::RandVarFunctional< Real >::g_, ROL::RandVarFunctional< Real >::val_, and ROL::RandVarFunctional< Real >::weight_.
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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 264 of file ROL_MeanDeviation.hpp.
References ROL::RandVarFunctional< Real >::computeGradVec(), ROL::RandVarFunctional< Real >::computeHessVec(), ROL::RandVarFunctional< Real >::computeValue(), ROL::RandVarFunctional< Real >::dualVector_, ROL::RandVarFunctional< Real >::gv_, ROL::RandVarFunctional< Real >::val_, and ROL::RandVarFunctional< Real >::weight_.
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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 279 of file ROL_MeanDeviation.hpp.
References ROL::MeanDeviation< Real >::coeff_, ROL::MeanDeviation< Real >::des0_, ROL::MeanDeviation< Real >::dev0_, ROL::SampleGenerator< Real >::getMyPoint(), ROL::SampleGenerator< Real >::getMyWeight(), ROL::MeanDeviation< Real >::NumMoments_, ROL::SampleGenerator< Real >::numMySamples(), ROL::MeanDeviation< Real >::order_, ROL::MeanDeviation< Real >::positiveFunction_, ROL::SampleGenerator< Real >::start(), ROL::SampleGenerator< Real >::sumAll(), ROL::RandVarFunctional< Real >::val_, and ROL::MeanDeviation< Real >::values_.
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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 304 of file ROL_MeanDeviation.hpp.
References ROL::MeanDeviation< Real >::coeff_, ROL::MeanDeviation< Real >::des0_, ROL::MeanDeviation< Real >::des1_, ROL::MeanDeviation< Real >::dev0_, ROL::MeanDeviation< Real >::dev1_, ROL::RandVarFunctional< Real >::dualVector_, ROL::RandVarFunctional< Real >::g_, ROL::SampleGenerator< Real >::getMyPoint(), ROL::SampleGenerator< Real >::getMyWeight(), ROL::MeanDeviation< Real >::gradients_, ROL::MeanDeviation< Real >::NumMoments_, ROL::SampleGenerator< Real >::numMySamples(), ROL::MeanDeviation< Real >::order_, ROL::MeanDeviation< Real >::positiveFunction_, ROL::SampleGenerator< Real >::start(), ROL::SampleGenerator< Real >::sumAll(), ROL::RandVarFunctional< Real >::val_, ROL::MeanDeviation< Real >::values_, and zero.
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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 350 of file ROL_MeanDeviation.hpp.
References ROL::MeanDeviation< Real >::coeff_, ROL::MeanDeviation< Real >::des0_, ROL::MeanDeviation< Real >::des1_, ROL::MeanDeviation< Real >::des2_, ROL::MeanDeviation< Real >::des3_, ROL::MeanDeviation< Real >::dev0_, ROL::MeanDeviation< Real >::dev1_, ROL::MeanDeviation< Real >::dev2_, ROL::MeanDeviation< Real >::dev3_, ROL::MeanDeviation< Real >::devp_, ROL::RandVarFunctional< Real >::dualVector_, ROL::RandVarFunctional< Real >::g_, ROL::SampleGenerator< Real >::getMyPoint(), ROL::SampleGenerator< Real >::getMyWeight(), ROL::MeanDeviation< Real >::gradients_, ROL::MeanDeviation< Real >::gradvecs_, ROL::RandVarFunctional< Real >::gv_, ROL::MeanDeviation< Real >::gvp1_, ROL::MeanDeviation< Real >::gvp2_, ROL::MeanDeviation< Real >::gvp3_, ROL::MeanDeviation< Real >::gvs1_, ROL::MeanDeviation< Real >::gvs2_, ROL::MeanDeviation< Real >::gvs3_, ROL::MeanDeviation< Real >::hessvecs_, ROL::RandVarFunctional< Real >::hv_, ROL::MeanDeviation< Real >::NumMoments_, ROL::SampleGenerator< Real >::numMySamples(), ROL::MeanDeviation< Real >::order_, ROL::MeanDeviation< Real >::positiveFunction_, ROL::SampleGenerator< Real >::start(), ROL::SampleGenerator< Real >::sumAll(), ROL::RandVarFunctional< Real >::val_, ROL::MeanDeviation< Real >::values_, and zero.
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Definition at line 49 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::checkInputs(), ROL::MeanDeviation< Real >::getGradient(), ROL::MeanDeviation< Real >::getHessVec(), ROL::MeanDeviation< Real >::getValue(), and ROL::MeanDeviation< Real >::MeanDeviation().
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Definition at line 50 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::checkInputs(), ROL::MeanDeviation< Real >::getGradient(), ROL::MeanDeviation< Real >::getHessVec(), ROL::MeanDeviation< Real >::getValue(), ROL::MeanDeviation< Real >::initializeStorage(), and ROL::MeanDeviation< Real >::MeanDeviation().
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Definition at line 51 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::checkInputs(), ROL::MeanDeviation< Real >::getGradient(), ROL::MeanDeviation< Real >::getHessVec(), ROL::MeanDeviation< Real >::getValue(), and ROL::MeanDeviation< Real >::MeanDeviation().
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Definition at line 52 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getGradient(), ROL::MeanDeviation< Real >::getHessVec(), ROL::MeanDeviation< Real >::getValue(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 54 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getGradient(), ROL::MeanDeviation< Real >::getHessVec(), ROL::MeanDeviation< Real >::getValue(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 55 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getGradient(), ROL::MeanDeviation< Real >::getHessVec(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 56 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getHessVec(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 57 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getHessVec(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 58 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getGradient(), ROL::MeanDeviation< Real >::getHessVec(), ROL::MeanDeviation< Real >::getValue(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 59 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getGradient(), ROL::MeanDeviation< Real >::getHessVec(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 60 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getHessVec(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 61 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getHessVec(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 62 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getHessVec(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 63 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getHessVec(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 64 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getHessVec(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 65 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getHessVec(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 66 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getHessVec(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 67 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getHessVec(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 68 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getHessVec(), and ROL::MeanDeviation< Real >::initializeStorage().
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Definition at line 71 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getHessVec(), ROL::MeanDeviation< Real >::initializeStorage(), and ROL::MeanDeviation< Real >::setHessVecStorage().
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Definition at line 72 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::getGradient(), ROL::MeanDeviation< Real >::getHessVec(), ROL::MeanDeviation< Real >::initializeStorage(), and ROL::MeanDeviation< Real >::setStorage().
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Definition at line 73 of file ROL_MeanDeviation.hpp.
Referenced by ROL::MeanDeviation< Real >::clear(), ROL::MeanDeviation< Real >::getHessVec(), ROL::MeanDeviation< Real >::initializeStorage(), and ROL::MeanDeviation< Real >::setHessVecStorage().