ROL
Public Member Functions | Private Member Functions | Private Attributes | List of all members
ROL::PD_BPOE< Real > Class Template Reference

#include <ROL_PD_BPOE.hpp>

+ Inheritance diagram for ROL::PD_BPOE< Real >:

Public Member Functions

 PD_BPOE (const Real thresh)
 
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...
 
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::PD_RandVarFunctional< Real >
 PD_RandVarFunctional (void)
 
void setData (SampleGenerator< Real > &sampler, const Real pen, const Real lam=0.0)
 
virtual Real computeDual (SampleGenerator< Real > &sampler)
 
void updateDual (SampleGenerator< Real > &sampler)
 
void updatePenalty (const Real pen)
 
- 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 Member Functions

void initializeStorage (void)
 
void clear (void)
 
void checkInputs (void)
 

Private Attributes

Real thresh_
 
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::PD_RandVarFunctional< Real >
void setValue (const Real val, const std::vector< Real > &pt)
 
void getMultiplier (Real &lam, const std::vector< Real > &pt) const
 
void setMultiplier (Real &lam, const std::vector< Real > &pt)
 
Real getPenaltyParameter (void) const
 
Real ppf (const Real x, const Real t, const Real r, const int deriv=0) const
 
- 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_
 

Detailed Description

template<class Real>
class ROL::PD_BPOE< Real >

Definition at line 19 of file ROL_PD_BPOE.hpp.

Constructor & Destructor Documentation

template<class Real >
ROL::PD_BPOE< Real >::PD_BPOE ( const Real  thresh)
inline

Definition at line 67 of file ROL_PD_BPOE.hpp.

References ROL::PD_BPOE< Real >::checkInputs().

Member Function Documentation

template<class Real >
void ROL::PD_BPOE< Real >::initializeStorage ( void  )
inlineprivate
template<class Real >
void ROL::PD_BPOE< Real >::clear ( void  )
inlineprivate
template<class Real >
void ROL::PD_BPOE< Real >::checkInputs ( void  )
inlineprivate

Definition at line 62 of file ROL_PD_BPOE.hpp.

References ROL::PD_BPOE< Real >::initializeStorage().

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

template<class Real >
void ROL::PD_BPOE< Real >::setStorage ( const Ptr< ScalarController< Real >> &  value_storage,
const Ptr< VectorController< Real >> &  gradient_storage 
)
inlinevirtual
template<class Real >
void ROL::PD_BPOE< Real >::setHessVecStorage ( const Ptr< ScalarController< Real >> &  gradvec_storage,
const Ptr< VectorController< Real >> &  hessvec_storage 
)
inlinevirtual
template<class Real >
void ROL::PD_BPOE< Real >::initialize ( const Vector< Real > &  x)
inlinevirtual

Initialize temporary variables.

Parameters
[in]xis a vector used for initializing storage

Reimplemented from ROL::PD_RandVarFunctional< Real >.

Definition at line 86 of file ROL_PD_BPOE.hpp.

References ROL::PD_BPOE< Real >::clear(), and ROL::PD_RandVarFunctional< Real >::initialize().

template<class Real >
void ROL::PD_BPOE< Real >::updateValue ( Objective< Real > &  obj,
const Vector< Real > &  x,
const std::vector< Real > &  xstat,
Real &  tol 
)
inlinevirtual

Update internal storage for value computation.

Parameters
[in]valis the value of the random variable objective function at the current sample point
[in]weightis the weight associated with the current sample point

Reimplemented from ROL::RandVarFunctional< Real >.

Definition at line 91 of file ROL_PD_BPOE.hpp.

References ROL::RandVarFunctional< Real >::computeValue(), ROL::PD_RandVarFunctional< Real >::getMultiplier(), ROL::PD_RandVarFunctional< Real >::getPenaltyParameter(), ROL::RandVarFunctional< Real >::point_, ROL::PD_RandVarFunctional< Real >::ppf(), ROL::PD_RandVarFunctional< Real >::setValue(), ROL::PD_BPOE< Real >::thresh_, ROL::RandVarFunctional< Real >::val_, and ROL::RandVarFunctional< Real >::weight_.

template<class Real >
Real ROL::PD_BPOE< Real >::getValue ( const Vector< Real > &  x,
const std::vector< Real > &  xstat,
SampleGenerator< Real > &  sampler 
)
inlinevirtual

Return risk measure value.

Parameters
[in]sampleris 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 105 of file ROL_PD_BPOE.hpp.

References ROL::SampleGenerator< Real >::sumAll(), and ROL::RandVarFunctional< Real >::val_.

template<class Real >
void ROL::PD_BPOE< Real >::updateGradient ( Objective< Real > &  obj,
const Vector< Real > &  x,
const std::vector< Real > &  xstat,
Real &  tol 
)
inlinevirtual

Update internal risk measure storage for gradient computation.

Parameters
[in]valis the value of the random variable objective function at the current sample point
[in]gis the gradient of the random variable objective function at the current sample point
[in]weightis the weight associated with the current sample point

Reimplemented from ROL::RandVarFunctional< Real >.

Definition at line 113 of file ROL_PD_BPOE.hpp.

References ROL::RandVarFunctional< Real >::computeGradient(), ROL::RandVarFunctional< Real >::computeValue(), ROL::RandVarFunctional< Real >::dualVector_, ROL::RandVarFunctional< Real >::g_, ROL::PD_RandVarFunctional< Real >::getMultiplier(), ROL::PD_RandVarFunctional< Real >::getPenaltyParameter(), ROL::RandVarFunctional< Real >::point_, ROL::PD_RandVarFunctional< Real >::ppf(), ROL::PD_BPOE< Real >::thresh_, ROL::RandVarFunctional< Real >::val_, ROL::RandVarFunctional< Real >::weight_, and zero.

template<class Real >
void ROL::PD_BPOE< Real >::getGradient ( Vector< Real > &  g,
std::vector< Real > &  gstat,
const Vector< Real > &  x,
const std::vector< Real > &  xstat,
SampleGenerator< Real > &  sampler 
)
inlinevirtual

Return risk measure (sub)gradient.

Parameters
[out]gis the (sub)gradient of the risk measure
[in]sampleris 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 130 of file ROL_PD_BPOE.hpp.

References ROL::RandVarFunctional< Real >::g_, ROL::SampleGenerator< Real >::sumAll(), and ROL::RandVarFunctional< Real >::val_.

template<class Real >
void ROL::PD_BPOE< Real >::updateHessVec ( Objective< Real > &  obj,
const Vector< Real > &  v,
const std::vector< Real > &  vstat,
const Vector< Real > &  x,
const std::vector< Real > &  xstat,
Real &  tol 
)
inlinevirtual

Update internal risk measure storage for Hessian-time-a-vector computation.

Parameters
[in]valis the value of the random variable objective function at the current sample point
[in]gis the gradient of the random variable objective function at the current sample point
[in]gvis the gradient of the random variable objective function at the current sample point applied to the vector v0
[in]hvis the Hessian of the random variable objective function at the current sample point applied to the vector v0
[in]weightis the weight associated with the current sample point

Reimplemented from ROL::RandVarFunctional< Real >.

Definition at line 141 of file ROL_PD_BPOE.hpp.

References ROL::RandVarFunctional< Real >::computeGradVec(), ROL::RandVarFunctional< Real >::computeHessVec(), ROL::RandVarFunctional< Real >::computeValue(), ROL::RandVarFunctional< Real >::dualVector_, ROL::PD_RandVarFunctional< Real >::getMultiplier(), ROL::PD_RandVarFunctional< Real >::getPenaltyParameter(), ROL::RandVarFunctional< Real >::hv_, ROL::RandVarFunctional< Real >::point_, ROL::PD_RandVarFunctional< Real >::ppf(), ROL::PD_BPOE< Real >::thresh_, ROL::RandVarFunctional< Real >::val_, ROL::RandVarFunctional< Real >::weight_, and zero.

template<class Real >
void ROL::PD_BPOE< Real >::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 
)
inlinevirtual

Return risk measure Hessian-times-a-vector.

Parameters
[out]hvis the Hessian-times-a-vector of the risk measure
[in]sampleris 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 171 of file ROL_PD_BPOE.hpp.

References ROL::RandVarFunctional< Real >::hv_, ROL::SampleGenerator< Real >::sumAll(), and ROL::RandVarFunctional< Real >::val_.

Member Data Documentation

template<class Real >
Real ROL::PD_BPOE< Real >::thresh_
private
template<class Real >
Ptr<ScalarController<Real> > ROL::PD_BPOE< Real >::values_
private
template<class Real >
Ptr<ScalarController<Real> > ROL::PD_BPOE< Real >::gradvecs_
private
template<class Real >
Ptr<VectorController<Real> > ROL::PD_BPOE< Real >::gradients_
private
template<class Real >
Ptr<VectorController<Real> > ROL::PD_BPOE< Real >::hessvecs_
private

The documentation for this class was generated from the following file: