ROL
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#include <ROL_PD_RandVarFunctional.hpp>
Public Member Functions | |
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) |
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 | initialize (const Vector< Real > &x) |
Initialize temporary variables. 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... | |
virtual void | updateValue (Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol) |
Update internal storage for value computation. More... | |
virtual 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... | |
virtual 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... | |
virtual Real | getValue (const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler) |
Return risk measure value. More... | |
virtual 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... | |
virtual 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... | |
Protected Member Functions | |
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) |
Private Types | |
typedef std::vector< Real > ::size_type | uint |
Private Attributes | |
Real | pen_ |
int | update_ |
bool | setData_ |
Ptr< ScalarController< Real > > | values_ |
Ptr< ScalarController< Real > > | multipliers_ |
Ptr< ScalarController< Real > > | multipliers_new_ |
Additional Inherited Members | |
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_ |
Definition at line 18 of file ROL_PD_RandVarFunctional.hpp.
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Definition at line 19 of file ROL_PD_RandVarFunctional.hpp.
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Definition at line 68 of file ROL_PD_RandVarFunctional.hpp.
References ROL::PD_RandVarFunctional< Real >::multipliers_, ROL::PD_RandVarFunctional< Real >::multipliers_new_, and ROL::PD_RandVarFunctional< Real >::values_.
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Definition at line 31 of file ROL_PD_RandVarFunctional.hpp.
References ROL::PD_RandVarFunctional< Real >::values_.
Referenced by ROL::PD_MeanSemiDeviation< Real >::getValue(), ROL::PD_BPOE< Real >::updateValue(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateValue(), ROL::PD_CVaR< Real >::updateValue(), and ROL::PD_HMCR2< Real >::updateValue().
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Definition at line 36 of file ROL_PD_RandVarFunctional.hpp.
References ROL::PD_RandVarFunctional< Real >::multipliers_.
Referenced by ROL::PD_HMCR2< Real >::computeDual(), ROL::PD_MeanSemiDeviation< Real >::getGradient(), ROL::PD_MeanSemiDeviation< Real >::getHessVec(), ROL::PD_MeanSemiDeviation< Real >::getValue(), ROL::PD_BPOE< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateGradient(), ROL::PD_CVaR< Real >::updateGradient(), ROL::PD_HMCR2< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateHessVec(), ROL::PD_CVaR< Real >::updateHessVec(), ROL::PD_HMCR2< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateValue(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateValue(), ROL::PD_CVaR< Real >::updateValue(), and ROL::PD_HMCR2< Real >::updateValue().
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Definition at line 40 of file ROL_PD_RandVarFunctional.hpp.
References ROL::PD_RandVarFunctional< Real >::multipliers_new_.
Referenced by ROL::PD_HMCR2< Real >::computeDual().
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Definition at line 45 of file ROL_PD_RandVarFunctional.hpp.
References ROL::PD_RandVarFunctional< Real >::pen_.
Referenced by ROL::PD_HMCR2< Real >::computeDual(), ROL::PD_MeanSemiDeviation< Real >::getGradient(), ROL::PD_HMCR2< Real >::getGradient(), ROL::PD_MeanSemiDeviation< Real >::getHessVec(), ROL::PD_HMCR2< Real >::getHessVec(), ROL::PD_MeanSemiDeviation< Real >::getValue(), ROL::PD_HMCR2< Real >::getValue(), ROL::PD_BPOE< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateGradient(), ROL::PD_CVaR< Real >::updateGradient(), ROL::PD_HMCR2< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateHessVec(), ROL::PD_CVaR< Real >::updateHessVec(), ROL::PD_HMCR2< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateValue(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateValue(), ROL::PD_CVaR< Real >::updateValue(), and ROL::PD_HMCR2< Real >::updateValue().
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Definition at line 50 of file ROL_PD_RandVarFunctional.hpp.
References zero.
Referenced by ROL::PD_MeanSemiDeviation< Real >::getGradient(), ROL::PD_MeanSemiDeviation< Real >::getHessVec(), ROL::PD_MeanSemiDeviation< Real >::getValue(), ROL::PD_BPOE< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateGradient(), ROL::PD_CVaR< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateHessVec(), ROL::PD_CVaR< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateValue(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateValue(), and ROL::PD_CVaR< Real >::updateValue().
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Definition at line 75 of file ROL_PD_RandVarFunctional.hpp.
References ROL::SampleGenerator< Real >::getMyPoint(), ROL::PD_RandVarFunctional< Real >::multipliers_, ROL::SampleGenerator< Real >::numMySamples(), ROL::PD_RandVarFunctional< Real >::pen_, ROL::PD_RandVarFunctional< Real >::setData_, and ROL::SampleGenerator< Real >::start().
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Reimplemented in ROL::PD_HMCR2< Real >.
Definition at line 85 of file ROL_PD_RandVarFunctional.hpp.
References ROL::SampleGenerator< Real >::getMyPoint(), ROL::SampleGenerator< Real >::getMyWeight(), ROL::PD_RandVarFunctional< Real >::multipliers_, ROL::PD_RandVarFunctional< Real >::multipliers_new_, ROL::SampleGenerator< Real >::numMySamples(), ROL::PD_RandVarFunctional< Real >::pen_, ROL::SampleGenerator< Real >::start(), ROL::SampleGenerator< Real >::sumAll(), ROL::PD_RandVarFunctional< Real >::update_, ROL::PD_RandVarFunctional< Real >::values_, and zero.
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Definition at line 106 of file ROL_PD_RandVarFunctional.hpp.
References ROL::SampleGenerator< Real >::getMyPoint(), ROL::PD_RandVarFunctional< Real >::multipliers_, ROL::PD_RandVarFunctional< Real >::multipliers_new_, ROL::SampleGenerator< Real >::numMySamples(), and ROL::SampleGenerator< Real >::start().
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Definition at line 114 of file ROL_PD_RandVarFunctional.hpp.
References ROL::PD_RandVarFunctional< Real >::pen_.
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Reimplemented from ROL::RandVarFunctional< Real >.
Reimplemented in ROL::PD_CVaR< Real >, ROL::PD_HMCR2< Real >, ROL::PD_MeanSemiDeviationFromTarget< Real >, ROL::PD_MeanSemiDeviation< Real >, and ROL::PD_BPOE< Real >.
Definition at line 118 of file ROL_PD_RandVarFunctional.hpp.
References ROL::RandVarFunctional< Real >::setStorage().
Referenced by ROL::PD_BPOE< Real >::setStorage(), ROL::PD_MeanSemiDeviation< Real >::setStorage(), ROL::PD_MeanSemiDeviationFromTarget< Real >::setStorage(), ROL::PD_HMCR2< Real >::setStorage(), and ROL::PD_CVaR< Real >::setStorage().
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Reimplemented from ROL::RandVarFunctional< Real >.
Reimplemented in ROL::PD_CVaR< Real >, ROL::PD_HMCR2< Real >, ROL::PD_MeanSemiDeviationFromTarget< Real >, ROL::PD_MeanSemiDeviation< Real >, and ROL::PD_BPOE< Real >.
Definition at line 123 of file ROL_PD_RandVarFunctional.hpp.
References ROL::RandVarFunctional< Real >::setHessVecStorage().
Referenced by ROL::PD_BPOE< Real >::setHessVecStorage(), ROL::PD_MeanSemiDeviation< Real >::setHessVecStorage(), ROL::PD_MeanSemiDeviationFromTarget< Real >::setHessVecStorage(), ROL::PD_HMCR2< Real >::setHessVecStorage(), and ROL::PD_CVaR< Real >::setHessVecStorage().
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Initialize temporary variables.
[in] | x | is a vector used for initializing storage |
Reimplemented from ROL::RandVarFunctional< Real >.
Reimplemented in ROL::PD_HMCR2< Real >, ROL::PD_CVaR< Real >, ROL::PD_MeanSemiDeviationFromTarget< Real >, ROL::PD_MeanSemiDeviation< Real >, and ROL::PD_BPOE< Real >.
Definition at line 128 of file ROL_PD_RandVarFunctional.hpp.
References ROL::RandVarFunctional< Real >::initialize().
Referenced by ROL::PD_BPOE< Real >::initialize(), ROL::PD_MeanSemiDeviation< Real >::initialize(), ROL::PD_MeanSemiDeviationFromTarget< Real >::initialize(), ROL::PD_CVaR< Real >::initialize(), and ROL::PD_HMCR2< Real >::initialize().
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Definition at line 22 of file ROL_PD_RandVarFunctional.hpp.
Referenced by ROL::PD_RandVarFunctional< Real >::computeDual().
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Definition at line 23 of file ROL_PD_RandVarFunctional.hpp.
Referenced by ROL::PD_RandVarFunctional< Real >::setData().
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Definition at line 25 of file ROL_PD_RandVarFunctional.hpp.
Referenced by ROL::PD_RandVarFunctional< Real >::computeDual(), ROL::PD_RandVarFunctional< Real >::PD_RandVarFunctional(), and ROL::PD_RandVarFunctional< Real >::setValue().
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Definition at line 26 of file ROL_PD_RandVarFunctional.hpp.
Referenced by ROL::PD_RandVarFunctional< Real >::computeDual(), ROL::PD_RandVarFunctional< Real >::getMultiplier(), ROL::PD_RandVarFunctional< Real >::PD_RandVarFunctional(), ROL::PD_RandVarFunctional< Real >::setData(), and ROL::PD_RandVarFunctional< Real >::updateDual().
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