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

Provides the interface for the progressive hedging error objective. More...

#include <ROL_PH_ErrorObjective.hpp>

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

Public Member Functions

 PH_ErrorObjective (const Ptr< Objective< Real >> &obj, ParameterList &parlist)
 
void update (const Vector< Real > &x, bool flag=true, int iter=-1)
 Update objective function. More...
 
Real value (const Vector< Real > &x, Real &tol)
 Compute value. More...
 
void gradient (Vector< Real > &g, const Vector< Real > &x, Real &tol)
 Compute gradient. More...
 
void hessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
 Apply Hessian approximation to vector. More...
 
void setParameter (const std::vector< Real > &param)
 
- Public Member Functions inherited from ROL::Objective< Real >
virtual ~Objective ()
 
 Objective ()
 
virtual void update (const Vector< Real > &x, UpdateType type, int iter=-1)
 Update objective function. More...
 
virtual Real dirDeriv (const Vector< Real > &x, const Vector< Real > &d, Real &tol)
 Compute directional derivative. More...
 
virtual void invHessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
 Apply inverse Hessian approximation to vector. More...
 
virtual void precond (Vector< Real > &Pv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
 Apply preconditioner to vector. More...
 
virtual void prox (Vector< Real > &Pv, const Vector< Real > &v, Real t, Real &tol)
 
virtual std::vector
< std::vector< Real > > 		checkGradient (const Vector< Real > &x, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
 Finite-difference gradient check. More...
 
virtual std::vector
< std::vector< Real > > 		checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
 Finite-difference gradient check. More...
 
virtual std::vector
< std::vector< Real > > 		checkGradient (const Vector< Real > &x, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
 Finite-difference gradient check with specified step sizes. More...
 
virtual std::vector
< std::vector< Real > > 		checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
 Finite-difference gradient check with specified step sizes. More...
 
virtual std::vector
< std::vector< Real > > 		checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
 Finite-difference Hessian-applied-to-vector check. More...
 
virtual std::vector
< std::vector< Real > > 		checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
 Finite-difference Hessian-applied-to-vector check. More...
 
virtual std::vector
< std::vector< Real > > 		checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
 Finite-difference Hessian-applied-to-vector check with specified step sizes. More...
 
virtual std::vector
< std::vector< Real > > 		checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
 Finite-difference Hessian-applied-to-vector check with specified step sizes. More...
 
virtual std::vector< Real > checkHessSym (const Vector< Real > &x, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
 Hessian symmetry check. More...
 
virtual std::vector< Real > checkHessSym (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
 Hessian symmetry check. More...
 

Private Member Functions

void getValue (const Vector< Real > &x, Real &tol)
 
void getGradient (const Vector< Real > &x, Real &tol)
 

Private Attributes

const Ptr< Objective< Real > > obj_
 
Ptr< ExpectationQuad< Real > > quad_
 
bool isValueComputed_
 
Real val_
 
bool isGradientInitialized_
 
bool isGradientComputed_
 
Ptr< Vector< Real > > g_
 

Additional Inherited Members

- Protected Member Functions inherited from ROL::Objective< Real >
const std::vector< Real > getParameter (void) const
 

Detailed Description

template<class Real>
class ROL::PH_ErrorObjective< Real >

Provides the interface for the progressive hedging error objective.

Definition at line 25 of file ROL_PH_ErrorObjective.hpp.

Constructor & Destructor Documentation

template<class Real >
ROL::PH_ErrorObjective< Real >::PH_ErrorObjective ( const Ptr< Objective< Real >> &  obj,
ParameterList &  parlist 
)
inline

Definition at line 57 of file ROL_PH_ErrorObjective.hpp.

References ROL::ERRORMEASURE_GENMOREAUYOSIDACVAR, ROL::ERRORMEASURE_LOGEXPONENTIALQUADRANGLE, ROL::ERRORMEASURE_LOGQUANTILEQUADRANGLE, ROL::ERRORMEASURE_MEANVARIANCEQUADRANGLE, ROL::ERRORMEASURE_MOREAUYOSIDACVAR, ROL::ERRORMEASURE_QUANTILEQUADRANGLE, ROL::ERRORMEASURE_SMOOTHEDWORSTCASEQUADRANGLE, ROL::ERRORMEASURE_TRUNCATEDMEANQUADRANGLE, ROL::PH_ErrorObjective< Real >::quad_, and ROL::StringToEErrorMeasure().

Member Function Documentation

template<class Real >
void ROL::PH_ErrorObjective< Real >::getValue ( const Vector< Real > &  x,
Real &  tol 
)
inlineprivate

Definition at line 37 of file ROL_PH_ErrorObjective.hpp.

References ROL::PH_ErrorObjective< Real >::isValueComputed_, ROL::PH_ErrorObjective< Real >::obj_, and ROL::PH_ErrorObjective< Real >::val_.

Referenced by ROL::PH_ErrorObjective< Real >::gradient(), ROL::PH_ErrorObjective< Real >::hessVec(), and ROL::PH_ErrorObjective< Real >::value().

template<class Real >
void ROL::PH_ErrorObjective< Real >::getGradient ( const Vector< Real > &  x,
Real &  tol 
)
inlineprivate

Definition at line 44 of file ROL_PH_ErrorObjective.hpp.

References ROL::Vector< Real >::dual(), ROL::PH_ErrorObjective< Real >::g_, ROL::PH_ErrorObjective< Real >::isGradientComputed_, ROL::PH_ErrorObjective< Real >::isGradientInitialized_, and ROL::PH_ErrorObjective< Real >::obj_.

Referenced by ROL::PH_ErrorObjective< Real >::gradient(), and ROL::PH_ErrorObjective< Real >::hessVec().

template<class Real >
void ROL::PH_ErrorObjective< Real >::update ( const Vector< Real > &  x,
bool  flag = true,
int  iter = -1 
)
inlinevirtual

Update objective function.

This function updates the objective function at new iterations.

Parameters
[in]xis the new iterate.
[in]flagis true if the iterate has changed.
[in]iteris the outer algorithm iterations count.

Reimplemented from ROL::Objective< Real >.

Definition at line 88 of file ROL_PH_ErrorObjective.hpp.

References ROL::PH_ErrorObjective< Real >::isGradientComputed_, ROL::PH_ErrorObjective< Real >::isValueComputed_, and ROL::PH_ErrorObjective< Real >::obj_.

template<class Real >
Real ROL::PH_ErrorObjective< Real >::value ( const Vector< Real > &  x,
Real &  tol 
)
inlinevirtual

Compute value.

This function returns the objective function value.

Parameters
[in]xis the current iterate.
[in]tolis a tolerance for inexact objective function computation.

Implements ROL::Objective< Real >.

Definition at line 94 of file ROL_PH_ErrorObjective.hpp.

References ROL::PH_ErrorObjective< Real >::getValue(), ROL::PH_ErrorObjective< Real >::quad_, and ROL::PH_ErrorObjective< Real >::val_.

template<class Real >
void ROL::PH_ErrorObjective< Real >::gradient ( Vector< Real > &  g,
const Vector< Real > &  x,
Real &  tol 
)
inlinevirtual

Compute gradient.

This function returns the objective function gradient.

Parameters
[out]gis the gradient.
[in]xis the current iterate.
[in]tolis a tolerance for inexact objective function computation.

The default implementation is a finite-difference approximation based on the function value. This requires the definition of a basis \(\{\phi_i\}\) for the optimization vectors x and the definition of a basis \(\{\psi_j\}\) for the dual optimization vectors (gradient vectors g). The bases must be related through the Riesz map, i.e., \( R \{\phi_i\} = \{\psi_j\}\), and this must be reflected in the implementation of the ROL::Vector::dual() method.

Reimplemented from ROL::Objective< Real >.

Definition at line 100 of file ROL_PH_ErrorObjective.hpp.

References ROL::PH_ErrorObjective< Real >::g_, ROL::PH_ErrorObjective< Real >::getGradient(), ROL::PH_ErrorObjective< Real >::getValue(), ROL::PH_ErrorObjective< Real >::quad_, ROL::Vector< Real >::scale(), ROL::Vector< Real >::set(), and ROL::PH_ErrorObjective< Real >::val_.

template<class Real >
void ROL::PH_ErrorObjective< Real >::hessVec ( Vector< Real > &  hv,
const Vector< Real > &  v,
const Vector< Real > &  x,
Real &  tol 
)
inlinevirtual

Apply Hessian approximation to vector.

This function applies the Hessian of the objective function to the vector \(v\).

Parameters
[out]hvis the the action of the Hessian on \(v\).
[in]vis the direction vector.
[in]xis the current iterate.
[in]tolis a tolerance for inexact objective function computation.

Reimplemented from ROL::Objective< Real >.

Definition at line 107 of file ROL_PH_ErrorObjective.hpp.

References ROL::Vector< Real >::apply(), ROL::Vector< Real >::axpy(), ROL::PH_ErrorObjective< Real >::g_, ROL::PH_ErrorObjective< Real >::getGradient(), ROL::PH_ErrorObjective< Real >::getValue(), ROL::PH_ErrorObjective< Real >::obj_, ROL::PH_ErrorObjective< Real >::quad_, ROL::Vector< Real >::scale(), and ROL::PH_ErrorObjective< Real >::val_.

template<class Real >
void ROL::PH_ErrorObjective< Real >::setParameter ( const std::vector< Real > &  param)
inlinevirtual

Reimplemented from ROL::Objective< Real >.

Definition at line 118 of file ROL_PH_ErrorObjective.hpp.

References ROL::PH_ErrorObjective< Real >::obj_, and ROL::Objective< Real >::setParameter().

Member Data Documentation

template<class Real >
const Ptr<Objective<Real> > ROL::PH_ErrorObjective< Real >::obj_
private

Definition at line 27 of file ROL_PH_ErrorObjective.hpp.

Referenced by ROL::PH_ErrorObjective< Real >::getGradient(), ROL::PH_ErrorObjective< Real >::getValue(), ROL::PH_ErrorObjective< Real >::hessVec(), ROL::PH_ErrorObjective< Real >::setParameter(), and ROL::PH_ErrorObjective< Real >::update().

template<class Real >
Ptr<ExpectationQuad<Real> > ROL::PH_ErrorObjective< Real >::quad_
private

Definition at line 28 of file ROL_PH_ErrorObjective.hpp.

Referenced by ROL::PH_ErrorObjective< Real >::gradient(), ROL::PH_ErrorObjective< Real >::hessVec(), ROL::PH_ErrorObjective< Real >::PH_ErrorObjective(), and ROL::PH_ErrorObjective< Real >::value().

template<class Real >
bool ROL::PH_ErrorObjective< Real >::isValueComputed_
private

Definition at line 30 of file ROL_PH_ErrorObjective.hpp.

Referenced by ROL::PH_ErrorObjective< Real >::getValue(), and ROL::PH_ErrorObjective< Real >::update().

template<class Real >
Real ROL::PH_ErrorObjective< Real >::val_
private

Definition at line 31 of file ROL_PH_ErrorObjective.hpp.

Referenced by ROL::PH_ErrorObjective< Real >::getValue(), ROL::PH_ErrorObjective< Real >::gradient(), ROL::PH_ErrorObjective< Real >::hessVec(), and ROL::PH_ErrorObjective< Real >::value().

template<class Real >
bool ROL::PH_ErrorObjective< Real >::isGradientInitialized_
private

Definition at line 33 of file ROL_PH_ErrorObjective.hpp.

Referenced by ROL::PH_ErrorObjective< Real >::getGradient().

template<class Real >
bool ROL::PH_ErrorObjective< Real >::isGradientComputed_
private

Definition at line 34 of file ROL_PH_ErrorObjective.hpp.

Referenced by ROL::PH_ErrorObjective< Real >::getGradient(), and ROL::PH_ErrorObjective< Real >::update().

template<class Real >
Ptr<Vector<Real> > ROL::PH_ErrorObjective< Real >::g_
private

Definition at line 35 of file ROL_PH_ErrorObjective.hpp.

Referenced by ROL::PH_ErrorObjective< Real >::getGradient(), ROL::PH_ErrorObjective< Real >::gradient(), and ROL::PH_ErrorObjective< Real >::hessVec().

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