ROL
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Provides the interface for the progressive hedging probability objective. More...
#include <ROL_PH_bPOEObjective.hpp>
Public Member Functions | |
PH_bPOEObjective (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 > ¶m) |
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) |
Ptr< const Vector< Real > > | getConstVector (const Vector< Real > &x) const |
Ptr< Vector< Real > > | getVector (Vector< Real > &x) const |
Ptr< const std::vector< Real > > | getConstStat (const Vector< Real > &x) const |
Ptr< std::vector< Real > > | getStat (Vector< Real > &x) const |
Real | pplus (const Real x, const int deriv=0) const |
Real | bPOEobjective (const Real t, const Real x, const int deriv=0) const |
Private Attributes | |
const Ptr< Objective< Real > > | obj_ |
Real | threshold_ |
Real | order_ |
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 |
Provides the interface for the progressive hedging probability objective.
Definition at line 24 of file ROL_PH_bPOEObjective.hpp.
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Definition at line 115 of file ROL_PH_bPOEObjective.hpp.
References ROL::PH_bPOEObjective< Real >::order_, and ROL::PH_bPOEObjective< Real >::threshold_.
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Definition at line 37 of file ROL_PH_bPOEObjective.hpp.
References ROL::PH_bPOEObjective< Real >::isValueComputed_, ROL::PH_bPOEObjective< Real >::obj_, and ROL::PH_bPOEObjective< Real >::val_.
Referenced by ROL::PH_bPOEObjective< Real >::gradient(), ROL::PH_bPOEObjective< Real >::hessVec(), and ROL::PH_bPOEObjective< Real >::value().
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Definition at line 44 of file ROL_PH_bPOEObjective.hpp.
References ROL::Vector< Real >::dual(), ROL::PH_bPOEObjective< Real >::g_, ROL::PH_bPOEObjective< Real >::isGradientComputed_, ROL::PH_bPOEObjective< Real >::isGradientInitialized_, and ROL::PH_bPOEObjective< Real >::obj_.
Referenced by ROL::PH_bPOEObjective< Real >::gradient(), and ROL::PH_bPOEObjective< Real >::hessVec().
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Definition at line 55 of file ROL_PH_bPOEObjective.hpp.
References ROL::RiskVector< Real >::getVector().
Referenced by ROL::PH_bPOEObjective< Real >::gradient(), ROL::PH_bPOEObjective< Real >::hessVec(), ROL::PH_bPOEObjective< Real >::update(), and ROL::PH_bPOEObjective< Real >::value().
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Definition at line 60 of file ROL_PH_bPOEObjective.hpp.
References ROL::RiskVector< Real >::getVector().
Referenced by ROL::PH_bPOEObjective< Real >::gradient(), and ROL::PH_bPOEObjective< Real >::hessVec().
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Definition at line 65 of file ROL_PH_bPOEObjective.hpp.
References ROL::RiskVector< Real >::getStatistic().
Referenced by ROL::PH_bPOEObjective< Real >::gradient(), ROL::PH_bPOEObjective< Real >::hessVec(), and ROL::PH_bPOEObjective< Real >::value().
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Definition at line 74 of file ROL_PH_bPOEObjective.hpp.
References ROL::RiskVector< Real >::getStatistic().
Referenced by ROL::PH_bPOEObjective< Real >::gradient(), and ROL::PH_bPOEObjective< Real >::hessVec().
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Definition at line 84 of file ROL_PH_bPOEObjective.hpp.
References ROL::PH_bPOEObjective< Real >::order_, and zero.
Referenced by ROL::PH_bPOEObjective< Real >::bPOEobjective().
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Definition at line 107 of file ROL_PH_bPOEObjective.hpp.
References ROL::PH_bPOEObjective< Real >::pplus(), and ROL::PH_bPOEObjective< Real >::threshold_.
Referenced by ROL::PH_bPOEObjective< Real >::gradient(), ROL::PH_bPOEObjective< Real >::hessVec(), and ROL::PH_bPOEObjective< Real >::value().
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Update objective function.
This function updates the objective function at new iterations.
[in] | x | is the new iterate. |
[in] | flag | is true if the iterate has changed. |
[in] | iter | is the outer algorithm iterations count. |
Reimplemented from ROL::Objective< Real >.
Definition at line 126 of file ROL_PH_bPOEObjective.hpp.
References ROL::PH_bPOEObjective< Real >::getConstVector(), ROL::PH_bPOEObjective< Real >::isGradientComputed_, ROL::PH_bPOEObjective< Real >::isValueComputed_, and ROL::PH_bPOEObjective< Real >::obj_.
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Compute value.
This function returns the objective function value.
[in] | x | is the current iterate. |
[in] | tol | is a tolerance for inexact objective function computation. |
Implements ROL::Objective< Real >.
Definition at line 133 of file ROL_PH_bPOEObjective.hpp.
References ROL::PH_bPOEObjective< Real >::bPOEobjective(), ROL::PH_bPOEObjective< Real >::getConstStat(), ROL::PH_bPOEObjective< Real >::getConstVector(), ROL::PH_bPOEObjective< Real >::getValue(), and ROL::PH_bPOEObjective< Real >::val_.
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Compute gradient.
This function returns the objective function gradient.
[out] | g | is the gradient. |
[in] | x | is the current iterate. |
[in] | tol | is 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 142 of file ROL_PH_bPOEObjective.hpp.
References ROL::PH_bPOEObjective< Real >::bPOEobjective(), ROL::PH_bPOEObjective< Real >::g_, ROL::PH_bPOEObjective< Real >::getConstStat(), ROL::PH_bPOEObjective< Real >::getConstVector(), ROL::PH_bPOEObjective< Real >::getGradient(), ROL::PH_bPOEObjective< Real >::getStat(), ROL::PH_bPOEObjective< Real >::getValue(), ROL::PH_bPOEObjective< Real >::getVector(), ROL::PH_bPOEObjective< Real >::threshold_, and ROL::PH_bPOEObjective< Real >::val_.
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Apply Hessian approximation to vector.
This function applies the Hessian of the objective function to the vector \(v\).
[out] | hv | is the the action of the Hessian on \(v\). |
[in] | v | is the direction vector. |
[in] | x | is the current iterate. |
[in] | tol | is a tolerance for inexact objective function computation. |
Reimplemented from ROL::Objective< Real >.
Definition at line 156 of file ROL_PH_bPOEObjective.hpp.
References ROL::PH_bPOEObjective< Real >::bPOEobjective(), ROL::PH_bPOEObjective< Real >::g_, ROL::PH_bPOEObjective< Real >::getConstStat(), ROL::PH_bPOEObjective< Real >::getConstVector(), ROL::PH_bPOEObjective< Real >::getGradient(), ROL::PH_bPOEObjective< Real >::getStat(), ROL::PH_bPOEObjective< Real >::getValue(), ROL::PH_bPOEObjective< Real >::getVector(), ROL::PH_bPOEObjective< Real >::obj_, ROL::PH_bPOEObjective< Real >::threshold_, and ROL::PH_bPOEObjective< Real >::val_.
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Reimplemented from ROL::Objective< Real >.
Definition at line 176 of file ROL_PH_bPOEObjective.hpp.
References ROL::PH_bPOEObjective< Real >::obj_, and ROL::Objective< Real >::setParameter().
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Definition at line 27 of file ROL_PH_bPOEObjective.hpp.
Referenced by ROL::PH_bPOEObjective< Real >::bPOEobjective(), ROL::PH_bPOEObjective< Real >::gradient(), ROL::PH_bPOEObjective< Real >::hessVec(), and ROL::PH_bPOEObjective< Real >::PH_bPOEObjective().
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Definition at line 28 of file ROL_PH_bPOEObjective.hpp.
Referenced by ROL::PH_bPOEObjective< Real >::PH_bPOEObjective(), and ROL::PH_bPOEObjective< Real >::pplus().
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Definition at line 30 of file ROL_PH_bPOEObjective.hpp.
Referenced by ROL::PH_bPOEObjective< Real >::getValue(), and ROL::PH_bPOEObjective< Real >::update().
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Definition at line 31 of file ROL_PH_bPOEObjective.hpp.
Referenced by ROL::PH_bPOEObjective< Real >::getValue(), ROL::PH_bPOEObjective< Real >::gradient(), ROL::PH_bPOEObjective< Real >::hessVec(), and ROL::PH_bPOEObjective< Real >::value().
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Definition at line 33 of file ROL_PH_bPOEObjective.hpp.
Referenced by ROL::PH_bPOEObjective< Real >::getGradient().
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Definition at line 34 of file ROL_PH_bPOEObjective.hpp.
Referenced by ROL::PH_bPOEObjective< Real >::getGradient(), and ROL::PH_bPOEObjective< Real >::update().
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Definition at line 35 of file ROL_PH_bPOEObjective.hpp.
Referenced by ROL::PH_bPOEObjective< Real >::getGradient(), ROL::PH_bPOEObjective< Real >::gradient(), and ROL::PH_bPOEObjective< Real >::hessVec().