ROL
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#include <ROL_PointwiseCDFObjective.hpp>
Public Member Functions | |
PointwiseCDFObjective (const std::vector< ROL::Ptr< Distribution< Real > > > &dist, ROL::Ptr< BatchManager< Real > > &bman, const Real scale=1.e-2) | |
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... | |
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 void | update (const Vector< Real > &x, bool flag=true, 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 | hessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol) |
Apply Hessian approximation to vector. 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... | |
virtual void | setParameter (const std::vector< Real > ¶m) |
Private Member Functions | |
Real | valueCDF (const int dim, const Real loc, const SROMVector< Real > &x) const |
Real | gradientCDF (std::vector< Real > &gradx, std::vector< Real > &gradp, const int dim, const Real loc, const SROMVector< Real > &x) const |
Real | hessVecCDF (std::vector< Real > &hvx, const int dim, const Real loc, const SROMVector< Real > &x, const SROMVector< Real > &v) const |
Private Attributes | |
std::vector< ROL::Ptr < Distribution< Real > > > | dist_ |
ROL::Ptr< BatchManager< Real > > | bman_ |
const Real | scale_ |
const Real | sqrt2_ |
const Real | sqrtpi_ |
Additional Inherited Members | |
Protected Member Functions inherited from ROL::Objective< Real > | |
const std::vector< Real > | getParameter (void) const |
Definition at line 23 of file ROL_PointwiseCDFObjective.hpp.
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inline |
Definition at line 74 of file ROL_PointwiseCDFObjective.hpp.
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inlineprivate |
Definition at line 31 of file ROL_PointwiseCDFObjective.hpp.
References ROL::PointwiseCDFObjective< Real >::scale_, and ROL::PointwiseCDFObjective< Real >::sqrt2_.
Referenced by ROL::PointwiseCDFObjective< Real >::value().
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inlineprivate |
Definition at line 42 of file ROL_PointwiseCDFObjective.hpp.
References ROL::PointwiseCDFObjective< Real >::scale_, ROL::PointwiseCDFObjective< Real >::sqrt2_, and ROL::PointwiseCDFObjective< Real >::sqrtpi_.
Referenced by ROL::PointwiseCDFObjective< Real >::gradient().
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inlineprivate |
Definition at line 58 of file ROL_PointwiseCDFObjective.hpp.
References ROL::PointwiseCDFObjective< Real >::scale_, ROL::PointwiseCDFObjective< Real >::sqrt2_, and ROL::PointwiseCDFObjective< Real >::sqrtpi_.
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inlinevirtual |
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 80 of file ROL_PointwiseCDFObjective.hpp.
References ROL::PointwiseCDFObjective< Real >::bman_, ROL::PointwiseCDFObjective< Real >::dist_, and ROL::PointwiseCDFObjective< Real >::valueCDF().
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inlinevirtual |
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 96 of file ROL_PointwiseCDFObjective.hpp.
References ROL::PointwiseCDFObjective< Real >::dist_, and ROL::PointwiseCDFObjective< Real >::gradientCDF().
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private |
Definition at line 25 of file ROL_PointwiseCDFObjective.hpp.
Referenced by ROL::PointwiseCDFObjective< Real >::gradient(), and ROL::PointwiseCDFObjective< Real >::value().
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private |
Definition at line 26 of file ROL_PointwiseCDFObjective.hpp.
Referenced by ROL::PointwiseCDFObjective< Real >::value().
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Definition at line 27 of file ROL_PointwiseCDFObjective.hpp.
Referenced by ROL::PointwiseCDFObjective< Real >::gradientCDF(), ROL::PointwiseCDFObjective< Real >::hessVecCDF(), and ROL::PointwiseCDFObjective< Real >::valueCDF().
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private |
Definition at line 28 of file ROL_PointwiseCDFObjective.hpp.
Referenced by ROL::PointwiseCDFObjective< Real >::gradientCDF(), ROL::PointwiseCDFObjective< Real >::hessVecCDF(), and ROL::PointwiseCDFObjective< Real >::valueCDF().
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private |
Definition at line 29 of file ROL_PointwiseCDFObjective.hpp.
Referenced by ROL::PointwiseCDFObjective< Real >::gradientCDF(), and ROL::PointwiseCDFObjective< Real >::hessVecCDF().