ROL
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#include <ROL_SimulatedObjectiveCVaR.hpp>
Public Member Functions | |
virtual | ~SimulatedObjectiveCVaR () |
SimulatedObjectiveCVaR (const ROL::Ptr< SampleGenerator< Real > > &sampler, const ROL::Ptr< Objective_SimOpt< Real > > &pobj, const ROL::Ptr< PlusFunction< Real > > &pfunc, const Real &alpha) | |
void | update (const Vector< Real > &x, bool flag=true, int iter=-1) |
Update objective function. More... | |
void | update (const Vector< Real > &x, UpdateType type, int iter=-1) |
Update objective function. More... | |
Real | value (const Vector< Real > &x, Real &tol) |
Compute value. More... | |
virtual 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 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 Attributes | |
const ROL::Ptr < SampleGenerator< Real > > | sampler_ |
const ROL::Ptr < Objective_SimOpt< Real > > | pobj_ |
const ROL::Ptr< PlusFunction < Real > > | pfunc_ |
const Real | alpha_ |
Additional Inherited Members | |
Protected Member Functions inherited from ROL::Objective< Real > | |
const std::vector< Real > | getParameter (void) const |
Definition at line 21 of file ROL_SimulatedObjectiveCVaR.hpp.
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inlinevirtual |
Definition at line 30 of file ROL_SimulatedObjectiveCVaR.hpp.
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Definition at line 32 of file ROL_SimulatedObjectiveCVaR.hpp.
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inlinevirtual |
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 38 of file ROL_SimulatedObjectiveCVaR.hpp.
References ROL::SimulatedObjectiveCVaR< Real >::pobj_.
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inlinevirtual |
Update objective function.
This function updates the objective function at new iterations.
[in] | x | is the new iterate. |
[in] | type | is the type of update requested. |
[in] | iter | is the outer algorithm iterations count. |
Reimplemented from ROL::Objective< Real >.
Definition at line 42 of file ROL_SimulatedObjectiveCVaR.hpp.
References ROL::SimulatedObjectiveCVaR< Real >::pobj_.
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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 46 of file ROL_SimulatedObjectiveCVaR.hpp.
References ROL::SimulatedObjectiveCVaR< Real >::alpha_, ROL::SimulatedVector< Real >::get(), ROL::Vector_SimOpt< Real >::get_1(), ROL::Vector_SimOpt< Real >::get_2(), ROL::RiskVector< Real >::getStatistic(), ROL::RiskVector< Real >::getVector(), ROL::SimulatedVector< Real >::numVectors(), ROL::SimulatedObjectiveCVaR< Real >::pfunc_, ROL::SimulatedObjectiveCVaR< Real >::pobj_, and ROL::SimulatedObjectiveCVaR< Real >::sampler_.
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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 78 of file ROL_SimulatedObjectiveCVaR.hpp.
References ROL::SimulatedObjectiveCVaR< Real >::alpha_, ROL::SimulatedVector< Real >::get(), ROL::Vector_SimOpt< Real >::get_1(), ROL::Vector_SimOpt< Real >::get_2(), ROL::RiskVector< Real >::getStatistic(), ROL::RiskVector< Real >::getVector(), ROL::SimulatedVector< Real >::numVectors(), ROL::SimulatedObjectiveCVaR< Real >::pfunc_, ROL::SimulatedObjectiveCVaR< Real >::pobj_, ROL::SimulatedObjectiveCVaR< Real >::sampler_, ROL::RiskVector< Real >::setStatistic(), and ROL::Vector< Real >::zero().
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Definition at line 23 of file ROL_SimulatedObjectiveCVaR.hpp.
Referenced by ROL::SimulatedObjectiveCVaR< Real >::gradient(), and ROL::SimulatedObjectiveCVaR< Real >::value().
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Definition at line 24 of file ROL_SimulatedObjectiveCVaR.hpp.
Referenced by ROL::SimulatedObjectiveCVaR< Real >::gradient(), ROL::SimulatedObjectiveCVaR< Real >::update(), and ROL::SimulatedObjectiveCVaR< Real >::value().
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Definition at line 25 of file ROL_SimulatedObjectiveCVaR.hpp.
Referenced by ROL::SimulatedObjectiveCVaR< Real >::gradient(), and ROL::SimulatedObjectiveCVaR< Real >::value().
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Definition at line 26 of file ROL_SimulatedObjectiveCVaR.hpp.
Referenced by ROL::SimulatedObjectiveCVaR< Real >::gradient(), and ROL::SimulatedObjectiveCVaR< Real >::value().