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ROL
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ROL's risk measure implementations. More...
Classes | |
| class | ROL::ExpectationQuad< Real > |
| Provides a general interface for risk and error measures generated through the expectation risk quadrangle. More... | |
| class | ROL::MoreauYosidaCVaR< Real > |
| Provides an interface for a smooth approximation of the conditional value-at-risk. More... | |
| class | ROL::LogExponentialQuadrangle< Real > |
| Provides an interface for the entropic risk using the expectation risk quadrangle. More... | |
| class | ROL::LogQuantileQuadrangle< Real > |
| Provides an interface for the conditioanl entropic risk using the expectation risk quadrangle. More... | |
| class | ROL::MeanVarianceQuadrangle< Real > |
| Provides an interface for the mean plus variance risk measure using the expectation risk quadrangle. More... | |
| class | ROL::QuantileQuadrangle< Real > |
| Provides an interface for a convex combination of the expected value and the conditional value-at-risk using the expectation risk quadrangle. More... | |
| class | ROL::SmoothedWorstCaseQuadrangle< Real > |
| Provides an interface for a smoothed version of the worst-case scenario risk measure using the expectation risk quadrangle. More... | |
| class | ROL::ExpectationQuadError< Real > |
| Provides a general interface for error measures generated through the expectation risk quadrangle. More... | |
| class | ROL::ExpectationQuadRegret< Real > |
| Provides a general interface for regret measures generated through the expectation risk quadrangle. More... | |
| class | ROL::Chi2Divergence< Real > |
| Provides an interface for the chi-squared-divergence distributionally robust expectation. More... | |
| class | ROL::FDivergence< Real > |
| Provides a general interface for the F-divergence distributionally robust expectation. More... | |
| class | ROL::CoherentEntropicRisk< Real > |
| Provides the interface for the coherent entropic risk measure. More... | |
| class | ROL::ConvexCombinationRiskMeasure< Real > |
| Provides an interface for a convex combination of risk measures. More... | |
| class | ROL::CVaR< Real > |
| Provides an interface for a convex combination of the expected value and the conditional value-at-risk. More... | |
| class | ROL::EntropicRisk< Real > |
| Provides an interface for the entropic risk. More... | |
| class | ROL::HMCR< Real > |
| Provides an interface for a convex combination of the expected value and the higher moment coherent risk measure. More... | |
| class | ROL::KLDivergence< Real > |
| Provides an interface for the Kullback-Leibler distributionally robust expectation. More... | |
| class | ROL::MeanDeviation< Real > |
| Provides an interface for the mean plus a sum of arbitrary order deviations. More... | |
| class | ROL::MeanDeviationFromTarget< Real > |
| Provides an interface for the mean plus a sum of arbitrary order deviations from targets. More... | |
| class | ROL::MeanSemiDeviation< Real > |
| Provides an interface for the mean plus upper semideviation of order 1. More... | |
| class | ROL::MeanVariance< Real > |
| Provides an interface for the mean plus a sum of arbitrary order variances. More... | |
| class | ROL::MeanVarianceFromTarget< Real > |
| Provides an interface for the mean plus a sum of arbitrary order variances from targets. More... | |
| class | ROL::MixedCVaR< Real > |
| Provides an interface for a convex combination of conditional value-at-risks. More... | |
| class | ROL::ChebyshevSpectral< Real > |
| Provides an interface for the Chebyshev-Spectral risk measure. More... | |
| class | ROL::SecondOrderCVaR< Real > |
| Provides an interface for the risk measure associated with the super quantile quadrangle. More... | |
| class | ROL::SpectralRisk< Real > |
| Provides an interface for spectral risk measures. More... | |
ROL's risk measure implementations.
1.8.5