ROL_ChebyshevSpectral.hpp

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#ifndef ROL_CHEBYSHEVKUSUOKA_HPP
#define ROL_CHEBYSHEVKUSUOKA_HPP

#include "ROL_SpectralRisk.hpp"
#include "ROL_GaussChebyshev1Quadrature.hpp"
#include "ROL_GaussChebyshev2Quadrature.hpp"
#include "ROL_GaussChebyshev3Quadrature.hpp"

namespace ROL {

template<class Real>
class ChebyshevSpectral : public SpectralRisk<Real> {
private:
  ROL::Ptr<PlusFunction<Real> > plusFunction_;

  Real lower_, upper_;
  int nQuad_; 
  int wType_;

  std::vector<Real> wts_;
  std::vector<Real> pts_;

  void checkInputs(void) const {
    ROL_TEST_FOR_EXCEPTION(lower_ > upper_, std::invalid_argument,
      ">>> ERROR (ROL::ChebyshevSpectral): Lower bound exceeds upper!");
    ROL_TEST_FOR_EXCEPTION(lower_ < static_cast<Real>(0), std::invalid_argument,
      ">>> ERROR (ROL::ChebyshevSpectral): Lower bound is less than zero!");
    ROL_TEST_FOR_EXCEPTION(static_cast<Real>(1) < upper_, std::invalid_argument,
      ">>> ERROR (ROL::ChebyshevSpectral): Upper bound is greater than one!");
    ROL_TEST_FOR_EXCEPTION((wType_ < 1 || wType_ > 3), std::invalid_argument,
      ">>> ERROR (ROL::ChebyshevSpectral): Weight must be 1, 2 or 3!");
    ROL_TEST_FOR_EXCEPTION(plusFunction_ == ROL::nullPtr, std::invalid_argument,
      ">>> ERROR (ROL::ChebyshevSpectral): PlusFunction pointer is null!");
  }

  void initializeQuad(void) {
     ROL::Ptr<Quadrature1D<Real> > quad;
     if ( wType_ == 1 ) {
       quad = ROL::makePtr<GaussChebyshev1Quadrature<Real>>(nQuad_);
     }
     else if ( wType_ == 2 ) {
       quad = ROL::makePtr<GaussChebyshev2Quadrature<Real>>(nQuad_);
     }
     else if ( wType_ == 3 ) {
       quad = ROL::makePtr<GaussChebyshev3Quadrature<Real>>(nQuad_);
     }
     // quad->test();
     quad->get(pts_,wts_);
     Real sum(0), half(0.5), one(1);
     for (int i = 0; i < nQuad_; ++i) {
       sum += wts_[i];
     }
     for (int i = 0; i < nQuad_; ++i) {
       wts_[i] /= sum;
       pts_[i] = lower_ + (upper_-lower_)*half*(pts_[i] + one);
     }
     SpectralRisk<Real>::buildMixedQuantile(pts_,wts_,plusFunction_);
  }

public:
  ChebyshevSpectral( ROL::ParameterList &parlist )
    : SpectralRisk<Real>() {
    ROL::ParameterList &list
      = parlist.sublist("SOL").sublist("Risk Measure").sublist("Chebyshev Spectral Risk");
    // Grab confidence level and quadrature order
    lower_ = list.get("Lower Bound",0.0);
    upper_ = list.get("Upper Bound",1.0);
    nQuad_ = list.get("Number of Quadrature Points",5);
    wType_ = list.get("Weight Type",1);
    plusFunction_ = ROL::makePtr<PlusFunction<Real>>(list);
    // Check inputs
    checkInputs();
    initializeQuad();
  }

  ChebyshevSpectral(const Real lower, const Real upper,
                   const int nQuad, const int wType,
                   const ROL::Ptr<PlusFunction<Real> > &pf)
    : SpectralRisk<Real>(), plusFunction_(pf),
      lower_(lower), upper_(upper), nQuad_(nQuad), wType_(wType) {
    // Check inputs
    checkInputs();
    initializeQuad();
  }
};

}

#endif