ROL_ConvexCombinationRiskMeasure.hpp

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#ifndef ROL_CONVEXCOMBINATIONRISKMEASURE_HPP
#define ROL_CONVEXCOMBINATIONRISKMEASURE_HPP

#include "ROL_RiskMeasureFactory.hpp"

namespace ROL {

template<class Real>
class ConvexCombinationRiskMeasure : public RandVarFunctional<Real> {
private:
  typedef typename std::vector<Real>::size_type uint;

  std::vector<Real> lambda_;
  std::vector<ROL::Ptr<RandVarFunctional<Real> > > risk_;
  uint size_;
  std::vector<int> statVec_;

  Ptr<SampledScalar<Real>> values_;
  Ptr<SampledScalar<Real>> gradvecs_;
  Ptr<SampledVector<Real>> gradients_;
  Ptr<SampledVector<Real>> hessvecs_;

  using RandVarFunctional<Real>::g_;
  using RandVarFunctional<Real>::hv_;

  void initializeCCRM(void) {
    values_    = makePtr<SampledScalar<Real>>();
    gradvecs_  = makePtr<SampledScalar<Real>>();
    gradients_ = makePtr<SampledVector<Real>>();
    hessvecs_  = makePtr<SampledVector<Real>>();

    RandVarFunctional<Real>::setStorage(values_,gradients_);
    RandVarFunctional<Real>::setHessVecStorage(gradvecs_,hessvecs_);
    for (uint i = 0; i < size_; ++i) {
      risk_[i]->setStorage(values_,gradients_);
      risk_[i]->setHessVecStorage(gradvecs_,hessvecs_);
    }
  }

  void checkInputs(void) {
    uint lSize = lambda_.size(), rSize = risk_.size();
    ROL_TEST_FOR_EXCEPTION((lSize!=rSize),std::invalid_argument,
      ">>> ERROR (ROL::ConvexCombinationRiskMeasure): Convex combination parameter and risk measure arrays have different sizes!");
    Real sum(0), zero(0), one(1);
    for (uint i = 0; i < lSize; ++i) {
      ROL_TEST_FOR_EXCEPTION((lambda_[i]>one || lambda_[i]<zero), std::invalid_argument,
        ">>> ERROR (ROL::ConvexCombinationRiskMeasure): Element of convex combination parameter array out of range!");
      ROL_TEST_FOR_EXCEPTION(risk_[i] == ROL::nullPtr, std::invalid_argument,
        ">>> ERROR (ROL::ConvexCombinationRiskMeasure): Risk measure pointer is null!");
      sum += lambda_[i];
    }
    ROL_TEST_FOR_EXCEPTION((std::abs(sum-one) > std::sqrt(ROL_EPSILON<Real>())),std::invalid_argument,
      ">>> ERROR (ROL::ConvexCombinationRiskMeasure): Coefficients do not sum to one!");
    initializeCCRM();
  }

public:
  ConvexCombinationRiskMeasure(ROL::ParameterList &parlist)
    : RandVarFunctional<Real>(), size_(0) {
    ROL::ParameterList &list
      = parlist.sublist("SOL").sublist("Risk Measure").sublist("Convex Combination Risk Measure");
    // Get convex combination parameters
    lambda_ = ROL::getArrayFromStringParameter<Real>(list,"Convex Combination Parameters");

    size_ = lambda_.size();
    // Build risk measures
    statVec_.clear();
    risk_.clear(); risk_.resize(size_,ROL::nullPtr);
    for (uint i = 0; i < size_; ++i) {
      std::ostringstream convert;
      convert << i;
      std::string si = convert.str();
      ROL::ParameterList &ilist = list.sublist(si);
      std::string name = ilist.get<std::string>("Name");
      ROL::ParameterList riskList;
      riskList.sublist("SOL").sublist("Risk Measure").set("Name",name);
      riskList.sublist("SOL").sublist("Risk Measure").sublist(name) = ilist;
      risk_[i] = RiskMeasureFactory<Real>(riskList);
      // Get statistic information
      int nstat;
      std::vector<Real> lower, upper;
      bool isBound;
      RiskMeasureInfo(riskList,name,nstat,lower,upper,isBound);
      statVec_.push_back(nstat);
    }
    // Check inputs
    checkInputs();
  }

  void setSample(const std::vector<Real> &point, const Real weight) {
    RandVarFunctional<Real>::setSample(point,weight);
    for (uint i = 0; i < size_; ++i) {
      risk_[i]->setSample(point,weight);
    }
  }

  void resetStorage(bool flag = true) {
    RandVarFunctional<Real>::resetStorage(flag);
    for (uint i = 0; i < size_; ++i) {
      risk_[i]->resetStorage(flag);
    }
  }

  void initialize(const Vector<Real> &x) {
    RandVarFunctional<Real>::initialize(x);
    for (uint i = 0; i < size_; ++i) {
      risk_[i]->initialize(x);
    }
  }

  void updateValue(Objective<Real>         &obj,
                   const Vector<Real>      &x,
                   const std::vector<Real> &xstat,
                   Real                    &tol) {
    std::vector<Real> statx;
    int offset(0);
    for (uint i = 0; i < size_; ++i) {
      statx.resize(statVec_[i]);
      for (int j = 0; j < statVec_[i]; ++j) {
        statx[j] = xstat[offset+j];
      }
      risk_[i]->updateValue(obj,x,statx,tol);
      offset += statVec_[i];
    }
  }

  Real getValue(const Vector<Real>      &x,
                const std::vector<Real> &xstat,
                SampleGenerator<Real>   &sampler) {
    Real val(0);
    std::vector<Real> statx;
    int offset(0);
    for (uint i = 0; i < size_; ++i) {
      statx.resize(statVec_[i]);
      for (int j = 0; j < statVec_[i]; ++j) {
        statx[j] = xstat[offset+j];
      }
      val += lambda_[i]*risk_[i]->getValue(x,statx,sampler);
      offset += statVec_[i];
    }
    return val;
  }

  void updateGradient(Objective<Real>         &obj,
                      const Vector<Real>      &x,
                      const std::vector<Real> &xstat,
                      Real                    &tol) {
    std::vector<Real> statx;
    int offset(0);
    for (uint i = 0; i < size_; ++i) {
      statx.resize(statVec_[i]);
      for (int j = 0; j < statVec_[i]; ++j) {
        statx[j] = xstat[offset+j];
      }
      risk_[i]->updateGradient(obj,x,statx,tol);
      offset += statVec_[i];
    }
  }

  void getGradient(Vector<Real>            &g,
                   std::vector<Real>       &gstat,
                   const Vector<Real>      &x,
                   const std::vector<Real> &xstat,
                   SampleGenerator<Real>   &sampler) {
    std::vector<Real> statg, statx;
    int offset(0);
    for (uint i = 0; i < size_; ++i) {
      statg.resize(statVec_[i]);
      statx.resize(statVec_[i]);
      for (int j = 0; j < statVec_[i]; ++j) {
        statg[j] = static_cast<Real>(0);
        statx[j] = xstat[offset+j];
      }
      g_->zero();
      risk_[i]->getGradient(*g_,statg,x,statx,sampler);
      g.axpy(lambda_[i],*g_);
      for (int j = 0; j < statVec_[i]; ++j) {
        gstat[offset+j] = lambda_[i]*statg[j];
      }
      offset += statVec_[i];
    }
  }

  void updateHessVec(Objective<Real>         &obj,
                     const Vector<Real>      &v,
                     const std::vector<Real> &vstat,
                     const Vector<Real>      &x,
                     const std::vector<Real> &xstat,
                     Real                    &tol) {
    std::vector<Real> statx, statv;
    int offset(0);
    for (uint i = 0; i < size_; ++i) {
      statx.resize(statVec_[i]);
      statv.resize(statVec_[i]);
      for (int j = 0; j < statVec_[i]; ++j) {
        statx[j] = xstat[offset+j];
        statv[j] = vstat[offset+j];
      }
      risk_[i]->updateHessVec(obj,v,statv,x,statx,tol);
      offset += statVec_[i];
    }
  }

  void getHessVec(Vector<Real>            &hv,
                  std::vector<Real>       &hvstat,
                  const Vector<Real>      &v,
                  const std::vector<Real> &vstat,
                  const Vector<Real>      &x,
                  const std::vector<Real> &xstat,
                  SampleGenerator<Real>   &sampler) {
    std::vector<Real> stath, statx, statv;
    int offset(0);
    for (uint i = 0; i < size_; ++i) {
      stath.resize(statVec_[i]);
      statx.resize(statVec_[i]);
      statv.resize(statVec_[i]);
      for (int j = 0; j < statVec_[i]; ++j) {
        stath[j] = static_cast<Real>(0);
        statx[j] = xstat[offset+j];
        statv[j] = vstat[offset+j];
      }
      hv_->zero();
      risk_[i]->getHessVec(*hv_,stath,v,statv,x,statx,sampler);
      hv.axpy(lambda_[i],*hv_);
      for (int j = 0; j < statVec_[i]; ++j) {
        hvstat[offset+j] = lambda_[i]*stath[j];
      }
      offset += statVec_[i];
    }
  }
};

}

#endif