ROL_SecondOrderCVaR.hpp

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#ifndef ROL_SUPERQUANTILEQUADRANGLE_HPP
#define ROL_SUPERQUANTILEQUADRANGLE_HPP

#include "ROL_SpectralRisk.hpp"
#include "ROL_GaussLegendreQuadrature.hpp"
#include "ROL_Fejer2Quadrature.hpp"

namespace ROL {

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

  Real alpha_;
  int nQuad_;
  bool useGauss_;

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

  void checkInputs(void) const {
    ROL_TEST_FOR_EXCEPTION((alpha_ < 0 || alpha_ >= 1), std::invalid_argument,
      ">>> ERROR (ROL::SecondOrderCVaR): Confidence level not between 0 and 1!");
    ROL_TEST_FOR_EXCEPTION(plusFunction_ == ROL::nullPtr, std::invalid_argument,
      ">>> ERROR (ROL::SecondOrderCVaR): PlusFunction pointer is null!");
  }

  void initializeQuad(void) {
    ROL::Ptr<Quadrature1D<Real> > quad;
    if ( useGauss_ ) {
      quad = ROL::makePtr<GaussLegendreQuadrature<Real>>(nQuad_);
    }
    else {
      quad = ROL::makePtr<Fejer2Quadrature<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] = one - alpha_*(half*(pts_[i] + one));
    }
    SpectralRisk<Real>::buildMixedQuantile(pts_,wts_,plusFunction_);
  }

public:

  SecondOrderCVaR( ROL::ParameterList &parlist )
    : SpectralRisk<Real>() {
    ROL::ParameterList &list
      = parlist.sublist("SOL").sublist("Risk Measure").sublist("Second Order CVaR");
    // Grab confidence level and quadrature order
    alpha_ = list.get<Real>("Confidence Level");
    nQuad_ = list.get("Number of Quadrature Points",5);
    useGauss_ = list.get("Use Gauss-Legendre Quadrature",true);
    plusFunction_ = ROL::makePtr<PlusFunction<Real>>(list);
    // Check inputs
    checkInputs();
    initializeQuad();
  }

  SecondOrderCVaR(const Real alpha,
                          const int nQuad,
                          const ROL::Ptr<PlusFunction<Real> > &pf,
                          const bool useGauss = true)
    : SpectralRisk<Real>(), plusFunction_(pf),
      alpha_(alpha), nQuad_(nQuad), useGauss_(useGauss) {
    // Check inputs
    checkInputs();
    initializeQuad();
  }
};

}

#endif