ROL
Public Member Functions | Private Member Functions | Private Attributes | List of all members
ROL::GenMoreauYosidaCVaR< Real > Class Template Reference

#include <ROL_GenMoreauYosidaCVaR.hpp>

+ Inheritance diagram for ROL::GenMoreauYosidaCVaR< Real >:

Public Member Functions

 GenMoreauYosidaCVaR (Real prob, Real eps)
 Constructor. More...
 
 GenMoreauYosidaCVaR (Real prob, Real lam, Real eps)
 Constructor. More...
 
 GenMoreauYosidaCVaR (ROL::ParameterList &parlist)
 Constructor. More...
 
Real error (Real x, int deriv=0)
 Evaluate the scalar error function at x. More...
 
Real regret (Real x, int deriv=0)
 Evaluate the scalar regret function at x. More...
 
void check (void)
 Run default derivative tests for the scalar regret function. More...
 
- Public Member Functions inherited from ROL::ExpectationQuad< Real >
virtual ~ExpectationQuad (void)
 
 ExpectationQuad (void)
 

Private Member Functions

void parseParameterList (ROL::ParameterList &parlist)
 
void checkInputs (void) const
 
void setParameters (void)
 

Private Attributes

Real prob_
 
Real lam_
 
Real eps_
 
Real alpha_
 
Real beta_
 
Real omp_
 
Real oma_
 
Real bmo_
 
Real lb_
 
Real ub_
 

Detailed Description

template<class Real>
class ROL::GenMoreauYosidaCVaR< Real >

Definition at line 105 of file ROL_GenMoreauYosidaCVaR.hpp.

Constructor & Destructor Documentation

template<class Real >
ROL::GenMoreauYosidaCVaR< Real >::GenMoreauYosidaCVaR ( Real  prob,
Real  eps 
)
inline

Constructor.

Parameters
[in]probis the confidence level
[in]epsis the regularization parameter

Definition at line 168 of file ROL_GenMoreauYosidaCVaR.hpp.

References ROL::GenMoreauYosidaCVaR< Real >::checkInputs(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().

template<class Real >
ROL::GenMoreauYosidaCVaR< Real >::GenMoreauYosidaCVaR ( Real  prob,
Real  lam,
Real  eps 
)
inline

Constructor.

Parameters
[in]probis the confidence level
[in]lamis the convex combination parameter
[in]epsis the regularization parameter

Definition at line 180 of file ROL_GenMoreauYosidaCVaR.hpp.

References ROL::GenMoreauYosidaCVaR< Real >::checkInputs(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().

template<class Real >
ROL::GenMoreauYosidaCVaR< Real >::GenMoreauYosidaCVaR ( ROL::ParameterList &  parlist)
inline

Constructor.

Parameters
[in]parlistis a parameter list specifying inputs

parlist should contain sublists "SOL"->"Risk Measure"->"Moreau-Yosida CVaR" and within the "Moreau-Yosida CVaR" sublist should have the following parameters

  • "Confidence Level" (between 0 and 1)
  • "Convex Combination Parameter" (between 0 and 1)
  • "Smoothing Parameter" (must be positive)

Definition at line 196 of file ROL_GenMoreauYosidaCVaR.hpp.

References ROL::GenMoreauYosidaCVaR< Real >::checkInputs(), ROL::GenMoreauYosidaCVaR< Real >::parseParameterList(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().

Member Function Documentation

template<class Real >
void ROL::GenMoreauYosidaCVaR< Real >::parseParameterList ( ROL::ParameterList &  parlist)
inlineprivate

Definition at line 121 of file ROL_GenMoreauYosidaCVaR.hpp.

References ROL::GenMoreauYosidaCVaR< Real >::eps_, ROL::GenMoreauYosidaCVaR< Real >::lam_, and ROL::GenMoreauYosidaCVaR< Real >::prob_.

Referenced by ROL::GenMoreauYosidaCVaR< Real >::GenMoreauYosidaCVaR().

template<class Real >
void ROL::GenMoreauYosidaCVaR< Real >::checkInputs ( void  ) const
inlineprivate

Definition at line 141 of file ROL_GenMoreauYosidaCVaR.hpp.

References ROL::GenMoreauYosidaCVaR< Real >::eps_, ROL::GenMoreauYosidaCVaR< Real >::lam_, ROL::GenMoreauYosidaCVaR< Real >::prob_, and zero.

Referenced by ROL::GenMoreauYosidaCVaR< Real >::GenMoreauYosidaCVaR().

template<class Real >
void ROL::GenMoreauYosidaCVaR< Real >::setParameters ( void  )
inlineprivate

Definition at line 151 of file ROL_GenMoreauYosidaCVaR.hpp.

References ROL::GenMoreauYosidaCVaR< Real >::alpha_, ROL::GenMoreauYosidaCVaR< Real >::beta_, ROL::GenMoreauYosidaCVaR< Real >::bmo_, ROL::GenMoreauYosidaCVaR< Real >::eps_, ROL::GenMoreauYosidaCVaR< Real >::lam_, ROL::GenMoreauYosidaCVaR< Real >::lb_, ROL::GenMoreauYosidaCVaR< Real >::oma_, ROL::GenMoreauYosidaCVaR< Real >::omp_, ROL::GenMoreauYosidaCVaR< Real >::prob_, and ROL::GenMoreauYosidaCVaR< Real >::ub_.

Referenced by ROL::GenMoreauYosidaCVaR< Real >::GenMoreauYosidaCVaR().

template<class Real >
Real ROL::GenMoreauYosidaCVaR< Real >::error ( Real  x,
int  deriv = 0 
)
inlinevirtual

Evaluate the scalar error function at x.

Parameters
[in]xis the scalar input
[in]derivis the derivative order

This function returns \(e(x)\) or a derivative of \(e(x)\).

Reimplemented from ROL::ExpectationQuad< Real >.

Definition at line 203 of file ROL_GenMoreauYosidaCVaR.hpp.

References ROL::GenMoreauYosidaCVaR< Real >::regret(), and zero.

template<class Real >
Real ROL::GenMoreauYosidaCVaR< Real >::regret ( Real  x,
int  deriv = 0 
)
inlinevirtual

Evaluate the scalar regret function at x.

Parameters
[in]xis the scalar input
[in]derivis the derivative order

This function returns \(v(x)\) or a derivative of \(v(x)\).

Implements ROL::ExpectationQuad< Real >.

Definition at line 209 of file ROL_GenMoreauYosidaCVaR.hpp.

References ROL::GenMoreauYosidaCVaR< Real >::alpha_, ROL::GenMoreauYosidaCVaR< Real >::beta_, ROL::GenMoreauYosidaCVaR< Real >::bmo_, ROL::GenMoreauYosidaCVaR< Real >::eps_, ROL::GenMoreauYosidaCVaR< Real >::lb_, ROL::GenMoreauYosidaCVaR< Real >::oma_, ROL::GenMoreauYosidaCVaR< Real >::ub_, and zero.

Referenced by ROL::GenMoreauYosidaCVaR< Real >::check(), and ROL::GenMoreauYosidaCVaR< Real >::error().

template<class Real >
void ROL::GenMoreauYosidaCVaR< Real >::check ( void  )
inlinevirtual

Run default derivative tests for the scalar regret function.

Reimplemented from ROL::ExpectationQuad< Real >.

Definition at line 226 of file ROL_GenMoreauYosidaCVaR.hpp.

References ROL::ExpectationQuad< Real >::check(), ROL::GenMoreauYosidaCVaR< Real >::lb_, ROL::GenMoreauYosidaCVaR< Real >::regret(), ROL::GenMoreauYosidaCVaR< Real >::ub_, and zero.

Member Data Documentation

template<class Real >
Real ROL::GenMoreauYosidaCVaR< Real >::prob_
private

Definition at line 108 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by ROL::GenMoreauYosidaCVaR< Real >::checkInputs(), ROL::GenMoreauYosidaCVaR< Real >::parseParameterList(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().

template<class Real >
Real ROL::GenMoreauYosidaCVaR< Real >::lam_
private

Definition at line 109 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by ROL::GenMoreauYosidaCVaR< Real >::checkInputs(), ROL::GenMoreauYosidaCVaR< Real >::parseParameterList(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().

template<class Real >
Real ROL::GenMoreauYosidaCVaR< Real >::eps_
private

Definition at line 110 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by ROL::GenMoreauYosidaCVaR< Real >::checkInputs(), ROL::GenMoreauYosidaCVaR< Real >::parseParameterList(), ROL::GenMoreauYosidaCVaR< Real >::regret(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().

template<class Real >
Real ROL::GenMoreauYosidaCVaR< Real >::alpha_
private

Definition at line 112 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by ROL::GenMoreauYosidaCVaR< Real >::regret(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().

template<class Real >
Real ROL::GenMoreauYosidaCVaR< Real >::beta_
private

Definition at line 113 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by ROL::GenMoreauYosidaCVaR< Real >::regret(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().

template<class Real >
Real ROL::GenMoreauYosidaCVaR< Real >::omp_
private

Definition at line 115 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by ROL::GenMoreauYosidaCVaR< Real >::setParameters().

template<class Real >
Real ROL::GenMoreauYosidaCVaR< Real >::oma_
private

Definition at line 116 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by ROL::GenMoreauYosidaCVaR< Real >::regret(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().

template<class Real >
Real ROL::GenMoreauYosidaCVaR< Real >::bmo_
private

Definition at line 117 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by ROL::GenMoreauYosidaCVaR< Real >::regret(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().

template<class Real >
Real ROL::GenMoreauYosidaCVaR< Real >::lb_
private

Definition at line 118 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by ROL::GenMoreauYosidaCVaR< Real >::check(), ROL::GenMoreauYosidaCVaR< Real >::regret(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().

template<class Real >
Real ROL::GenMoreauYosidaCVaR< Real >::ub_
private

Definition at line 119 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by ROL::GenMoreauYosidaCVaR< Real >::check(), ROL::GenMoreauYosidaCVaR< Real >::regret(), and ROL::GenMoreauYosidaCVaR< Real >::setParameters().

The documentation for this class was generated from the following file:
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