ROL::MeanSemiDeviationFromTarget< Real > Class Template Reference

#include <ROL_MeanSemiDeviationFromTarget.hpp>

Inheritance diagram for ROL::MeanSemiDeviationFromTarget< Real >:

Public Member Functions
	MeanSemiDeviationFromTarget (const Real coeff, const Real target, const Ptr< PlusFunction< Real >> &pf)
	Constructor. More...
	MeanSemiDeviationFromTarget (ROL::ParameterList &parlist)
	Constructor. More...
void	updateValue (Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
	Update internal storage for value computation. More...
Real	getValue (const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
	Return risk measure value. More...
void	updateGradient (Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
	Update internal risk measure storage for gradient computation. More...
void	getGradient (Vector< Real > &g, std::vector< Real > &gstat, const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
	Return risk measure (sub)gradient. More...
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)
	Update internal risk measure storage for Hessian-time-a-vector computation. More...
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)
	Return risk measure Hessian-times-a-vector. More...
Public Member Functions inherited from ROL::RandVarFunctional< Real >
virtual	~RandVarFunctional ()
	RandVarFunctional (void)
	weight_ (0)
void	useStorage (bool storage)
void	useHessVecStorage (bool storage)
virtual void	setStorage (const Ptr< SampledScalar< Real >> &value_storage, const Ptr< SampledVector< Real >> &gradient_storage)
virtual void	setHessVecStorage (const Ptr< SampledScalar< Real >> &gradvec_storage, const Ptr< SampledVector< Real >> &hessvec_storage)
virtual void	resetStorage (bool flag=true)
	Reset internal storage. More...
virtual void	initialize (const Vector< Real > &x)
	Initialize temporary variables. More...
virtual void	setSample (const std::vector< Real > &point, const Real weight)
virtual Real	computeStatistic (const Ptr< const std::vector< Real >> &xstat) const
	Compute statistic. More...

Private Member Functions
void	checkInputs (void) const

Private Attributes
Ptr< PlusFunction< Real > >	plusFunction_
Real	coeff_
Real	target_

Additional Inherited Members
Protected Member Functions inherited from ROL::RandVarFunctional< Real >
Real	computeValue (Objective< Real > &obj, const Vector< Real > &x, Real &tol)
void	computeGradient (Vector< Real > &g, Objective< Real > &obj, const Vector< Real > &x, Real &tol)
Real	computeGradVec (Vector< Real > &g, Objective< Real > &obj, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
void	computeHessVec (Vector< Real > &hv, Objective< Real > &obj, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Protected Attributes inherited from ROL::RandVarFunctional< Real >
Real	val_
Real	gv_
Ptr< Vector< Real > >	g_
Ptr< Vector< Real > >	hv_
Ptr< Vector< Real > >	dualVector_
bool	firstReset_
std::vector< Real >	point_
Real	weight_

Detailed Description

template<class Real>
class ROL::MeanSemiDeviationFromTarget< Real >

Definition at line 72 of file ROL_MeanSemiDeviationFromTarget.hpp.

Constructor & Destructor Documentation

template<class Real >

ROL::MeanSemiDeviationFromTarget< Real >::MeanSemiDeviationFromTarget ( const Real  coeff, const Real  target, const Ptr< PlusFunction< Real >> &  pf  )

inline

Constructor.

Parameters

[in]	coeff	is the coefficient scaling the semideviation
[in]	target	is the target scalar
[in]	pf	is the plus function or an approximation

Definition at line 107 of file ROL_MeanSemiDeviationFromTarget.hpp.

References ROL::MeanSemiDeviationFromTarget< Real >::checkInputs().

template<class Real >

ROL::MeanSemiDeviationFromTarget< Real >::MeanSemiDeviationFromTarget ( ROL::ParameterList &  parlist )

inline

Constructor.

Parameters

[in]

parlist

is a parameter list specifying inputs

parlist should contain sublists "SOL"->"Risk Measure"->"Mean Plus Semi-Deviation" and within the "Mean Plus Semi-Deviation" sublist should have the following parameters

• "Coefficient" (between 0 and 1)
• "Target"
• A sublist for plus function information.

Definition at line 123 of file ROL_MeanSemiDeviationFromTarget.hpp.

References ROL::MeanSemiDeviationFromTarget< Real >::checkInputs(), ROL::MeanSemiDeviationFromTarget< Real >::coeff_, ROL::MeanSemiDeviationFromTarget< Real >::plusFunction_, and ROL::MeanSemiDeviationFromTarget< Real >::target_.

Member Function Documentation

template<class Real >

void ROL::MeanSemiDeviationFromTarget< Real >::checkInputs ( void  ) const

inlineprivate

Definition at line 91 of file ROL_MeanSemiDeviationFromTarget.hpp.

References ROL::MeanSemiDeviationFromTarget< Real >::coeff_, ROL::MeanSemiDeviationFromTarget< Real >::plusFunction_, and zero.

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

template<class Real >

void ROL::MeanSemiDeviationFromTarget< Real >::updateValue ( Objective< Real > &  obj, const Vector< Real > &  x, const std::vector< Real > &  xstat, Real &  tol  )

inlinevirtual

Update internal storage for value computation.

Parameters

[in]	val	is the value of the random variable objective function at the current sample point
[in]	weight	is the weight associated with the current sample point

Reimplemented from ROL::RandVarFunctional< Real >.

Definition at line 136 of file ROL_MeanSemiDeviationFromTarget.hpp.

References ROL::MeanSemiDeviationFromTarget< Real >::coeff_, ROL::RandVarFunctional< Real >::computeValue(), ROL::MeanSemiDeviationFromTarget< Real >::plusFunction_, ROL::MeanSemiDeviationFromTarget< Real >::target_, ROL::RandVarFunctional< Real >::val_, and ROL::RandVarFunctional< Real >::weight_.

template<class Real >

Real ROL::MeanSemiDeviationFromTarget< Real >::getValue ( const Vector< Real > &  x, const std::vector< Real > &  xstat, SampleGenerator< Real > &  sampler  )

inlinevirtual

Return risk measure value.

Parameters

[in]

sampler

is the ROL::SampleGenerator used to sample the objective function

Upon return, getValue returns \(\mathcal{R}(f(x_0))\) where \(f(x_0)\) denotes the random variable objective function evaluated at \(x_0\).

Reimplemented from ROL::RandVarFunctional< Real >.

Definition at line 145 of file ROL_MeanSemiDeviationFromTarget.hpp.

References ROL::SampleGenerator< Real >::sumAll(), and ROL::RandVarFunctional< Real >::val_.

template<class Real >

void ROL::MeanSemiDeviationFromTarget< Real >::updateGradient ( Objective< Real > &  obj, const Vector< Real > &  x, const std::vector< Real > &  xstat, Real &  tol  )

inlinevirtual

Update internal risk measure storage for gradient computation.

Parameters

[in]	val	is the value of the random variable objective function at the current sample point
[in]	g	is the gradient of the random variable objective function at the current sample point
[in]	weight	is the weight associated with the current sample point

Reimplemented from ROL::RandVarFunctional< Real >.

Definition at line 153 of file ROL_MeanSemiDeviationFromTarget.hpp.

References ROL::MeanSemiDeviationFromTarget< Real >::coeff_, ROL::RandVarFunctional< Real >::computeGradient(), ROL::RandVarFunctional< Real >::computeValue(), ROL::RandVarFunctional< Real >::dualVector_, ROL::RandVarFunctional< Real >::g_, ROL::MeanSemiDeviationFromTarget< Real >::plusFunction_, ROL::MeanSemiDeviationFromTarget< Real >::target_, and ROL::RandVarFunctional< Real >::weight_.

template<class Real >

void ROL::MeanSemiDeviationFromTarget< Real >::getGradient ( Vector< Real > &  g, std::vector< Real > &  gstat, const Vector< Real > &  x, const std::vector< Real > &  xstat, SampleGenerator< Real > &  sampler  )

inlinevirtual

Return risk measure (sub)gradient.

Parameters

[out]	g	is the (sub)gradient of the risk measure
[in]	sampler	is the ROL::SampleGenerator used to sample the objective function

Upon return, getGradient returns \(\theta\in\partial\mathcal{R}(f(x_0))\) where \(f(x_0)\) denotes the random variable objective function evaluated at \(x_0\) and \(\partial\mathcal{R}(X)\) denotes the subdifferential of \(\mathcal{R}\) at \(X\).

Reimplemented from ROL::RandVarFunctional< Real >.

Definition at line 164 of file ROL_MeanSemiDeviationFromTarget.hpp.

References ROL::RandVarFunctional< Real >::g_, and ROL::SampleGenerator< Real >::sumAll().

template<class Real >

void ROL::MeanSemiDeviationFromTarget< Real >::updateHessVec ( Objective< Real > &  obj, const Vector< Real > &  v, const std::vector< Real > &  vstat, const Vector< Real > &  x, const std::vector< Real > &  xstat, Real &  tol  )

inlinevirtual

Update internal risk measure storage for Hessian-time-a-vector computation.

Parameters

[in]	val	is the value of the random variable objective function at the current sample point
[in]	g	is the gradient of the random variable objective function at the current sample point
[in]	gv	is the gradient of the random variable objective function at the current sample point applied to the vector v0
[in]	hv	is the Hessian of the random variable objective function at the current sample point applied to the vector v0
[in]	weight	is the weight associated with the current sample point

Reimplemented from ROL::RandVarFunctional< Real >.

Definition at line 172 of file ROL_MeanSemiDeviationFromTarget.hpp.

References ROL::MeanSemiDeviationFromTarget< Real >::coeff_, ROL::RandVarFunctional< Real >::computeGradVec(), ROL::RandVarFunctional< Real >::computeHessVec(), ROL::RandVarFunctional< Real >::computeValue(), ROL::RandVarFunctional< Real >::dualVector_, ROL::RandVarFunctional< Real >::hv_, ROL::MeanSemiDeviationFromTarget< Real >::plusFunction_, ROL::MeanSemiDeviationFromTarget< Real >::target_, and ROL::RandVarFunctional< Real >::weight_.

template<class Real >

void ROL::MeanSemiDeviationFromTarget< Real >::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  )

inlinevirtual

Return risk measure Hessian-times-a-vector.

Parameters

[out]	hv	is the Hessian-times-a-vector of the risk measure
[in]	sampler	is the ROL::SampleGenerator used to sample the objective function

Upon return, getHessVec returns \(\nabla^2 \mathcal{R}(f(x_0))v_0\) (if available) where \(f(x_0)\) denotes the random variable objective function evaluated at \(x_0\).

Reimplemented from ROL::RandVarFunctional< Real >.

Definition at line 188 of file ROL_MeanSemiDeviationFromTarget.hpp.

References ROL::RandVarFunctional< Real >::hv_, and ROL::SampleGenerator< Real >::sumAll().

Member Data Documentation

template<class Real >

Ptr<PlusFunction<Real> > ROL::MeanSemiDeviationFromTarget< Real >::plusFunction_

private

Definition at line 74 of file ROL_MeanSemiDeviationFromTarget.hpp.

Referenced by ROL::MeanSemiDeviationFromTarget< Real >::checkInputs(), ROL::MeanSemiDeviationFromTarget< Real >::MeanSemiDeviationFromTarget(), ROL::MeanSemiDeviationFromTarget< Real >::updateGradient(), ROL::MeanSemiDeviationFromTarget< Real >::updateHessVec(), and ROL::MeanSemiDeviationFromTarget< Real >::updateValue().

template<class Real >

Real ROL::MeanSemiDeviationFromTarget< Real >::coeff_

private

Definition at line 75 of file ROL_MeanSemiDeviationFromTarget.hpp.

Referenced by ROL::MeanSemiDeviationFromTarget< Real >::checkInputs(), ROL::MeanSemiDeviationFromTarget< Real >::MeanSemiDeviationFromTarget(), ROL::MeanSemiDeviationFromTarget< Real >::updateGradient(), ROL::MeanSemiDeviationFromTarget< Real >::updateHessVec(), and ROL::MeanSemiDeviationFromTarget< Real >::updateValue().

template<class Real >

Real ROL::MeanSemiDeviationFromTarget< Real >::target_

private

Definition at line 75 of file ROL_MeanSemiDeviationFromTarget.hpp.

Referenced by ROL::MeanSemiDeviationFromTarget< Real >::MeanSemiDeviationFromTarget(), ROL::MeanSemiDeviationFromTarget< Real >::updateGradient(), ROL::MeanSemiDeviationFromTarget< Real >::updateHessVec(), and ROL::MeanSemiDeviationFromTarget< Real >::updateValue().

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

• ROL_MeanSemiDeviationFromTarget.hpp