#include <ROL_PD_RandVarFunctional.hpp>

Inheritance diagram for ROL::PD_RandVarFunctional< Real >:

Public Member Functions
	PD_RandVarFunctional (void)

void	setData (SampleGenerator< Real > &sampler, const Real pen, const Real lam=0.0)

virtual Real	computeDual (SampleGenerator< Real > &sampler)

void	updateDual (SampleGenerator< Real > &sampler)

void	updatePenalty (const Real pen)

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	initialize (const Vector< Real > &x)
	Initialize temporary variables. 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	resetStorage (bool flag=true)
	Reset internal storage. 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...

virtual void	updateValue (Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
	Update internal storage for value computation. More...

virtual 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...

virtual 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...

virtual Real	getValue (const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
	Return risk measure value. More...

virtual 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...

virtual 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...

Protected Member Functions
void	setValue (const Real val, const std::vector< Real > &pt)

void	getMultiplier (Real &lam, const std::vector< Real > &pt) const

void	setMultiplier (Real &lam, const std::vector< Real > &pt)

Real	getPenaltyParameter (void) const

Real	ppf (const Real x, const Real t, const Real r, const int deriv=0) const

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)

Private Types
typedef std::vector< Real > ::size_type	uint

Private Attributes
Real	pen_

int	update_

bool	setData_

Ptr< SampledScalar< Real > >	values_

Ptr< SampledScalar< Real > >	multipliers_

Ptr< SampledScalar< Real > >	multipliers_new_

Additional Inherited Members
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::PD_RandVarFunctional< Real >

Definition at line 52 of file ROL_PD_RandVarFunctional.hpp.

Member Typedef Documentation

template<class Real >

typedef std::vector<Real>::size_type ROL::PD_RandVarFunctional< Real >::uint

private

Definition at line 53 of file ROL_PD_RandVarFunctional.hpp.

Constructor & Destructor Documentation

template<class Real >

ROL::PD_RandVarFunctional< Real >::PD_RandVarFunctional ( void )

inline

Definition at line 102 of file ROL_PD_RandVarFunctional.hpp.

References ROL::PD_RandVarFunctional< Real >::multipliers_, ROL::PD_RandVarFunctional< Real >::multipliers_new_, and ROL::PD_RandVarFunctional< Real >::values_.

Member Function Documentation

template<class Real >

void ROL::PD_RandVarFunctional< Real >::setValue	(	const Real	val,
		const std::vector< Real > &	pt
	)

inlineprotected

Definition at line 65 of file ROL_PD_RandVarFunctional.hpp.

References ROL::PD_RandVarFunctional< Real >::values_.

Referenced by ROL::PD_MeanSemiDeviation< Real >::getValue(), ROL::PD_BPOE< Real >::updateValue(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateValue(), ROL::PD_CVaR< Real >::updateValue(), and ROL::PD_HMCR2< Real >::updateValue().

template<class Real >

void ROL::PD_RandVarFunctional< Real >::getMultiplier	(	Real &	lam,
		const std::vector< Real > &	pt
	)		const

inlineprotected

Definition at line 70 of file ROL_PD_RandVarFunctional.hpp.

References ROL::PD_RandVarFunctional< Real >::multipliers_.

Referenced by ROL::PD_HMCR2< Real >::computeDual(), ROL::PD_MeanSemiDeviation< Real >::getGradient(), ROL::PD_MeanSemiDeviation< Real >::getHessVec(), ROL::PD_MeanSemiDeviation< Real >::getValue(), ROL::PD_BPOE< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateGradient(), ROL::PD_CVaR< Real >::updateGradient(), ROL::PD_HMCR2< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateHessVec(), ROL::PD_CVaR< Real >::updateHessVec(), ROL::PD_HMCR2< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateValue(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateValue(), ROL::PD_CVaR< Real >::updateValue(), and ROL::PD_HMCR2< Real >::updateValue().

template<class Real >

void ROL::PD_RandVarFunctional< Real >::setMultiplier	(	Real &	lam,
		const std::vector< Real > &	pt
	)

inlineprotected

Definition at line 74 of file ROL_PD_RandVarFunctional.hpp.

References ROL::PD_RandVarFunctional< Real >::multipliers_new_.

Referenced by ROL::PD_HMCR2< Real >::computeDual().

template<class Real >

Real ROL::PD_RandVarFunctional< Real >::getPenaltyParameter ( void ) const

inlineprotected

Definition at line 79 of file ROL_PD_RandVarFunctional.hpp.

References ROL::PD_RandVarFunctional< Real >::pen_.

Referenced by ROL::PD_HMCR2< Real >::computeDual(), ROL::PD_MeanSemiDeviation< Real >::getGradient(), ROL::PD_HMCR2< Real >::getGradient(), ROL::PD_MeanSemiDeviation< Real >::getHessVec(), ROL::PD_HMCR2< Real >::getHessVec(), ROL::PD_MeanSemiDeviation< Real >::getValue(), ROL::PD_HMCR2< Real >::getValue(), ROL::PD_BPOE< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateGradient(), ROL::PD_CVaR< Real >::updateGradient(), ROL::PD_HMCR2< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateHessVec(), ROL::PD_CVaR< Real >::updateHessVec(), ROL::PD_HMCR2< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateValue(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateValue(), ROL::PD_CVaR< Real >::updateValue(), and ROL::PD_HMCR2< Real >::updateValue().

template<class Real >

Real ROL::PD_RandVarFunctional< Real >::ppf	(	const Real	x,
		const Real	t,
		const Real	r,
		const int	deriv = `0`
	)		const

inlineprotected

Definition at line 84 of file ROL_PD_RandVarFunctional.hpp.

References zero.

Referenced by ROL::PD_MeanSemiDeviation< Real >::getGradient(), ROL::PD_MeanSemiDeviation< Real >::getHessVec(), ROL::PD_MeanSemiDeviation< Real >::getValue(), ROL::PD_BPOE< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateGradient(), ROL::PD_CVaR< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateHessVec(), ROL::PD_CVaR< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateValue(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateValue(), and ROL::PD_CVaR< Real >::updateValue().

template<class Real >

void ROL::PD_RandVarFunctional< Real >::setData	(	SampleGenerator< Real > &	sampler,
		const Real	pen,
		const Real	lam = `0.0`
	)

inline

Definition at line 109 of file ROL_PD_RandVarFunctional.hpp.

References ROL::SampleGenerator< Real >::getMyPoint(), ROL::PD_RandVarFunctional< Real >::multipliers_, ROL::SampleGenerator< Real >::numMySamples(), ROL::PD_RandVarFunctional< Real >::pen_, ROL::PD_RandVarFunctional< Real >::setData_, and ROL::SampleGenerator< Real >::start().

template<class Real >

virtual Real ROL::PD_RandVarFunctional< Real >::computeDual ( SampleGenerator< Real > & sampler )

inlinevirtual

Reimplemented in ROL::PD_HMCR2< Real >.

Definition at line 119 of file ROL_PD_RandVarFunctional.hpp.

References ROL::SampleGenerator< Real >::getMyPoint(), ROL::SampleGenerator< Real >::getMyWeight(), ROL::PD_RandVarFunctional< Real >::multipliers_, ROL::PD_RandVarFunctional< Real >::multipliers_new_, ROL::SampleGenerator< Real >::numMySamples(), ROL::PD_RandVarFunctional< Real >::pen_, ROL::SampleGenerator< Real >::start(), ROL::SampleGenerator< Real >::sumAll(), ROL::PD_RandVarFunctional< Real >::update_, ROL::PD_RandVarFunctional< Real >::values_, and zero.

template<class Real >

void ROL::PD_RandVarFunctional< Real >::updateDual ( SampleGenerator< Real > & sampler )

inline

Definition at line 140 of file ROL_PD_RandVarFunctional.hpp.

References ROL::SampleGenerator< Real >::getMyPoint(), ROL::PD_RandVarFunctional< Real >::multipliers_, ROL::PD_RandVarFunctional< Real >::multipliers_new_, ROL::SampleGenerator< Real >::numMySamples(), and ROL::SampleGenerator< Real >::start().

template<class Real >

void ROL::PD_RandVarFunctional< Real >::updatePenalty ( const Real pen )

inline

Definition at line 148 of file ROL_PD_RandVarFunctional.hpp.

References ROL::PD_RandVarFunctional< Real >::pen_.

template<class Real >

virtual void ROL::PD_RandVarFunctional< Real >::setStorage	(	const Ptr< SampledScalar< Real >> &	value_storage,
		const Ptr< SampledVector< Real >> &	gradient_storage
	)

inlinevirtual

Reimplemented from ROL::RandVarFunctional< Real >.

Reimplemented in ROL::PD_CVaR< Real >, ROL::PD_HMCR2< Real >, ROL::PD_MeanSemiDeviationFromTarget< Real >, ROL::PD_MeanSemiDeviation< Real >, and ROL::PD_BPOE< Real >.

Definition at line 152 of file ROL_PD_RandVarFunctional.hpp.

References ROL::RandVarFunctional< Real >::setStorage().

Referenced by ROL::PD_BPOE< Real >::setStorage(), ROL::PD_MeanSemiDeviation< Real >::setStorage(), ROL::PD_MeanSemiDeviationFromTarget< Real >::setStorage(), ROL::PD_HMCR2< Real >::setStorage(), and ROL::PD_CVaR< Real >::setStorage().

template<class Real >

virtual void ROL::PD_RandVarFunctional< Real >::setHessVecStorage	(	const Ptr< SampledScalar< Real >> &	gradvec_storage,
		const Ptr< SampledVector< Real >> &	hessvec_storage
	)