ROL::PH_bPOEObjective< Real > Class Template Reference

Provides the interface for the progressive hedging probability objective. More...

#include <ROL_PH_bPOEObjective.hpp>

Inheritance diagram for ROL::PH_bPOEObjective< Real >:

Public Member Functions
	PH_bPOEObjective (const Ptr< Objective< Real >> &obj, ParameterList &parlist)
void	update (const Vector< Real > &x, bool flag=true, int iter=-1)
	Update objective function. More...
Real	value (const Vector< Real > &x, Real &tol)
	Compute value. More...
void	gradient (Vector< Real > &g, const Vector< Real > &x, Real &tol)
	Compute gradient. More...
void	hessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply Hessian approximation to vector. More...
void	setParameter (const std::vector< Real > &param)
Public Member Functions inherited from ROL::Objective< Real >
virtual	~Objective ()
virtual Real	dirDeriv (const Vector< Real > &x, const Vector< Real > &d, Real &tol)
	Compute directional derivative. More...
virtual void	invHessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply inverse Hessian approximation to vector. More...
virtual void	precond (Vector< Real > &Pv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply preconditioner to vector. More...
virtual std::vector < std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference gradient check. More...
virtual std::vector < std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference gradient check. More...
virtual std::vector < std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference gradient check with specified step sizes. More...
virtual std::vector < std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference gradient check with specified step sizes. More...
virtual std::vector < std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference Hessian-applied-to-vector check. More...
virtual std::vector < std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference Hessian-applied-to-vector check. More...
virtual std::vector < std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference Hessian-applied-to-vector check with specified step sizes. More...
virtual std::vector < std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference Hessian-applied-to-vector check with specified step sizes. More...
virtual std::vector< Real >	checkHessSym (const Vector< Real > &x, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
	Hessian symmetry check. More...
virtual std::vector< Real >	checkHessSym (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
	Hessian symmetry check. More...

Private Member Functions
void	getValue (const Vector< Real > &x, Real &tol)
void	getGradient (const Vector< Real > &x, Real &tol)
Ptr< const Vector< Real > >	getConstVector (const Vector< Real > &x) const
Ptr< Vector< Real > >	getVector (Vector< Real > &x) const
Ptr< const std::vector< Real > >	getConstStat (const Vector< Real > &x) const
Ptr< std::vector< Real > >	getStat (Vector< Real > &x) const
Real	pplus (const Real x, const int deriv=0) const
Real	bPOEobjective (const Real t, const Real x, const int deriv=0) const

Private Attributes
const Ptr< Objective< Real > >	obj_
Real	threshold_
Real	order_
bool	isValueComputed_
Real	val_
bool	isGradientInitialized_
bool	isGradientComputed_
Ptr< Vector< Real > >	g_

Additional Inherited Members
Protected Member Functions inherited from ROL::Objective< Real >
const std::vector< Real >	getParameter (void) const

Detailed Description

template<class Real>
class ROL::PH_bPOEObjective< Real >

Provides the interface for the progressive hedging probability objective.

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Definition at line 58 of file ROL_PH_bPOEObjective.hpp.

Constructor & Destructor Documentation

template<class Real >

ROL::PH_bPOEObjective< Real >::PH_bPOEObjective ( const Ptr< Objective< Real >> &  obj, ParameterList &  parlist  )

inline

Definition at line 149 of file ROL_PH_bPOEObjective.hpp.

References ROL::PH_bPOEObjective< Real >::order_, and ROL::PH_bPOEObjective< Real >::threshold_.

Member Function Documentation

template<class Real >

void ROL::PH_bPOEObjective< Real >::getValue ( const Vector< Real > &  x, Real &  tol  )

inlineprivate

Definition at line 71 of file ROL_PH_bPOEObjective.hpp.

References ROL::PH_bPOEObjective< Real >::isValueComputed_, ROL::PH_bPOEObjective< Real >::obj_, and ROL::PH_bPOEObjective< Real >::val_.

Referenced by ROL::PH_bPOEObjective< Real >::gradient(), ROL::PH_bPOEObjective< Real >::hessVec(), and ROL::PH_bPOEObjective< Real >::value().

template<class Real >

void ROL::PH_bPOEObjective< Real >::getGradient ( const Vector< Real > &  x, Real &  tol  )

inlineprivate

Definition at line 78 of file ROL_PH_bPOEObjective.hpp.

References ROL::Vector< Real >::dual(), ROL::PH_bPOEObjective< Real >::g_, ROL::PH_bPOEObjective< Real >::isGradientComputed_, ROL::PH_bPOEObjective< Real >::isGradientInitialized_, and ROL::PH_bPOEObjective< Real >::obj_.

Referenced by ROL::PH_bPOEObjective< Real >::gradient(), and ROL::PH_bPOEObjective< Real >::hessVec().

template<class Real >

Ptr<const Vector<Real> > ROL::PH_bPOEObjective< Real >::getConstVector ( const Vector< Real > &  x ) const

inlineprivate

Definition at line 89 of file ROL_PH_bPOEObjective.hpp.

References ROL::RiskVector< Real >::getVector().

Referenced by ROL::PH_bPOEObjective< Real >::gradient(), ROL::PH_bPOEObjective< Real >::hessVec(), ROL::PH_bPOEObjective< Real >::update(), and ROL::PH_bPOEObjective< Real >::value().

template<class Real >

Ptr<Vector<Real> > ROL::PH_bPOEObjective< Real >::getVector ( Vector< Real > &  x ) const

inlineprivate

Definition at line 94 of file ROL_PH_bPOEObjective.hpp.

References ROL::RiskVector< Real >::getVector().

Referenced by ROL::PH_bPOEObjective< Real >::gradient(), and ROL::PH_bPOEObjective< Real >::hessVec().

template<class Real >

Ptr<const std::vector<Real> > ROL::PH_bPOEObjective< Real >::getConstStat ( const Vector< Real > &  x ) const

inlineprivate

Definition at line 99 of file ROL_PH_bPOEObjective.hpp.

References ROL::RiskVector< Real >::getStatistic().

Referenced by ROL::PH_bPOEObjective< Real >::gradient(), ROL::PH_bPOEObjective< Real >::hessVec(), and ROL::PH_bPOEObjective< Real >::value().

template<class Real >

Ptr<std::vector<Real> > ROL::PH_bPOEObjective< Real >::getStat ( Vector< Real > &  x ) const

inlineprivate

Definition at line 108 of file ROL_PH_bPOEObjective.hpp.

References ROL::RiskVector< Real >::getStatistic().

Referenced by ROL::PH_bPOEObjective< Real >::gradient(), and ROL::PH_bPOEObjective< Real >::hessVec().

template<class Real >

Real ROL::PH_bPOEObjective< Real >::pplus ( const Real  x, const int  deriv = 0  ) const

inlineprivate

Definition at line 118 of file ROL_PH_bPOEObjective.hpp.

References ROL::PH_bPOEObjective< Real >::order_, and zero.

Referenced by ROL::PH_bPOEObjective< Real >::bPOEobjective().

template<class Real >

Real ROL::PH_bPOEObjective< Real >::bPOEobjective ( const Real  t, const Real  x, const int  deriv = 0  ) const

inlineprivate

Definition at line 141 of file ROL_PH_bPOEObjective.hpp.

References ROL::PH_bPOEObjective< Real >::pplus(), and ROL::PH_bPOEObjective< Real >::threshold_.

Referenced by ROL::PH_bPOEObjective< Real >::gradient(), ROL::PH_bPOEObjective< Real >::hessVec(), and ROL::PH_bPOEObjective< Real >::value().

template<class Real >

void ROL::PH_bPOEObjective< Real >::update ( const Vector< Real > &  x, bool  flag = true, int  iter = -1  )

inlinevirtual

Update objective function.

This function updates the objective function at new iterations.

Parameters

[in]	x	is the new iterate.
[in]	flag	is true if the iterate has changed.
[in]	iter	is the outer algorithm iterations count.

Reimplemented from ROL::Objective< Real >.

Definition at line 160 of file ROL_PH_bPOEObjective.hpp.

References ROL::PH_bPOEObjective< Real >::getConstVector(), ROL::PH_bPOEObjective< Real >::isGradientComputed_, ROL::PH_bPOEObjective< Real >::isValueComputed_, and ROL::PH_bPOEObjective< Real >::obj_.

template<class Real >

Real ROL::PH_bPOEObjective< Real >::value ( const Vector< Real > &  x, Real &  tol  )

inlinevirtual

Compute value.

This function returns the objective function value.

Parameters

[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact objective function computation.

Implements ROL::Objective< Real >.

Definition at line 167 of file ROL_PH_bPOEObjective.hpp.

References ROL::PH_bPOEObjective< Real >::bPOEobjective(), ROL::PH_bPOEObjective< Real >::getConstStat(), ROL::PH_bPOEObjective< Real >::getConstVector(), ROL::PH_bPOEObjective< Real >::getValue(), and ROL::PH_bPOEObjective< Real >::val_.

template<class Real >

void ROL::PH_bPOEObjective< Real >::gradient ( Vector< Real > &  g, const Vector< Real > &  x, Real &  tol  )

inlinevirtual

Compute gradient.

This function returns the objective function gradient.

Parameters

[out]	g	is the gradient.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact objective function computation.

The default implementation is a finite-difference approximation based on the function value. This requires the definition of a basis \(\{\phi_i\}\) for the optimization vectors x and the definition of a basis \(\{\psi_j\}\) for the dual optimization vectors (gradient vectors g). The bases must be related through the Riesz map, i.e., \( R \{\phi_i\} = \{\psi_j\}\), and this must be reflected in the implementation of the ROL::Vector::dual() method.

Reimplemented from ROL::Objective< Real >.

Definition at line 176 of file ROL_PH_bPOEObjective.hpp.

References ROL::PH_bPOEObjective< Real >::bPOEobjective(), ROL::PH_bPOEObjective< Real >::g_, ROL::PH_bPOEObjective< Real >::getConstStat(), ROL::PH_bPOEObjective< Real >::getConstVector(), ROL::PH_bPOEObjective< Real >::getGradient(), ROL::PH_bPOEObjective< Real >::getStat(), ROL::PH_bPOEObjective< Real >::getValue(), ROL::PH_bPOEObjective< Real >::getVector(), ROL::PH_bPOEObjective< Real >::threshold_, and ROL::PH_bPOEObjective< Real >::val_.

template<class Real >

void ROL::PH_bPOEObjective< Real >::hessVec ( Vector< Real > &  hv, const Vector< Real > &  v, const Vector< Real > &  x, Real &  tol  )

inlinevirtual

Apply Hessian approximation to vector.

This function applies the Hessian of the objective function to the vector \(v\).

Parameters

[out]	hv	is the the action of the Hessian on \(v\).
[in]	v	is the direction vector.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact objective function computation.

Reimplemented from ROL::Objective< Real >.

Definition at line 190 of file ROL_PH_bPOEObjective.hpp.

References ROL::PH_bPOEObjective< Real >::bPOEobjective(), ROL::PH_bPOEObjective< Real >::g_, ROL::PH_bPOEObjective< Real >::getConstStat(), ROL::PH_bPOEObjective< Real >::getConstVector(), ROL::PH_bPOEObjective< Real >::getGradient(), ROL::PH_bPOEObjective< Real >::getStat(), ROL::PH_bPOEObjective< Real >::getValue(), ROL::PH_bPOEObjective< Real >::getVector(), ROL::PH_bPOEObjective< Real >::obj_, ROL::PH_bPOEObjective< Real >::threshold_, and ROL::PH_bPOEObjective< Real >::val_.

template<class Real >

void ROL::PH_bPOEObjective< Real >::setParameter ( const std::vector< Real > &  param )

inlinevirtual

Reimplemented from ROL::Objective< Real >.

Definition at line 209 of file ROL_PH_bPOEObjective.hpp.

References ROL::PH_bPOEObjective< Real >::obj_, and ROL::Objective< Real >::setParameter().

Member Data Documentation

template<class Real >

const Ptr<Objective<Real> > ROL::PH_bPOEObjective< Real >::obj_

private

Definition at line 60 of file ROL_PH_bPOEObjective.hpp.

Referenced by ROL::PH_bPOEObjective< Real >::getGradient(), ROL::PH_bPOEObjective< Real >::getValue(), ROL::PH_bPOEObjective< Real >::hessVec(), ROL::PH_bPOEObjective< Real >::setParameter(), and ROL::PH_bPOEObjective< Real >::update().

template<class Real >

Real ROL::PH_bPOEObjective< Real >::threshold_

private

Definition at line 61 of file ROL_PH_bPOEObjective.hpp.

Referenced by ROL::PH_bPOEObjective< Real >::bPOEobjective(), ROL::PH_bPOEObjective< Real >::gradient(), ROL::PH_bPOEObjective< Real >::hessVec(), and ROL::PH_bPOEObjective< Real >::PH_bPOEObjective().

template<class Real >

Real ROL::PH_bPOEObjective< Real >::order_

private

Definition at line 62 of file ROL_PH_bPOEObjective.hpp.

Referenced by ROL::PH_bPOEObjective< Real >::PH_bPOEObjective(), and ROL::PH_bPOEObjective< Real >::pplus().

template<class Real >

bool ROL::PH_bPOEObjective< Real >::isValueComputed_

private

Definition at line 64 of file ROL_PH_bPOEObjective.hpp.

Referenced by ROL::PH_bPOEObjective< Real >::getValue(), and ROL::PH_bPOEObjective< Real >::update().

template<class Real >

Real ROL::PH_bPOEObjective< Real >::val_

private

Definition at line 65 of file ROL_PH_bPOEObjective.hpp.

Referenced by ROL::PH_bPOEObjective< Real >::getValue(), ROL::PH_bPOEObjective< Real >::gradient(), ROL::PH_bPOEObjective< Real >::hessVec(), and ROL::PH_bPOEObjective< Real >::value().

template<class Real >

bool ROL::PH_bPOEObjective< Real >::isGradientInitialized_

private

Definition at line 67 of file ROL_PH_bPOEObjective.hpp.

Referenced by ROL::PH_bPOEObjective< Real >::getGradient().

template<class Real >

bool ROL::PH_bPOEObjective< Real >::isGradientComputed_

private

Definition at line 68 of file ROL_PH_bPOEObjective.hpp.

Referenced by ROL::PH_bPOEObjective< Real >::getGradient(), and ROL::PH_bPOEObjective< Real >::update().

template<class Real >

Ptr<Vector<Real> > ROL::PH_bPOEObjective< Real >::g_

private

Definition at line 69 of file ROL_PH_bPOEObjective.hpp.

Referenced by ROL::PH_bPOEObjective< Real >::getGradient(), ROL::PH_bPOEObjective< Real >::gradient(), and ROL::PH_bPOEObjective< Real >::hessVec().

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

• ROL_PH_bPOEObjective.hpp