#include <ROL_RiskBoundConstraint.hpp>

Inheritance diagram for ROL::RiskBoundConstraint< Real >:

Public Member Functions
	RiskBoundConstraint (ROL::Ptr< ROL::ParameterList > &parlist, const ROL::Ptr< BoundConstraint< Real > > &bc=ROL::nullPtr)

	RiskBoundConstraint (std::vector< ROL::Ptr< ROL::ParameterList > > &parlist, const ROL::Ptr< BoundConstraint< Real > > &bc=ROL::nullPtr)

	RiskBoundConstraint (ROL::Ptr< ROL::ParameterList > &parlistObj, std::vector< ROL::Ptr< ROL::ParameterList > > &parlistCon, const ROL::Ptr< BoundConstraint< Real > > &bc=ROL::nullPtr)

	RiskBoundConstraint (const Ptr< BoundConstraint< Real > > &bc)

void	update (const Vector< Real > &x, bool flag=true, int iter=-1)
	Update bounds. More...

void	project (Vector< Real > &x)
	Project optimization variables onto the bounds. More...

void	projectInterior (Vector< Real > &x)
	Project optimization variables into the interior of the feasible set. More...

void	pruneUpperActive (Vector< Real > &v, const Vector< Real > &x, Real eps=0)
	Set variables to zero if they correspond to the upper \(\epsilon\)-active set. More...

void	pruneUpperActive (Vector< Real > &v, const Vector< Real > &g, const Vector< Real > &x, Real eps=0)
	Set variables to zero if they correspond to the upper \(\epsilon\)-binding set. More...

void	pruneLowerActive (Vector< Real > &v, const Vector< Real > &x, Real eps=0)
	Set variables to zero if they correspond to the lower \(\epsilon\)-active set. More...

void	pruneLowerActive (Vector< Real > &v, const Vector< Real > &g, const Vector< Real > &x, Real eps=0)
	Set variables to zero if they correspond to the \(\epsilon\)-binding set. More...

const ROL::Ptr< const Vector < Real > >	getLowerBound (void) const
	Return the ref count pointer to the lower bound vector. More...

const ROL::Ptr< const Vector < Real > >	getUpperBound (void) const
	Return the ref count pointer to the upper bound vector. More...

bool	isFeasible (const Vector< Real > &v)
	Check if the vector, v, is feasible. More...

Public Member Functions inherited from ROL::BoundConstraint< Real >
virtual	~BoundConstraint ()

	BoundConstraint (void)

	BoundConstraint (const Vector< Real > &x)

void	activateLower (void)
	Turn on lower bound. More...

void	activateUpper (void)
	Turn on upper bound. More...

void	activate (void)
	Turn on bounds. More...

void	deactivateLower (void)
	Turn off lower bound. More...

void	deactivateUpper (void)
	Turn off upper bound. More...

void	deactivate (void)
	Turn off bounds. More...

bool	isLowerActivated (void) const
	Check if lower bound are on. More...

bool	isUpperActivated (void) const
	Check if upper bound are on. More...

bool	isActivated (void) const
	Check if bounds are on. More...

void	pruneActive (Vector< Real > &v, const Vector< Real > &x, Real eps=0)
	Set variables to zero if they correspond to the \(\epsilon\)-active set. More...

void	pruneActive (Vector< Real > &v, const Vector< Real > &g, const Vector< Real > &x, Real eps=0)
	Set variables to zero if they correspond to the \(\epsilon\)-binding set. More...

void	pruneLowerInactive (Vector< Real > &v, const Vector< Real > &x, Real eps=0)
	Set variables to zero if they correspond to the \(\epsilon\)-inactive set. More...

void	pruneUpperInactive (Vector< Real > &v, const Vector< Real > &x, Real eps=0)
	Set variables to zero if they correspond to the \(\epsilon\)-inactive set. More...

void	pruneLowerInactive (Vector< Real > &v, const Vector< Real > &g, const Vector< Real > &x, Real eps=0)
	Set variables to zero if they correspond to the \(\epsilon\)-nonbinding set. More...

void	pruneUpperInactive (Vector< Real > &v, const Vector< Real > &g, const Vector< Real > &x, Real eps=0)
	Set variables to zero if they correspond to the \(\epsilon\)-nonbinding set. More...

void	pruneInactive (Vector< Real > &v, const Vector< Real > &x, Real eps=0)
	Set variables to zero if they correspond to the \(\epsilon\)-inactive set. More...

void	pruneInactive (Vector< Real > &v, const Vector< Real > &g, const Vector< Real > &x, Real eps=0)
	Set variables to zero if they correspond to the \(\epsilon\)-nonbinding set. More...

void	computeProjectedGradient (Vector< Real > &g, const Vector< Real > &x)
	Compute projected gradient. More...

void	computeProjectedStep (Vector< Real > &v, const Vector< Real > &x)
	Compute projected step. More...

Private Member Functions
void	setBoundInfo (ROL::ParameterList &parlist, int &nStat, std::vector< Real > &lower, std::vector< Real > &upper, bool &augmented, bool &activated)

bool	buildObjStatBnd (ROL::Ptr< ROL::ParameterList > &parlist)

bool	buildConStatBnd (std::vector< ROL::Ptr< ROL::ParameterList > > &parlist)

Private Attributes
ROL::Ptr< BoundConstraint< Real > >	bc_

ROL::Ptr< StdBoundConstraint < Real > >	statObj_bc_

std::vector< Real >	lowerObj_

std::vector< Real >	upperObj_

std::vector< ROL::Ptr < StdBoundConstraint< Real > > >	statCon_bc_

std::vector< std::vector< Real > >	lowerCon_

std::vector< std::vector< Real > >	upperCon_

bool	augmentedObj_

bool	activatedObj_

int	nStatObj_

bool	augmentedCon_

std::vector< bool >	activatedCon_

std::vector< int >	nStatCon_

bool	isLOinitialized_

bool	isHIinitialized_

ROL::Ptr< RiskVector< Real > >	lo_

ROL::Ptr< RiskVector< Real > >	hi_

Detailed Description

template<class Real>
class ROL::RiskBoundConstraint< Real >

Definition at line 54 of file ROL_RiskBoundConstraint.hpp.

Constructor & Destructor Documentation

template<class Real >

ROL::RiskBoundConstraint< Real >::RiskBoundConstraint	(	ROL::Ptr< ROL::ParameterList > &	parlist,
		const ROL::Ptr< BoundConstraint< Real > > &	bc = `ROL::nullPtr`
	)

inline

Definition at line 171 of file ROL_RiskBoundConstraint.hpp.

References ROL::BoundConstraint< Real >::activate(), ROL::RiskBoundConstraint< Real >::buildObjStatBnd(), and ROL::BoundConstraint< Real >::deactivate().

template<class Real >

ROL::RiskBoundConstraint< Real >::RiskBoundConstraint	(	std::vector< ROL::Ptr< ROL::ParameterList > > &	parlist,
		const ROL::Ptr< BoundConstraint< Real > > &	bc = `ROL::nullPtr`
	)

inline

Definition at line 188 of file ROL_RiskBoundConstraint.hpp.

References ROL::BoundConstraint< Real >::activate(), ROL::RiskBoundConstraint< Real >::buildConStatBnd(), and ROL::BoundConstraint< Real >::deactivate().

template<class Real >

ROL::RiskBoundConstraint< Real >::RiskBoundConstraint	(	ROL::Ptr< ROL::ParameterList > &	parlistObj,
		std::vector< ROL::Ptr< ROL::ParameterList > > &	parlistCon,
		const ROL::Ptr< BoundConstraint< Real > > &	bc = `ROL::nullPtr`
	)

inline

Definition at line 205 of file ROL_RiskBoundConstraint.hpp.

References ROL::BoundConstraint< Real >::activate(), ROL::RiskBoundConstraint< Real >::buildConStatBnd(), ROL::RiskBoundConstraint< Real >::buildObjStatBnd(), and ROL::BoundConstraint< Real >::deactivate().

template<class Real >

ROL::RiskBoundConstraint< Real >::RiskBoundConstraint ( const Ptr< BoundConstraint< Real > > & bc )

inline

Definition at line 224 of file ROL_RiskBoundConstraint.hpp.

References ROL::BoundConstraint< Real >::activate(), ROL::RiskBoundConstraint< Real >::activatedObj_, ROL::RiskBoundConstraint< Real >::bc_, and ROL::BoundConstraint< Real >::deactivate().

Member Function Documentation

template<class Real >

void ROL::RiskBoundConstraint< Real >::setBoundInfo	(	ROL::ParameterList &	parlist,
		int &	nStat,
		std::vector< Real > &	lower,
		std::vector< Real > &	upper,
		bool &	augmented,
		bool &	activated
	)

inlineprivate

Definition at line 74 of file ROL_RiskBoundConstraint.hpp.

Referenced by ROL::RiskBoundConstraint< Real >::buildConStatBnd(), and ROL::RiskBoundConstraint< Real >::buildObjStatBnd().

template<class Real >

bool ROL::RiskBoundConstraint< Real >::buildObjStatBnd ( ROL::Ptr< ROL::ParameterList > & parlist )

inlineprivate

Definition at line 103 of file ROL_RiskBoundConstraint.hpp.

References ROL::RiskBoundConstraint< Real >::activatedObj_, ROL::RiskBoundConstraint< Real >::augmentedObj_, ROL::RiskBoundConstraint< Real >::lowerObj_, ROL::RiskBoundConstraint< Real >::nStatObj_, ROL::RiskBoundConstraint< Real >::setBoundInfo(), ROL::RiskBoundConstraint< Real >::statObj_bc_, and ROL::RiskBoundConstraint< Real >::upperObj_.

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

template<class Real >

bool ROL::RiskBoundConstraint< Real >::buildConStatBnd ( std::vector< ROL::Ptr< ROL::ParameterList > > & parlist )

inlineprivate

Definition at line 127 of file ROL_RiskBoundConstraint.hpp.

References ROL::RiskBoundConstraint< Real >::activatedCon_, ROL::RiskBoundConstraint< Real >::augmentedCon_, ROL::RiskBoundConstraint< Real >::lowerCon_, ROL::RiskBoundConstraint< Real >::nStatCon_, ROL::RiskBoundConstraint< Real >::setBoundInfo(), ROL::RiskBoundConstraint< Real >::statCon_bc_, and ROL::RiskBoundConstraint< Real >::upperCon_.

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

template<class Real >

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

inlinevirtual

Update bounds.

The update function allows the user to update the bounds at each new iterations.

Parameters

[in]	x	is the optimization variable.
[in]	flag	is set to true if control is changed.
[in]	iter	is the outer algorithm iterations count.

Reimplemented from ROL::BoundConstraint< Real >.

Definition at line 236 of file ROL_RiskBoundConstraint.hpp.

References ROL::RiskBoundConstraint< Real >::activatedCon_, ROL::RiskBoundConstraint< Real >::activatedObj_, ROL::RiskBoundConstraint< Real >::augmentedCon_, ROL::RiskBoundConstraint< Real >::augmentedObj_, ROL::RiskBoundConstraint< Real >::bc_, ROL::RiskBoundConstraint< Real >::statCon_bc_, and ROL::RiskBoundConstraint< Real >::statObj_bc_.

template<class Real >

void ROL::RiskBoundConstraint< Real >::project ( Vector< Real > & x )

inlinevirtual

Project optimization variables onto the bounds.

This function implements the projection of \(x\) onto the bounds, i.e.,

\[ (P_{[a,b]}(x))(\xi) = \min\{b(\xi),\max\{a(\xi),x(\xi)\}\} \quad \text{for almost every }\xi\in\Xi. \]

Parameters

[in,out] x is the optimization variable.

Reimplemented from ROL::BoundConstraint< Real >.

Definition at line 256 of file ROL_RiskBoundConstraint.hpp.

References ROL::RiskBoundConstraint< Real >::activatedCon_, ROL::RiskBoundConstraint< Real >::activatedObj_, ROL::RiskBoundConstraint< Real >::augmentedCon_, ROL::RiskBoundConstraint< Real >::augmentedObj_, ROL::RiskBoundConstraint< Real >::bc_, ROL::RiskBoundConstraint< Real >::statCon_bc_, and ROL::RiskBoundConstraint< Real >::statObj_bc_.

template<class Real >

void ROL::RiskBoundConstraint< Real >::projectInterior ( Vector< Real > & x )

inlinevirtual

Project optimization variables into the interior of the feasible set.

This function implements the projection of \(x\) into the interior of the feasible set, i.e.,

\[ (\bar{P}_{[a,b]}(x))(\xi) \in (a(\xi),b(\xi)) \quad \text{for almost every }\xi\in\Xi. \]

Parameters

[in,out] x is the optimization variable.

Reimplemented from ROL::BoundConstraint< Real >.

Definition at line 276 of file ROL_RiskBoundConstraint.hpp.

References ROL::RiskBoundConstraint< Real >::activatedCon_, ROL::RiskBoundConstraint< Real >::activatedObj_, ROL::RiskBoundConstraint< Real >::augmentedCon_, ROL::RiskBoundConstraint< Real >::augmentedObj_, ROL::RiskBoundConstraint< Real >::bc_, ROL::RiskBoundConstraint< Real >::statCon_bc_, and ROL::RiskBoundConstraint< Real >::statObj_bc_.

template<class Real >

void ROL::RiskBoundConstraint< Real >::pruneUpperActive	(	Vector< Real > &	v,
		const Vector< Real > &	x,
		Real	eps = `0`
	)

inlinevirtual

Set variables to zero if they correspond to the upper \(\epsilon\)-active set.

This function sets \(v(\xi)=0\) if \(\xi\in\mathcal{A}^+_\epsilon(x)\). Here, the upper \(\epsilon\)-active set is defined as

\[ \mathcal{A}^+_\epsilon(x) = \{\,\xi\in\Xi\,:\,x(\xi) = b(\xi)-\epsilon\,\}. \]

Parameters

[out]	v	is the variable to be pruned.
[in]	x	is the current optimization variable.
[in]	eps	is the active-set tolerance \(\epsilon\).

Reimplemented from ROL::BoundConstraint< Real >.

Definition at line 296 of file ROL_RiskBoundConstraint.hpp.

References ROL::RiskBoundConstraint< Real >::activatedCon_, ROL::RiskBoundConstraint< Real >::activatedObj_, ROL::RiskBoundConstraint< Real >::augmentedCon_, ROL::RiskBoundConstraint< Real >::augmentedObj_, ROL::RiskBoundConstraint< Real >::bc_, ROL::RiskBoundConstraint< Real >::statCon_bc_, and ROL::RiskBoundConstraint< Real >::statObj_bc_.

template<class Real >

void ROL::RiskBoundConstraint< Real >::pruneUpperActive	(	Vector< Real > &	v,
		const Vector< Real > &	g,
		const Vector< Real > &	x,
		Real	eps = `0`
	)

inlinevirtual

Set variables to zero if they correspond to the upper \(\epsilon\)-binding set.

This function sets \(v(\xi)=0\) if \(\xi\in\mathcal{B}^+_\epsilon(x)\). Here, the upper \(\epsilon\)-binding set is defined as

\[ \mathcal{B}^+_\epsilon(x) = \{\,\xi\in\Xi\,:\,x(\xi) = b(\xi)-\epsilon,\; g(\xi) < 0 \,\}. \]

Parameters

[out]	v	is the variable to be pruned.
[in]	g	is the negative search direction.
[in]	x	is the current optimization variable.
[in]	eps	is the active-set tolerance \(\epsilon\).

Reimplemented from ROL::BoundConstraint< Real >.

Definition at line 319 of file ROL_RiskBoundConstraint.hpp.

References ROL::RiskBoundConstraint< Real >::activatedCon_, ROL::RiskBoundConstraint< Real >::activatedObj_, ROL::RiskBoundConstraint< Real >::augmentedCon_, ROL::RiskBoundConstraint< Real >::augmentedObj_, ROL::RiskBoundConstraint< Real >::bc_, ROL::RiskBoundConstraint< Real >::statCon_bc_, and ROL::RiskBoundConstraint< Real >::statObj_bc_.

template<class Real >

void ROL::RiskBoundConstraint< Real >::pruneLowerActive	(	Vector< Real > &	v,
		const Vector< Real > &	x,
		Real	eps = `0`
	)

inlinevirtual

Set variables to zero if they correspond to the lower \(\epsilon\)-active set.

This function sets \(v(\xi)=0\) if \(\xi\in\mathcal{A}^-_\epsilon(x)\). Here, the lower \(\epsilon\)-active set is defined as

\[ \mathcal{A}^-_\epsilon(x) = \{\,\xi\in\Xi\,:\,x(\xi) = a(\xi)+\epsilon\,\}. \]

Parameters

[out]	v	is the variable to be pruned.
[in]	x	is the current optimization variable.
[in]	eps	is the active-set tolerance \(\epsilon\).

Reimplemented from ROL::BoundConstraint< Real >.

Definition at line 345 of file ROL_RiskBoundConstraint.hpp.

References ROL::RiskBoundConstraint< Real >::activatedCon_, ROL::RiskBoundConstraint< Real >::activatedObj_, ROL::RiskBoundConstraint< Real >::augmentedCon_, ROL::RiskBoundConstraint< Real >::augmentedObj_, ROL::RiskBoundConstraint< Real >::bc_, ROL::RiskBoundConstraint< Real >::statCon_bc_, and ROL::RiskBoundConstraint< Real >::statObj_bc_.

template<class Real >

void ROL::RiskBoundConstraint< Real >::pruneLowerActive	(	Vector< Real > &	v,
		const Vector< Real > &	g,
		const Vector< Real > &	x,
		Real	eps = `0`
	)

inlinevirtual

Set variables to zero if they correspond to the \(\epsilon\)-binding set.

This function sets \(v(\xi)=0\) if \(\xi\in\mathcal{B}^-_\epsilon(x)\). Here, the lower \(\epsilon\)-binding set is defined as

\[ \mathcal{B}^-_\epsilon(x) = \{\,\xi\in\Xi\,:\,x(\xi) = a(\xi)+\epsilon,\; g(\xi) > 0 \,\}. \]

Parameters

[out]	v	is the variable to be pruned.
[in]	g	is the negative search direction.
[in]	x	is the current optimization variable.
[in]	eps	is the active-set tolerance \(\epsilon\).