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

#include <ROL_RiskNeutralObjective.hpp>

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

Public Member Functions

virtual ~RiskNeutralObjective ()
 
 RiskNeutralObjective (const ROL::Ptr< Objective< Real > > &pObj, const ROL::Ptr< SampleGenerator< Real > > &vsampler, const ROL::Ptr< SampleGenerator< Real > > &gsampler, const ROL::Ptr< SampleGenerator< Real > > &hsampler, const bool storage=true)
 
 RiskNeutralObjective (const ROL::Ptr< Objective< Real > > &pObj, const ROL::Ptr< SampleGenerator< Real > > &vsampler, const ROL::Ptr< SampleGenerator< Real > > &gsampler, const bool storage=true)
 
 RiskNeutralObjective (const ROL::Ptr< Objective< Real > > &pObj, const ROL::Ptr< SampleGenerator< Real > > &sampler, const bool storage=true)
 
virtual void update (const Vector< Real > &x, bool flag=true, int iter=-1)
 Update objective function. More...
 
virtual Real value (const Vector< Real > &x, Real &tol)
 Compute value. More...
 
virtual void gradient (Vector< Real > &g, const Vector< Real > &x, Real &tol)
 Compute gradient. More...
 
virtual void hessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
 Apply 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...
 
- 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 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...
 
virtual void setParameter (const std::vector< Real > &param)
 

Private Member Functions

void getValue (Real &val, const Vector< Real > &x, const std::vector< Real > &param, Real &tol)
 
void getGradient (Vector< Real > &g, const Vector< Real > &x, const std::vector< Real > &param, Real &tol)
 
void getHessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, const std::vector< Real > &param, Real &tol)
 

Private Attributes

ROL::Ptr< Objective< Real > > ParametrizedObjective_
 
ROL::Ptr< SampleGenerator< Real > > ValueSampler_
 
ROL::Ptr< SampleGenerator< Real > > GradientSampler_
 
ROL::Ptr< SampleGenerator< Real > > HessianSampler_
 
Real value_
 
ROL::Ptr< Vector< Real > > gradient_
 
ROL::Ptr< Vector< Real > > pointDual_
 
ROL::Ptr< Vector< Real > > sumDual_
 
bool firstUpdate_
 
bool storage_
 
std::map< std::vector< Real >
, Real > 		value_storage_
 
std::map< std::vector< Real >
, ROL::Ptr< Vector< Real > > > 		gradient_storage_
 

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::RiskNeutralObjective< Real >

Definition at line 54 of file ROL_RiskNeutralObjective.hpp.

Constructor & Destructor Documentation

template<class Real >
virtual ROL::RiskNeutralObjective< Real >::~RiskNeutralObjective ( )
inlinevirtual

Definition at line 110 of file ROL_RiskNeutralObjective.hpp.

template<class Real >
ROL::RiskNeutralObjective< Real >::RiskNeutralObjective ( const ROL::Ptr< Objective< Real > > &  pObj,
const ROL::Ptr< SampleGenerator< Real > > &  vsampler,
const ROL::Ptr< SampleGenerator< Real > > &  gsampler,
const ROL::Ptr< SampleGenerator< Real > > &  hsampler,
const bool  storage = true 
)
inline

Definition at line 112 of file ROL_RiskNeutralObjective.hpp.

References ROL::RiskNeutralObjective< Real >::gradient_storage_, and ROL::RiskNeutralObjective< Real >::value_storage_.

template<class Real >
ROL::RiskNeutralObjective< Real >::RiskNeutralObjective ( const ROL::Ptr< Objective< Real > > &  pObj,
const ROL::Ptr< SampleGenerator< Real > > &  vsampler,
const ROL::Ptr< SampleGenerator< Real > > &  gsampler,
const bool  storage = true 
)
inline

Definition at line 124 of file ROL_RiskNeutralObjective.hpp.

References ROL::RiskNeutralObjective< Real >::gradient_storage_, and ROL::RiskNeutralObjective< Real >::value_storage_.

template<class Real >
ROL::RiskNeutralObjective< Real >::RiskNeutralObjective ( const ROL::Ptr< Objective< Real > > &  pObj,
const ROL::Ptr< SampleGenerator< Real > > &  sampler,
const bool  storage = true 
)
inline

Definition at line 135 of file ROL_RiskNeutralObjective.hpp.

References ROL::RiskNeutralObjective< Real >::gradient_storage_, and ROL::RiskNeutralObjective< Real >::value_storage_.

Member Function Documentation

template<class Real >
void ROL::RiskNeutralObjective< Real >::getValue ( Real &  val,
const Vector< Real > &  x,
const std::vector< Real > &  param,
Real &  tol 
)
inlineprivate

Definition at line 72 of file ROL_RiskNeutralObjective.hpp.

References ROL::RiskNeutralObjective< Real >::ParametrizedObjective_, ROL::RiskNeutralObjective< Real >::storage_, and ROL::RiskNeutralObjective< Real >::value_storage_.

Referenced by ROL::RiskNeutralObjective< Real >::value().

template<class Real >
void ROL::RiskNeutralObjective< Real >::getGradient ( Vector< Real > &  g,
const Vector< Real > &  x,
const std::vector< Real > &  param,
Real &  tol 
)
inlineprivate

Definition at line 86 of file ROL_RiskNeutralObjective.hpp.

References ROL::Vector< Real >::clone(), ROL::RiskNeutralObjective< Real >::gradient_storage_, ROL::RiskNeutralObjective< Real >::ParametrizedObjective_, ROL::Vector< Real >::set(), and ROL::RiskNeutralObjective< Real >::storage_.

Referenced by ROL::RiskNeutralObjective< Real >::gradient().

template<class Real >
void ROL::RiskNeutralObjective< Real >::getHessVec ( Vector< Real > &  hv,
const Vector< Real > &  v,
const Vector< Real > &  x,
const std::vector< Real > &  param,
Real &  tol 
)
inlineprivate

Definition at line 102 of file ROL_RiskNeutralObjective.hpp.

References ROL::RiskNeutralObjective< Real >::ParametrizedObjective_.

Referenced by ROL::RiskNeutralObjective< Real >::hessVec().

template<class Real >
virtual void ROL::RiskNeutralObjective< 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]xis the new iterate.
[in]flagis true if the iterate has changed.
[in]iteris the outer algorithm iterations count.

Reimplemented from ROL::Objective< Real >.

Definition at line 145 of file ROL_RiskNeutralObjective.hpp.

References ROL::Vector< Real >::dual(), ROL::RiskNeutralObjective< Real >::firstUpdate_, ROL::RiskNeutralObjective< Real >::gradient_, ROL::RiskNeutralObjective< Real >::gradient_storage_, ROL::RiskNeutralObjective< Real >::GradientSampler_, ROL::RiskNeutralObjective< Real >::HessianSampler_, ROL::RiskNeutralObjective< Real >::ParametrizedObjective_, ROL::RiskNeutralObjective< Real >::pointDual_, ROL::RiskNeutralObjective< Real >::storage_, ROL::RiskNeutralObjective< Real >::sumDual_, ROL::RiskNeutralObjective< Real >::value_, ROL::RiskNeutralObjective< Real >::value_storage_, and ROL::RiskNeutralObjective< Real >::ValueSampler_.

template<class Real >
virtual Real ROL::RiskNeutralObjective< Real >::value ( const Vector< Real > &  x,
Real &  tol 
)
inlinevirtual

Compute value.

This function returns the objective function value.

Parameters
[in]xis the current iterate.
[in]tolis a tolerance for inexact objective function computation.

Implements ROL::Objective< Real >.

Definition at line 168 of file ROL_RiskNeutralObjective.hpp.

References ROL::RiskNeutralObjective< Real >::getValue(), ROL::RiskNeutralObjective< Real >::value_, and ROL::RiskNeutralObjective< Real >::ValueSampler_.

template<class Real >
virtual void ROL::RiskNeutralObjective< Real >::gradient ( Vector< Real > &  g,
const Vector< Real > &  x,
Real &  tol 
)
inlinevirtual

Compute gradient.

This function returns the objective function gradient.

Parameters
[out]gis the gradient.
[in]xis the current iterate.
[in]tolis 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 188 of file ROL_RiskNeutralObjective.hpp.

References ROL::RiskNeutralObjective< Real >::getGradient(), ROL::RiskNeutralObjective< Real >::gradient_, ROL::RiskNeutralObjective< Real >::GradientSampler_, ROL::RiskNeutralObjective< Real >::pointDual_, ROL::Vector< Real >::set(), ROL::RiskNeutralObjective< Real >::sumDual_, and ROL::Vector< Real >::zero().

template<class Real >
virtual void ROL::RiskNeutralObjective< 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]hvis the the action of the Hessian on \(v\).
[in]vis the direction vector.
[in]xis the current iterate.
[in]tolis a tolerance for inexact objective function computation.

Reimplemented from ROL::Objective< Real >.

Definition at line 213 of file ROL_RiskNeutralObjective.hpp.

References ROL::RiskNeutralObjective< Real >::getHessVec(), ROL::RiskNeutralObjective< Real >::HessianSampler_, ROL::RiskNeutralObjective< Real >::pointDual_, ROL::RiskNeutralObjective< Real >::sumDual_, and ROL::Vector< Real >::zero().

template<class Real >
virtual void ROL::RiskNeutralObjective< Real >::precond ( Vector< Real > &  Pv,
const Vector< Real > &  v,
const Vector< Real > &  x,
Real &  tol 
)
inlinevirtual

Apply preconditioner to vector.

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

Parameters
[out]Pvis the action of the Hessian preconditioner on \(v\).
[in]vis the direction vector.
[in]xis the current iterate.
[in]tolis a tolerance for inexact objective function computation.

Reimplemented from ROL::Objective< Real >.

Definition at line 223 of file ROL_RiskNeutralObjective.hpp.

References ROL::Vector< Real >::dual(), and ROL::Vector< Real >::set().

Member Data Documentation

template<class Real >
ROL::Ptr<Objective<Real> > ROL::RiskNeutralObjective< Real >::ParametrizedObjective_
private

Definition at line 56 of file ROL_RiskNeutralObjective.hpp.

Referenced by ROL::RiskNeutralObjective< Real >::getGradient(), ROL::RiskNeutralObjective< Real >::getHessVec(), ROL::RiskNeutralObjective< Real >::getValue(), and ROL::RiskNeutralObjective< Real >::update().

template<class Real >
ROL::Ptr<SampleGenerator<Real> > ROL::RiskNeutralObjective< Real >::ValueSampler_
private

Definition at line 57 of file ROL_RiskNeutralObjective.hpp.

Referenced by ROL::RiskNeutralObjective< Real >::update(), and ROL::RiskNeutralObjective< Real >::value().

template<class Real >
ROL::Ptr<SampleGenerator<Real> > ROL::RiskNeutralObjective< Real >::GradientSampler_
private

Definition at line 58 of file ROL_RiskNeutralObjective.hpp.

Referenced by ROL::RiskNeutralObjective< Real >::gradient(), and ROL::RiskNeutralObjective< Real >::update().

template<class Real >
ROL::Ptr<SampleGenerator<Real> > ROL::RiskNeutralObjective< Real >::HessianSampler_
private

Definition at line 59 of file ROL_RiskNeutralObjective.hpp.

Referenced by ROL::RiskNeutralObjective< Real >::hessVec(), and ROL::RiskNeutralObjective< Real >::update().

template<class Real >
Real ROL::RiskNeutralObjective< Real >::value_
private

Definition at line 61 of file ROL_RiskNeutralObjective.hpp.

Referenced by ROL::RiskNeutralObjective< Real >::update(), and ROL::RiskNeutralObjective< Real >::value().

template<class Real >
ROL::Ptr<Vector<Real> > ROL::RiskNeutralObjective< Real >::gradient_
private

Definition at line 62 of file ROL_RiskNeutralObjective.hpp.

Referenced by ROL::RiskNeutralObjective< Real >::gradient(), and ROL::RiskNeutralObjective< Real >::update().

template<class Real >
ROL::Ptr<Vector<Real> > ROL::RiskNeutralObjective< Real >::pointDual_
private

Definition at line 63 of file ROL_RiskNeutralObjective.hpp.

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

template<class Real >
ROL::Ptr<Vector<Real> > ROL::RiskNeutralObjective< Real >::sumDual_
private

Definition at line 64 of file ROL_RiskNeutralObjective.hpp.

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

template<class Real >
bool ROL::RiskNeutralObjective< Real >::firstUpdate_
private

Definition at line 66 of file ROL_RiskNeutralObjective.hpp.

Referenced by ROL::RiskNeutralObjective< Real >::update().

template<class Real >
bool ROL::RiskNeutralObjective< Real >::storage_
private

Definition at line 67 of file ROL_RiskNeutralObjective.hpp.

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

template<class Real >
std::map<std::vector<Real>,Real> ROL::RiskNeutralObjective< Real >::value_storage_
private

Definition at line 69 of file ROL_RiskNeutralObjective.hpp.

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

template<class Real >
std::map<std::vector<Real>,ROL::Ptr<Vector<Real> > > ROL::RiskNeutralObjective< Real >::gradient_storage_
private

Definition at line 70 of file ROL_RiskNeutralObjective.hpp.

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

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