ROL
ROL_PH_bPOEObjective.hpp
Go to the documentation of this file.
1// @HEADER
2// ************************************************************************
3//
4// Rapid Optimization Library (ROL) Package
5// Copyright (2014) Sandia Corporation
6//
7// Under terms of Contract DE-AC04-94AL85000, there is a non-exclusive
8// license for use of this work by or on behalf of the U.S. Government.
9//
10// Redistribution and use in source and binary forms, with or without
11// modification, are permitted provided that the following conditions are
12// met:
13//
14// 1. Redistributions of source code must retain the above copyright
15// notice, this list of conditions and the following disclaimer.
16//
17// 2. Redistributions in binary form must reproduce the above copyright
18// notice, this list of conditions and the following disclaimer in the
19// documentation and/or other materials provided with the distribution.
20//
21// 3. Neither the name of the Corporation nor the names of the
22// contributors may be used to endorse or promote products derived from
23// this software without specific prior written permission.
24//
25// THIS SOFTWARE IS PROVIDED BY SANDIA CORPORATION "AS IS" AND ANY
26// EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
27// IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR
28// PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL SANDIA CORPORATION OR THE
29// CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
30// EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
31// PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
32// PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
33// LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
34// NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
35// SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
36//
37// Questions? Contact lead developers:
38// Drew Kouri (dpkouri@sandia.gov) and
39// Denis Ridzal (dridzal@sandia.gov)
40//
41// ************************************************************************
42// @HEADER
43//
44#ifndef PH_BPOEOBJECTIVE_H
45#define PH_BPOEOBJECTIVE_H
46
47#include "ROL_Objective.hpp"
48
55namespace ROL {
56
57template <class Real>
58class PH_bPOEObjective : public Objective<Real> {
59private:
60 const Ptr<Objective<Real>> obj_;
62 Real order_;
63
65 Real val_;
66
69 Ptr<Vector<Real>> g_;
70
71 void getValue(const Vector<Real> &x, Real &tol) {
72 if (!isValueComputed_) {
73 val_ = obj_->value(x,tol);
74 isValueComputed_ = true;
75 }
76 }
77
78 void getGradient(const Vector<Real> &x, Real &tol) {
80 g_ = x.dual().clone();
82 }
84 obj_->gradient(*g_,x,tol);
86 }
87 }
88
89 Ptr<const Vector<Real>> getConstVector(const Vector<Real> &x) const {
90 const RiskVector<Real> &xrv = dynamic_cast<const RiskVector<Real>&>(x);
91 return xrv.getVector();
92 }
93
94 Ptr<Vector<Real>> getVector(Vector<Real> &x) const {
95 RiskVector<Real> &xrv = dynamic_cast<RiskVector<Real>&>(x);
96 return xrv.getVector();
97 }
98
99 Ptr<const std::vector<Real>> getConstStat(const Vector<Real> &x) const {
100 const RiskVector<Real> &xrv = dynamic_cast<const RiskVector<Real>&>(x);
101 Ptr<const std::vector<Real>> xstat = xrv.getStatistic();
102 if (xstat == nullPtr) {
103 xstat = makePtr<const std::vector<Real>>(0);
104 }
105 return xstat;
106 }
107
108 Ptr<std::vector<Real>> getStat(Vector<Real> &x) const {
109 RiskVector<Real> &xrv = dynamic_cast<RiskVector<Real>&>(x);
110 Ptr<std::vector<Real>> xstat = xrv.getStatistic();
111 if (xstat == nullPtr) {
112 xstat = makePtr<std::vector<Real>>(0);
113 }
114 return xstat;
115 }
116
117 // pth power of the positive part function
118 Real pplus(const Real x, const int deriv = 0) const {
119 const Real zero(0), one(1), two(2), three(3);
120 Real val(0);
121 if (x > zero) {
122 if (deriv==0) {
123 val = (order_==one ? x
124 : std::pow(x,order_));
125 }
126 else if (deriv==1) {
127 val = order_*(order_==one ? one
128 : (order_==two ? x
129 : std::pow(x,order_-one)));
130 }
131 else if (deriv==2) {
132 val = order_*(order_-one)*(order_==one ? zero
133 : (order_==two ? one
134 : (order_==three ? x
135 : std::pow(x,order_-two))));
136 }
137 }
138 return val;
139 }
140
141 Real bPOEobjective(const Real t, const Real x, const int deriv = 0) const {
142 const Real one(1);
143 Real arg = t*(x-threshold_)+one;
144 return pplus(arg,deriv);
145 }
146
147public:
148
150 ParameterList &parlist)
151 : obj_(obj),
152 isValueComputed_(false),
154 isGradientComputed_(false) {
155 ParameterList &list = parlist.sublist("SOL").sublist("Probability").sublist("bPOE");
156 threshold_ = list.get<Real>("Threshold");
157 order_ = list.get<Real>("Moment Order");
158 }
159
160 void update( const Vector<Real> &x, bool flag = true, int iter = -1 ) {
161 Ptr<const Vector<Real>> xvec = getConstVector(x);
162 obj_->update(*xvec,flag,iter);
163 isValueComputed_ = false;
164 isGradientComputed_ = false;
165 }
166
167 Real value( const Vector<Real> &x, Real &tol ) {
168 Ptr<const Vector<Real>> xvec = getConstVector(x);
169 Ptr<const std::vector<Real>> xstat = getConstStat(x);
170 getValue(*xvec,tol);
171 Real xt = (*xstat)[0];
172 Real prob = bPOEobjective(xt,val_,0);
173 return prob;
174 }
175
176 void gradient( Vector<Real> &g, const Vector<Real> &x, Real &tol ) {
177 Ptr<Vector<Real>> gvec = getVector(g);
178 Ptr<std::vector<Real>> gstat = getStat(g);
179 Ptr<const Vector<Real>> xvec = getConstVector(x);
180 Ptr<const std::vector<Real>> xstat = getConstStat(x);
181 getValue(*xvec,tol);
182 Real xt = (*xstat)[0], diff = val_-threshold_;
183 Real prob = bPOEobjective(xt,val_,1);
184 getGradient(*xvec,tol);
185 gvec->set(*g_);
186 gvec->scale(prob*xt);
187 (*gstat)[0] = prob*diff;
188 }
189
190 void hessVec( Vector<Real> &hv, const Vector<Real> &v, const Vector<Real> &x, Real &tol ) {
191 Ptr<Vector<Real>> hvec = getVector(hv);
192 Ptr<std::vector<Real>> hstat = getStat(hv);
193 Ptr<const Vector<Real>> vvec = getConstVector(v);
194 Ptr<const std::vector<Real>> vstat = getConstStat(v);
195 Ptr<const Vector<Real>> xvec = getConstVector(x);
196 Ptr<const std::vector<Real>> xstat = getConstStat(x);
197 getValue(*xvec,tol);
198 Real xt = (*xstat)[0], vt = (*vstat)[0], diff = val_-threshold_;
199 Real prob1 = bPOEobjective(xt,val_,1);
200 Real prob2 = bPOEobjective(xt,val_,2);
201 getGradient(*xvec,tol);
202 //Real gv = vvec->dot(g_->dual());
203 Real gv = vvec->apply(*g_);
204 obj_->hessVec(*hvec,*vvec,*xvec,tol);
205 hvec->scale(prob1*xt);
206 hvec->axpy(prob2*xt*(vt*diff+xt*gv)+vt*prob1,*g_);
207 (*hstat)[0] = prob2*std::pow(diff,2)*vt+(prob2*diff*xt+prob1)*gv;
208 }
209
210 void setParameter(const std::vector<Real> &param) {
211 obj_->setParameter(param);
213 }
214
215};
216
217}
218#endif
Objective_SerialSimOpt(const Ptr< Obj > &obj, const V &ui) z0 zero)()
Provides the interface to evaluate objective functions.
virtual void setParameter(const std::vector< Real > &param)
Provides the interface for the progressive hedging probability objective.
Ptr< const Vector< Real > > getConstVector(const Vector< Real > &x) const
const Ptr< Objective< Real > > obj_
void getGradient(const Vector< Real > &x, Real &tol)
PH_bPOEObjective(const Ptr< Objective< Real > > &obj, ParameterList &parlist)
Real pplus(const Real x, const int deriv=0) const
Ptr< Vector< Real > > g_
void getValue(const Vector< Real > &x, Real &tol)
Ptr< Vector< Real > > getVector(Vector< Real > &x) const
void hessVec(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Apply Hessian approximation to vector.
void gradient(Vector< Real > &g, const Vector< Real > &x, Real &tol)
Compute gradient.
Real bPOEobjective(const Real t, const Real x, const int deriv=0) const
Ptr< const std::vector< Real > > getConstStat(const Vector< Real > &x) const
Real value(const Vector< Real > &x, Real &tol)
Compute value.
void update(const Vector< Real > &x, bool flag=true, int iter=-1)
Update objective function.
void setParameter(const std::vector< Real > &param)
Ptr< std::vector< Real > > getStat(Vector< Real > &x) const
Ptr< std::vector< Real > > getStatistic(const int comp=0, const int index=0)
Ptr< const Vector< Real > > getVector(void) const
Defines the linear algebra or vector space interface.
virtual const Vector & dual() const
Return dual representation of , for example, the result of applying a Riesz map, or change of basis,...
virtual ROL::Ptr< Vector > clone() const =0
Clone to make a new (uninitialized) vector.