ROL
ROL_SmoothedWorstCaseQuadrangle.hpp
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43 
44 #ifndef ROL_SMOOTHEDWORSTCASEQUAD_HPP
45 #define ROL_SMOOTHEDWORSTCASEQUAD_HPP
46 
47 #include "ROL_ExpectationQuad.hpp"
48 
86 namespace ROL {
87 
88 template<class Real>
90 private:
91 
92  Real eps_;
93 
94  void checkInputs(void) const {
95  Real zero(0);
96  TEUCHOS_TEST_FOR_EXCEPTION((eps_ <= zero), std::invalid_argument,
97  ">>> ERROR (ROL::SmoothedWorstCaseQuadrangle): Smoothing parameter must be positive!");
98  }
99 
100 public:
106  : ExpectationQuad<Real>(), eps_(eps) {
107  checkInputs();
108  }
109 
118  SmoothedWorstCaseQuadrangle(Teuchos::ParameterList &parlist) : ExpectationQuad<Real>() {
119  Teuchos::ParameterList& list
120  = parlist.sublist("SOL").sublist("Risk Measure").sublist("Smoothed Worst-Case Quadrangle");
121  eps_ = list.get<Real>("Smoothing Parameter");
122  checkInputs();
123  }
124 
125  Real error(Real x, int deriv = 0) {
126  Real err(0), zero(0), half(0.5), one(1);
127  if (deriv == 0) {
128  err = (x <= -eps_) ? -(x+half*eps_) : half*x*x/eps_;
129  }
130  else if (deriv == 1) {
131  err = (x <= -eps_) ? -one : x/eps_;
132  }
133  else {
134  err = (x <= -eps_) ? zero : one/eps_;
135  }
136  return err;
137  }
138 
139  Real regret(Real x, int deriv = 0) {
140  Real zero(0), one(1);
141  Real X = ((deriv==0) ? x : ((deriv==1) ? one : zero));
142  Real reg = error(x,deriv) + X;
143  return reg;
144  }
145 
146  void checkRegret(void) {
148  // Check v'(-eps)
149  Real x = -eps_, zero(0), one(1), two(2), p1(0.1);
150  Real vx = zero, vy = zero;
151  Real dv = regret(x,1);
152  Real t = one;
153  Real diff = zero;
154  Real err = zero;
155  std::cout << std::right << std::setw(20) << "CHECK REGRET: v'(-eps) is correct? \n";
156  std::cout << std::right << std::setw(20) << "t"
157  << std::setw(20) << "v'(x)"
158  << std::setw(20) << "(v(x+t)-v(x-t))/2t"
159  << std::setw(20) << "Error"
160  << "\n";
161  for (int i = 0; i < 13; i++) {
162  vy = regret(x+t,0);
163  vx = regret(x-t,0);
164  diff = (vy-vx)/(two*t);
165  err = std::abs(diff-dv);
166  std::cout << std::scientific << std::setprecision(11) << std::right
167  << std::setw(20) << t
168  << std::setw(20) << dv
169  << std::setw(20) << diff
170  << std::setw(20) << err
171  << "\n";
172  t *= p1;
173  }
174  std::cout << "\n";
175  // check v''(-eps)
176  vx = zero;
177  vy = zero;
178  dv = regret(x,2);
179  t = one;
180  diff = zero;
181  err = zero;
182  std::cout << std::right << std::setw(20) << "CHECK REGRET: v''(-eps) is correct? \n";
183  std::cout << std::right << std::setw(20) << "t"
184  << std::setw(20) << "v''(x)"
185  << std::setw(20) << "(v'(x+t)-v'(x-t))/2t"
186  << std::setw(20) << "Error"
187  << "\n";
188  for (int i = 0; i < 13; i++) {
189  vy = regret(x+t,1);
190  vx = regret(x-t,1);
191  diff = (vy-vx)/(two*t);
192  err = std::abs(diff-dv);
193  std::cout << std::scientific << std::setprecision(11) << std::right
194  << std::setw(20) << t
195  << std::setw(20) << dv
196  << std::setw(20) << diff
197  << std::setw(20) << err
198  << "\n";
199  t *= p1;
200  }
201  std::cout << "\n";
202  // Check v'(0)
203  x = zero;
204  vx = zero;
205  vy = zero;
206  dv = regret(x,1);
207  t = one;
208  diff = zero;
209  err = zero;
210  std::cout << std::right << std::setw(20) << "CHECK REGRET: v'(0) is correct? \n";
211  std::cout << std::right << std::setw(20) << "t"
212  << std::setw(20) << "v'(x)"
213  << std::setw(20) << "(v(x+t)-v(x-t))/2t"
214  << std::setw(20) << "Error"
215  << "\n";
216  for (int i = 0; i < 13; i++) {
217  vy = regret(x+t,0);
218  vx = regret(x-t,0);
219  diff = (vy-vx)/(two*t);
220  err = std::abs(diff-dv);
221  std::cout << std::scientific << std::setprecision(11) << std::right
222  << std::setw(20) << t
223  << std::setw(20) << dv
224  << std::setw(20) << diff
225  << std::setw(20) << err
226  << "\n";
227  t *= p1;
228  }
229  std::cout << "\n";
230  // check v''(0)
231  vx = zero;
232  vy = zero;
233  dv = regret(x,2);
234  t = one;
235  diff = zero;
236  err = zero;
237  std::cout << std::right << std::setw(20) << "CHECK REGRET: v''(0) is correct? \n";
238  std::cout << std::right << std::setw(20) << "t"
239  << std::setw(20) << "v''(x)"
240  << std::setw(20) << "(v'(x+t)-v'(x-t))/2t"
241  << std::setw(20) << "Error"
242  << "\n";
243  for (int i = 0; i < 13; i++) {
244  vy = regret(x+t,1);
245  vx = regret(x-t,1);
246  diff = (vy-vx)/(two*t);
247  err = std::abs(diff-dv);
248  std::cout << std::scientific << std::setprecision(11) << std::right
249  << std::setw(20) << t
250  << std::setw(20) << dv
251  << std::setw(20) << diff
252  << std::setw(20) << err
253  << "\n";
254  t *= p1;
255  }
256  std::cout << "\n";
257  // Check v'(-1-eps)
258  x = -eps_-one;
259  vx = zero;
260  vy = zero;
261  dv = regret(x,1);
262  t = one;
263  diff = zero;
264  err = zero;
265  std::cout << std::right << std::setw(20) << "CHECK REGRET: v'(-1-eps) is correct? \n";
266  std::cout << std::right << std::setw(20) << "t"
267  << std::setw(20) << "v'(x)"
268  << std::setw(20) << "(v(x+t)-v(x-t))/2t"
269  << std::setw(20) << "Error"
270  << "\n";
271  for (int i = 0; i < 13; i++) {
272  vy = regret(x+t,0);
273  vx = regret(x-t,0);
274  diff = (vy-vx)/(two*t);
275  err = std::abs(diff-dv);
276  std::cout << std::scientific << std::setprecision(11) << std::right
277  << std::setw(20) << t
278  << std::setw(20) << dv
279  << std::setw(20) << diff
280  << std::setw(20) << err
281  << "\n";
282  t *= p1;
283  }
284  std::cout << "\n";
285  // check v''(-1-eps)
286  vx = zero;
287  vy = zero;
288  dv = regret(x,2);
289  t = one;
290  diff = zero;
291  err = zero;
292  std::cout << std::right << std::setw(20) << "CHECK REGRET: v''(-1-eps) is correct? \n";
293  std::cout << std::right << std::setw(20) << "t"
294  << std::setw(20) << "v''(x)"
295  << std::setw(20) << "(v'(x+t)-v'(x-t))/2t"
296  << std::setw(20) << "Error"
297  << "\n";
298  for (int i = 0; i < 13; i++) {
299  vy = regret(x+t,1);
300  vx = regret(x-t,1);
301  diff = (vy-vx)/(two*t);
302  err = std::abs(diff-dv);
303  std::cout << std::scientific << std::setprecision(11) << std::right
304  << std::setw(20) << t
305  << std::setw(20) << dv
306  << std::setw(20) << diff
307  << std::setw(20) << err
308  << "\n";
309  t *= p1;
310  }
311  std::cout << "\n";
312  }
313 
314 };
315 
316 }
317 #endif
Provides an interface for a smoothed version of the worst-case scenario risk measure using the expect...
Provides a general interface for risk measures generated through the expectation risk quadrangle...
virtual void checkRegret(void)
Run default derivative tests for the scalar regret function.
SmoothedWorstCaseQuadrangle(Teuchos::ParameterList &parlist)
Constructor.
void checkRegret(void)
Run default derivative tests for the scalar regret function.
Real regret(Real x, int deriv=0)
Evaluate the scalar regret function at x.
SmoothedWorstCaseQuadrangle(const Real eps)
Constructor.