ROL
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ROL::RiskAverseObjective< Real > Class Template Reference

#include <ROL_RiskAverseObjective.hpp>

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

Public Member Functions

virtual ~RiskAverseObjective ()
 
 RiskAverseObjective (const Teuchos::RCP< Objective< Real > > &pObj, const Teuchos::RCP< RiskMeasure< Real > > &rm, const Teuchos::RCP< SampleGenerator< Real > > &vsampler, const Teuchos::RCP< SampleGenerator< Real > > &gsampler, const Teuchos::RCP< SampleGenerator< Real > > &hsampler, const bool storage=true)
 
 RiskAverseObjective (const Teuchos::RCP< Objective< Real > > &pObj, const Teuchos::RCP< RiskMeasure< Real > > &rm, const Teuchos::RCP< SampleGenerator< Real > > &vsampler, const Teuchos::RCP< SampleGenerator< Real > > &gsampler, const bool storage=true)
 
 RiskAverseObjective (const Teuchos::RCP< Objective< Real > > &pObj, const Teuchos::RCP< RiskMeasure< Real > > &rm, const Teuchos::RCP< SampleGenerator< Real > > &sampler, const bool storage=true)
 
 RiskAverseObjective (const Teuchos::RCP< Objective< Real > > &pObj, Teuchos::ParameterList &parlist, const Teuchos::RCP< SampleGenerator< Real > > &vsampler, const Teuchos::RCP< SampleGenerator< Real > > &gsampler, const Teuchos::RCP< SampleGenerator< Real > > &hsampler)
 
 RiskAverseObjective (const Teuchos::RCP< Objective< Real > > &pObj, Teuchos::ParameterList &parlist, const Teuchos::RCP< SampleGenerator< Real > > &vsampler, const Teuchos::RCP< SampleGenerator< Real > > &gsampler)
 
 RiskAverseObjective (const Teuchos::RCP< Objective< Real > > &pObj, Teuchos::ParameterList &parlist, const Teuchos::RCP< SampleGenerator< Real > > &sampler)
 
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

Teuchos::RCP< Objective< Real > > ParametrizedObjective_
 
Teuchos::RCP< RiskMeasure< Real > > RiskMeasure_
 
Teuchos::RCP< SampleGenerator< Real > > ValueSampler_
 
Teuchos::RCP< SampleGenerator< Real > > GradientSampler_
 
Teuchos::RCP< SampleGenerator< Real > > HessianSampler_
 
bool firstUpdate_
 
bool storage_
 
std::map< std::vector< Real >, Real > value_storage_
 
std::map< std::vector< Real >, Teuchos::RCP< Vector< Real > > > gradient_storage_
 
Teuchos::RCP< Vector< Real > > x_
 
Teuchos::RCP< Vector< Real > > v_
 
Teuchos::RCP< Vector< Real > > g_
 
Teuchos::RCP< Vector< Real > > hv_
 

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::RiskAverseObjective< Real >

Definition at line 57 of file ROL_RiskAverseObjective.hpp.

Constructor & Destructor Documentation

◆ ~RiskAverseObjective()

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

Definition at line 124 of file ROL_RiskAverseObjective.hpp.

◆ RiskAverseObjective() [1/6]

template<class Real >
ROL::RiskAverseObjective< Real >::RiskAverseObjective ( const Teuchos::RCP< Objective< Real > > &  pObj,
const Teuchos::RCP< RiskMeasure< Real > > &  rm,
const Teuchos::RCP< SampleGenerator< Real > > &  vsampler,
const Teuchos::RCP< SampleGenerator< Real > > &  gsampler,
const Teuchos::RCP< SampleGenerator< Real > > &  hsampler,
const bool  storage = true 
)
inline

◆ RiskAverseObjective() [2/6]

template<class Real >
ROL::RiskAverseObjective< Real >::RiskAverseObjective ( const Teuchos::RCP< Objective< Real > > &  pObj,
const Teuchos::RCP< RiskMeasure< Real > > &  rm,
const Teuchos::RCP< SampleGenerator< Real > > &  vsampler,
const Teuchos::RCP< SampleGenerator< Real > > &  gsampler,
const bool  storage = true 
)
inline

◆ RiskAverseObjective() [3/6]

template<class Real >
ROL::RiskAverseObjective< Real >::RiskAverseObjective ( const Teuchos::RCP< Objective< Real > > &  pObj,
const Teuchos::RCP< RiskMeasure< Real > > &  rm,
const Teuchos::RCP< SampleGenerator< Real > > &  sampler,
const bool  storage = true 
)
inline

◆ RiskAverseObjective() [4/6]

template<class Real >
ROL::RiskAverseObjective< Real >::RiskAverseObjective ( const Teuchos::RCP< Objective< Real > > &  pObj,
Teuchos::ParameterList &  parlist,
const Teuchos::RCP< SampleGenerator< Real > > &  vsampler,
const Teuchos::RCP< SampleGenerator< Real > > &  gsampler,
const Teuchos::RCP< SampleGenerator< Real > > &  hsampler 
)
inline

◆ RiskAverseObjective() [5/6]

template<class Real >
ROL::RiskAverseObjective< Real >::RiskAverseObjective ( const Teuchos::RCP< Objective< Real > > &  pObj,
Teuchos::ParameterList &  parlist,
const Teuchos::RCP< SampleGenerator< Real > > &  vsampler,
const Teuchos::RCP< SampleGenerator< Real > > &  gsampler 
)
inline

◆ RiskAverseObjective() [6/6]

template<class Real >
ROL::RiskAverseObjective< Real >::RiskAverseObjective ( const Teuchos::RCP< Objective< Real > > &  pObj,
Teuchos::ParameterList &  parlist,
const Teuchos::RCP< SampleGenerator< Real > > &  sampler 
)
inline

Member Function Documentation

◆ getValue()

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

◆ getGradient()

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

◆ getHessVec()

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

◆ update()

template<class Real >
virtual void ROL::RiskAverseObjective< Real >::update ( const Vector< Real > &  x,
bool  flag = true,
int  iter = -1 
)
inlinevirtual

◆ value()

template<class Real >
virtual Real ROL::RiskAverseObjective< 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 240 of file ROL_RiskAverseObjective.hpp.

References ROL::RiskAverseObjective< Real >::getValue(), ROL::RiskAverseObjective< Real >::RiskMeasure_, ROL::RiskAverseObjective< Real >::ValueSampler_, and ROL::RiskAverseObjective< Real >::x_.

◆ gradient()

template<class Real >
virtual void ROL::RiskAverseObjective< 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 250 of file ROL_RiskAverseObjective.hpp.

References ROL::RiskAverseObjective< Real >::g_, ROL::RiskAverseObjective< Real >::getGradient(), ROL::RiskAverseObjective< Real >::getValue(), ROL::RiskAverseObjective< Real >::GradientSampler_, ROL::RiskAverseObjective< Real >::RiskMeasure_, ROL::RiskAverseObjective< Real >::x_, and ROL::Vector< Real >::zero().

◆ hessVec()

template<class Real >
virtual void ROL::RiskAverseObjective< 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 262 of file ROL_RiskAverseObjective.hpp.

References ROL::RiskAverseObjective< Real >::g_, ROL::RiskAverseObjective< Real >::getGradient(), ROL::RiskAverseObjective< Real >::getHessVec(), ROL::RiskAverseObjective< Real >::getValue(), ROL::RiskAverseObjective< Real >::HessianSampler_, ROL::RiskAverseObjective< Real >::hv_, ROL::RiskAverseObjective< Real >::RiskMeasure_, ROL::RiskAverseObjective< Real >::v_, ROL::RiskAverseObjective< Real >::x_, and ROL::Vector< Real >::zero().

◆ precond()

template<class Real >
virtual void ROL::RiskAverseObjective< 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 277 of file ROL_RiskAverseObjective.hpp.

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

Member Data Documentation

◆ ParametrizedObjective_

template<class Real >
Teuchos::RCP<Objective<Real> > ROL::RiskAverseObjective< Real >::ParametrizedObjective_
private

◆ RiskMeasure_

template<class Real >
Teuchos::RCP<RiskMeasure<Real> > ROL::RiskAverseObjective< Real >::RiskMeasure_
private

◆ ValueSampler_

template<class Real >
Teuchos::RCP<SampleGenerator<Real> > ROL::RiskAverseObjective< Real >::ValueSampler_
private

◆ GradientSampler_

template<class Real >
Teuchos::RCP<SampleGenerator<Real> > ROL::RiskAverseObjective< Real >::GradientSampler_
private

◆ HessianSampler_

template<class Real >
Teuchos::RCP<SampleGenerator<Real> > ROL::RiskAverseObjective< Real >::HessianSampler_
private

◆ firstUpdate_

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

◆ storage_

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

◆ value_storage_

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

◆ gradient_storage_

template<class Real >
std::map<std::vector<Real>,Teuchos::RCP<Vector<Real> > > ROL::RiskAverseObjective< Real >::gradient_storage_
private

◆ x_

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::RiskAverseObjective< Real >::x_
private

◆ v_

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::RiskAverseObjective< Real >::v_
private

◆ g_

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::RiskAverseObjective< Real >::g_
private

◆ hv_

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::RiskAverseObjective< Real >::hv_
private

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