Provides the interface for the coherent entropic risk measure. More...

#include <ROL_CoherentEntropicRisk.hpp>

Inheritance diagram for ROL::CoherentEntropicRisk< Real >:

Public Member Functions
	CoherentEntropicRisk (void)
void	initialize (const Vector< Real > &x)
void	updateValue (Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Real	getValue (const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
void	updateGradient (Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
void	getGradient (Vector< Real > &g, std::vector< Real > &gstat, const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
void	updateHessVec (Objective< Real > &obj, const Vector< Real > &v, const std::vector< Real > &vstat, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
void	getHessVec (Vector< Real > &hv, std::vector< Real > &hvstat, const Vector< Real > &v, const std::vector< Real > &vstat, const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)

Private Attributes
Real	dval1_
Real	dval2_
Real	dval3_

Detailed Description

template<class Real>
class ROL::CoherentEntropicRisk< Real >

Provides the interface for the coherent entropic risk measure.

The coherent entropic risk measure is

\[ \mathcal{R}(X) = \inf_{\lambda > 0} \left\{ \lambda \log\mathbb{E}\left[\exp\left(\frac{X}{\lambda}\right)\right] \right\}. \]

\(\mathcal{R}\) is a law-invariant coherent risk measure. ROL implements this by augmenting the optimization vector \(x_0\) with the parameter \(\lambda\), then minimizes jointly for \((x_0,\lambda)\).

Definition at line 33 of file ROL_CoherentEntropicRisk.hpp.

Constructor & Destructor Documentation

◆ CoherentEntropicRisk()

template<class Real>

ROL::CoherentEntropicRisk< Real >::CoherentEntropicRisk ( void )

inline

Definition at line 53 of file ROL_CoherentEntropicRisk.hpp.

References dval1_, dval2_, and dval3_.

Member Function Documentation

◆ initialize()

template<class Real>

void ROL::CoherentEntropicRisk< Real >::initialize ( const Vector< Real > & x )

inline

Definition at line 56 of file ROL_CoherentEntropicRisk.hpp.

References dval1_, dval2_, dval3_, and zero.

◆ updateValue()

template<class Real>

void ROL::CoherentEntropicRisk< Real >::updateValue	(	Objective< Real > &	obj,
		const Vector< Real > &	x,
		const std::vector< Real > &	xstat,
		Real &	tol )

inline

Definition at line 62 of file ROL_CoherentEntropicRisk.hpp.

◆ getValue()

template<class Real>

Real ROL::CoherentEntropicRisk< Real >::getValue	(	const Vector< Real > &	x,
		const std::vector< Real > &	xstat,
		SampleGenerator< Real > &	sampler )

inline

Definition at line 70 of file ROL_CoherentEntropicRisk.hpp.

References ROL::SampleGenerator< Real >::sumAll().

◆ updateGradient()

template<class Real>

void ROL::CoherentEntropicRisk< Real >::updateGradient	(	Objective< Real > &	obj,
		const Vector< Real > &	x,
		const std::vector< Real > &	xstat,
		Real &	tol )

inline

Definition at line 78 of file ROL_CoherentEntropicRisk.hpp.

◆ getGradient()

template<class Real>

void ROL::CoherentEntropicRisk< Real >::getGradient	(	Vector< Real > &	g,
		std::vector< Real > &	gstat,
		const Vector< Real > &	x,
		const std::vector< Real > &	xstat,
		SampleGenerator< Real > &	sampler )

inline

Definition at line 90 of file ROL_CoherentEntropicRisk.hpp.

References ROL::Vector< Real >::scale(), and ROL::SampleGenerator< Real >::sumAll().

◆ updateHessVec()

template<class Real>

void ROL::CoherentEntropicRisk< Real >::updateHessVec	(	Objective< Real > &	obj,
		const Vector< Real > &	v,
		const std::vector< Real > &	vstat,
		const Vector< Real > &	x,
		const std::vector< Real > &	xstat,
		Real &	tol )

inline

Definition at line 107 of file ROL_CoherentEntropicRisk.hpp.

References dval1_, dval2_, and dval3_.

◆ getHessVec()

template<class Real>

void ROL::CoherentEntropicRisk< Real >::getHessVec	(	Vector< Real > &	hv,
		std::vector< Real > &	hvstat,
		const Vector< Real > &	v,
		const std::vector< Real > &	vstat,
		const Vector< Real > &	x,
		const std::vector< Real > &	xstat,
		SampleGenerator< Real > &	sampler )