Provides an interface for a convex combination of risk measures. More...

#include <ROL_ConvexCombinationRiskMeasure.hpp>

Inheritance diagram for ROL::ConvexCombinationRiskMeasure< Real >:

Public Member Functions
	ConvexCombinationRiskMeasure (ROL::ParameterList &parlist)
	Constructor.
void	setSample (const std::vector< Real > &point, const Real weight)
void	resetStorage (bool flag=true)
void	resetStorage (UpdateType type)
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 Types
typedef std::vector< Real >::size_type	uint

Private Member Functions
void	initializeCCRM (void)
void	checkInputs (void)

Private Attributes
std::vector< Real >	lambda_
std::vector< ROL::Ptr< RandVarFunctional< Real > > >	risk_
uint	size_
std::vector< int >	statVec_
Ptr< ScalarController< Real > >	values_
Ptr< ScalarController< Real > >	gradvecs_
Ptr< VectorController< Real > >	gradients_
Ptr< VectorController< Real > >	hessvecs_

Detailed Description

template<class Real>
class ROL::ConvexCombinationRiskMeasure< Real >

Provides an interface for a convex combination of risk measures.

This function provides the capability to produce a convex combination of risk measure, i.e.,

\[ \mathcal{R}(X) = \sum_{k=1}^n \lambda_k \mathcal{R}_k(X) \]

where \(\mathcal{R}_k\) are risk measures and \(\lambda_k \ge 0\) with \(\lambda_1 + \ldots + \lambda_n = 1\). In general, \(\mathcal{R}\) is not law-invariant or coherent unless each \(\mathcal{R}_k\) is.

Definition at line 34 of file ROL_ConvexCombinationRiskMeasure.hpp.

Member Typedef Documentation

◆ uint

template<class Real>

typedef std::vector<Real>::size_type ROL::ConvexCombinationRiskMeasure< Real >::uint

private

Definition at line 36 of file ROL_ConvexCombinationRiskMeasure.hpp.

Constructor & Destructor Documentation

◆ ConvexCombinationRiskMeasure()

template<class Real>

ROL::ConvexCombinationRiskMeasure< Real >::ConvexCombinationRiskMeasure ( ROL::ParameterList & parlist )

inline

Constructor.

Parameters

[in] parlist is a parameter list specifying inputs

parlist should contain sublists "SOL"->"Risk Measure"->"Convex Combination Risk Measure" and within the "Convex Combination Risk Measure" sublist should have the following parameters

"Convex Combination Parameters" (greater than 0 and sum to 1)
Sublists labeled 1 to n with risk measure definitions.

Definition at line 92 of file ROL_ConvexCombinationRiskMeasure.hpp.

References checkInputs(), lambda_, risk_, ROL::RiskMeasureFactory(), ROL::RiskMeasureInfo(), size_, and statVec_.

Member Function Documentation

◆ initializeCCRM()

template<class Real>

void ROL::ConvexCombinationRiskMeasure< Real >::initializeCCRM ( void )

inlineprivate

Definition at line 51 of file ROL_ConvexCombinationRiskMeasure.hpp.

References gradients_, gradvecs_, hessvecs_, risk_, size_, and values_.

Referenced by checkInputs().

◆ checkInputs()

template<class Real>

void ROL::ConvexCombinationRiskMeasure< Real >::checkInputs ( void )

inlineprivate

Definition at line 65 of file ROL_ConvexCombinationRiskMeasure.hpp.

References initializeCCRM(), lambda_, risk_, ROL::ROL_EPSILON(), and zero.

Referenced by ConvexCombinationRiskMeasure().

◆ setSample()

template<class Real>

void ROL::ConvexCombinationRiskMeasure< Real >::setSample	(	const std::vector< Real > &	point,
		const Real	weight )

inline

Definition at line 124 of file ROL_ConvexCombinationRiskMeasure.hpp.

References risk_, and size_.

◆ resetStorage() [1/2]

template<class Real>

void ROL::ConvexCombinationRiskMeasure< Real >::resetStorage ( bool flag = true )

inline

Definition at line 131 of file ROL_ConvexCombinationRiskMeasure.hpp.

References risk_, and size_.

◆ resetStorage() [2/2]

template<class Real>

void ROL::ConvexCombinationRiskMeasure< Real >::resetStorage ( UpdateType type )

inline

Definition at line 137 of file ROL_ConvexCombinationRiskMeasure.hpp.

References risk_, and size_.

◆ initialize()

template<class Real>

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

inline

Definition at line 145 of file ROL_ConvexCombinationRiskMeasure.hpp.

References risk_, and size_.

◆ updateValue()

template<class Real>

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

inline

Definition at line 152 of file ROL_ConvexCombinationRiskMeasure.hpp.

References risk_, size_, and statVec_.

◆ getValue()

template<class Real>

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

inline

Definition at line 168 of file ROL_ConvexCombinationRiskMeasure.hpp.

References lambda_, risk_, size_, and statVec_.

◆ updateGradient()

template<class Real>

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

inline

Definition at line 185 of file ROL_ConvexCombinationRiskMeasure.hpp.

References risk_, size_, and statVec_.

◆ getGradient()

template<class Real>

void ROL::ConvexCombinationRiskMeasure< 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 201 of file ROL_ConvexCombinationRiskMeasure.hpp.

References ROL::Vector< Real >::axpy(), lambda_, risk_, size_, and statVec_.

◆ updateHessVec()

template<class Real>

void ROL::ConvexCombinationRiskMeasure< 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 225 of file ROL_ConvexCombinationRiskMeasure.hpp.

References risk_, size_, and statVec_.

◆ getHessVec()

template<class Real>

void ROL::ConvexCombinationRiskMeasure< 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 )