ROL::EntropicRisk< Real > Class Template Reference

Provides an interface for the entropic risk. More...

#include <ROL_EntropicRisk.hpp>

Inheritance diagram for ROL::EntropicRisk< Real >:

Public Member Functions
	EntropicRisk (const Real coeff=1)
	Constructor.
	EntropicRisk (ROL::ParameterList &parlist)
	Constructor.
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 Member Functions
void	checkInputs (void) const

Private Attributes
Real	coeff_

Detailed Description

template<class Real>
class ROL::EntropicRisk< Real >

Provides an interface for the entropic risk.

The entropic risk measure (also called the exponential utility and the log-exponential risk measure) is

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

for \(\lambda > 0\). The entropic risk is convex, translation equivariant and monotonic.

Definition at line 32 of file ROL_EntropicRisk.hpp.

Constructor & Destructor Documentation

EntropicRisk() [1/2]

template<class Real>

ROL::EntropicRisk< Real >::EntropicRisk ( const Real coeff = 1 )

inline

Constructor.

Parameters

[in]

coeff

is the scale parameter \(\lambda\)

Definition at line 61 of file ROL_EntropicRisk.hpp.

References checkInputs(), and coeff_.

EntropicRisk() [2/2]

template<class Real>

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

inline

Constructor.

Parameters

[in]

parlist

is a parameter list specifying inputs

parlist should contain sublists "SOL"->"Risk Measures"->"Entropic Risk" and withing the "Entropic Risk" sublist should have

• "Rate" (greater than 0).

Definition at line 74 of file ROL_EntropicRisk.hpp.

References checkInputs(), and coeff_.

Member Function Documentation

checkInputs()

template<class Real>

void ROL::EntropicRisk< Real >::checkInputs ( void ) const

inlineprivate

Definition at line 50 of file ROL_EntropicRisk.hpp.

References coeff_, and zero.

Referenced by EntropicRisk(), and EntropicRisk().

updateValue()

template<class Real>

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

inline

Definition at line 82 of file ROL_EntropicRisk.hpp.

References coeff_.

getValue()

template<class Real>

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

inline

Definition at line 90 of file ROL_EntropicRisk.hpp.

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

updateGradient()

template<class Real>

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

inline

Definition at line 98 of file ROL_EntropicRisk.hpp.

References coeff_.

getGradient()

template<class Real>

void ROL::EntropicRisk< 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 109 of file ROL_EntropicRisk.hpp.

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

updateHessVec()

template<class Real>

void ROL::EntropicRisk< 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 120 of file ROL_EntropicRisk.hpp.

References coeff_.

getHessVec()

template<class Real>

void ROL::EntropicRisk< 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 )

inline

Definition at line 137 of file ROL_EntropicRisk.hpp.

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

Member Data Documentation

coeff_

template<class Real>

Real ROL::EntropicRisk< Real >::coeff_

private

Definition at line 34 of file ROL_EntropicRisk.hpp.

Referenced by checkInputs(), EntropicRisk(), EntropicRisk(), getHessVec(), getValue(), updateGradient(), updateHessVec(), and updateValue().

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

• ROL_EntropicRisk.hpp