ROL
Public Member Functions | Private Member Functions | Private Attributes | List of all members
ROL::GenMoreauYosidaCVaR< Real > Class Template Reference

#include <ROL_GenMoreauYosidaCVaR.hpp>

Inheritance diagram for ROL::GenMoreauYosidaCVaR< Real >:

Public Member Functions

 GenMoreauYosidaCVaR (Real prob, Real eps)
 Constructor.
 GenMoreauYosidaCVaR (Real prob, Real lam, Real eps)
 Constructor.
 GenMoreauYosidaCVaR (ROL::ParameterList &parlist)
 Constructor.
Real error (Real x, int deriv=0)
 Evaluate the scalar error function at x.
Real regret (Real x, int deriv=0)
 Evaluate the scalar regret function at x.
void check (void)
 Run default derivative tests for the scalar regret function.
Public Member Functions inherited from ROL::ExpectationQuad< Real >
virtual ~ExpectationQuad (void)
 ExpectationQuad (void)

Private Member Functions

void parseParameterList (ROL::ParameterList &parlist)
void checkInputs (void) const
void setParameters (void)

Private Attributes

Real prob_
Real lam_
Real eps_
Real alpha_
Real beta_
Real omp_
Real oma_
Real bmo_
Real lb_
Real ub_

Detailed Description

template<class Real>
class ROL::GenMoreauYosidaCVaR< Real >

Definition at line 71 of file ROL_GenMoreauYosidaCVaR.hpp.

Constructor & Destructor Documentation

◆ GenMoreauYosidaCVaR() [1/3]

template<class Real>
ROL::GenMoreauYosidaCVaR< Real >::GenMoreauYosidaCVaR ( Real prob,
Real eps )
inline

Constructor.

Parameters
[in]probis the confidence level
[in]epsis the regularization parameter

Definition at line 134 of file ROL_GenMoreauYosidaCVaR.hpp.

References checkInputs(), eps_, ROL::ExpectationQuad< Real >::ExpectationQuad(), lam_, prob_, and setParameters().

◆ GenMoreauYosidaCVaR() [2/3]

template<class Real>
ROL::GenMoreauYosidaCVaR< Real >::GenMoreauYosidaCVaR ( Real prob,
Real lam,
Real eps )
inline

Constructor.

Parameters
[in]probis the confidence level
[in]lamis the convex combination parameter
[in]epsis the regularization parameter

Definition at line 146 of file ROL_GenMoreauYosidaCVaR.hpp.

References checkInputs(), eps_, ROL::ExpectationQuad< Real >::ExpectationQuad(), lam_, prob_, and setParameters().

◆ GenMoreauYosidaCVaR() [3/3]

template<class Real>
ROL::GenMoreauYosidaCVaR< Real >::GenMoreauYosidaCVaR ( ROL::ParameterList & parlist)
inline

Constructor.

Parameters
[in]parlistis a parameter list specifying inputs

parlist should contain sublists "SOL"->"Risk Measure"->"Moreau-Yosida CVaR" and within the "Moreau-Yosida CVaR" sublist should have the following parameters

  • "Confidence Level" (between 0 and 1)
  • "Convex Combination Parameter" (between 0 and 1)
  • "Smoothing Parameter" (must be positive)

Definition at line 162 of file ROL_GenMoreauYosidaCVaR.hpp.

References checkInputs(), ROL::ExpectationQuad< Real >::ExpectationQuad(), parseParameterList(), and setParameters().

Member Function Documentation

◆ parseParameterList()

template<class Real>
void ROL::GenMoreauYosidaCVaR< Real >::parseParameterList ( ROL::ParameterList & parlist)
inlineprivate

Definition at line 87 of file ROL_GenMoreauYosidaCVaR.hpp.

References eps_, lam_, and prob_.

Referenced by GenMoreauYosidaCVaR().

◆ checkInputs()

template<class Real>
void ROL::GenMoreauYosidaCVaR< Real >::checkInputs ( void ) const
inlineprivate

Definition at line 107 of file ROL_GenMoreauYosidaCVaR.hpp.

References eps_, lam_, prob_, and zero.

Referenced by GenMoreauYosidaCVaR(), GenMoreauYosidaCVaR(), and GenMoreauYosidaCVaR().

◆ setParameters()

template<class Real>
void ROL::GenMoreauYosidaCVaR< Real >::setParameters ( void )
inlineprivate

Definition at line 117 of file ROL_GenMoreauYosidaCVaR.hpp.

References alpha_, beta_, bmo_, eps_, lam_, lb_, oma_, omp_, prob_, and ub_.

Referenced by GenMoreauYosidaCVaR(), GenMoreauYosidaCVaR(), and GenMoreauYosidaCVaR().

◆ error()

template<class Real>
Real ROL::GenMoreauYosidaCVaR< Real >::error ( Real x,
int deriv = 0 )
inlinevirtual

Evaluate the scalar error function at x.

Parameters
[in]xis the scalar input
[in]derivis the derivative order

This function returns \(e(x)\) or a derivative of \(e(x)\).

Reimplemented from ROL::ExpectationQuad< Real >.

Definition at line 169 of file ROL_GenMoreauYosidaCVaR.hpp.

References regret(), and zero.

◆ regret()

template<class Real>
Real ROL::GenMoreauYosidaCVaR< Real >::regret ( Real x,
int deriv = 0 )
inlinevirtual

Evaluate the scalar regret function at x.

Parameters
[in]xis the scalar input
[in]derivis the derivative order

This function returns \(v(x)\) or a derivative of \(v(x)\).

Implements ROL::ExpectationQuad< Real >.

Definition at line 175 of file ROL_GenMoreauYosidaCVaR.hpp.

References alpha_, beta_, bmo_, eps_, lb_, oma_, ub_, and zero.

Referenced by check(), and error().

◆ check()

template<class Real>
void ROL::GenMoreauYosidaCVaR< Real >::check ( void )
inlinevirtual

Run default derivative tests for the scalar regret function.

Reimplemented from ROL::ExpectationQuad< Real >.

Definition at line 192 of file ROL_GenMoreauYosidaCVaR.hpp.

References ROL::ExpectationQuad< Real >::check(), lb_, regret(), ub_, and zero.

Member Data Documentation

◆ prob_

template<class Real>
Real ROL::GenMoreauYosidaCVaR< Real >::prob_
private

Definition at line 74 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by checkInputs(), GenMoreauYosidaCVaR(), GenMoreauYosidaCVaR(), parseParameterList(), and setParameters().

◆ lam_

template<class Real>
Real ROL::GenMoreauYosidaCVaR< Real >::lam_
private

Definition at line 75 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by checkInputs(), GenMoreauYosidaCVaR(), GenMoreauYosidaCVaR(), parseParameterList(), and setParameters().

◆ eps_

template<class Real>
Real ROL::GenMoreauYosidaCVaR< Real >::eps_
private

Definition at line 76 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by checkInputs(), GenMoreauYosidaCVaR(), GenMoreauYosidaCVaR(), parseParameterList(), regret(), and setParameters().

◆ alpha_

template<class Real>
Real ROL::GenMoreauYosidaCVaR< Real >::alpha_
private

Definition at line 78 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by regret(), and setParameters().

◆ beta_

template<class Real>
Real ROL::GenMoreauYosidaCVaR< Real >::beta_
private

Definition at line 79 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by regret(), and setParameters().

◆ omp_

template<class Real>
Real ROL::GenMoreauYosidaCVaR< Real >::omp_
private

Definition at line 81 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by setParameters().

◆ oma_

template<class Real>
Real ROL::GenMoreauYosidaCVaR< Real >::oma_
private

Definition at line 82 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by regret(), and setParameters().

◆ bmo_

template<class Real>
Real ROL::GenMoreauYosidaCVaR< Real >::bmo_
private

Definition at line 83 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by regret(), and setParameters().

◆ lb_

template<class Real>
Real ROL::GenMoreauYosidaCVaR< Real >::lb_
private

Definition at line 84 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by check(), regret(), and setParameters().

◆ ub_

template<class Real>
Real ROL::GenMoreauYosidaCVaR< Real >::ub_
private

Definition at line 85 of file ROL_GenMoreauYosidaCVaR.hpp.

Referenced by check(), regret(), and setParameters().

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