Provides an interface for a convex combination of the expected value and the higher moment coherent risk measure. More...

#include <ROL_HMCR.hpp>

Inheritance diagram for ROL::HMCR< Real >:

Public Member Functions
	HMCR (const Real prob, const Real lambda, const unsigned order, const ROL::Ptr< PlusFunction< Real > > &pf)
	Constructor.
	HMCR (ROL::ParameterList &parlist)
	Constructor.
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 Member Functions
void	checkInputs (void) const

Private Attributes
ROL::Ptr< PlusFunction< Real > >	plusFunction_
Real	prob_
Real	lambda_
unsigned	order_
Real	coeff_
ROL::Ptr< Vector< Real > >	mDualVector_
Real	pnorm_
Real	coeff0_
Real	coeff1_
Real	coeff2_
bool	HMCR_firstReset_

Detailed Description

template<class Real>
class ROL::HMCR< Real >

Provides an interface for a convex combination of the expected value and the higher moment coherent risk measure.

The higher moment coherent risk measure of order \(p\) with confidence level \(0\le \beta < 1\) is

\[ \mathcal{R}(X) = \inf_{t\in\mathbb{R}} \left\{ t + \frac{1}{1-\beta} \mathbb{E}\left[(X-t)_+^p\right]^{1/p} \right\} \]

where \((x)_+ = \max\{0,x\}\). \(\mathcal{R}\) is a law-invariant coherent risk measure. ROL implements this by augmenting the optimization vector \(x_0\) with the parameter \(t\), then minimizes jointly for \((x_0,t)\).

The user can provide a smooth approximation of \((\cdot)_+\) using the ROL::PlusFunction class.

Definition at line 41 of file ROL_HMCR.hpp.

Constructor & Destructor Documentation

◆ HMCR() [1/2]

template<class Real>

ROL::HMCR< Real >::HMCR	(	const Real	prob,
		const Real	lambda,
		const unsigned	order,
		const ROL::Ptr< PlusFunction< Real > > &	pf )

inline

Constructor.

Parameters

[in]	prob	is the confidence level
[in]	lambda	is the convex combination parameter (lambda=0 corresponds to the expected value whereas lambda=1 corresponds to the higher moment coherent risk measure)
[in]	order	is the order of higher moment coherent risk measure
[in]	pf	is the plus function or an approximation

Definition at line 100 of file ROL_HMCR.hpp.

References checkInputs(), coeff0_, coeff1_, coeff2_, coeff_, HMCR_firstReset_, lambda_, order_, plusFunction_, pnorm_, and prob_.

◆ HMCR() [2/2]

template<class Real>

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

inline

Constructor.

Parameters

[in] parlist is a parameter list specifying inputs

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

"Confidence Level" (between 0 and 1)
"Convex Combination Parameter" (between 0 and 1)
"Order" (unsigned integer)
A sublist for plus function information.

Definition at line 122 of file ROL_HMCR.hpp.

References checkInputs(), coeff0_, coeff1_, coeff2_, coeff_, HMCR_firstReset_, lambda_, order_, plusFunction_, pnorm_, and prob_.

Member Function Documentation

◆ checkInputs()

template<class Real>

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

inlineprivate

Definition at line 78 of file ROL_HMCR.hpp.

References lambda_, order_, plusFunction_, prob_, and zero.

Referenced by HMCR(), and HMCR().

◆ initialize()

template<class Real>

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

inline

Definition at line 140 of file ROL_HMCR.hpp.

References ROL::Vector< Real >::clone(), coeff0_, coeff1_, coeff2_, ROL::Vector< Real >::dual(), HMCR_firstReset_, mDualVector_, pnorm_, and zero.

◆ updateValue()

template<class Real>

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

inline

Definition at line 154 of file ROL_HMCR.hpp.

References order_, plusFunction_, and pnorm_.

◆ getValue()

template<class Real>

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

inline

Definition at line 167 of file ROL_HMCR.hpp.

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

◆ updateGradient()

template<class Real>

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

inline

Definition at line 180 of file ROL_HMCR.hpp.

References coeff0_, order_, plusFunction_, and pnorm_.

◆ getGradient()

template<class Real>

void ROL::HMCR< 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 204 of file ROL_HMCR.hpp.

References ROL::Vector< Real >::axpy(), coeff0_, coeff_, lambda_, order_, pnorm_, ROL::Vector< Real >::scale(), ROL::SampleGenerator< Real >::sumAll(), and zero.

◆ updateHessVec()

template<class Real>

void ROL::HMCR< 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 232 of file ROL_HMCR.hpp.

References coeff0_, coeff1_, coeff2_, mDualVector_, order_, plusFunction_, and pnorm_.

◆ getHessVec()

template<class Real>

void ROL::HMCR< 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 270 of file ROL_HMCR.hpp.

References ROL::Vector< Real >::axpy(), coeff0_, coeff1_, coeff2_, coeff_, lambda_, mDualVector_, order_, pnorm_, ROL::Vector< Real >::scale(), ROL::SampleGenerator< Real >::sumAll(), and zero.

Member Data Documentation

◆ plusFunction_

template<class Real>

ROL::Ptr<PlusFunction<Real> > ROL::HMCR< Real >::plusFunction_

private

Definition at line 44 of file ROL_HMCR.hpp.

Referenced by checkInputs(), HMCR(), HMCR(), updateGradient(), updateHessVec(), and updateValue().

◆ prob_

template<class Real>

Real ROL::HMCR< Real >::prob_

private

Definition at line 45 of file ROL_HMCR.hpp.

Referenced by checkInputs(), HMCR(), and HMCR().

◆ lambda_

template<class Real>

Real ROL::HMCR< Real >::lambda_

private

Definition at line 46 of file ROL_HMCR.hpp.

Referenced by checkInputs(), getGradient(), getHessVec(), getValue(), HMCR(), and HMCR().

◆ order_

template<class Real>

unsigned ROL::HMCR< Real >::order_

private

Definition at line 47 of file ROL_HMCR.hpp.

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

◆ coeff_

template<class Real>

Real ROL::HMCR< Real >::coeff_

private

Definition at line 50 of file ROL_HMCR.hpp.

Referenced by getGradient(), getHessVec(), getValue(), HMCR(), and HMCR().

◆ mDualVector_

template<class Real>

ROL::Ptr<Vector<Real> > ROL::HMCR< Real >::mDualVector_

private

Definition at line 53 of file ROL_HMCR.hpp.

Referenced by getHessVec(), initialize(), and updateHessVec().

◆ pnorm_

template<class Real>

Real ROL::HMCR< Real >::pnorm_

private

Definition at line 56 of file ROL_HMCR.hpp.

Referenced by getGradient(), getHessVec(), getValue(), HMCR(), HMCR(), initialize(), updateGradient(), updateHessVec(), and updateValue().

◆ coeff0_

template<class Real>

Real ROL::HMCR< Real >::coeff0_

private

Definition at line 57 of file ROL_HMCR.hpp.

Referenced by getGradient(), getHessVec(), HMCR(), HMCR(), initialize(), updateGradient(), and updateHessVec().

◆ coeff1_

template<class Real>

Real ROL::HMCR< Real >::coeff1_

private

Definition at line 58 of file ROL_HMCR.hpp.

Referenced by getHessVec(), HMCR(), HMCR(), initialize(), and updateHessVec().

◆ coeff2_

template<class Real>

Real ROL::HMCR< Real >::coeff2_

private

Definition at line 59 of file ROL_HMCR.hpp.

Referenced by getHessVec(), HMCR(), HMCR(), initialize(), and updateHessVec().

◆ HMCR_firstReset_

template<class Real>

bool ROL::HMCR< Real >::HMCR_firstReset_

private

Definition at line 62 of file ROL_HMCR.hpp.

Referenced by HMCR(), HMCR(), and initialize().

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

ROL_HMCR.hpp

Public Member Functions

Private Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ HMCR() [1/2]

◆ HMCR() [2/2]

Member Function Documentation

◆ checkInputs()

◆ initialize()

◆ updateValue()

◆ getValue()

◆ updateGradient()

◆ getGradient()

◆ updateHessVec()

◆ getHessVec()

Member Data Documentation

◆ plusFunction_

◆ prob_

◆ lambda_

◆ order_

◆ coeff_

◆ mDualVector_

◆ pnorm_

◆ coeff0_

◆ coeff1_

◆ coeff2_

◆ HMCR_firstReset_