Provides an interface for the mean plus a sum of arbitrary order deviations from targets. More...

#include <ROL_MeanDeviationFromTarget.hpp>

Inheritance diagram for ROL::MeanDeviationFromTarget< Real >:

Public Member Functions
	MeanDeviationFromTarget (const Real target, const Real order, const Real coeff, const Ptr< PositiveFunction< Real > > &pf)
	Constructor.
	MeanDeviationFromTarget (const std::vector< Real > &target, const std::vector< Real > &order, const std::vector< Real > &coeff, const Ptr< PositiveFunction< Real > > &pf)
	Constructor.
	MeanDeviationFromTarget (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 Types
typedef std::vector< Real >::size_type	uint

Private Member Functions
void	initializeMDT (void)
void	checkInputs (void)

Private Attributes
Ptr< PositiveFunction< Real > >	positiveFunction_
std::vector< Real >	target_
std::vector< Real >	order_
std::vector< Real >	coeff_
uint	NumMoments_
std::vector< Real >	pval_
std::vector< Real >	pgv_
std::vector< Ptr< Vector< Real > > >	pg0_
std::vector< Ptr< Vector< Real > > >	pg_
std::vector< Ptr< Vector< Real > > >	phv_
bool	firstResetMDT_

Detailed Description

template<class Real>
class ROL::MeanDeviationFromTarget< Real >

Provides an interface for the mean plus a sum of arbitrary order deviations from targets.

The mean plus deviations from targets risk measure is

\[ \mathcal{R}(X) = \mathbb{E}[X] + \sum_{k=1}^n c_k \mathbb{E}[\wp(X-t_k)^{p_k}]^{1/p_k} \]

where \(\wp:\mathbb{R}\to[0,\infty)\) is either the absolute value or \((x)_+ = \max\{0,x\}\), \(c_k > 0\) and \(p_k\in\mathbb{N}\). In general, \(\mathcal{R}\) is law-invariant, but not coherent since it violates translation equivariance.

When using derivative-based optimization, the user can provide a smooth approximation of \((\cdot)_+\) using the ROL::PositiveFunction class.

Definition at line 42 of file ROL_MeanDeviationFromTarget.hpp.

Member Typedef Documentation

◆ uint

template<class Real>

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

private

Definition at line 43 of file ROL_MeanDeviationFromTarget.hpp.

Constructor & Destructor Documentation

◆ MeanDeviationFromTarget() [1/3]

template<class Real>

ROL::MeanDeviationFromTarget< Real >::MeanDeviationFromTarget	(	const Real	target,
		const Real	order,
		const Real	coeff,
		const Ptr< PositiveFunction< Real > > &	pf )

inline

Constructor.

Parameters

[in]	target	is the target scalar value
[in]	order	is the deviation order
[in]	coeff	is the weight for deviation term
[in]	pf	is the plus function or an approximation

This constructor produces a mean plus deviation from target risk measure with a single deviation.

Definition at line 113 of file ROL_MeanDeviationFromTarget.hpp.

References checkInputs(), coeff_, firstResetMDT_, NumMoments_, order_, positiveFunction_, and target_.

◆ MeanDeviationFromTarget() [2/3]

template<class Real>

ROL::MeanDeviationFromTarget< Real >::MeanDeviationFromTarget	(	const std::vector< Real > &	target,
		const std::vector< Real > &	order,
		const std::vector< Real > &	coeff,
		const Ptr< PositiveFunction< Real > > &	pf )

inline

Constructor.

Parameters

[in]	target	is a vector of targets
[in]	order	is a vector of deviation orders
[in]	coeff	is a vector of weights for the deviation terms
[in]	pf	is the plus function or an approximation

This constructor produces a mean plus deviation from target risk measure with an arbitrary number of deviations.

Definition at line 133 of file ROL_MeanDeviationFromTarget.hpp.

References checkInputs(), coeff_, firstResetMDT_, NumMoments_, order_, positiveFunction_, and target_.

◆ MeanDeviationFromTarget() [3/3]

template<class Real>

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

inline

Constructor.

Parameters

[in] parlist is a parameter list specifying inputs

parlist should contain sublists "SOL"->"Risk Measure"->"Mean Plus Deviation From Target" and within the "Mean Plus Deviation From Target" sublist should have the following parameters

"Targets" (array of scalars)
"Orders" (array of unsigned integers)
"Coefficients" (array of positive scalars)
"Deviation Type" (eighter "Upper" or "Absolute")
A sublist for positive function information.

Definition at line 164 of file ROL_MeanDeviationFromTarget.hpp.

References checkInputs(), coeff_, firstResetMDT_, NumMoments_, order_, positiveFunction_, and target_.

Member Function Documentation

◆ initializeMDT()

template<class Real>

void ROL::MeanDeviationFromTarget< Real >::initializeMDT ( void )

inlineprivate

Definition at line 74 of file ROL_MeanDeviationFromTarget.hpp.

References NumMoments_, pg0_, pg_, pgv_, phv_, and pval_.

Referenced by checkInputs().

◆ checkInputs()

template<class Real>

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

inlineprivate

Definition at line 84 of file ROL_MeanDeviationFromTarget.hpp.

References coeff_, initializeMDT(), order_, positiveFunction_, target_, and zero.

Referenced by MeanDeviationFromTarget(), MeanDeviationFromTarget(), and MeanDeviationFromTarget().

◆ initialize()

template<class Real>

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

inline

Definition at line 193 of file ROL_MeanDeviationFromTarget.hpp.

References ROL::Vector< Real >::clone(), ROL::Vector< Real >::dual(), firstResetMDT_, NumMoments_, pg0_, pg_, pgv_, phv_, pval_, and zero.

◆ updateValue()

template<class Real>

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

inline

Definition at line 210 of file ROL_MeanDeviationFromTarget.hpp.

References NumMoments_, order_, positiveFunction_, pval_, and target_.

◆ getValue()

template<class Real>

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

inline

Definition at line 224 of file ROL_MeanDeviationFromTarget.hpp.

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

◆ updateGradient()

template<class Real>

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

inline

Definition at line 238 of file ROL_MeanDeviationFromTarget.hpp.

References NumMoments_, order_, pg_, positiveFunction_, pval_, and target_.

◆ getGradient()

template<class Real>

void ROL::MeanDeviationFromTarget< 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 256 of file ROL_MeanDeviationFromTarget.hpp.

References ROL::Vector< Real >::axpy(), coeff_, NumMoments_, order_, pg_, pval_, ROL::SampleGenerator< Real >::sumAll(), and zero.

◆ updateHessVec()

template<class Real>

void ROL::MeanDeviationFromTarget< 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 274 of file ROL_MeanDeviationFromTarget.hpp.

References NumMoments_, order_, pg0_, pg_, pgv_, phv_, positiveFunction_, pval_, and target_.

◆ getHessVec()

template<class Real>

void ROL::MeanDeviationFromTarget< 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 )