Provides an interface for the mean plus upper semideviation of order 1. More...

#include <ROL_MeanSemiDeviation.hpp>

Inheritance diagram for ROL::MeanSemiDeviation< Real >:

Public Member Functions
	MeanSemiDeviation (const Real coeff, const Ptr< PlusFunction< Real > > &pf)
	Constructor.
	MeanSemiDeviation (ROL::ParameterList &parlist)
	Constructor.
void	setStorage (const Ptr< ScalarController< Real > > &value_storage, const Ptr< VectorController< Real > > &gradient_storage)
void	setHessVecStorage (const Ptr< ScalarController< Real > > &gradvec_storage, const Ptr< VectorController< Real > > &hessvec_storage)
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	initializeStorage (void)
void	clear (void)
void	checkInputs (void)

Private Attributes
Ptr< PlusFunction< Real > >	plusFunction_
Real	coeff_
Ptr< ScalarController< Real > >	values_
Ptr< ScalarController< Real > >	gradvecs_
Ptr< VectorController< Real > >	gradients_
Ptr< VectorController< Real > >	hessvecs_

Detailed Description

template<class Real>
class ROL::MeanSemiDeviation< Real >

Provides an interface for the mean plus upper semideviation of order 1.

Provides an interface for the mean plus upper semideviation from target of order 1.

The mean plus upper semideviation of order 1 with constant \(0 < c < 1\) is

\[ \mathcal{R}(X) = \mathbb{E}[X] + c \mathbb{E}\left[(X-\mathbb{E}[X])_+\right] \]

where \((x)_+ = \max\{0,x\}\). \(\mathcal{R}\) is a law-invariant coherent risk measure.

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

The mean plus upper semideviation from target of order 1 with constant \(0 < c < 1\) and target \(t\in\mathbb{R}\) is

\[ \mathcal{R}(X) = \mathbb{E}[X] + c \mathbb{E}\left[(X-t)_+\right] \]

where \((x)_+ = \max\{0,x\}\). \(\mathcal{R}\) is a law-invariant risk measure.

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

Definition at line 37 of file ROL_MeanSemiDeviation.hpp.

Constructor & Destructor Documentation

◆ MeanSemiDeviation() [1/2]

template<class Real>

ROL::MeanSemiDeviation< Real >::MeanSemiDeviation	(	const Real	coeff,
		const Ptr< PlusFunction< Real > > &	pf )

inline

Constructor.

Parameters

[in]	coeff	is the coefficient scaling the semideviation
[in]	pf	is the plus function or an approximation

Definition at line 92 of file ROL_MeanSemiDeviation.hpp.

References checkInputs(), coeff_, and plusFunction_.

◆ MeanSemiDeviation() [2/2]

template<class Real>

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

inline

Constructor.

Parameters

[in] parlist is a parameter list specifying inputs

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

"Coefficient" (between 0 and 1)
A sublist for plus function information.

Definition at line 106 of file ROL_MeanSemiDeviation.hpp.

References checkInputs(), coeff_, and plusFunction_.

Member Function Documentation

◆ initializeStorage()

template<class Real>

void ROL::MeanSemiDeviation< Real >::initializeStorage ( void )

inlineprivate

Definition at line 61 of file ROL_MeanSemiDeviation.hpp.

References gradients_, gradvecs_, hessvecs_, and values_.

Referenced by checkInputs().

◆ clear()

template<class Real>

void ROL::MeanSemiDeviation< Real >::clear ( void )

inlineprivate

Definition at line 71 of file ROL_MeanSemiDeviation.hpp.

References gradvecs_, and hessvecs_.

Referenced by initialize().

◆ checkInputs()

template<class Real>

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

inlineprivate

Definition at line 76 of file ROL_MeanSemiDeviation.hpp.

References coeff_, initializeStorage(), plusFunction_, and zero.

Referenced by MeanSemiDeviation(), and MeanSemiDeviation().

◆ setStorage()

template<class Real>

void ROL::MeanSemiDeviation< Real >::setStorage	(	const Ptr< ScalarController< Real > > &	value_storage,
		const Ptr< VectorController< Real > > &	gradient_storage )

inline

Definition at line 118 of file ROL_MeanSemiDeviation.hpp.

References gradients_, and values_.

◆ setHessVecStorage()

template<class Real>

void ROL::MeanSemiDeviation< Real >::setHessVecStorage	(	const Ptr< ScalarController< Real > > &	gradvec_storage,
		const Ptr< VectorController< Real > > &	hessvec_storage )

inline

Definition at line 125 of file ROL_MeanSemiDeviation.hpp.

References gradvecs_, and hessvecs_.

◆ initialize()

template<class Real>

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

inline

Definition at line 132 of file ROL_MeanSemiDeviation.hpp.

References clear().

◆ updateValue()

template<class Real>

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

inline

Definition at line 137 of file ROL_MeanSemiDeviation.hpp.

◆ getValue()

template<class Real>

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

inline

Definition at line 145 of file ROL_MeanSemiDeviation.hpp.

References coeff_, ROL::SampleGenerator< Real >::getMyPoint(), ROL::SampleGenerator< Real >::getMyWeight(), ROL::SampleGenerator< Real >::numMySamples(), plusFunction_, ROL::SampleGenerator< Real >::start(), ROL::SampleGenerator< Real >::sumAll(), and values_.

◆ updateGradient()

template<class Real>

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

inline

Definition at line 164 of file ROL_MeanSemiDeviation.hpp.

◆ getGradient()

template<class Real>

void ROL::MeanSemiDeviation< 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 173 of file ROL_MeanSemiDeviation.hpp.

References coeff_, ROL::SampleGenerator< Real >::getMyPoint(), ROL::SampleGenerator< Real >::getMyWeight(), gradients_, ROL::SampleGenerator< Real >::numMySamples(), plusFunction_, ROL::SampleGenerator< Real >::start(), ROL::SampleGenerator< Real >::sumAll(), and values_.

◆ updateHessVec()

template<class Real>

void ROL::MeanSemiDeviation< 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 204 of file ROL_MeanSemiDeviation.hpp.

◆ getHessVec()

template<class Real>

void ROL::MeanSemiDeviation< 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 )