ROL::PH_RiskObjective< Real > Class Template Reference

Provides the interface for the progressive hedging risk objective. More...

#include <ROL_PH_RiskObjective.hpp>

Inheritance diagram for ROL::PH_RiskObjective< Real >:

Public Member Functions
	PH_RiskObjective (const Ptr< Objective< Real > > &obj, ParameterList &parlist)
void	update (const Vector< Real > &x, bool flag=true, int iter=-1)
Real	value (const Vector< Real > &x, Real &tol)
void	gradient (Vector< Real > &g, const Vector< Real > &x, Real &tol)
void	hessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
void	setParameter (const std::vector< Real > &param)
Public Member Functions inherited from ROL::ROL::Objective< Real >
virtual	~Objective ()
	Objective ()
virtual void	update (const Vector< Real > &x, UpdateType type, int iter=-1)
	Update objective function.
virtual void	update (const Vector< Real > &x, bool flag=true, int iter=-1)
	Update objective function.
virtual Real	value (const Vector< Real > &x, Real &tol)=0
	Compute value.
virtual void	gradient (Vector< Real > &g, const Vector< Real > &x, Real &tol)
	Compute gradient.
virtual Real	dirDeriv (const Vector< Real > &x, const Vector< Real > &d, Real &tol)
	Compute directional derivative.
virtual void	hessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply Hessian approximation to vector.
virtual void	invHessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply inverse Hessian approximation to vector.
virtual void	precond (Vector< Real > &Pv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply preconditioner to vector.
virtual void	prox (Vector< Real > &Pv, const Vector< Real > &v, Real t, Real &tol)
	Compute the proximity operator.
virtual void	proxJacVec (Vector< Real > &Jv, const Vector< Real > &v, const Vector< Real > &x, Real t, Real &tol)
	Apply the Jacobian of the proximity operator.
virtual std::vector< std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference gradient check.
virtual std::vector< std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference gradient check.
virtual std::vector< std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference gradient check with specified step sizes.
virtual std::vector< std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference gradient check with specified step sizes.
virtual std::vector< std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference Hessian-applied-to-vector check.
virtual std::vector< std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference Hessian-applied-to-vector check.
virtual std::vector< std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference Hessian-applied-to-vector check with specified step sizes.
virtual std::vector< std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference Hessian-applied-to-vector check with specified step sizes.
virtual std::vector< Real >	checkHessSym (const Vector< Real > &x, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
	Hessian symmetry check.
virtual std::vector< Real >	checkHessSym (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
	Hessian symmetry check.
virtual std::vector< std::vector< Real > >	checkProxJacVec (const Vector< Real > &x, const Vector< Real > &v, Real t=Real(1), bool printToStream=true, std::ostream &outStream=std::cout, int numSteps=ROL_NUM_CHECKDERIV_STEPS)
	Finite-difference proximity operator Jacobian-applied-to-vector check.

Private Member Functions
void	getValue (const Vector< Real > &x, Real &tol)
void	getGradient (const Vector< Real > &x, Real &tol)
Ptr< const Vector< Real > >	getConstVector (const Vector< Real > &x) const
Ptr< Vector< Real > >	getVector (Vector< Real > &x) const
Ptr< const std::vector< Real > >	getConstStat (const Vector< Real > &x) const
Ptr< std::vector< Real > >	getStat (Vector< Real > &x) const

Private Attributes
const Ptr< Objective< Real > >	obj_
Ptr< ExpectationQuad< Real > >	quad_
bool	isValueComputed_
Real	val_
bool	isGradientInitialized_
bool	isGradientComputed_
Ptr< Vector< Real > >	g_

Additional Inherited Members
Protected Member Functions inherited from ROL::ROL::Objective< Real >
const std::vector< Real >	getParameter (void) const

Detailed Description

template<class Real>
class ROL::PH_RiskObjective< Real >

Provides the interface for the progressive hedging risk objective.

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Definition at line 25 of file ROL_PH_RiskObjective.hpp.

Constructor & Destructor Documentation

PH_RiskObjective()

template<class Real>

ROL::PH_RiskObjective< Real >::PH_RiskObjective ( const Ptr< Objective< Real > > & obj, ParameterList & parlist )

inline

Definition at line 85 of file ROL_PH_RiskObjective.hpp.

References isGradientComputed_, isGradientInitialized_, isValueComputed_, obj_, ROL::ROL::Objective< Real >::Objective(), quad_, ROL::RISKMEASURE_CVAR, ROL::RISKMEASURE_GENMOREAUYOSIDACVAR, ROL::RISKMEASURE_LOGEXPONENTIAL, ROL::RISKMEASURE_LOGQUANTILE, ROL::RISKMEASURE_MOREAUYOSIDACVAR, ROL::RISKMEASURE_SAFETYMARGIN, ROL::RISKMEASURE_SMOOTHEDWORSTCASE, ROL::RISKMEASURE_TRUNCATEDMEAN, and ROL::StringToERiskMeasure().

Member Function Documentation

getValue()

template<class Real>

void ROL::PH_RiskObjective< Real >::getValue ( const Vector< Real > & x, Real & tol )

inlineprivate

Definition at line 37 of file ROL_PH_RiskObjective.hpp.

References isValueComputed_, obj_, and val_.

Referenced by gradient(), hessVec(), and value().

getGradient()

template<class Real>

void ROL::PH_RiskObjective< Real >::getGradient ( const Vector< Real > & x, Real & tol )

inlineprivate

Definition at line 44 of file ROL_PH_RiskObjective.hpp.

References ROL::Vector< Real >::clone(), ROL::Vector< Real >::dual(), g_, isGradientComputed_, isGradientInitialized_, and obj_.

Referenced by gradient(), and hessVec().

getConstVector()

template<class Real>

Ptr< const Vector< Real > > ROL::PH_RiskObjective< Real >::getConstVector ( const Vector< Real > & x ) const

inlineprivate

Definition at line 55 of file ROL_PH_RiskObjective.hpp.

References ROL::RiskVector< Real >::getVector().

Referenced by gradient(), hessVec(), update(), and value().

getVector()

template<class Real>

Ptr< Vector< Real > > ROL::PH_RiskObjective< Real >::getVector ( Vector< Real > & x ) const

inlineprivate

Definition at line 60 of file ROL_PH_RiskObjective.hpp.

References ROL::RiskVector< Real >::getVector().

Referenced by gradient(), and hessVec().

getConstStat()

template<class Real>

Ptr< const std::vector< Real > > ROL::PH_RiskObjective< Real >::getConstStat ( const Vector< Real > & x ) const

inlineprivate

Definition at line 65 of file ROL_PH_RiskObjective.hpp.

References ROL::RiskVector< Real >::getStatistic().

Referenced by gradient(), hessVec(), and value().

getStat()

template<class Real>

Ptr< std::vector< Real > > ROL::PH_RiskObjective< Real >::getStat ( Vector< Real > & x ) const

inlineprivate

Definition at line 74 of file ROL_PH_RiskObjective.hpp.

References ROL::RiskVector< Real >::getStatistic().

Referenced by gradient(), and hessVec().

update()

template<class Real>

void ROL::PH_RiskObjective< Real >::update ( const Vector< Real > & x, bool flag = true, int iter = -1 )

inline

Definition at line 120 of file ROL_PH_RiskObjective.hpp.

References getConstVector(), isGradientComputed_, isValueComputed_, and obj_.

value()

template<class Real>

Real ROL::PH_RiskObjective< Real >::value ( const Vector< Real > & x, Real & tol )

inline

Definition at line 127 of file ROL_PH_RiskObjective.hpp.

References getConstStat(), getConstVector(), getValue(), quad_, and val_.

gradient()

template<class Real>

void ROL::PH_RiskObjective< Real >::gradient ( Vector< Real > & g, const Vector< Real > & x, Real & tol )

inline

Definition at line 135 of file ROL_PH_RiskObjective.hpp.

References g_, getConstStat(), getConstVector(), getGradient(), getStat(), getValue(), getVector(), quad_, and val_.

hessVec()

template<class Real>

void ROL::PH_RiskObjective< Real >::hessVec ( Vector< Real > & hv, const Vector< Real > & v, const Vector< Real > & x, Real & tol )

inline

Definition at line 147 of file ROL_PH_RiskObjective.hpp.

References g_, getConstStat(), getConstVector(), getGradient(), getStat(), getValue(), getVector(), obj_, quad_, and val_.

setParameter()

template<class Real>

void ROL::PH_RiskObjective< Real >::setParameter ( const std::vector< Real > & param )

inlinevirtual

Reimplemented from ROL::ROL::Objective< Real >.

Definition at line 165 of file ROL_PH_RiskObjective.hpp.

References obj_, and ROL::Objective< Real >::setParameter().

Member Data Documentation

obj_

template<class Real>

const Ptr<Objective<Real> > ROL::PH_RiskObjective< Real >::obj_

private

Definition at line 27 of file ROL_PH_RiskObjective.hpp.

Referenced by getGradient(), getValue(), hessVec(), PH_RiskObjective(), setParameter(), and update().

quad_

template<class Real>

Ptr<ExpectationQuad<Real> > ROL::PH_RiskObjective< Real >::quad_

private

Definition at line 28 of file ROL_PH_RiskObjective.hpp.

Referenced by gradient(), hessVec(), PH_RiskObjective(), and value().

isValueComputed_

template<class Real>

bool ROL::PH_RiskObjective< Real >::isValueComputed_

private

Definition at line 30 of file ROL_PH_RiskObjective.hpp.

Referenced by getValue(), PH_RiskObjective(), and update().

val_

template<class Real>

Real ROL::PH_RiskObjective< Real >::val_

private

Definition at line 31 of file ROL_PH_RiskObjective.hpp.

Referenced by getValue(), gradient(), hessVec(), and value().

isGradientInitialized_

template<class Real>

bool ROL::PH_RiskObjective< Real >::isGradientInitialized_

private

Definition at line 33 of file ROL_PH_RiskObjective.hpp.

Referenced by getGradient(), and PH_RiskObjective().

isGradientComputed_

template<class Real>

bool ROL::PH_RiskObjective< Real >::isGradientComputed_

private

Definition at line 34 of file ROL_PH_RiskObjective.hpp.

Referenced by getGradient(), PH_RiskObjective(), and update().

g_

template<class Real>

Ptr<Vector<Real> > ROL::PH_RiskObjective< Real >::g_

private

Definition at line 35 of file ROL_PH_RiskObjective.hpp.

Referenced by getGradient(), gradient(), and hessVec().

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

• ROL_PH_RiskObjective.hpp