ROL::RiskNeutralObjective< Real > Class Template Reference

#include <ROL_RiskNeutralObjective.hpp>

Inheritance diagram for ROL::RiskNeutralObjective< Real >:

Public Member Functions
	RiskNeutralObjective (const Ptr< Objective< Real > > &pObj, const Ptr< SampleGenerator< Real > > &vsampler, const Ptr< SampleGenerator< Real > > &gsampler, const Ptr< SampleGenerator< Real > > &hsampler, const bool storage=true)
	RiskNeutralObjective (const Ptr< Objective< Real > > &pObj, const Ptr< SampleGenerator< Real > > &vsampler, const Ptr< SampleGenerator< Real > > &gsampler, const bool storage=true)
	RiskNeutralObjective (const Ptr< Objective< Real > > &pObj, const Ptr< SampleGenerator< Real > > &sampler, const bool storage=true)
void	update (const Vector< Real > &x, UpdateType type, int iter=-1)
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	precond (Vector< Real > &Pv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
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.
virtual void	setParameter (const std::vector< Real > &param)

Private Member Functions
void	initialize (const Vector< Real > &x)
void	getValue (Real &val, const Vector< Real > &x, const std::vector< Real > &param, Real &tol)
void	getGradient (Vector< Real > &g, const Vector< Real > &x, const std::vector< Real > &param, Real &tol)
void	getHessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, const std::vector< Real > &param, Real &tol)

Private Attributes
Ptr< Objective< Real > >	ParametrizedObjective_
Ptr< SampleGenerator< Real > >	ValueSampler_
Ptr< SampleGenerator< Real > >	GradientSampler_
Ptr< SampleGenerator< Real > >	HessianSampler_
Real	value_
Ptr< Vector< Real > >	gradient_
Ptr< Vector< Real > >	pointDual_
Ptr< Vector< Real > >	sumDual_
bool	firstUpdate_
bool	storage_
Ptr< ScalarController< Real > >	value_storage_
Ptr< VectorController< Real > >	gradient_storage_

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::RiskNeutralObjective< Real >

Definition at line 22 of file ROL_RiskNeutralObjective.hpp.

Constructor & Destructor Documentation

RiskNeutralObjective() [1/3]

template<class Real>

ROL::RiskNeutralObjective< Real >::RiskNeutralObjective ( const Ptr< Objective< Real > > & pObj, const Ptr< SampleGenerator< Real > > & vsampler, const Ptr< SampleGenerator< Real > > & gsampler, const Ptr< SampleGenerator< Real > > & hsampler, const bool storage = true )

inline

Definition at line 89 of file ROL_RiskNeutralObjective.hpp.

References firstUpdate_, gradient_storage_, GradientSampler_, HessianSampler_, ROL::ROL::Objective< Real >::Objective(), ParametrizedObjective_, storage_, value_storage_, and ValueSampler_.

RiskNeutralObjective() [2/3]

template<class Real>

ROL::RiskNeutralObjective< Real >::RiskNeutralObjective ( const Ptr< Objective< Real > > & pObj, const Ptr< SampleGenerator< Real > > & vsampler, const Ptr< SampleGenerator< Real > > & gsampler, const bool storage = true )

inline

Definition at line 101 of file ROL_RiskNeutralObjective.hpp.

References firstUpdate_, gradient_storage_, GradientSampler_, HessianSampler_, ROL::ROL::Objective< Real >::Objective(), ParametrizedObjective_, storage_, value_storage_, and ValueSampler_.

RiskNeutralObjective() [3/3]

template<class Real>

ROL::RiskNeutralObjective< Real >::RiskNeutralObjective ( const Ptr< Objective< Real > > & pObj, const Ptr< SampleGenerator< Real > > & sampler, const bool storage = true )

inline

Definition at line 112 of file ROL_RiskNeutralObjective.hpp.

References firstUpdate_, gradient_storage_, GradientSampler_, HessianSampler_, ROL::ROL::Objective< Real >::Objective(), ParametrizedObjective_, storage_, value_storage_, and ValueSampler_.

Member Function Documentation

initialize()

template<class Real>

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

inlineprivate

Definition at line 42 of file ROL_RiskNeutralObjective.hpp.

References ROL::Vector< Real >::dual(), firstUpdate_, gradient_, pointDual_, and sumDual_.

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

getValue()

template<class Real>

void ROL::RiskNeutralObjective< Real >::getValue ( Real & val, const Vector< Real > & x, const std::vector< Real > & param, Real & tol )

inlineprivate

Definition at line 51 of file ROL_RiskNeutralObjective.hpp.

References ParametrizedObjective_, storage_, and value_storage_.

Referenced by value().

getGradient()

template<class Real>

void ROL::RiskNeutralObjective< Real >::getGradient ( Vector< Real > & g, const Vector< Real > & x, const std::vector< Real > & param, Real & tol )

inlineprivate

Definition at line 66 of file ROL_RiskNeutralObjective.hpp.

References gradient_storage_, ParametrizedObjective_, and storage_.

Referenced by gradient().

getHessVec()

template<class Real>

void ROL::RiskNeutralObjective< Real >::getHessVec ( Vector< Real > & hv, const Vector< Real > & v, const Vector< Real > & x, const std::vector< Real > & param, Real & tol )

inlineprivate

Definition at line 81 of file ROL_RiskNeutralObjective.hpp.

References ParametrizedObjective_.

Referenced by hessVec().

update() [1/2]

template<class Real>

void ROL::RiskNeutralObjective< Real >::update ( const Vector< Real > & x, UpdateType type, int iter = -1 )

inline

Definition at line 122 of file ROL_RiskNeutralObjective.hpp.

References gradient_, gradient_storage_, GradientSampler_, HessianSampler_, initialize(), ParametrizedObjective_, ROL::Revert, storage_, ROL::Trial, value_, value_storage_, and ValueSampler_.

update() [2/2]

template<class Real>

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

inline

Definition at line 139 of file ROL_RiskNeutralObjective.hpp.

References gradient_, gradient_storage_, GradientSampler_, HessianSampler_, initialize(), ParametrizedObjective_, storage_, value_, value_storage_, and ValueSampler_.

value()

template<class Real>

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

inline

Definition at line 158 of file ROL_RiskNeutralObjective.hpp.

References getValue(), initialize(), value_, and ValueSampler_.

gradient()

template<class Real>

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

inline

Definition at line 179 of file ROL_RiskNeutralObjective.hpp.

References getGradient(), gradient_, GradientSampler_, initialize(), pointDual_, ROL::Vector< Real >::set(), sumDual_, and ROL::Vector< Real >::zero().

hessVec()

template<class Real>

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

inline

Definition at line 205 of file ROL_RiskNeutralObjective.hpp.

References getHessVec(), HessianSampler_, initialize(), pointDual_, sumDual_, and ROL::Vector< Real >::zero().

precond()

template<class Real>

void ROL::RiskNeutralObjective< Real >::precond ( Vector< Real > & Pv, const Vector< Real > & v, const Vector< Real > & x, Real & tol )

inline

Definition at line 216 of file ROL_RiskNeutralObjective.hpp.

References ROL::Vector< Real >::dual(), and ROL::Vector< Real >::set().

Member Data Documentation

ParametrizedObjective_

template<class Real>

Ptr<Objective<Real> > ROL::RiskNeutralObjective< Real >::ParametrizedObjective_

private

Definition at line 24 of file ROL_RiskNeutralObjective.hpp.

Referenced by getGradient(), getHessVec(), getValue(), RiskNeutralObjective(), RiskNeutralObjective(), RiskNeutralObjective(), update(), and update().

ValueSampler_

template<class Real>

Ptr<SampleGenerator<Real> > ROL::RiskNeutralObjective< Real >::ValueSampler_

private

Definition at line 25 of file ROL_RiskNeutralObjective.hpp.

Referenced by RiskNeutralObjective(), RiskNeutralObjective(), RiskNeutralObjective(), update(), update(), and value().

GradientSampler_

template<class Real>

Ptr<SampleGenerator<Real> > ROL::RiskNeutralObjective< Real >::GradientSampler_

private

Definition at line 26 of file ROL_RiskNeutralObjective.hpp.

Referenced by gradient(), RiskNeutralObjective(), RiskNeutralObjective(), RiskNeutralObjective(), update(), and update().

HessianSampler_

template<class Real>

Ptr<SampleGenerator<Real> > ROL::RiskNeutralObjective< Real >::HessianSampler_

private

Definition at line 27 of file ROL_RiskNeutralObjective.hpp.

Referenced by hessVec(), RiskNeutralObjective(), RiskNeutralObjective(), RiskNeutralObjective(), update(), and update().

value_

template<class Real>

Real ROL::RiskNeutralObjective< Real >::value_

private

Definition at line 29 of file ROL_RiskNeutralObjective.hpp.

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

gradient_

template<class Real>

Ptr<Vector<Real> > ROL::RiskNeutralObjective< Real >::gradient_

private

Definition at line 30 of file ROL_RiskNeutralObjective.hpp.

Referenced by gradient(), initialize(), update(), and update().

pointDual_

template<class Real>

Ptr<Vector<Real> > ROL::RiskNeutralObjective< Real >::pointDual_

private

Definition at line 31 of file ROL_RiskNeutralObjective.hpp.

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

sumDual_

template<class Real>

Ptr<Vector<Real> > ROL::RiskNeutralObjective< Real >::sumDual_

private

Definition at line 32 of file ROL_RiskNeutralObjective.hpp.

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

firstUpdate_

template<class Real>

bool ROL::RiskNeutralObjective< Real >::firstUpdate_

private

Definition at line 34 of file ROL_RiskNeutralObjective.hpp.

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

storage_

template<class Real>

bool ROL::RiskNeutralObjective< Real >::storage_

private

Definition at line 35 of file ROL_RiskNeutralObjective.hpp.

Referenced by getGradient(), getValue(), RiskNeutralObjective(), RiskNeutralObjective(), RiskNeutralObjective(), update(), and update().

value_storage_

template<class Real>

Ptr<ScalarController<Real> > ROL::RiskNeutralObjective< Real >::value_storage_

private

Definition at line 39 of file ROL_RiskNeutralObjective.hpp.

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

gradient_storage_

template<class Real>

Ptr<VectorController<Real> > ROL::RiskNeutralObjective< Real >::gradient_storage_

private

Definition at line 40 of file ROL_RiskNeutralObjective.hpp.

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

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

• ROL_RiskNeutralObjective.hpp