#include <ROL_StochasticProblem.hpp>

Inheritance diagram for ROL::StochasticProblem< Real >:

Public Member Functions
	StochasticProblem (const Ptr< Objective< Real > > &obj, const Ptr< Vector< Real > > &x, const Ptr< Vector< Real > > &g=nullPtr)
	Default constructor for StochasticProblem.
	StochasticProblem (const Problem< Real > &problem)
void	makeObjectiveStochastic (ParameterList &list, const Ptr< SampleGenerator< Real > > &fsampler, const Ptr< SampleGenerator< Real > > &gsampler=nullPtr, const Ptr< SampleGenerator< Real > > &hsampler=nullPtr)
void	makeObjectiveStochastic (const Ptr< RandVarFunctional< Real > > &rvf, ParameterList &list, const Ptr< SampleGenerator< Real > > &fsampler, const Ptr< SampleGenerator< Real > > &gsampler=nullPtr, const Ptr< SampleGenerator< Real > > &hsampler=nullPtr)
void	makeConstraintStochastic (std::string name, ParameterList &list, const Ptr< SampleGenerator< Real > > &sampler, const Ptr< BatchManager< Real > > &bman=nullPtr)
void	makeLinearConstraintStochastic (std::string name, ParameterList &list, const Ptr< SampleGenerator< Real > > &sampler, const Ptr< BatchManager< Real > > &bman=nullPtr)
void	resetStochasticObjective (void)
void	resetStochasticConstraint (std::string name)
void	resetStochasticLinearConstraint (std::string name)
void	resetStochastic (void)
std::vector< Real >	getObjectiveStatistic (void) const
std::vector< Real >	getConstraintStatistic (std::string name) const
Real	getSolutionStatistic (int comp=0, std::string name="") const
void	finalize (bool lumpConstraints=false, bool printToStream=false, std::ostream &outStream=std::cout) override
	Tranform user-supplied constraints to consist of only bounds and equalities. Optimization problem cannot be modified after finalize has been called without calling the edit function.
void	edit (void) override
	Resume editting optimization problem after finalize has been called.
Public Member Functions inherited from ROL::Problem< Real >
virtual	~Problem ()
	Problem (const Ptr< Objective< Real > > &obj, const Ptr< Vector< Real > > &x, const Ptr< Vector< Real > > &g=nullPtr)
	Default constructor for OptimizationProblem.
	Problem (const Problem &problem)
	Copy constructor for OptimizationProblem.
void	addBoundConstraint (const Ptr< BoundConstraint< Real > > &bnd)
	Add a bound constraint.
void	removeBoundConstraint ()
	Remove an existing bound constraint.
void	addProxObjective (const Ptr< ProxObjective< Real > > &prox)
	Add a prox objective.
void	removeProxObjective ()
	Remove an existing prox objective.
void	addConstraint (std::string name, const Ptr< Constraint< Real > > &econ, const Ptr< Vector< Real > > &emul, const Ptr< Vector< Real > > &eres=nullPtr, bool reset=false)
	Add an equality constraint.
void	addConstraint (std::string name, const Ptr< Constraint< Real > > &icon, const Ptr< Vector< Real > > &imul, const Ptr< BoundConstraint< Real > > &ibnd, const Ptr< Vector< Real > > &ires=nullPtr, bool reset=false)
	Add an inequality constraint.
void	removeConstraint (std::string name)
	Remove an existing constraint.
void	addLinearConstraint (std::string name, const Ptr< Constraint< Real > > &linear_econ, const Ptr< Vector< Real > > &linear_emul, const Ptr< Vector< Real > > &linear_eres=nullPtr, bool reset=false)
	Add a linear equality constraint.
void	addLinearConstraint (std::string name, const Ptr< Constraint< Real > > &linear_icon, const Ptr< Vector< Real > > &linear_imul, const Ptr< BoundConstraint< Real > > &linear_ibnd, const Ptr< Vector< Real > > &linear_ires=nullPtr, bool reset=false)
	Add a linear inequality constraint.
void	removeLinearConstraint (std::string name)
	Remove an existing linear constraint.
void	setProjectionAlgorithm (ParameterList &parlist)
	Set polyhedral projection algorithm.
const Ptr< Objective< Real > > &	getObjective ()
	Get the objective function.
const Ptr< Vector< Real > > &	getPrimalOptimizationVector ()
	Get the primal optimization space vector.
const Ptr< Vector< Real > > &	getDualOptimizationVector ()
	Get the dual optimization space vector.
const Ptr< BoundConstraint< Real > > &	getBoundConstraint ()
	Get the bound constraint.
const Ptr< Constraint< Real > > &	getConstraint ()
	Get the equality constraint.
const Ptr< Vector< Real > > &	getMultiplierVector ()
	Get the dual constraint space vector.
const Ptr< Vector< Real > > &	getResidualVector ()
	Get the primal constraint space vector.
const Ptr< PolyhedralProjection< Real > > &	getPolyhedralProjection ()
	Get the polyhedral projection object. This is a null pointer if no linear constraints and/or bounds are present.
EProblem	getProblemType ()
	Get the optimization problem type (U, B, E, or G).
Real	checkLinearity (bool printToStream=false, std::ostream &outStream=std::cout) const
	Check if user-supplied linear constraints are affine.
void	checkVectors (bool printToStream=false, std::ostream &outStream=std::cout) const
	Run vector checks for user-supplied vectors.
void	checkDerivatives (bool printToStream=false, std::ostream &outStream=std::cout) const
	Run derivative checks for user-supplied objective function and constraints.
void	check (bool printToStream=false, std::ostream &outStream=std::cout) const
	Run vector, linearity and derivative checks for user-supplied vectors, objective function and constraints.
bool	isFinalized () const
	Indicate whether or no finalize has been called.
void	finalizeIteration ()
	Transform the optimization variables to the native parameterization after an optimization algorithm has finished.
virtual	~Problem ()
	Problem (const Ptr< Objective< Real > > &obj, const Ptr< Vector< Real > > &x, const Ptr< Vector< Real > > &g=nullPtr)
	Default constructor for OptimizationProblem.
	Problem (const Problem &problem)
	Copy constructor for OptimizationProblem.
void	addBoundConstraint (const Ptr< BoundConstraint< Real > > &bnd)
	Add a bound constraint.
void	removeBoundConstraint ()
	Remove an existing bound constraint.
void	addConstraint (std::string name, const Ptr< Constraint< Real > > &econ, const Ptr< Vector< Real > > &emul, const Ptr< Vector< Real > > &eres=nullPtr, bool reset=false)
	Add an equality constraint.
void	addConstraint (std::string name, const Ptr< Constraint< Real > > &icon, const Ptr< Vector< Real > > &imul, const Ptr< BoundConstraint< Real > > &ibnd, const Ptr< Vector< Real > > &ires=nullPtr, bool reset=false)
	Add an inequality constraint.
void	removeConstraint (std::string name)
	Remove an existing constraint.
void	addLinearConstraint (std::string name, const Ptr< Constraint< Real > > &linear_econ, const Ptr< Vector< Real > > &linear_emul, const Ptr< Vector< Real > > &linear_eres=nullPtr, bool reset=false)
	Add a linear equality constraint.
void	addLinearConstraint (std::string name, const Ptr< Constraint< Real > > &linear_icon, const Ptr< Vector< Real > > &linear_imul, const Ptr< BoundConstraint< Real > > &linear_ibnd, const Ptr< Vector< Real > > &linear_ires=nullPtr, bool reset=false)
	Add a linear inequality constraint.
void	removeLinearConstraint (std::string name)
	Remove an existing linear constraint.
void	setProjectionAlgorithm (ParameterList &parlist)
	Set polyhedral projection algorithm.
void	addProximableObjective (const Ptr< Objective< Real > > &nobj)
void	removeProximableObjective ()
const Ptr< Objective< Real > > &	getObjective ()
	Get the objective function.
const Ptr< Objective< Real > > &	getProximableObjective ()
	Get proximable objective.
const Ptr< Vector< Real > > &	getPrimalOptimizationVector ()
	Get the primal optimization space vector.
const Ptr< Vector< Real > > &	getDualOptimizationVector ()
	Get the dual optimization space vector.
const Ptr< BoundConstraint< Real > > &	getBoundConstraint ()
	Get the bound constraint.
const Ptr< Constraint< Real > > &	getConstraint ()
	Get the equality constraint.
const Ptr< Vector< Real > > &	getMultiplierVector ()
	Get the dual constraint space vector.
const Ptr< Vector< Real > > &	getResidualVector ()
	Get the primal constraint space vector.
const Ptr< PolyhedralProjection< Real > > &	getPolyhedralProjection ()
	Get the polyhedral projection object. This is a null pointer if no linear constraints and/or bounds are present.
EProblem	getProblemType ()
	Get the optimization problem type (U, B, E, G, or P).
Real	checkLinearity (bool printToStream=false, std::ostream &outStream=std::cout) const
	Check if user-supplied linear constraints are affine.
void	checkVectors (bool printToStream=false, std::ostream &outStream=std::cout) const
	Run vector checks for user-supplied vectors.
void	checkDerivatives (bool printToStream=false, std::ostream &outStream=std::cout, const Ptr< Vector< Real > > &x0=nullPtr, Real scale=Real(1)) const
	Run derivative checks for user-supplied objective function and constraints.
void	check (bool printToStream=false, std::ostream &outStream=std::cout, const Ptr< Vector< Real > > &x0=nullPtr, Real scale=Real(1)) const
	Run vector, linearity and derivative checks for user-supplied vectors, objective function and constraints.
bool	isFinalized () const
	Indicate whether or no finalize has been called.
void	finalizeIteration ()
	Transform the optimization variables to the native parameterization after an optimization algorithm has finished.

Private Attributes
Ptr< Objective< Real > >	ORIGINAL_obj_
Ptr< Objective< Real > >	ORIGINAL_nobj_
Ptr< Vector< Real > >	ORIGINAL_xprim_
Ptr< Vector< Real > >	ORIGINAL_xdual_
Ptr< BoundConstraint< Real > >	ORIGINAL_bnd_
std::unordered_map< std::string, ConstraintData< Real > >	ORIGINAL_con_
std::unordered_map< std::string, ConstraintData< Real > >	ORIGINAL_linear_con_
bool	needRiskLessObj_
bool	risk_
std::vector< bool >	needRiskLessCon_
Ptr< ParameterList >	objList_
std::unordered_map< std::string, std::pair< Ptr< ParameterList >, bool > >	conList_
std::unordered_map< std::string, size_t >	statMap_

Additional Inherited Members
Protected Attributes inherited from ROL::Problem< Real >
Ptr< Objective< Real > >	INPUT_obj_
Ptr< Vector< Real > >	INPUT_xprim_
Ptr< Vector< Real > >	INPUT_xdual_
Ptr< BoundConstraint< Real > >	INPUT_bnd_
std::unordered_map< std::string, ConstraintData< Real > >	INPUT_con_
std::unordered_map< std::string, ConstraintData< Real > >	INPUT_linear_con_
Ptr< ProxObjective< Real > >	INPUT_prox_
Ptr< Objective< Real > >	INPUT_nobj_

Detailed Description

template<typename Real>
class ROL::StochasticProblem< Real >

Definition at line 33 of file ROL_StochasticProblem.hpp.

Constructor & Destructor Documentation

◆ StochasticProblem() [1/2]

template<typename Real>

ROL::StochasticProblem< Real >::StochasticProblem	(	const Ptr< Objective< Real > > &	obj,
		const Ptr< Vector< Real > > &	x,
		const Ptr< Vector< Real > > &	g = nullPtr )

Default constructor for StochasticProblem.

Parameters

[in]	obj	objective function object
[in]	x	primal optimization space vector
[in]	g	dual optimization space vector

Definition at line 16 of file ROL_StochasticProblem_Def.hpp.

References needRiskLessObj_, and ROL::Problem< Real >::Problem().

◆ StochasticProblem() [2/2]

template<typename Real>

ROL::StochasticProblem< Real >::StochasticProblem ( const Problem< Real > & problem )

inline

Definition at line 69 of file ROL_StochasticProblem.hpp.

References ROL::Problem< Real >::Problem().

Member Function Documentation

◆ makeObjectiveStochastic() [1/2]

template<typename Real>

void ROL::StochasticProblem< Real >::makeObjectiveStochastic	(	ParameterList &	list,
		const Ptr< SampleGenerator< Real > > &	fsampler,
		const Ptr< SampleGenerator< Real > > &	gsampler = nullPtr,
		const Ptr< SampleGenerator< Real > > &	hsampler = nullPtr )

Definition at line 22 of file ROL_StochasticProblem_Def.hpp.

References ROL::Problem< Real >::INPUT_obj_, ROL::Problem< Real >::isFinalized(), needRiskLessObj_, objList_, and ORIGINAL_obj_.

◆ makeObjectiveStochastic() [2/2]

template<typename Real>

void ROL::StochasticProblem< Real >::makeObjectiveStochastic	(	const Ptr< RandVarFunctional< Real > > &	rvf,
		ParameterList &	list,
		const Ptr< SampleGenerator< Real > > &	fsampler,
		const Ptr< SampleGenerator< Real > > &	gsampler = nullPtr,
		const Ptr< SampleGenerator< Real > > &	hsampler = nullPtr )

Definition at line 65 of file ROL_StochasticProblem_Def.hpp.

References ROL::Problem< Real >::INPUT_obj_, ROL::Problem< Real >::isFinalized(), needRiskLessObj_, objList_, and ORIGINAL_obj_.

◆ makeConstraintStochastic()

template<typename Real>

void ROL::StochasticProblem< Real >::makeConstraintStochastic	(	std::string	name,
		ParameterList &	list,
		const Ptr< SampleGenerator< Real > > &	sampler,
		const Ptr< BatchManager< Real > > &	bman = nullPtr )

Definition at line 94 of file ROL_StochasticProblem_Def.hpp.

References ROL::Problem< Real >::addConstraint(), conList_, ROL::Problem< Real >::INPUT_con_, ROL::Problem< Real >::isFinalized(), ORIGINAL_con_, and ROL::Problem< Real >::removeConstraint().

◆ makeLinearConstraintStochastic()

template<typename Real>

void ROL::StochasticProblem< Real >::makeLinearConstraintStochastic	(	std::string	name,
		ParameterList &	list,
		const Ptr< SampleGenerator< Real > > &	sampler,
		const Ptr< BatchManager< Real > > &	bman = nullPtr )

Definition at line 160 of file ROL_StochasticProblem_Def.hpp.

References ROL::Problem< Real >::addLinearConstraint(), ROL::Problem< Real >::INPUT_linear_con_, ROL::Problem< Real >::isFinalized(), ORIGINAL_linear_con_, and ROL::Problem< Real >::removeLinearConstraint().

◆ resetStochasticObjective()

template<typename Real>

void ROL::StochasticProblem< Real >::resetStochasticObjective ( void )

Definition at line 214 of file ROL_StochasticProblem_Def.hpp.

References ROL::Problem< Real >::INPUT_obj_, ROL::Problem< Real >::isFinalized(), needRiskLessObj_, objList_, and ORIGINAL_obj_.

Referenced by resetStochastic().

◆ resetStochasticConstraint()

template<typename Real>

void ROL::StochasticProblem< Real >::resetStochasticConstraint ( std::string name )

Definition at line 226 of file ROL_StochasticProblem_Def.hpp.

References ROL::Problem< Real >::addConstraint(), conList_, ROL::Problem< Real >::isFinalized(), ORIGINAL_con_, and ROL::Problem< Real >::removeConstraint().

Referenced by resetStochastic().

◆ resetStochasticLinearConstraint()

template<typename Real>

void ROL::StochasticProblem< Real >::resetStochasticLinearConstraint ( std::string name )

Definition at line 244 of file ROL_StochasticProblem_Def.hpp.

References ROL::Problem< Real >::addLinearConstraint(), ROL::Problem< Real >::isFinalized(), ORIGINAL_linear_con_, and ROL::Problem< Real >::removeLinearConstraint().

Referenced by resetStochastic().

◆ resetStochastic()

template<typename Real>

void ROL::StochasticProblem< Real >::resetStochastic ( void )

Definition at line 261 of file ROL_StochasticProblem_Def.hpp.

References ROL::Problem< Real >::INPUT_bnd_, ROL::Problem< Real >::INPUT_con_, ROL::Problem< Real >::INPUT_linear_con_, ROL::Problem< Real >::INPUT_xdual_, ROL::Problem< Real >::INPUT_xprim_, ROL::Problem< Real >::isFinalized(), ORIGINAL_bnd_, ORIGINAL_xdual_, ORIGINAL_xprim_, resetStochasticConstraint(), resetStochasticLinearConstraint(), and resetStochasticObjective().

◆ getObjectiveStatistic()

template<typename Real>

std::vector< Real > ROL::StochasticProblem< Real >::getObjectiveStatistic ( void ) const

Definition at line 300 of file ROL_StochasticProblem_Def.hpp.

References ROL::Problem< Real >::INPUT_xprim_, and ROL::Problem< Real >::isFinalized().

◆ getConstraintStatistic()

template<typename Real>

std::vector< Real > ROL::StochasticProblem< Real >::getConstraintStatistic ( std::string name ) const

Definition at line 315 of file ROL_StochasticProblem_Def.hpp.

References ROL::Problem< Real >::INPUT_xprim_, ROL::Problem< Real >::isFinalized(), and statMap_.

◆ getSolutionStatistic()

template<typename Real>

Real ROL::StochasticProblem< Real >::getSolutionStatistic	(	int	comp = 0,
		std::string	name = "" ) const

Definition at line 333 of file ROL_StochasticProblem_Def.hpp.

References computeStatistic(), ROL::Problem< Real >::INPUT_con_, ROL::Problem< Real >::INPUT_obj_, ROL::Problem< Real >::INPUT_xprim_, ROL::Problem< Real >::isFinalized(), and statMap_.

◆ finalize()

template<typename Real>

void ROL::StochasticProblem< Real >::finalize	(	bool	lumpConstraints = false,
		bool	printToStream = false,
		std::ostream &	outStream = std::cout )

overridevirtual

Tranform user-supplied constraints to consist of only bounds and equalities. Optimization problem cannot be modified after finalize has been called without calling the edit function.

Parameters

[in]	lumpConstraints	combine both linear and nonlinear constraints
[in]	printToStream	determines whether to print to the supplied std::ostream
[in,out]	outStream	user supplied std::ostream

Reimplemented from ROL::Problem< Real >.

Definition at line 365 of file ROL_StochasticProblem_Def.hpp.

◆ edit()

template<typename Real>

void ROL::StochasticProblem< Real >::edit ( void )

overridevirtual

Resume editting optimization problem after finalize has been called.

Reimplemented from ROL::Problem< Real >.

Definition at line 468 of file ROL_StochasticProblem_Def.hpp.

Member Data Documentation

◆ ORIGINAL_obj_

template<typename Real>

Ptr<Objective<Real> > ROL::StochasticProblem< Real >::ORIGINAL_obj_

private

Definition at line 35 of file ROL_StochasticProblem.hpp.

Referenced by edit(), makeObjectiveStochastic(), makeObjectiveStochastic(), and resetStochasticObjective().

◆ ORIGINAL_nobj_

template<typename Real>

Ptr<Objective<Real> > ROL::StochasticProblem< Real >::ORIGINAL_nobj_

private

Definition at line 36 of file ROL_StochasticProblem.hpp.

◆ ORIGINAL_xprim_

template<typename Real>

Ptr<Vector<Real> > ROL::StochasticProblem< Real >::ORIGINAL_xprim_

private

Definition at line 37 of file ROL_StochasticProblem.hpp.

Referenced by edit(), finalize(), and resetStochastic().

◆ ORIGINAL_xdual_

template<typename Real>

Ptr<Vector<Real> > ROL::StochasticProblem< Real >::ORIGINAL_xdual_

private

Definition at line 38 of file ROL_StochasticProblem.hpp.

Referenced by edit(), finalize(), and resetStochastic().

◆ ORIGINAL_bnd_

template<typename Real>

Ptr<BoundConstraint<Real> > ROL::StochasticProblem< Real >::ORIGINAL_bnd_

private

Definition at line 39 of file ROL_StochasticProblem.hpp.

Referenced by edit(), finalize(), and resetStochastic().

◆ ORIGINAL_con_

template<typename Real>

std::unordered_map<std::string,ConstraintData<Real> > ROL::StochasticProblem< Real >::ORIGINAL_con_

private

Definition at line 40 of file ROL_StochasticProblem.hpp.

Referenced by edit(), finalize(), makeConstraintStochastic(), and resetStochasticConstraint().

◆ ORIGINAL_linear_con_

template<typename Real>

std::unordered_map<std::string,ConstraintData<Real> > ROL::StochasticProblem< Real >::ORIGINAL_linear_con_

private

Definition at line 41 of file ROL_StochasticProblem.hpp.

Referenced by edit(), finalize(), makeLinearConstraintStochastic(), and resetStochasticLinearConstraint().

◆ needRiskLessObj_

template<typename Real>

bool ROL::StochasticProblem< Real >::needRiskLessObj_

private

Definition at line 43 of file ROL_StochasticProblem.hpp.

Referenced by edit(), finalize(), makeObjectiveStochastic(), makeObjectiveStochastic(), resetStochasticObjective(), and StochasticProblem().

◆ risk_

template<typename Real>

bool ROL::StochasticProblem< Real >::risk_

private

Definition at line 43 of file ROL_StochasticProblem.hpp.

Referenced by edit(), and finalize().

◆ needRiskLessCon_

template<typename Real>

std::vector<bool> ROL::StochasticProblem< Real >::needRiskLessCon_

private

Definition at line 44 of file ROL_StochasticProblem.hpp.

Referenced by edit(), and finalize().

◆ objList_

template<typename Real>

Ptr<ParameterList> ROL::StochasticProblem< Real >::objList_

private

Definition at line 45 of file ROL_StochasticProblem.hpp.

Referenced by finalize(), makeObjectiveStochastic(), makeObjectiveStochastic(), and resetStochasticObjective().

◆ conList_

template<typename Real>

std::unordered_map<std::string,std::pair<Ptr<ParameterList>,bool> > ROL::StochasticProblem< Real >::conList_

private

Definition at line 46 of file ROL_StochasticProblem.hpp.

Referenced by finalize(), makeConstraintStochastic(), and resetStochasticConstraint().

◆ statMap_

template<typename Real>

std::unordered_map<std::string,size_t> ROL::StochasticProblem< Real >::statMap_

private

Definition at line 47 of file ROL_StochasticProblem.hpp.

Referenced by edit(), finalize(), getConstraintStatistic(), and getSolutionStatistic().

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

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ StochasticProblem() [1/2]

◆ StochasticProblem() [2/2]

Member Function Documentation

◆ makeObjectiveStochastic() [1/2]

◆ makeObjectiveStochastic() [2/2]

◆ makeConstraintStochastic()

◆ makeLinearConstraintStochastic()

◆ resetStochasticObjective()

◆ resetStochasticConstraint()

◆ resetStochasticLinearConstraint()

◆ resetStochastic()

◆ getObjectiveStatistic()

◆ getConstraintStatistic()

◆ getSolutionStatistic()

◆ finalize()

◆ edit()

Member Data Documentation

◆ ORIGINAL_obj_

◆ ORIGINAL_nobj_

◆ ORIGINAL_xprim_

◆ ORIGINAL_xdual_

◆ ORIGINAL_bnd_

◆ ORIGINAL_con_

◆ ORIGINAL_linear_con_

◆ needRiskLessObj_

◆ risk_

◆ needRiskLessCon_

◆ objList_

◆ conList_

◆ statMap_