ROL
ROL_MeanSemiDeviation.hpp
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43
44#ifndef ROL_MEANSEMIDEVIATION_HPP
45#define ROL_MEANSEMIDEVIATION_HPP
46
48#include "ROL_PlusFunction.hpp"
49
69namespace ROL {
70
71template<class Real>
73private:
74 Ptr<PlusFunction<Real> > plusFunction_;
75 Real coeff_;
76
77 Ptr<ScalarController<Real>> values_;
78 Ptr<ScalarController<Real>> gradvecs_;
79 Ptr<VectorController<Real>> gradients_;
80 Ptr<VectorController<Real>> hessvecs_;
81
82 using RandVarFunctional<Real>::val_;
83 using RandVarFunctional<Real>::gv_;
84 using RandVarFunctional<Real>::g_;
85 using RandVarFunctional<Real>::hv_;
87
88 using RandVarFunctional<Real>::point_;
90
95
96 void initializeStorage(void) {
97 values_ = makePtr<ScalarController<Real>>();
98 gradvecs_ = makePtr<ScalarController<Real>>();
99 gradients_ = makePtr<VectorController<Real>>();
100 hessvecs_ = makePtr<VectorController<Real>>();
101
104 }
105
106 void clear(void) {
107 gradvecs_->reset();
108 hessvecs_->reset();
109 }
110
111 void checkInputs(void) {
112 const Real zero(0);
113 ROL_TEST_FOR_EXCEPTION((coeff_ < zero), std::invalid_argument,
114 ">>> ERROR (ROL::MeanSemiDeviation): Coefficient must be positive!");
115 ROL_TEST_FOR_EXCEPTION(plusFunction_ == nullPtr, std::invalid_argument,
116 ">>> ERROR (ROL::MeanSemiDeviation): PlusFunction pointer is null!");
118 }
119
120public:
121
127 MeanSemiDeviation( const Real coeff, const Ptr<PlusFunction<Real> > &pf )
128 : RandVarFunctional<Real>(), plusFunction_(pf), coeff_(coeff) {
129 checkInputs();
130 }
131
141 MeanSemiDeviation( ROL::ParameterList &parlist )
142 : RandVarFunctional<Real>() {
143 ROL::ParameterList &list
144 = parlist.sublist("SOL").sublist("Risk Measure").sublist("Mean Plus Semi-Deviation");
145 // Check CVaR inputs
146 coeff_ = list.get<Real>("Coefficient");
147 // Build (approximate) plus function
148 plusFunction_ = makePtr<PlusFunction<Real>>(list);
149 // Check Inputs
150 checkInputs();
151 }
152
153 void setStorage(const Ptr<ScalarController<Real>> &value_storage,
154 const Ptr<VectorController<Real>> &gradient_storage) {
155 values_ = value_storage;
156 gradients_ = gradient_storage;
158 }
159
160 void setHessVecStorage(const Ptr<ScalarController<Real>> &gradvec_storage,
161 const Ptr<VectorController<Real>> &hessvec_storage) {
162 gradvecs_ = gradvec_storage;
163 hessvecs_ = hessvec_storage;
165 }
166
167 void initialize(const Vector<Real> &x) {
169 clear();
170 }
171
173 const Vector<Real> &x,
174 const std::vector<Real> &xstat,
175 Real &tol) {
176 Real val = computeValue(obj,x,tol);
177 val_ += weight_ * val;
178 }
179
180 Real getValue(const Vector<Real> &x,
181 const std::vector<Real> &xstat,
182 SampleGenerator<Real> &sampler) {
183 // Compute expected value
184 Real ev(0);
185 sampler.sumAll(&val_,&ev,1);
186 // Compute deviation
187 Real diff(0), pf(0), dev(0), weight(0);
188 for (int i = sampler.start(); i < sampler.numMySamples(); ++i) {
189 values_->get(diff,sampler.getMyPoint(i));
190 weight = sampler.getMyWeight(i);
191 diff -= ev;
192 pf += weight * plusFunction_->evaluate(diff,0);
193 }
194 sampler.sumAll(&pf,&dev,1);
195 // Return mean plus deviation
196 return ev + coeff_ * dev;
197 }
198
200 const Vector<Real> &x,
201 const std::vector<Real> &xstat,
202 Real &tol) {
203 Real val = computeValue(obj,x,tol);
204 val_ += weight_ * val;
205 computeGradient(*dualVector_,obj,x,tol);
206 }
207
209 std::vector<Real> &gstat,
210 const Vector<Real> &x,
211 const std::vector<Real> &xstat,
212 SampleGenerator<Real> &sampler) {
213 // Compute expected value
214 Real ev(0);
215 sampler.sumAll(&val_,&ev,1);
216 // Compute deviation
217 Real diff(0), dev(0), pf (0), c(0), one(1), weight(0);
218 for (int i = sampler.start(); i < sampler.numMySamples(); ++i) {
219 values_->get(diff,sampler.getMyPoint(i));
220 weight = sampler.getMyWeight(i);
221 diff -= ev;
222 pf += weight * plusFunction_->evaluate(diff,1);
223 }
224 sampler.sumAll(&pf,&dev,1);
225 // Compute derivative
226 g_->zero(); dualVector_->zero();
227 for (int i = sampler.start(); i < sampler.numMySamples(); ++i) {
228 values_->get(diff,sampler.getMyPoint(i));
229 weight = sampler.getMyWeight(i);
230 diff -= ev;
231 pf = plusFunction_->evaluate(diff,1);
232 c = one + coeff_ * (pf - dev);
233 gradients_->get(*dualVector_, sampler.getMyPoint(i));
234 g_->axpy(weight * c, *dualVector_);
235 }
236 sampler.sumAll(*g_, g);
237 }
238
240 const Vector<Real> &v,
241 const std::vector<Real> &vstat,
242 const Vector<Real> &x,
243 const std::vector<Real> &xstat,
244 Real &tol) {
245 Real val = computeValue(obj,x,tol);
246 val_ += weight_ * val;
247 Real gv = computeGradVec(*dualVector_,obj,v,x,tol);
248 gv_ += weight_ * gv;
249 computeHessVec(*dualVector_,obj,v,x,tol);
250 }
251
253 std::vector<Real> &hvstat,
254 const Vector<Real> &v,
255 const std::vector<Real> &vstat,
256 const Vector<Real> &x,
257 const std::vector<Real> &xstat,
258 SampleGenerator<Real> &sampler) {
259 const Real one(1);
260 // Compute expected value
261 std::vector<Real> mval = {val_, gv_};
262 std::vector<Real> gval(2,0);
263 sampler.sumAll(&mval[0],&gval[0],2);
264 Real ev = gval[0], egv = gval[1];
265 // Compute deviation
266 Real diff(0), pf1(0), pf2(0), weight(0), gv(0), c(0);
267 std::vector<Real> pf(2,0), dev(2,0);
268 for (int i = sampler.start(); i < sampler.numMySamples(); ++i) {
269 values_->get(diff, sampler.getMyPoint(i));
270 gradvecs_->get(gv, sampler.getMyPoint(i));
271 weight = sampler.getMyWeight(i);
272 diff -= ev;
273 pf[0] += weight * plusFunction_->evaluate(diff,1);
274 pf[1] += weight * plusFunction_->evaluate(diff,2) * (gv - egv);
275 }
276 sampler.sumAll(&pf[0],&dev[0],2);
277 hv_->zero(); dualVector_->zero();
278 for (int i = sampler.start(); i < sampler.numMySamples(); ++i) {
279 values_->get(diff, sampler.getMyPoint(i));
280 gradvecs_->get(gv, sampler.getMyPoint(i));
281 weight = sampler.getMyWeight(i);
282 diff -= ev;
283 pf1 = plusFunction_->evaluate(diff,1);
284 c = one + coeff_ * (pf1 - dev[0]);
285 hessvecs_->get(*dualVector_, sampler.getMyPoint(i));
286 hv_->axpy(weight * c, *dualVector_);
287 pf2 = plusFunction_->evaluate(diff,2) * (gv - egv);
288 c = coeff_ * (pf2 - dev[1]);
289 gradients_->get(*dualVector_, sampler.getMyPoint(i));
290 hv_->axpy(weight * c, *dualVector_);
291 }
292 sampler.sumAll(*hv_, hv);
293 }
294};
295
296}
297
298#endif
Objective_SerialSimOpt(const Ptr< Obj > &obj, const V &ui) z0_ zero()
Provides an interface for the mean plus upper semideviation of order 1.
MeanSemiDeviation(const Real coeff, const Ptr< PlusFunction< Real > > &pf)
Constructor.
void updateValue(Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Update internal storage for value computation.
void setHessVecStorage(const Ptr< ScalarController< Real > > &gradvec_storage, const Ptr< VectorController< Real > > &hessvec_storage)
Ptr< VectorController< Real > > hessvecs_
Ptr< ScalarController< Real > > gradvecs_
void initialize(const Vector< Real > &x)
Initialize temporary variables.
void setStorage(const Ptr< ScalarController< Real > > &value_storage, const Ptr< VectorController< Real > > &gradient_storage)
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)
Return risk measure Hessian-times-a-vector.
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)
Update internal risk measure storage for Hessian-time-a-vector computation.
void getGradient(Vector< Real > &g, std::vector< Real > &gstat, const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
Return risk measure (sub)gradient.
Ptr< PlusFunction< Real > > plusFunction_
Ptr< VectorController< Real > > gradients_
void updateGradient(Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Update internal risk measure storage for gradient computation.
MeanSemiDeviation(ROL::ParameterList &parlist)
Constructor.
Ptr< ScalarController< Real > > values_
Real getValue(const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
Return risk measure value.
Provides the interface to evaluate objective functions.
Provides the interface to implement any functional that maps a random variable to a (extended) real n...
Real computeValue(Objective< Real > &obj, const Vector< Real > &x, Real &tol)
Ptr< Vector< Real > > g_
virtual void initialize(const Vector< Real > &x)
Initialize temporary variables.
void computeHessVec(Vector< Real > &hv, Objective< Real > &obj, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
virtual void setStorage(const Ptr< ScalarController< Real > > &value_storage, const Ptr< VectorController< Real > > &gradient_storage)
Ptr< Vector< Real > > hv_
void computeGradient(Vector< Real > &g, Objective< Real > &obj, const Vector< Real > &x, Real &tol)
Ptr< Vector< Real > > dualVector_
virtual void setHessVecStorage(const Ptr< ScalarController< Real > > &gradvec_storage, const Ptr< VectorController< Real > > &hessvec_storage)
Real computeGradVec(Vector< Real > &g, Objective< Real > &obj, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
virtual int numMySamples(void) const
virtual std::vector< Real > getMyPoint(const int i) const
void sumAll(Real *input, Real *output, int dim) const
virtual Real getMyWeight(const int i) const
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:84