ROL
ROL_ExpectationQuad.hpp
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1// @HEADER
2// *****************************************************************************
3// Rapid Optimization Library (ROL) Package
4//
5// Copyright 2014 NTESS and the ROL contributors.
6// SPDX-License-Identifier: BSD-3-Clause
7// *****************************************************************************
8// @HEADER
9
10#ifndef ROL_EXPECTATIONQUAD_HPP
11#define ROL_EXPECTATIONQUAD_HPP
12
13#include "ROL_Types.hpp"
14
50namespace ROL {
51
52template<class Real>
53class ExpectationQuad {
54public:
55 virtual ~ExpectationQuad(void) {}
56 ExpectationQuad(void) {}
57
65 virtual Real regret(Real x, int deriv = 0) = 0;
66
74 virtual Real error(Real x, int deriv = 0) {
75 const Real one(1), zero(0);
76 Real X = (deriv==0 ? x : (deriv==1 ? one : zero));
77 return regret(x,deriv) - X;
78 }
79
82 virtual void check(void) {
83 Real zero(0), half(0.5), two(2), one(1), oem3(1.e-3), fem4(5.e-4), p1(0.1);
84 // Check v(0) = 0
85 Real x = zero;
86 Real vx = regret(x,0);
87 std::cout << std::right << std::setw(20) << "CHECK REGRET: v(0) = 0? \n";
88 std::cout << std::right << std::setw(20) << "v(0)" << "\n";
89 std::cout << std::scientific << std::setprecision(11) << std::right
90 << std::setw(20) << std::abs(vx)
91 << "\n";
92 std::cout << "\n";
93 // Check v(x) > x
94 Real scale = two;
95 std::cout << std::right << std::setw(20) << "CHECK REGRET: x < v(x) for |x| > 0? \n";
96 std::cout << std::right << std::setw(20) << "x"
97 << std::right << std::setw(20) << "v(x)"
98 << "\n";
99 for (int i = 0; i < 10; i++) {
100 x = scale*(Real)rand()/(Real)RAND_MAX - scale*half;
101 vx = regret(x,0);
102 std::cout << std::scientific << std::setprecision(11) << std::right
103 << std::setw(20) << x
104 << std::setw(20) << vx
105 << "\n";
106 scale *= two;
107 }
108 std::cout << "\n";
109 // Check v(x) is convex
110 Real y = zero;
111 Real vy = zero;
112 Real z = zero;
113 Real vz = zero;
114 Real l = zero;
115 scale = two;
116 std::cout << std::right << std::setw(20) << "CHECK REGRET: v(x) is convex? \n";
117 std::cout << std::right << std::setw(20) << "v(l*x+(1-l)*y)"
118 << std::setw(20) << "l*v(x)+(1-l)*v(y)"
119 << "\n";
120 for (int i = 0; i < 10; i++) {
121 x = scale*(Real)rand()/(Real)RAND_MAX - scale*half;
122 vx = regret(x,0);
123 y = scale*(Real)rand()/(Real)RAND_MAX - scale*half;
124 vy = regret(y,0);
125 l = (Real)rand()/(Real)RAND_MAX;
126 z = l*x + (one-l)*y;
127 vz = regret(z,0);
128 std::cout << std::scientific << std::setprecision(11) << std::right
129 << std::setw(20) << vz
130 << std::setw(20) << l*vx + (one-l)*vy
131 << "\n";
132 scale *= two;
133 }
134 std::cout << "\n";
135 // Check v'(x)
136 x = oem3*(Real)rand()/(Real)RAND_MAX - fem4;
137 vx = regret(x,0);
138 Real dv = regret(x,1);
139 Real t = one;
140 Real diff = zero;
141 Real err = zero;
142 std::cout << std::right << std::setw(20) << "CHECK REGRET: v'(x) is correct? \n";
143 std::cout << std::right << std::setw(20) << "t"
144 << std::setw(20) << "v'(x)"
145 << std::setw(20) << "(v(x+t)-v(x))/t"
146 << std::setw(20) << "Error"
147 << "\n";
148 for (int i = 0; i < 13; i++) {
149 y = x + t;
150 vy = regret(y,0);
151 diff = (vy-vx)/t;
152 err = std::abs(diff-dv);
153 std::cout << std::scientific << std::setprecision(11) << std::right
154 << std::setw(20) << t
155 << std::setw(20) << dv
156 << std::setw(20) << diff
157 << std::setw(20) << err
158 << "\n";
159 t *= p1;
160 }
161 std::cout << "\n";
162 // Check v''(x)
163 x = oem3*(Real)rand()/(Real)RAND_MAX - fem4;
164 vx = regret(x,1);
165 dv = regret(x,2);
166 t = one;
167 diff = zero;
168 err = zero;
169 std::cout << std::right << std::setw(20) << "CHECK REGRET: v''(x) is correct? \n";
170 std::cout << std::right << std::setw(20) << "t"
171 << std::setw(20) << "v''(x)"
172 << std::setw(20) << "(v'(x+t)-v'(x))/t"
173 << std::setw(20) << "Error"
174 << "\n";
175 for (int i = 0; i < 13; i++) {
176 y = x + t;
177 vy = regret(y,1);
178 diff = (vy-vx)/t;
179 err = std::abs(diff-dv);
180 std::cout << std::scientific << std::setprecision(11) << std::right
181 << std::setw(20) << t
182 << std::setw(20) << dv
183 << std::setw(20) << diff
184 << std::setw(20) << err
185 << "\n";
186 t *= p1;
187 }
188 std::cout << "\n";
189 }
190};
191
192}
193
194#endif
zero
Objective_SerialSimOpt(const Ptr< Obj > &obj, const V &ui) z0_ zero()
Definition ROL_Objective_SerialSimOpt.hpp:77
ROL_Types.hpp
Contains definitions of custom data types in ROL.
ROL::ExpectationQuad
Provides a general interface for risk and error measures generated through the expectation risk quadr...
Definition ROL_ExpectationQuad.hpp:53
ROL::ExpectationQuad::check
virtual void check(void)
Run default derivative tests for the scalar regret function.
Definition ROL_ExpectationQuad.hpp:82
ROL::ExpectationQuad::error
virtual Real error(Real x, int deriv=0)
Evaluate the scalar error function at x.
Definition ROL_ExpectationQuad.hpp:74
ROL::ExpectationQuad::regret
virtual Real regret(Real x, int deriv=0)=0
Evaluate the scalar regret function at x.
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