ROL_MeanVarianceQuadrangle.hpp

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// @HEADER
// *****************************************************************************
//               Rapid Optimization Library (ROL) Package
//
// Copyright 2014 NTESS and the ROL contributors.
// SPDX-License-Identifier: BSD-3-Clause
// *****************************************************************************
// @HEADER
 
#ifndef ROL_MEANVARIANCEQUAD_HPP
#define ROL_MEANVARIANCEQUAD_HPP
 
#include "ROL_ExpectationQuad.hpp"
 
namespace ROL {
 
template<class Real>
class MeanVarianceQuadrangle : public ExpectationQuad<Real> {
private:
  Real coeff_;
 
  void parseParameterList(ROL::ParameterList &parlist) {
    std::string type = parlist.sublist("SOL").get("Type","Risk Averse");
    ROL::ParameterList list;
    if (type == "Risk Averse") {
      list = parlist.sublist("SOL").sublist("Risk Measure").sublist("Safety Margin");
    }
    else if (type == "Regret") {
      list = parlist.sublist("SOL").sublist("Regret Measure").sublist("Mean L2");
    }
    else if (type == "Error" || type == "Deviation") {
      coeff_ = static_cast<Real>(1);
      return;
    }
    coeff_ = list.get<Real>("Coefficient");
  }
 
  void checkInputs(void) const {
    Real zero(0);
    ROL_TEST_FOR_EXCEPTION((coeff_ <= zero), std::invalid_argument,
      ">>> ERROR (ROL::MeanVarianceQuadrangle): Coefficient must be positive!");
  }
 
public:
  MeanVarianceQuadrangle(const Real coeff = 1)
    : ExpectationQuad<Real>(), coeff_(coeff) {
    checkInputs();
  }
 
  MeanVarianceQuadrangle(ROL::ParameterList &parlist)
    : ExpectationQuad<Real>() {
    parseParameterList(parlist);
    checkInputs();
  }
 
  Real error(Real x, int deriv = 0) {
    Real err(0), two(2);
    if (deriv==0) {
      err = coeff_*x*x;
    }
    else if (deriv==1) {
      err = two*coeff_*x;
    }
    else {
      err = two*coeff_;
    }
    return err;
  }
 
  Real regret(Real x, int deriv = 0) {
    Real zero(0), one(1);
    Real X = ((deriv==0) ? x : ((deriv==1) ? one : zero));
    Real reg = error(x,deriv) + X;
    return reg;
  }
 
};
 
}
#endif