ROL
ROL_PH_DeviationObjective.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 PH_DEVIATIONOBJECTIVE_H
11#define PH_DEVIATIONOBJECTIVE_H
12
13#include "ROL_Objective.hpp"
15
22namespace ROL {
23
24template <class Real>
25class PH_DeviationObjective : public Objective<Real> {
26private:
27 const Ptr<Objective<Real>> obj_;
28 Ptr<ExpectationQuad<Real>> quad_;
29
31 Real val_;
32
35 Ptr<Vector<Real>> g_;
36
37 void getValue(const Vector<Real> &x, Real &tol) {
38 if (!isValueComputed_) {
39 val_ = obj_->value(x,tol);
40 isValueComputed_ = true;
41 }
42 }
43
44 void getGradient(const Vector<Real> &x, Real &tol) {
46 g_ = x.dual().clone();
48 }
50 obj_->gradient(*g_,x,tol);
52 }
53 }
54
55 Ptr<const Vector<Real>> getConstVector(const Vector<Real> &x) const {
56 const RiskVector<Real> &xrv = dynamic_cast<const RiskVector<Real>&>(x);
57 return xrv.getVector();
58 }
59
60 Ptr<Vector<Real>> getVector(Vector<Real> &x) const {
61 RiskVector<Real> &xrv = dynamic_cast<RiskVector<Real>&>(x);
62 return xrv.getVector();
63 }
64
65 Ptr<const std::vector<Real>> getConstStat(const Vector<Real> &x) const {
66 const RiskVector<Real> &xrv = dynamic_cast<const RiskVector<Real>&>(x);
67 Ptr<const std::vector<Real>> xstat = xrv.getStatistic();
68 if (xstat == nullPtr) {
69 xstat = makePtr<const std::vector<Real>>(0);
70 }
71 return xstat;
72 }
73
74 Ptr<std::vector<Real>> getStat(Vector<Real> &x) const {
75 RiskVector<Real> &xrv = dynamic_cast<RiskVector<Real>&>(x);
76 Ptr<std::vector<Real>> xstat = xrv.getStatistic();
77 if (xstat == nullPtr) {
78 xstat = makePtr<std::vector<Real>>(0);
79 }
80 return xstat;
81 }
82
83public:
84
86 ParameterList &parlist)
87 : obj_(obj),
88 isValueComputed_(false),
90 isGradientComputed_(false) {
91 std::string risk = parlist.sublist("SOL").sublist("Deviation Measure").get("Name","Variance");
93 switch(ed) {
95 quad_ = makePtr<MeanVarianceQuadrangle<Real>>(parlist); break;
97 quad_ = makePtr<TruncatedMeanQuadrangle<Real>>(parlist); break;
99 quad_ = makePtr<QuantileQuadrangle<Real>>(parlist); break;
101 quad_ = makePtr<MoreauYosidaCVaR<Real>>(parlist); break;
103 quad_ = makePtr<GenMoreauYosidaCVaR<Real>>(parlist); break;
105 quad_ = makePtr<LogExponentialQuadrangle<Real>>(parlist); break;
107 quad_ = makePtr<LogQuantileQuadrangle<Real>>(parlist); break;
109 quad_ = makePtr<SmoothedWorstCaseQuadrangle<Real>>(parlist); break;
110 default:
111 ROL_TEST_FOR_EXCEPTION(true,std::invalid_argument,
112 "Invalid deviation measure type " << risk << "!");
113 }
114 }
115
116 void update( const Vector<Real> &x, bool flag = true, int iter = -1 ) {
117 Ptr<const Vector<Real>> xvec = getConstVector(x);
118 obj_->update(*xvec,flag,iter);
119 isValueComputed_ = false;
120 isGradientComputed_ = false;
121 }
122
123 Real value( const Vector<Real> &x, Real &tol ) {
124 Ptr<const Vector<Real>> xvec = getConstVector(x);
125 Ptr<const std::vector<Real>> xstat = getConstStat(x);
126 getValue(*xvec,tol);
127 Real err = quad_->error(val_-(*xstat)[0],0);
128 return err;
129 }
130
131 void gradient( Vector<Real> &g, const Vector<Real> &x, Real &tol ) {
132 Ptr<Vector<Real>> gvec = getVector(g);
133 Ptr<std::vector<Real>> gstat = getStat(g);
134 Ptr<const Vector<Real>> xvec = getConstVector(x);
135 Ptr<const std::vector<Real>> xstat = getConstStat(x);
136 getValue(*xvec,tol);
137 Real err = quad_->error(val_-(*xstat)[0],1);
138 getGradient(*xvec,tol);
139 gvec->set(*g_); gvec->scale(err);
140 (*gstat)[0] = -err;
141 }
142
143 void hessVec( Vector<Real> &hv, const Vector<Real> &v, const Vector<Real> &x, Real &tol ) {
144 Ptr<Vector<Real>> hvec = getVector(hv);
145 Ptr<std::vector<Real>> hstat = getStat(hv);
146 Ptr<const Vector<Real>> vvec = getConstVector(v);
147 Ptr<const std::vector<Real>> vstat = getConstStat(v);
148 Ptr<const Vector<Real>> xvec = getConstVector(x);
149 Ptr<const std::vector<Real>> xstat = getConstStat(x);
150 getValue(*xvec,tol);
151 Real err1 = quad_->error(val_-(*xstat)[0],1);
152 Real err2 = quad_->error(val_-(*xstat)[0],2);
153 getGradient(*xvec,tol);
154 //Real gv = vvec->dot(g_->dual());
155 Real gv = vvec->apply(*g_);
156 obj_->hessVec(*hvec,*vvec,*xvec,tol);
157 hvec->scale(err1); hvec->axpy(err2*(gv-(*vstat)[0]),*g_);
158 (*hstat)[0] = err2*((*vstat)[0]-gv);
159 }
160
161 void setParameter(const std::vector<Real> &param) {
162 obj_->setParameter(param);
164 }
165
166};
167
168}
169#endif
Provides the interface to evaluate objective functions.
virtual void setParameter(const std::vector< Real > &param)
Provides the interface for the progressive hedging deviation objective.
void getGradient(const Vector< Real > &x, Real &tol)
Ptr< ExpectationQuad< Real > > quad_
void setParameter(const std::vector< Real > &param)
Ptr< const Vector< Real > > getConstVector(const Vector< Real > &x) const
void hessVec(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Apply Hessian approximation to vector.
Real value(const Vector< Real > &x, Real &tol)
Compute value.
Ptr< Vector< Real > > getVector(Vector< Real > &x) const
void getValue(const Vector< Real > &x, Real &tol)
const Ptr< Objective< Real > > obj_
Ptr< const std::vector< Real > > getConstStat(const Vector< Real > &x) const
void update(const Vector< Real > &x, bool flag=true, int iter=-1)
Update objective function.
void gradient(Vector< Real > &g, const Vector< Real > &x, Real &tol)
Compute gradient.
Ptr< std::vector< Real > > getStat(Vector< Real > &x) const
PH_DeviationObjective(const Ptr< Objective< Real > > &obj, ParameterList &parlist)
Ptr< std::vector< Real > > getStatistic(const int comp=0, const int index=0)
Ptr< const Vector< Real > > getVector(void) const
Defines the linear algebra or vector space interface.
virtual const Vector & dual() const
Return dual representation of , for example, the result of applying a Riesz map, or change of basis,...
virtual ROL::Ptr< Vector > clone() const =0
Clone to make a new (uninitialized) vector.
@ DEVIATIONMEASURE_TRUNCATEDMEANQUADRANGLE
@ DEVIATIONMEASURE_LOGEXPONENTIALQUADRANGLE
@ DEVIATIONMEASURE_MEANVARIANCEQUADRANGLE
@ DEVIATIONMEASURE_SMOOTHEDWORSTCASEQUADRANGLE
EDeviationMeasure StringToEDeviationMeasure(std::string s)