ROL
ROL_RiskMeasureInfo.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_RISKMEASUREINFO_HPP
11#define ROL_RISKMEASUREINFO_HPP
12
13#include "ROL_ParameterList.hpp"
14#include "ROL_Types.hpp"
15
16namespace ROL {
17
18template<class Real>
19inline void RiskMeasureInfo(ROL::ParameterList &parlist, std::string &name,
20 int &nStatistic, std::vector<Real> &lower,
21 std::vector<Real> &upper, bool &isBoundActivated,
22 const bool printToStream = false,
23 std::ostream &outStream = std::cout) {
24 name = parlist.sublist("SOL").sublist("Risk Measure").get<std::string>("Name");
25 Real zero(0);
26 lower.clear(); upper.clear();
27 nStatistic = 0; isBoundActivated = false;
28 if ( name == "CVaR" ||
29 name == "HMCR" ||
30 name == "Moreau-Yosida CVaR" ||
31 name == "Generalized Moreau-Yosida CVaR" ||
32 name == "Log Quantile" ||
33 name == "Smoothed Worst Case" ||
34 name == "Safety Margin" ||
35 name == "Log Exponential" ||
36 name == "Truncated Mean" ) {
37 nStatistic = 1;
38 lower.resize(nStatistic,ROL_NINF<Real>());
39 upper.resize(nStatistic,ROL_INF<Real>());
40 }
41 else if ( name == "Quantile Radius" ) {
42 nStatistic = 2;
43 lower.resize(nStatistic,ROL_NINF<Real>());
44 upper.resize(nStatistic,ROL_INF<Real>());
45 }
46 else if ( name == "Coherent Entropic Risk" ||
47 name == "KL Divergence" ) {
48 nStatistic = 1;
49 isBoundActivated = true;
50 lower.resize(nStatistic,zero);
51 upper.resize(nStatistic,ROL_INF<Real>());
52 }
53 else if ( name == "Chi-Squared Divergence" ) {
54 nStatistic = 2;
55 isBoundActivated = true;
56 lower.resize(nStatistic,ROL_NINF<Real>()); lower[0] = zero;
57 upper.resize(nStatistic,ROL_INF<Real>());
58 }
59 else if ( name == "Mixed CVaR" ) {
60 ROL::ParameterList &list
61 = parlist.sublist("SOL").sublist("Risk Measure").sublist("Mixed CVaR");
62 std::vector<Real> prob
63 = ROL::getArrayFromStringParameter<Real>(list,"Probability Array");
64 nStatistic = prob.size();
65 lower.resize(nStatistic,ROL_NINF<Real>());
66 upper.resize(nStatistic,ROL_INF<Real>());
67 }
68 else if ( name == "Second Order CVaR" ||
69 name == "Chebyshev Spectral Risk" ||
70 name == "Spectral Risk" ) {
71 ROL::ParameterList &list
72 = parlist.sublist("SOL").sublist("Risk Measure").sublist(name);
73 nStatistic = list.get("Number of Quadrature Points",5);
74 lower.resize(nStatistic,ROL_NINF<Real>());
75 upper.resize(nStatistic,ROL_INF<Real>());
76 }
77 else if ( name == "Entropic Risk" ||
78 name == "Mean Plus Semi-Deviation From Target" ||
79 name == "Mean Plus Semi-Deviation" ||
80 name == "Mean Plus Deviation From Target" ||
81 name == "Mean Plus Deviation" ||
82 name == "Mean Plus Variance From Target" ||
83 name == "Mean Plus Variance" ) {
84 nStatistic = 0;
85 }
86 else if ( name == "Convex Combination Risk Measure" ) {
87 ROL::ParameterList &list
88 = parlist.sublist("SOL").sublist("Risk Measure").sublist("Convex Combination Risk Measure");
89 // Get convex combination parameters
90 std::vector<Real> lambda
91 = ROL::getArrayFromStringParameter<Real>(list,"Convex Combination Parameters");
92 // Build risk measures
93 std::vector<std::string> riskString;
94 for (typename std::vector<Real>::size_type i = 0; i < lambda.size(); ++i) {
95 std::ostringstream convert;
96 convert << i;
97 std::string si = convert.str();
98 ROL::ParameterList &ilist = list.sublist(si);
99 std::string namei = ilist.get<std::string>("Name");
100 riskString.push_back(namei);
101 }
102 for (typename std::vector<Real>::size_type i = 0; i < riskString.size(); ++i) {
103 if ( riskString[i] == "CVaR" ||
104 riskString[i] == "HMCR" ||
105 riskString[i] == "Moreau-Yosida CVaR" ||
106 riskString[i] == "Generalized Moreau-Yosida CVaR" ||
107 riskString[i] == "Log Quantile" ||
108 riskString[i] == "Smoothed Worst Case" ||
109 riskString[i] == "Safety Margin" ||
110 riskString[i] == "Log Exponential" ||
111 riskString[i] == "Truncated Mean" ) {
112 nStatistic += 1;
113 lower.push_back(ROL_NINF<Real>());
114 upper.push_back(ROL_INF<Real>());
115 }
116 else if ( riskString[i] == "Quantile Radius" ) {
117 nStatistic += 2;
118 lower.push_back(ROL_NINF<Real>()); lower.push_back(ROL_NINF<Real>());
119 upper.push_back(ROL_INF<Real>()); upper.push_back(ROL_INF<Real>());
120 }
121 else if ( riskString[i] == "Coherent Entropic Risk" ||
122 riskString[i] == "KL Divergence" ) {
123 nStatistic += 1;
124 isBoundActivated = true;
125 lower.push_back(zero);
126 upper.push_back(ROL_INF<Real>());
127 }
128 else if ( riskString[i] == "Chi-Squared Divergence" ) {
129 nStatistic += 2;
130 isBoundActivated = true;
131 lower.push_back(zero); lower.push_back(ROL_NINF<Real>());
132 upper.push_back(ROL_INF<Real>()); upper.push_back(ROL_INF<Real>());
133 }
134 else if ( riskString[i] == "Mixed CVaR" ) {
135 ROL::ParameterList &MQlist = list.sublist("Mixed CVaR");
136 std::vector<Real> prob
137 = ROL::getArrayFromStringParameter<Real>(MQlist,"Probability Array");
138 nStatistic += prob.size();
139 for (typename std::vector<Real>::size_type j = 0; j < prob.size(); ++j) {
140 lower.push_back(ROL_NINF<Real>());
141 upper.push_back(ROL_INF<Real>());
142 }
143 }
144 else if ( riskString[i] == "Second Order CVaR" ||
145 riskString[i] == "Chebyshev Spectral Risk" ||
146 riskString[i] == "Spectral Risk" ) {
147 ROL::ParameterList &SQlist = list.sublist(riskString[i]);
148 int nSQQstat = SQlist.get("Number of Quadrature Points",5);
149 nStatistic += nSQQstat;
150 for (int j = 0; j < nSQQstat; ++j) {
151 lower.push_back(ROL_NINF<Real>());
152 upper.push_back(ROL_INF<Real>());
153 }
154 }
155 else if ( riskString[i] == "Entropic Risk" ||
156 riskString[i] == "Mean Plus Semi-Deviation From Target" ||
157 riskString[i] == "Mean Plus Semi-Deviation" ||
158 riskString[i] == "Mean Plus Deviation From Target" ||
159 riskString[i] == "Mean Plus Deviation" ||
160 riskString[i] == "Mean Plus Variance From Target" ||
161 riskString[i] == "Mean Plus Variance" ) {
162 nStatistic += 0;
163 }
164 else {
165 ROL_TEST_FOR_EXCEPTION(true,std::invalid_argument,
166 ">>> (ROL::RiskMeasureInfo): Invalid risk measure " << riskString[i] << "!");
167 }
168 }
169 }
170 else {
171 ROL_TEST_FOR_EXCEPTION(true,std::invalid_argument,
172 ">>> (ROL::RiskMeasureInfo): Invalid risk measure " << name << "!");
173 }
174
175 // Print Information
176 if ( printToStream ) {
177 ROL::nullstream oldFormatState;
178 oldFormatState.copyfmt(outStream);
179
180 outStream << std::endl;
181 outStream << std::scientific << std::setprecision(6);
182 outStream << std::setfill('-') << std::setw(80) << "-" << std::endl;
183 outStream << " RISK MEASURE INFORMATION" << std::endl;
184 outStream << std::setfill('-') << std::setw(80) << "-" << std::endl;
185 outStream << " NAME" << std::endl;
186 outStream << " " << name << std::endl;
187 outStream << " NUMBER OF STATISTICS" << std::endl;
188 outStream << " " << nStatistic << std::endl;
189 outStream << " ARE BOUNDS ACTIVATED" << std::endl;
190 outStream << " " << (isBoundActivated ? "TRUE" : "FALSE") << std::endl;
191 if ( isBoundActivated ) {
192 outStream << " STATISTIC LOWER BOUNDS" << std::endl;
193 for (int i = 0; i < nStatistic-1; ++i) {
194 outStream << " " << lower[i] << std::endl;
195 }
196 outStream << " " << lower[nStatistic-1] << std::endl;
197 outStream << " STATISTIC UPPER BOUNDS" << std::endl;
198 for (int i = 0; i < nStatistic-1; ++i) {
199 outStream << " " << upper[i] << std::endl;
200 }
201 outStream << " " << upper[nStatistic-1] << std::endl;
202 }
203 outStream << std::setfill('-') << std::setw(80) << "-" << std::endl;
204 outStream << std::endl;
205
206 outStream.copyfmt(oldFormatState);
207 }
208}
209
210}
211#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::RiskMeasureInfo
void RiskMeasureInfo(ROL::ParameterList &parlist, std::string &name, int &nStatistic, std::vector< Real > &lower, std::vector< Real > &upper, bool &isBoundActivated, const bool printToStream=false, std::ostream &outStream=std::cout)
Definition ROL_RiskMeasureInfo.hpp:19
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