ROL
ROL_SmoothedWorstCaseQuadrangle.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_SMOOTHEDWORSTCASEQUAD_HPP
11#define ROL_SMOOTHEDWORSTCASEQUAD_HPP
12
13#include "ROL_ExpectationQuad.hpp"
14
52namespace ROL {
53
54template<class Real>
55class SmoothedWorstCaseQuadrangle : public ExpectationQuad<Real> {
56private:
57
58 Real eps_;
59
60 void parseParameterList(ROL::ParameterList &parlist) {
61 std::string type = parlist.sublist("SOL").get("Type","Risk Averse");
62 ROL::ParameterList list;
63 if (type == "Risk Averse") {
64 list = parlist.sublist("SOL").sublist("Risk Measure").sublist("Smoothed Worst Case");
65 }
66 else if (type == "Error") {
67 list = parlist.sublist("SOL").sublist("Error Measure").sublist("Smoothed Worst Case");
68 }
69 else if (type == "Deviation") {
70 list = parlist.sublist("SOL").sublist("Deviation Measure").sublist("Smoothed Upper Range");
71 }
72 else if (type == "Regret") {
73 list = parlist.sublist("SOL").sublist("Regret Measure").sublist("Smoothed Worst Case");
74 }
75 eps_ = list.get<Real>("Smoothing Parameter");
76 }
77
78 void checkInputs(void) const {
79 Real zero(0);
80 ROL_TEST_FOR_EXCEPTION((eps_ <= zero), std::invalid_argument,
81 ">>> ERROR (ROL::SmoothedWorstCaseQuadrangle): Smoothing parameter must be positive!");
82 }
83
84public:
89 SmoothedWorstCaseQuadrangle(const Real eps)
90 : ExpectationQuad<Real>(), eps_(eps) {
91 checkInputs();
92 }
93
102 SmoothedWorstCaseQuadrangle(ROL::ParameterList &parlist) : ExpectationQuad<Real>() {
103 parseParameterList(parlist);
104 checkInputs();
105 }
106
107 Real error(Real x, int deriv = 0) {
108 Real err(0), zero(0), half(0.5), one(1);
109 if (deriv == 0) {
110 err = (x <= -eps_) ? -(x+half*eps_) : half*x*x/eps_;
111 }
112 else if (deriv == 1) {
113 err = (x <= -eps_) ? -one : x/eps_;
114 }
115 else {
116 err = (x <= -eps_) ? zero : one/eps_;
117 }
118 return err;
119 }
120
121 Real regret(Real x, int deriv = 0) {
122 Real zero(0), one(1);
123 Real X = ((deriv==0) ? x : ((deriv==1) ? one : zero));
124 Real reg = error(x,deriv) + X;
125 return reg;
126 }
127
128 void check(void) {
129 ExpectationQuad<Real>::check();
130 // Check v'(-eps)
131 Real x = -eps_, zero(0), one(1), two(2), p1(0.1);
132 Real vx = zero, vy = zero;
133 Real dv = regret(x,1);
134 Real t = one;
135 Real diff = zero;
136 Real err = zero;
137 std::cout << std::right << std::setw(20) << "CHECK REGRET: v'(-eps) is correct? \n";
138 std::cout << std::right << std::setw(20) << "t"
139 << std::setw(20) << "v'(x)"
140 << std::setw(20) << "(v(x+t)-v(x-t))/2t"
141 << std::setw(20) << "Error"
142 << "\n";
143 for (int i = 0; i < 13; i++) {
144 vy = regret(x+t,0);
145 vx = regret(x-t,0);
146 diff = (vy-vx)/(two*t);
147 err = std::abs(diff-dv);
148 std::cout << std::scientific << std::setprecision(11) << std::right
149 << std::setw(20) << t
150 << std::setw(20) << dv
151 << std::setw(20) << diff
152 << std::setw(20) << err
153 << "\n";
154 t *= p1;
155 }
156 std::cout << "\n";
157 // check v''(-eps)
158 vx = zero;
159 vy = zero;
160 dv = regret(x,2);
161 t = one;
162 diff = zero;
163 err = zero;
164 std::cout << std::right << std::setw(20) << "CHECK REGRET: v''(-eps) is correct? \n";
165 std::cout << std::right << std::setw(20) << "t"
166 << std::setw(20) << "v''(x)"
167 << std::setw(20) << "(v'(x+t)-v'(x-t))/2t"
168 << std::setw(20) << "Error"
169 << "\n";
170 for (int i = 0; i < 13; i++) {
171 vy = regret(x+t,1);
172 vx = regret(x-t,1);
173 diff = (vy-vx)/(two*t);
174 err = std::abs(diff-dv);
175 std::cout << std::scientific << std::setprecision(11) << std::right
176 << std::setw(20) << t
177 << std::setw(20) << dv
178 << std::setw(20) << diff
179 << std::setw(20) << err
180 << "\n";
181 t *= p1;
182 }
183 std::cout << "\n";
184 // Check v'(0)
185 x = zero;
186 vx = zero;
187 vy = zero;
188 dv = regret(x,1);
189 t = one;
190 diff = zero;
191 err = zero;
192 std::cout << std::right << std::setw(20) << "CHECK REGRET: v'(0) is correct? \n";
193 std::cout << std::right << std::setw(20) << "t"
194 << std::setw(20) << "v'(x)"
195 << std::setw(20) << "(v(x+t)-v(x-t))/2t"
196 << std::setw(20) << "Error"
197 << "\n";
198 for (int i = 0; i < 13; i++) {
199 vy = regret(x+t,0);
200 vx = regret(x-t,0);
201 diff = (vy-vx)/(two*t);
202 err = std::abs(diff-dv);
203 std::cout << std::scientific << std::setprecision(11) << std::right
204 << std::setw(20) << t
205 << std::setw(20) << dv
206 << std::setw(20) << diff
207 << std::setw(20) << err
208 << "\n";
209 t *= p1;
210 }
211 std::cout << "\n";
212 // check v''(0)
213 vx = zero;
214 vy = zero;
215 dv = regret(x,2);
216 t = one;
217 diff = zero;
218 err = zero;
219 std::cout << std::right << std::setw(20) << "CHECK REGRET: v''(0) is correct? \n";
220 std::cout << std::right << std::setw(20) << "t"
221 << std::setw(20) << "v''(x)"
222 << std::setw(20) << "(v'(x+t)-v'(x-t))/2t"
223 << std::setw(20) << "Error"
224 << "\n";
225 for (int i = 0; i < 13; i++) {
226 vy = regret(x+t,1);
227 vx = regret(x-t,1);
228 diff = (vy-vx)/(two*t);
229 err = std::abs(diff-dv);
230 std::cout << std::scientific << std::setprecision(11) << std::right
231 << std::setw(20) << t
232 << std::setw(20) << dv
233 << std::setw(20) << diff
234 << std::setw(20) << err
235 << "\n";
236 t *= p1;
237 }
238 std::cout << "\n";
239 // Check v'(-1-eps)
240 x = -eps_-one;
241 vx = zero;
242 vy = zero;
243 dv = regret(x,1);
244 t = one;
245 diff = zero;
246 err = zero;
247 std::cout << std::right << std::setw(20) << "CHECK REGRET: v'(-1-eps) is correct? \n";
248 std::cout << std::right << std::setw(20) << "t"
249 << std::setw(20) << "v'(x)"
250 << std::setw(20) << "(v(x+t)-v(x-t))/2t"
251 << std::setw(20) << "Error"
252 << "\n";
253 for (int i = 0; i < 13; i++) {
254 vy = regret(x+t,0);
255 vx = regret(x-t,0);
256 diff = (vy-vx)/(two*t);
257 err = std::abs(diff-dv);
258 std::cout << std::scientific << std::setprecision(11) << std::right
259 << std::setw(20) << t
260 << std::setw(20) << dv
261 << std::setw(20) << diff
262 << std::setw(20) << err
263 << "\n";
264 t *= p1;
265 }
266 std::cout << "\n";
267 // check v''(-1-eps)
268 vx = zero;
269 vy = zero;
270 dv = regret(x,2);
271 t = one;
272 diff = zero;
273 err = zero;
274 std::cout << std::right << std::setw(20) << "CHECK REGRET: v''(-1-eps) is correct? \n";
275 std::cout << std::right << std::setw(20) << "t"
276 << std::setw(20) << "v''(x)"
277 << std::setw(20) << "(v'(x+t)-v'(x-t))/2t"
278 << std::setw(20) << "Error"
279 << "\n";
280 for (int i = 0; i < 13; i++) {
281 vy = regret(x+t,1);
282 vx = regret(x-t,1);
283 diff = (vy-vx)/(two*t);
284 err = std::abs(diff-dv);
285 std::cout << std::scientific << std::setprecision(11) << std::right
286 << std::setw(20) << t
287 << std::setw(20) << dv
288 << std::setw(20) << diff
289 << std::setw(20) << err
290 << "\n";
291 t *= p1;
292 }
293 std::cout << "\n";
294 }
295
296};
297
298}
299#endif
ROL_ExpectationQuad.hpp
zero
Objective_SerialSimOpt(const Ptr< Obj > &obj, const V &ui) z0_ zero()
Definition ROL_Objective_SerialSimOpt.hpp:77
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::SmoothedWorstCaseQuadrangle
Provides an interface for a smoothed version of the worst-case scenario risk measure using the expect...
Definition ROL_SmoothedWorstCaseQuadrangle.hpp:55
ROL::SmoothedWorstCaseQuadrangle::SmoothedWorstCaseQuadrangle
SmoothedWorstCaseQuadrangle(const Real eps)
Constructor.
Definition ROL_SmoothedWorstCaseQuadrangle.hpp:89
ROL::SmoothedWorstCaseQuadrangle::check
void check(void)
Run default derivative tests for the scalar regret function.
Definition ROL_SmoothedWorstCaseQuadrangle.hpp:128
ROL::SmoothedWorstCaseQuadrangle::parseParameterList
void parseParameterList(ROL::ParameterList &parlist)
Definition ROL_SmoothedWorstCaseQuadrangle.hpp:60
ROL::SmoothedWorstCaseQuadrangle::error
Real error(Real x, int deriv=0)
Evaluate the scalar error function at x.
Definition ROL_SmoothedWorstCaseQuadrangle.hpp:107
ROL::SmoothedWorstCaseQuadrangle::regret
Real regret(Real x, int deriv=0)
Evaluate the scalar regret function at x.
Definition ROL_SmoothedWorstCaseQuadrangle.hpp:121
ROL::SmoothedWorstCaseQuadrangle::SmoothedWorstCaseQuadrangle
SmoothedWorstCaseQuadrangle(ROL::ParameterList &parlist)
Constructor.
Definition ROL_SmoothedWorstCaseQuadrangle.hpp:102
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