Provides a general interface for regret measures generated through the expectation risk quadrangle. More...

#include <ROL_ExpectationQuadRegret.hpp>

Inheritance diagram for ROL::ExpectationQuadRegret< Real >:

Public Member Functions
	ExpectationQuadRegret (const Ptr< ExpectationQuad< Real > > &eq)
void	checkRegret (void)
	Run derivative tests for the scalar regret function.
void	updateValue (Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
void	updateGradient (Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
void	updateHessVec (Objective< Real > &obj, const Vector< Real > &v, const std::vector< Real > &vstat, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
Real	getValue (const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
void	getGradient (Vector< Real > &g, std::vector< Real > &gstat, const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
void	getHessVec (Vector< Real > &hv, std::vector< Real > &hvstat, const Vector< Real > &v, const std::vector< Real > &vstat, const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)

Private Attributes
Ptr< ExpectationQuad< Real > >	eq_

Detailed Description

template<class Real>
class ROL::ExpectationQuadRegret< Real >

Provides a general interface for regret measures generated through the expectation risk quadrangle.

The expectation risk quadrangle is a specialization of the general risk quadrangle that provides a rigorous connection between risk-averse optimization and statistical estimation. The risk quadrangle provides fundamental relationships between measures of risk, regret, error and deviation. An expectation risk quadrangle is defined through scalar regret and error functions. The scalar regret function, \(v:\mathbb{R}\to(-\infty,\infty]\), must be proper, closed, convex and satisfy \(v(0)=0\) and \(v(x) > x\) for all \(x\neq 0\). Similarly, the scalar error function, \(e:\mathbb{R}\to[0,\infty]\), must be proper, closed, convex and satisfy \(e(0)=0\) and \(e(x) > 0\) for all \(x\neq 0\). \(v\) and \(e\) are obtained from one another through the relations

\[ v(x) = e(x) + x \quad\text{and}\quad e(x) = v(x) - x. \]

Given \(v\) (or equivalently \(e\)), the associated risk measure is

\[ \mathcal{R}(X) = \inf_{t\in\mathbb{R}} \left\{ t + \mathbb{E}\left[v(X-t)\right] \right\}. \]

In general, \(\mathcal{R}\) is convex and translation equivariant. Moreover, \(\mathcal{R}\) is monotonic if \(v\) is increasing and \(\mathcal{R}\) is positive homogeneous if \(v\) is. ROL implements this by augmenting the optimization vector \(x_0\) with the parameter \(t\), then minimizes jointly for \((x_0,t)\).

Definition at line 89 of file ROL_ExpectationQuadRegret.hpp.

Constructor & Destructor Documentation

◆ ExpectationQuadRegret()

template<class Real>

ROL::ExpectationQuadRegret< Real >::ExpectationQuadRegret ( const Ptr< ExpectationQuad< Real > > & eq )

inline

Definition at line 108 of file ROL_ExpectationQuadRegret.hpp.

References eq_.

Member Function Documentation

◆ checkRegret()

template<class Real>

void ROL::ExpectationQuadRegret< Real >::checkRegret ( void )

inline

Run derivative tests for the scalar regret function.

Definition at line 113 of file ROL_ExpectationQuadRegret.hpp.

References eq_.

◆ updateValue()

template<class Real>

void ROL::ExpectationQuadRegret< Real >::updateValue	(	Objective< Real > &	obj,
		const Vector< Real > &	x,
		const std::vector< Real > &	xstat,
		Real &	tol )

inline

Definition at line 117 of file ROL_ExpectationQuadRegret.hpp.

References eq_.

◆ updateGradient()

template<class Real>

void ROL::ExpectationQuadRegret< Real >::updateGradient	(	Objective< Real > &	obj,
		const Vector< Real > &	x,
		const std::vector< Real > &	xstat,
		Real &	tol )

inline

Definition at line 125 of file ROL_ExpectationQuadRegret.hpp.

References eq_, and ROL::ROL_EPSILON().

◆ updateHessVec()

template<class Real>

void ROL::ExpectationQuadRegret< Real >::updateHessVec	(	Objective< Real > &	obj,
		const Vector< Real > &	v,
		const std::vector< Real > &	vstat,
		const Vector< Real > &	x,
		const std::vector< Real > &	xstat,
		Real &	tol )

inline

Definition at line 137 of file ROL_ExpectationQuadRegret.hpp.

References eq_, and ROL::ROL_EPSILON().

◆ getValue()

template<class Real>

Real ROL::ExpectationQuadRegret< Real >::getValue	(	const Vector< Real > &	x,
		const std::vector< Real > &	xstat,
		SampleGenerator< Real > &	sampler )

inline

Definition at line 156 of file ROL_ExpectationQuadRegret.hpp.

References ROL::SampleGenerator< Real >::sumAll().

◆ getGradient()

template<class Real>

void ROL::ExpectationQuadRegret< Real >::getGradient	(	Vector< Real > &	g,
		std::vector< Real > &	gstat,
		const Vector< Real > &	x,
		const std::vector< Real > &	xstat,
		SampleGenerator< Real > &	sampler )

inline

Definition at line 164 of file ROL_ExpectationQuadRegret.hpp.

References ROL::SampleGenerator< Real >::sumAll().

◆ getHessVec()

template<class Real>

void ROL::ExpectationQuadRegret< Real >::getHessVec	(	Vector< Real > &	hv,
		std::vector< Real > &	hvstat,
		const Vector< Real > &	v,
		const std::vector< Real > &	vstat,
		const Vector< Real > &	x,
		const std::vector< Real > &	xstat,
		SampleGenerator< Real > &	sampler )