#include <ROL_PD_RandVarFunctional.hpp>

Inheritance diagram for ROL::PD_RandVarFunctional< Real >:

Public Member Functions
	PD_RandVarFunctional (void)

void	setData (SampleGenerator< Real > &sampler, const Real pen, const Real lam=0.0)

virtual Real	computeDual (SampleGenerator< Real > &sampler)

void	updateDual (SampleGenerator< Real > &sampler)

void	updatePenalty (const Real pen)

virtual void	setStorage (const Ptr< ScalarController< Real > > &value_storage, const Ptr< VectorController< Real > > &gradient_storage)

virtual void	setHessVecStorage (const Ptr< ScalarController< Real > > &gradvec_storage, const Ptr< VectorController< Real > > &hessvec_storage)

virtual void	initialize (const Vector< Real > &x)
	Initialize temporary variables.

Public Member Functions inherited from ROL::RandVarFunctional< Real >
virtual	~RandVarFunctional ()

	RandVarFunctional (void)

void	useStorage (bool storage)

void	useHessVecStorage (bool storage)

virtual void	resetStorage (bool flag=true)
	Reset internal storage.

virtual void	resetStorage (UpdateType type)

virtual void	setSample (const std::vector< Real > &point, const Real weight)

virtual Real	computeStatistic (const Ptr< const std::vector< Real > > &xstat) const
	Compute statistic.

virtual void	updateValue (Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
	Update internal storage for value computation.

virtual void	updateGradient (Objective< Real > &obj, const Vector< Real > &x, const std::vector< Real > &xstat, Real &tol)
	Update internal risk measure storage for gradient computation.

virtual 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)
	Update internal risk measure storage for Hessian-time-a-vector computation.

virtual Real	getValue (const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
	Return risk measure value.

virtual void	getGradient (Vector< Real > &g, std::vector< Real > &gstat, const Vector< Real > &x, const std::vector< Real > &xstat, SampleGenerator< Real > &sampler)
	Return risk measure (sub)gradient.

virtual 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)
	Return risk measure Hessian-times-a-vector.

Protected Member Functions
void	setValue (const Real val, const std::vector< Real > &pt)

void	getMultiplier (Real &lam, const std::vector< Real > &pt) const

void	setMultiplier (Real &lam, const std::vector< Real > &pt)

Real	getPenaltyParameter (void) const

Real	ppf (const Real x, const Real t, const Real r, const int deriv=0) const

Protected Member Functions inherited from ROL::RandVarFunctional< Real >
Real	computeValue (Objective< Real > &obj, const Vector< Real > &x, Real &tol)

void	computeGradient (Vector< Real > &g, Objective< Real > &obj, const Vector< Real > &x, Real &tol)

Real	computeGradVec (Vector< Real > &g, Objective< Real > &obj, const Vector< Real > &v, const Vector< Real > &x, Real &tol)

void	computeHessVec (Vector< Real > &hv, Objective< Real > &obj, const Vector< Real > &v, const Vector< Real > &x, Real &tol)

Private Types
typedef std::vector< Real >::size_type	uint

Private Attributes
Real	pen_

int	update_

bool	setData_

Ptr< ScalarController< Real > >	values_

Ptr< ScalarController< Real > >	multipliers_

Ptr< ScalarController< Real > >	multipliers_new_

Additional Inherited Members
Protected Attributes inherited from ROL::RandVarFunctional< Real >
Real	val_

Real	gv_

Ptr< Vector< Real > >	g_

Ptr< Vector< Real > >	hv_

Ptr< Vector< Real > >	dualVector_

bool	firstReset_

std::vector< Real >	point_

Real	weight_

Detailed Description

template<class Real>
class ROL::PD_RandVarFunctional< Real >

Definition at line 52 of file ROL_PD_RandVarFunctional.hpp.

Member Typedef Documentation

◆ uint

template<class Real>

typedef std::vector<Real>::size_type ROL::PD_RandVarFunctional< Real >::uint

private

Definition at line 53 of file ROL_PD_RandVarFunctional.hpp.

Constructor & Destructor Documentation

◆ PD_RandVarFunctional()

template<class Real>

ROL::PD_RandVarFunctional< Real >::PD_RandVarFunctional ( void )

inline

Definition at line 102 of file ROL_PD_RandVarFunctional.hpp.

References multipliers_, multipliers_new_, pen_, ROL::RandVarFunctional< Real >::RandVarFunctional(), setData_, update_, and values_.

Referenced by ROL::PD_BPOE< Real >::PD_BPOE(), ROL::PD_CVaR< Real >::PD_CVaR(), ROL::PD_HMCR2< Real >::PD_HMCR2(), ROL::PD_MeanSemiDeviation< Real >::PD_MeanSemiDeviation(), and ROL::PD_MeanSemiDeviationFromTarget< Real >::PD_MeanSemiDeviationFromTarget().

Member Function Documentation

◆ setValue()

template<class Real>

void ROL::PD_RandVarFunctional< Real >::setValue	(	const Real	val,
		const std::vector< Real > &	pt )

inlineprotected

Definition at line 65 of file ROL_PD_RandVarFunctional.hpp.

References values_.

Referenced by ROL::PD_MeanSemiDeviation< Real >::getValue(), ROL::PD_BPOE< Real >::updateValue(), ROL::PD_CVaR< Real >::updateValue(), ROL::PD_HMCR2< Real >::updateValue(), and ROL::PD_MeanSemiDeviationFromTarget< Real >::updateValue().

◆ getMultiplier()

template<class Real>

void ROL::PD_RandVarFunctional< Real >::getMultiplier	(	Real &	lam,
		const std::vector< Real > &	pt ) const

inlineprotected

Definition at line 70 of file ROL_PD_RandVarFunctional.hpp.

References multipliers_.

Referenced by ROL::PD_HMCR2< Real >::computeDual(), ROL::PD_MeanSemiDeviation< Real >::getGradient(), ROL::PD_MeanSemiDeviation< Real >::getHessVec(), ROL::PD_MeanSemiDeviation< Real >::getValue(), ROL::PD_BPOE< Real >::updateGradient(), ROL::PD_CVaR< Real >::updateGradient(), ROL::PD_HMCR2< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateGradient(), ROL::PD_BPOE< Real >::updateHessVec(), ROL::PD_CVaR< Real >::updateHessVec(), ROL::PD_HMCR2< Real >::updateHessVec(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateValue(), ROL::PD_CVaR< Real >::updateValue(), ROL::PD_HMCR2< Real >::updateValue(), and ROL::PD_MeanSemiDeviationFromTarget< Real >::updateValue().

◆ setMultiplier()

template<class Real>

void ROL::PD_RandVarFunctional< Real >::setMultiplier	(	Real &	lam,
		const std::vector< Real > &	pt )

inlineprotected

Definition at line 74 of file ROL_PD_RandVarFunctional.hpp.

References multipliers_new_.

Referenced by ROL::PD_HMCR2< Real >::computeDual().

◆ getPenaltyParameter()

template<class Real>

Real ROL::PD_RandVarFunctional< Real >::getPenaltyParameter ( void ) const

inlineprotected

Definition at line 79 of file ROL_PD_RandVarFunctional.hpp.

References pen_.

Referenced by ROL::PD_HMCR2< Real >::computeDual(), ROL::PD_HMCR2< Real >::getGradient(), ROL::PD_MeanSemiDeviation< Real >::getGradient(), ROL::PD_HMCR2< Real >::getHessVec(), ROL::PD_MeanSemiDeviation< Real >::getHessVec(), ROL::PD_HMCR2< Real >::getValue(), ROL::PD_MeanSemiDeviation< Real >::getValue(), ROL::PD_BPOE< Real >::updateGradient(), ROL::PD_CVaR< Real >::updateGradient(), ROL::PD_HMCR2< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateGradient(), ROL::PD_BPOE< Real >::updateHessVec(), ROL::PD_CVaR< Real >::updateHessVec(), ROL::PD_HMCR2< Real >::updateHessVec(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateValue(), ROL::PD_CVaR< Real >::updateValue(), ROL::PD_HMCR2< Real >::updateValue(), and ROL::PD_MeanSemiDeviationFromTarget< Real >::updateValue().

◆ ppf()

template<class Real>

Real ROL::PD_RandVarFunctional< Real >::ppf	(	const Real	x,
		const Real	t,
		const Real	r,
		const int	deriv = 0 ) const

inlineprotected

Definition at line 84 of file ROL_PD_RandVarFunctional.hpp.

References zero.

Referenced by ROL::PD_MeanSemiDeviation< Real >::getGradient(), ROL::PD_MeanSemiDeviation< Real >::getHessVec(), ROL::PD_MeanSemiDeviation< Real >::getValue(), ROL::PD_BPOE< Real >::updateGradient(), ROL::PD_CVaR< Real >::updateGradient(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateGradient(), ROL::PD_BPOE< Real >::updateHessVec(), ROL::PD_CVaR< Real >::updateHessVec(), ROL::PD_MeanSemiDeviationFromTarget< Real >::updateHessVec(), ROL::PD_BPOE< Real >::updateValue(), ROL::PD_CVaR< Real >::updateValue(), and ROL::PD_MeanSemiDeviationFromTarget< Real >::updateValue().

◆ setData()

template<class Real>

void ROL::PD_RandVarFunctional< Real >::setData	(	SampleGenerator< Real > &	sampler,
		const Real	pen,
		const Real	lam = 0.0 )

inline

Definition at line 109 of file ROL_PD_RandVarFunctional.hpp.

References ROL::SampleGenerator< Real >::getMyPoint(), multipliers_, ROL::SampleGenerator< Real >::numMySamples(), pen_, setData_, and ROL::SampleGenerator< Real >::start().

◆ computeDual()

template<class Real>

virtual Real ROL::PD_RandVarFunctional< Real >::computeDual ( SampleGenerator< Real > & sampler )

inlinevirtual

Reimplemented in ROL::PD_HMCR2< Real >.

Definition at line 119 of file ROL_PD_RandVarFunctional.hpp.

References ROL::SampleGenerator< Real >::getMyPoint(), ROL::SampleGenerator< Real >::getMyWeight(), multipliers_, multipliers_new_, ROL::SampleGenerator< Real >::numMySamples(), pen_, ROL::SampleGenerator< Real >::start(), ROL::SampleGenerator< Real >::sumAll(), update_, values_, and zero.

◆ updateDual()

template<class Real>

void ROL::PD_RandVarFunctional< Real >::updateDual ( SampleGenerator< Real > & sampler )

inline

Definition at line 140 of file ROL_PD_RandVarFunctional.hpp.

References ROL::SampleGenerator< Real >::getMyPoint(), multipliers_, multipliers_new_, ROL::SampleGenerator< Real >::numMySamples(), and ROL::SampleGenerator< Real >::start().

◆ updatePenalty()

template<class Real>

void ROL::PD_RandVarFunctional< Real >::updatePenalty ( const Real pen )

inline

Definition at line 148 of file ROL_PD_RandVarFunctional.hpp.

References pen_.

◆ setStorage()

template<class Real>

virtual void ROL::PD_RandVarFunctional< Real >::setStorage	(	const Ptr< ScalarController< Real > > &	value_storage,
		const Ptr< VectorController< Real > > &	gradient_storage )

inlinevirtual

Reimplemented from ROL::RandVarFunctional< Real >.

Reimplemented in ROL::PD_BPOE< Real >, ROL::PD_CVaR< Real >, ROL::PD_HMCR2< Real >, ROL::PD_MeanSemiDeviation< Real >, and ROL::PD_MeanSemiDeviationFromTarget< Real >.

Definition at line 152 of file ROL_PD_RandVarFunctional.hpp.

References ROL::RandVarFunctional< Real >::setStorage().

Referenced by ROL::PD_BPOE< Real >::setStorage(), ROL::PD_CVaR< Real >::setStorage(), ROL::PD_HMCR2< Real >::setStorage(), ROL::PD_MeanSemiDeviation< Real >::setStorage(), and ROL::PD_MeanSemiDeviationFromTarget< Real >::setStorage().

◆ setHessVecStorage()

template<class Real>

virtual void ROL::PD_RandVarFunctional< Real >::setHessVecStorage	(	const Ptr< ScalarController< Real > > &	gradvec_storage,
		const Ptr< VectorController< Real > > &	hessvec_storage )

inlinevirtual

Reimplemented from ROL::RandVarFunctional< Real >.

Reimplemented in ROL::PD_BPOE< Real >, ROL::PD_CVaR< Real >, ROL::PD_HMCR2< Real >, ROL::PD_MeanSemiDeviation< Real >, and ROL::PD_MeanSemiDeviationFromTarget< Real >.

Definition at line 157 of file ROL_PD_RandVarFunctional.hpp.

References ROL::RandVarFunctional< Real >::setHessVecStorage().

Referenced by ROL::PD_BPOE< Real >::setHessVecStorage(), ROL::PD_CVaR< Real >::setHessVecStorage(), ROL::PD_HMCR2< Real >::setHessVecStorage(), ROL::PD_MeanSemiDeviation< Real >::setHessVecStorage(), and ROL::PD_MeanSemiDeviationFromTarget< Real >::setHessVecStorage().

◆ initialize()

template<class Real>

virtual void ROL::PD_RandVarFunctional< Real >::initialize ( const Vector< Real > & x )

inlinevirtual

Initialize temporary variables.

  @param[in]   x  is a vector used for initializing storage

Reimplemented from ROL::RandVarFunctional< Real >.

Reimplemented in ROL::PD_BPOE< Real >, ROL::PD_CVaR< Real >, ROL::PD_HMCR2< Real >, ROL::PD_MeanSemiDeviation< Real >, and ROL::PD_MeanSemiDeviationFromTarget< Real >.

Definition at line 162 of file ROL_PD_RandVarFunctional.hpp.

References ROL::RandVarFunctional< Real >::initialize().

Referenced by ROL::PD_BPOE< Real >::initialize(), ROL::PD_CVaR< Real >::initialize(), ROL::PD_HMCR2< Real >::initialize(), ROL::PD_MeanSemiDeviation< Real >::initialize(), and ROL::PD_MeanSemiDeviationFromTarget< Real >::initialize().

Member Data Documentation

◆ pen_

template<class Real>

Real ROL::PD_RandVarFunctional< Real >::pen_

private

Definition at line 55 of file ROL_PD_RandVarFunctional.hpp.

Referenced by computeDual(), getPenaltyParameter(), PD_RandVarFunctional(), setData(), and updatePenalty().

◆ update_

template<class Real>

int ROL::PD_RandVarFunctional< Real >::update_

private

Definition at line 56 of file ROL_PD_RandVarFunctional.hpp.

Referenced by computeDual(), and PD_RandVarFunctional().

◆ setData_

template<class Real>

bool ROL::PD_RandVarFunctional< Real >::setData_

private

Definition at line 57 of file ROL_PD_RandVarFunctional.hpp.

Referenced by PD_RandVarFunctional(), and setData().

◆ values_

template<class Real>

Ptr<ScalarController<Real> > ROL::PD_RandVarFunctional< Real >::values_

private

Definition at line 59 of file ROL_PD_RandVarFunctional.hpp.

Referenced by computeDual(), PD_RandVarFunctional(), and setValue().

◆ multipliers_

template<class Real>

Ptr<ScalarController<Real> > ROL::PD_RandVarFunctional< Real >::multipliers_

private

Definition at line 60 of file ROL_PD_RandVarFunctional.hpp.

Referenced by computeDual(), getMultiplier(), PD_RandVarFunctional(), setData(), and updateDual().

◆ multipliers_new_

template<class Real>

Ptr<ScalarController<Real> > ROL::PD_RandVarFunctional< Real >::multipliers_new_

private

Definition at line 61 of file ROL_PD_RandVarFunctional.hpp.

Referenced by computeDual(), PD_RandVarFunctional(), setMultiplier(), and updateDual().

The documentation for this class was generated from the following file:

ROL_PD_RandVarFunctional.hpp

Public Member Functions

Protected Member Functions

Private Types

Private Attributes

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ uint

Constructor & Destructor Documentation

◆ PD_RandVarFunctional()

Member Function Documentation

◆ setValue()

◆ getMultiplier()

◆ setMultiplier()

◆ getPenaltyParameter()

◆ ppf()

◆ setData()

◆ computeDual()

◆ updateDual()

◆ updatePenalty()

◆ setStorage()

◆ setHessVecStorage()

◆ initialize()

Member Data Documentation

◆ pen_

◆ update_

◆ setData_

◆ values_

◆ multipliers_

◆ multipliers_new_