ROL
Public Member Functions | Private Member Functions | Private Attributes | List of all members
ROL::HMCRObjective< Real > Class Template Reference

#include <ROL_HMCRObjective.hpp>

+ Inheritance diagram for ROL::HMCRObjective< Real >:

Public Member Functions

virtual ~HMCRObjective ()
 
 HMCRObjective (Teuchos::RCP< ParametrizedObjective< Real > > &pObj, Real order, Real prob, Teuchos::RCP< SampleGenerator< Real > > &vsampler, Teuchos::RCP< SampleGenerator< Real > > &gsampler, Teuchos::RCP< SampleGenerator< Real > > &hsampler, bool storage=true)
 
 HMCRObjective (Teuchos::RCP< ParametrizedObjective< Real > > &pObj, Real order, Real prob, Teuchos::RCP< SampleGenerator< Real > > &vsampler, Teuchos::RCP< SampleGenerator< Real > > &gsampler, bool storage=true)
 
 HMCRObjective (Teuchos::RCP< ParametrizedObjective< Real > > &pObj, Real order, Real prob, Teuchos::RCP< SampleGenerator< Real > > &sampler, bool storage=true)
 
void update (const Vector< Real > &x, bool flag=true, int iter=-1)
 Update objective function. More...
 
Real value (const Vector< Real > &x, Real &tol)
 Compute value. More...
 
void gradient (Vector< Real > &g, const Vector< Real > &x, Real &tol)
 Compute gradient. More...
 
void hessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
 Apply Hessian approximation to vector. More...
 
virtual void precond (Vector< Real > &Pv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
 Apply preconditioner to vector. More...
 
- Public Member Functions inherited from ROL::Objective< Real >
virtual ~Objective ()
 
virtual Real dirDeriv (const Vector< Real > &x, const Vector< Real > &d, Real &tol)
 Compute directional derivative. More...
 
virtual void invHessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
 Apply inverse Hessian approximation to vector. More...
 
virtual std::vector< std::vector< Real > > checkGradient (const Vector< Real > &x, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
 Finite-difference gradient check. More...
 
virtual std::vector< std::vector< Real > > checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
 Finite-difference gradient check. More...
 
virtual std::vector< std::vector< Real > > checkGradient (const Vector< Real > &x, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
 Finite-difference gradient check with specified step sizes. More...
 
virtual std::vector< std::vector< Real > > checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
 Finite-difference gradient check with specified step sizes. More...
 
virtual std::vector< std::vector< Real > > checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
 Finite-difference Hessian-applied-to-vector check. More...
 
virtual std::vector< std::vector< Real > > checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
 Finite-difference Hessian-applied-to-vector check. More...
 
virtual std::vector< std::vector< Real > > checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
 Finite-difference Hessian-applied-to-vector check with specified step sizes. More...
 
virtual std::vector< std::vector< Real > > checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
 Finite-difference Hessian-applied-to-vector check with specified step sizes. More...
 
virtual std::vector< Real > checkHessSym (const Vector< Real > &x, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
 Hessian symmetry check. More...
 
virtual std::vector< Real > checkHessSym (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
 Hessian symmetry check. More...
 

Private Member Functions

void initialize (const Vector< Real > &x)
 
void unwrap_const_CVaR_vector (Teuchos::RCP< Vector< Real > > &xvec, Real &xvar, const Vector< Real > &x)
 
void getValue (Real &val, const Vector< Real > &x, const std::vector< Real > &param, Real &tol)
 
void getGradient (Vector< Real > &g, const Vector< Real > &x, const std::vector< Real > &param, Real &tol)
 
void getHessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, const std::vector< Real > &param, Real &tol)
 

Private Attributes

Teuchos::RCP< ParametrizedObjective< Real > > ParametrizedObjective_
 
Real order_
 
Real prob_
 
Teuchos::RCP< SampleGenerator< Real > > ValueSampler_
 
Teuchos::RCP< SampleGenerator< Real > > GradientSampler_
 
Teuchos::RCP< SampleGenerator< Real > > HessianSampler_
 
Teuchos::RCP< Vector< Real > > pointGrad_
 
Teuchos::RCP< Vector< Real > > pointHess_
 
Teuchos::RCP< Vector< Real > > gradient0_
 
Teuchos::RCP< Vector< Real > > sumGrad0_
 
Teuchos::RCP< Vector< Real > > gradient1_
 
Teuchos::RCP< Vector< Real > > sumGrad1_
 
Teuchos::RCP< Vector< Real > > gradient2_
 
Teuchos::RCP< Vector< Real > > sumGrad2_
 
Teuchos::RCP< Vector< Real > > hessvec_
 
Teuchos::RCP< Vector< Real > > sumHess_
 
bool initialized_
 
bool storage_
 
std::map< std::vector< Real >, Real > value_storage_
 
std::map< std::vector< Real >, Teuchos::RCP< Vector< Real > > > gradient_storage_
 

Detailed Description

template<class Real>
class ROL::HMCRObjective< Real >

Definition at line 56 of file ROL_HMCRObjective.hpp.

Constructor & Destructor Documentation

template<class Real >
virtual ROL::HMCRObjective< Real >::~HMCRObjective ( )
inlinevirtual

Definition at line 149 of file ROL_HMCRObjective.hpp.

template<class Real >
ROL::HMCRObjective< Real >::HMCRObjective ( Teuchos::RCP< ParametrizedObjective< Real > > &  pObj,
Real  order,
Real  prob,
Teuchos::RCP< SampleGenerator< Real > > &  vsampler,
Teuchos::RCP< SampleGenerator< Real > > &  gsampler,
Teuchos::RCP< SampleGenerator< Real > > &  hsampler,
bool  storage = true 
)
inline

Definition at line 151 of file ROL_HMCRObjective.hpp.

template<class Real >
ROL::HMCRObjective< Real >::HMCRObjective ( Teuchos::RCP< ParametrizedObjective< Real > > &  pObj,
Real  order,
Real  prob,
Teuchos::RCP< SampleGenerator< Real > > &  vsampler,
Teuchos::RCP< SampleGenerator< Real > > &  gsampler,
bool  storage = true 
)
inline

Definition at line 166 of file ROL_HMCRObjective.hpp.

template<class Real >
ROL::HMCRObjective< Real >::HMCRObjective ( Teuchos::RCP< ParametrizedObjective< Real > > &  pObj,
Real  order,
Real  prob,
Teuchos::RCP< SampleGenerator< Real > > &  sampler,
bool  storage = true 
)
inline

Definition at line 180 of file ROL_HMCRObjective.hpp.

Member Function Documentation

template<class Real >
void ROL::HMCRObjective< Real >::initialize ( const Vector< Real > &  x)
inlineprivate
template<class Real >
void ROL::HMCRObjective< Real >::unwrap_const_CVaR_vector ( Teuchos::RCP< Vector< Real > > &  xvec,
Real &  xvar,
const Vector< Real > &  x 
)
inlineprivate
template<class Real >
void ROL::HMCRObjective< Real >::getValue ( Real &  val,
const Vector< Real > &  x,
const std::vector< Real > &  param,
Real &  tol 
)
inlineprivate
template<class Real >
void ROL::HMCRObjective< Real >::getGradient ( Vector< Real > &  g,
const Vector< Real > &  x,
const std::vector< Real > &  param,
Real &  tol 
)
inlineprivate
template<class Real >
void ROL::HMCRObjective< Real >::getHessVec ( Vector< Real > &  hv,
const Vector< Real > &  v,
const Vector< Real > &  x,
const std::vector< Real > &  param,
Real &  tol 
)
inlineprivate

Definition at line 141 of file ROL_HMCRObjective.hpp.

Referenced by ROL::HMCRObjective< Real >::hessVec().

template<class Real >
void ROL::HMCRObjective< Real >::update ( const Vector< Real > &  x,
bool  flag = true,
int  iter = -1 
)
inlinevirtual

Update objective function.

This function updates the objective function at new iterations.

Parameters
[in]xis the new iterate.
[in]flagis true if the iterate has changed.
[in]iteris the outer algorithm iterations count.

Reimplemented from ROL::Objective< Real >.

Definition at line 193 of file ROL_HMCRObjective.hpp.

References ROL::HMCRObjective< Real >::unwrap_const_CVaR_vector().

template<class Real >
Real ROL::HMCRObjective< Real >::value ( const Vector< Real > &  x,
Real &  tol 
)
inlinevirtual

Compute value.

This function returns the objective function value.

Parameters
[in]xis the current iterate.
[in]tolis a tolerance for inexact objective function computation.

Implements ROL::Objective< Real >.

Definition at line 210 of file ROL_HMCRObjective.hpp.

References ROL::HMCRObjective< Real >::getValue(), ROL::HMCRObjective< Real >::prob_, ROL::ROL_EPSILON, and ROL::HMCRObjective< Real >::unwrap_const_CVaR_vector().

template<class Real >
void ROL::HMCRObjective< Real >::gradient ( Vector< Real > &  g,
const Vector< Real > &  x,
Real &  tol 
)
inlinevirtual

Compute gradient.

This function returns the objective function gradient.

Parameters
[out]gis the gradient.
[in]xis the current iterate.
[in]tolis a tolerance for inexact objective function computation.

The default implementation is a finite-difference approximation based on the function value. This requires the definition of a basis \(\{\phi_i\}\) for the optimization vectors x and the definition of a basis \(\{\psi_j\}\) for the dual optimization vectors (gradient vectors g). The bases must be related through the Riesz map, i.e., \( R \{\phi_i\} = \{\psi_j\}\), and this must be reflected in the implementation of the ROL::Vector::dual() method.

Reimplemented from ROL::Objective< Real >.

Definition at line 239 of file ROL_HMCRObjective.hpp.

References ROL::HMCRObjective< Real >::getGradient(), ROL::HMCRObjective< Real >::getValue(), ROL::HMCRObjective< Real >::prob_, ROL::ROL_EPSILON, ROL::RiskVector< Real >::setStatistic(), ROL::RiskVector< Real >::setVector(), ROL::HMCRObjective< Real >::unwrap_const_CVaR_vector(), and ROL::Vector< Real >::zero().

template<class Real >
void ROL::HMCRObjective< Real >::hessVec ( Vector< Real > &  hv,
const Vector< Real > &  v,
const Vector< Real > &  x,
Real &  tol 
)
inlinevirtual

Apply Hessian approximation to vector.

This function applies the Hessian of the objective function to the vector \(v\).

Parameters
[out]hvis the the action of the Hessian on \(v\).
[in]vis the direction vector.
[in]xis the current iterate.
[in]tolis a tolerance for inexact objective function computation.

Reimplemented from ROL::Objective< Real >.

Definition at line 287 of file ROL_HMCRObjective.hpp.

References ROL::HMCRObjective< Real >::getGradient(), ROL::HMCRObjective< Real >::getHessVec(), ROL::HMCRObjective< Real >::getValue(), ROL::HMCRObjective< Real >::prob_, ROL::ROL_EPSILON, ROL::RiskVector< Real >::setStatistic(), ROL::RiskVector< Real >::setVector(), ROL::HMCRObjective< Real >::unwrap_const_CVaR_vector(), and ROL::Vector< Real >::zero().

template<class Real >
virtual void ROL::HMCRObjective< Real >::precond ( Vector< Real > &  Pv,
const Vector< Real > &  v,
const Vector< Real > &  x,
Real &  tol 
)
inlinevirtual

Apply preconditioner to vector.

This function applies a preconditioner for the Hessian of the objective function to the vector \(v\).

Parameters
[out]Pvis the action of the Hessian preconditioner on \(v\).
[in]vis the direction vector.
[in]xis the current iterate.
[in]tolis a tolerance for inexact objective function computation.

Reimplemented from ROL::Objective< Real >.

Definition at line 366 of file ROL_HMCRObjective.hpp.

References ROL::Vector< Real >::dual(), and ROL::Vector< Real >::set().

Member Data Documentation

template<class Real >
Teuchos::RCP<ParametrizedObjective<Real> > ROL::HMCRObjective< Real >::ParametrizedObjective_
private

Definition at line 58 of file ROL_HMCRObjective.hpp.

template<class Real >
Real ROL::HMCRObjective< Real >::order_
private

Definition at line 60 of file ROL_HMCRObjective.hpp.

template<class Real >
Real ROL::HMCRObjective< Real >::prob_
private
template<class Real >
Teuchos::RCP<SampleGenerator<Real> > ROL::HMCRObjective< Real >::ValueSampler_
private

Definition at line 63 of file ROL_HMCRObjective.hpp.

template<class Real >
Teuchos::RCP<SampleGenerator<Real> > ROL::HMCRObjective< Real >::GradientSampler_
private

Definition at line 64 of file ROL_HMCRObjective.hpp.

template<class Real >
Teuchos::RCP<SampleGenerator<Real> > ROL::HMCRObjective< Real >::HessianSampler_
private

Definition at line 65 of file ROL_HMCRObjective.hpp.

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::HMCRObjective< Real >::pointGrad_
private

Definition at line 67 of file ROL_HMCRObjective.hpp.

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::HMCRObjective< Real >::pointHess_
private

Definition at line 68 of file ROL_HMCRObjective.hpp.

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::HMCRObjective< Real >::gradient0_
private

Definition at line 70 of file ROL_HMCRObjective.hpp.

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::HMCRObjective< Real >::sumGrad0_
private

Definition at line 71 of file ROL_HMCRObjective.hpp.

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::HMCRObjective< Real >::gradient1_
private

Definition at line 72 of file ROL_HMCRObjective.hpp.

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::HMCRObjective< Real >::sumGrad1_
private

Definition at line 73 of file ROL_HMCRObjective.hpp.

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::HMCRObjective< Real >::gradient2_
private

Definition at line 74 of file ROL_HMCRObjective.hpp.

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::HMCRObjective< Real >::sumGrad2_
private

Definition at line 75 of file ROL_HMCRObjective.hpp.

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::HMCRObjective< Real >::hessvec_
private

Definition at line 76 of file ROL_HMCRObjective.hpp.

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::HMCRObjective< Real >::sumHess_
private

Definition at line 77 of file ROL_HMCRObjective.hpp.

template<class Real >
bool ROL::HMCRObjective< Real >::initialized_
private

Definition at line 79 of file ROL_HMCRObjective.hpp.

template<class Real >
bool ROL::HMCRObjective< Real >::storage_
private

Definition at line 80 of file ROL_HMCRObjective.hpp.

template<class Real >
std::map<std::vector<Real>,Real> ROL::HMCRObjective< Real >::value_storage_
private

Definition at line 82 of file ROL_HMCRObjective.hpp.

template<class Real >
std::map<std::vector<Real>,Teuchos::RCP<Vector<Real> > > ROL::HMCRObjective< Real >::gradient_storage_
private

Definition at line 83 of file ROL_HMCRObjective.hpp.


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