ROL
ROL_RiskMeasureFactory.hpp
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43 
44 #ifndef ROL_RISKMEASUREFACTORY_HPP
45 #define ROL_RISKMEASUREFACTORY_HPP
46 
47 #include "Teuchos_ParameterList.hpp"
48 
49 #include "ROL_Types.hpp"
50 
51 // Standard Risk Measure Implementations
52 #include "ROL_CVaR.hpp"
53 #include "ROL_ExpUtility.hpp"
54 #include "ROL_HMCR.hpp"
55 #include "ROL_KLDivergence.hpp"
57 #include "ROL_MeanDeviation.hpp"
59 #include "ROL_MeanVariance.hpp"
60 #include "ROL_MoreauYosidaCVaR.hpp"
61 
62 // Risk Quadrangle Risk Measure Implementations
69 
70 namespace ROL {
71 
72  enum ERiskMeasure {
89  };
90 
91  inline std::string ERiskMeasureToString(ERiskMeasure ed) {
92  std::string retString;
93  switch(ed) {
94  case RISKMEASURE_CVAR:
95  retString = "CVaR"; break;
97  retString = "Exponential Utility"; break;
98  case RISKMEASURE_HMCR:
99  retString = "HMCR"; break;
101  retString = "KL Divergence"; break;
103  retString = "Mean Plus Deviation From Target"; break;
105  retString = "Mean Plus Deviation"; break;
107  retString = "Mean Plus Variance From Target"; break;
109  retString = "Mean Plus Variance"; break;
111  retString = "Moreau-Yosida CVaR"; break;
113  retString = "Log-Exponential Quadrangle"; break;
115  retString = "Log-Quantile Quadrangle"; break;
117  retString = "Mixed-Quantile Quadrangle"; break;
119  retString = "Quantile-Based Quadrangle"; break;
121  retString = "Quantile-Radius Quadrangle"; break;
123  retString = "Truncated Mean Quadrangle"; break;
124  case RISKMEASURE_LAST:
125  retString = "Last Type (Dummy)"; break;
126  default:
127  retString = "INVALID ERiskMeasure"; break;
128  }
129  return retString;
130  }
131 
133  return( (ed == RISKMEASURE_CVAR) ||
134  (ed == RISKMEASURE_EXPUTILITY) ||
135  (ed == RISKMEASURE_HMCR) ||
136  (ed == RISKMEASURE_KLDIVERGENCE) ||
138  (ed == RISKMEASURE_MEANDEVIATION) ||
140  (ed == RISKMEASURE_MEANVARIANCE) ||
148  }
149 
151  return type = static_cast<ERiskMeasure>(type+1);
152  }
153 
154  inline ERiskMeasure operator++(ERiskMeasure &type, int) {
155  ERiskMeasure oldval = type;
156  ++type;
157  return oldval;
158  }
159 
161  return type = static_cast<ERiskMeasure>(type-1);
162  }
163 
164  inline ERiskMeasure operator--(ERiskMeasure &type, int) {
165  ERiskMeasure oldval = type;
166  --type;
167  return oldval;
168  }
169 
170  inline ERiskMeasure StringToERiskMeasure(std::string s) {
171  s = removeStringFormat(s);
172  for ( ERiskMeasure tr = RISKMEASURE_CVAR; tr < RISKMEASURE_LAST; tr++ ) {
173  if ( !s.compare(removeStringFormat(ERiskMeasureToString(tr))) ) {
174  return tr;
175  }
176  }
177  return RISKMEASURE_LAST;
178  }
179 
180  template<class Real>
181  inline Teuchos::RCP<RiskMeasure<Real> > RiskMeasureFactory(Teuchos::ParameterList &parlist) {
182  std::string dist = parlist.sublist("SOL").sublist("Risk Measure").get("Name","CVaR");
184  switch(ed) {
185  case RISKMEASURE_CVAR:
186  return Teuchos::rcp(new CVaR<Real>(parlist));
188  return Teuchos::rcp(new ExpUtility<Real>);
189  case RISKMEASURE_HMCR:
190  return Teuchos::rcp(new HMCR<Real>(parlist));
192  return Teuchos::rcp(new KLDivergence<Real>(parlist));
194  return Teuchos::rcp(new MeanDeviationFromTarget<Real>(parlist));
196  return Teuchos::rcp(new MeanDeviation<Real>(parlist));
198  return Teuchos::rcp(new MeanVarianceFromTarget<Real>(parlist));
200  return Teuchos::rcp(new MeanVariance<Real>(parlist));
202  return Teuchos::rcp(new MoreauYosidaCVaR<Real>(parlist));
204  return Teuchos::rcp(new LogExponentialQuadrangle<Real>);
206  return Teuchos::rcp(new LogQuantileQuadrangle<Real>(parlist));
208  return Teuchos::rcp(new MixedQuantileQuadrangle<Real>(parlist));
210  return Teuchos::rcp(new QuantileQuadrangle<Real>(parlist));
212  return Teuchos::rcp(new QuantileRadiusQuadrangle<Real>(parlist));
214  return Teuchos::rcp(new TruncatedMeanQuadrangle<Real>(parlist));
215  default:
216  TEUCHOS_TEST_FOR_EXCEPTION(true,std::logic_error,
217  "Invalid risk measure type" << dist);
218  }
219  }
220 }
221 #endif
EDistribution & operator--(EDistribution &type)
Contains definitions of custom data types in ROL.
std::string removeStringFormat(std::string s)
Definition: ROL_Types.hpp:141
ERiskMeasure StringToERiskMeasure(std::string s)
int isValidRiskMeasure(ERiskMeasure ed)
EDistribution & operator++(EDistribution &type)
std::string ERiskMeasureToString(ERiskMeasure ed)
Teuchos::RCP< RiskMeasure< Real > > RiskMeasureFactory(Teuchos::ParameterList &parlist)