ROL
ROL_RiskMeasure.hpp
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43 
44 #ifndef ROL_RISKMEASURE_HPP
45 #define ROL_RISKMEASURE_HPP
46 
47 #include "ROL_RiskVector.hpp"
48 
49 namespace ROL {
50 
51 template<class Real>
52 class RiskMeasure {
53 protected:
54  Real val_;
55  Real gv_;
56  Teuchos::RCP<Vector<Real> > g_;
57  Teuchos::RCP<Vector<Real> > hv_;
58  Teuchos::RCP<Vector<Real> > dualVector_;
60 
61 public:
62  virtual ~RiskMeasure() {}
63 
64  RiskMeasure(void) : firstReset_(true) {}
65 
66  // Reset risk measure storage. Called for value and gradient computation.
67  virtual void reset(Teuchos::RCP<Vector<Real> > &x0, const Vector<Real> &x) {
68  x0 = Teuchos::rcp_const_cast<Vector<Real> >(Teuchos::dyn_cast<const RiskVector<Real> >(
69  Teuchos::dyn_cast<const Vector<Real> >(x)).getVector());
70  // Create memory for class members
71  if ( firstReset_ ) {
72  g_ = (x0->dual()).clone();
73  hv_ = (x0->dual()).clone();
74  dualVector_ = (x0->dual()).clone();
75  firstReset_ = false;
76  }
77  // Zero member variables
78  val_ = 0.0; gv_ = 0.0;
79  g_->zero(); hv_->zero(); dualVector_->zero();
80  }
81 
82  // Reset risk measure storage. Called for Hessian-times-a-vector computation.
83  virtual void reset(Teuchos::RCP<Vector<Real> > &x0, const Vector<Real> &x,
84  Teuchos::RCP<Vector<Real> > &v0, const Vector<Real> &v) {
85  reset(x0,x);
86  // Get vector component of v. This is important for CVaR.
87  v0 = Teuchos::rcp_const_cast<Vector<Real> >(Teuchos::dyn_cast<const RiskVector<Real> >(
88  Teuchos::dyn_cast<const Vector<Real> >(v)).getVector());
89  }
90 
91  virtual void update(const Real val, const Real weight) {
92  val_ += weight * val;
93  }
94 
95  virtual void update(const Real val, const Vector<Real> &g, const Real weight) {
96  g_->axpy(weight,g);
97  }
98 
99  virtual void update(const Real val, const Vector<Real> &g, const Real gv, const Vector<Real> &hv,
100  const Real weight) {
101  hv_->axpy(weight,hv);
102  }
103 
104  virtual Real getValue(SampleGenerator<Real> &sampler) {
105  Real val = 0.0;
106  sampler.sumAll(&val_,&val,1);
107  return val;
108  }
109 
110  virtual void getGradient(Vector<Real> &g, SampleGenerator<Real> &sampler) {
111  sampler.sumAll(*g_,*dualVector_);
112  (Teuchos::dyn_cast<RiskVector<Real> >(g)).setVector(*dualVector_);
113  }
114 
115  virtual void getHessVec(Vector<Real> &hv, SampleGenerator<Real> &sampler) {
116  sampler.sumAll(*hv_,*dualVector_);
117  (Teuchos::dyn_cast<RiskVector<Real> >(hv)).setVector(*dualVector_);
118  }
119 };
120 
121 }
122 
123 #endif
virtual void getHessVec(Vector< Real > &hv, SampleGenerator< Real > &sampler)
virtual Real getValue(SampleGenerator< Real > &sampler)
virtual void getGradient(Vector< Real > &g, SampleGenerator< Real > &sampler)
virtual void zero()
Set to zero vector.
Definition: ROL_Vector.hpp:157
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:74
void sumAll(Real *input, Real *output, int dim) const
Teuchos::RCP< const Vector< Real > > getVector() const
Teuchos::RCP< Vector< Real > > dualVector_
virtual void update(const Real val, const Vector< Real > &g, const Real gv, const Vector< Real > &hv, const Real weight)
Teuchos::RCP< Vector< Real > > hv_
virtual void update(const Real val, const Real weight)
virtual void update(const Real val, const Vector< Real > &g, const Real weight)
virtual void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x)
virtual void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x, Teuchos::RCP< Vector< Real > > &v0, const Vector< Real > &v)
Teuchos::RCP< Vector< Real > > g_