ROL
ROL_ExpUtility.hpp
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43 
44 #ifndef ROL_EXPUTILITY_HPP
45 #define ROL_EXPUTILITY_HPP
46 
47 #include "ROL_RiskMeasure.hpp"
48 
49 namespace ROL {
50 
51 template<class Real>
52 class ExpUtility : public RiskMeasure<Real> {
53 private:
54  Teuchos::RCP<Vector<Real> > scaledGradient_;
55  Teuchos::RCP<Vector<Real> > dualVector1_;
56  Teuchos::RCP<Vector<Real> > dualVector2_;
58 
59 public:
60  ExpUtility(void) : RiskMeasure<Real>(), firstReset_(true) {}
61 
62  void reset(Teuchos::RCP<Vector<Real> > &x0, const Vector<Real> &x) {
64  if ( firstReset_ ) {
65  scaledGradient_ = (x0->dual()).clone();
66  dualVector1_ = (x0->dual()).clone();
67  dualVector2_ = (x0->dual()).clone();
68  firstReset_ = false;
69  }
70  scaledGradient_->zero(); dualVector1_->zero(); dualVector2_->zero();
71  }
72 
73  void reset(Teuchos::RCP<Vector<Real> > &x0, const Vector<Real> &x,
74  Teuchos::RCP<Vector<Real> > &v0, const Vector<Real> &v) {
75  reset(x0,x);
76  v0 = Teuchos::rcp_const_cast<Vector<Real> >(Teuchos::dyn_cast<const RiskVector<Real> >(
77  Teuchos::dyn_cast<const Vector<Real> >(v)).getVector());
78  }
79 
80  void update(const Real val, const Real weight) {
81  RiskMeasure<Real>::val_ += weight * std::exp(val);
82  }
83 
84  void update(const Real val, const Vector<Real> &g, const Real weight) {
85  Real ev = std::exp(val);
86  RiskMeasure<Real>::val_ += weight * ev;
87  RiskMeasure<Real>::g_->axpy(weight*ev,g);
88  }
89 
90  void update(const Real val, const Vector<Real> &g, const Real gv, const Vector<Real> &hv,
91  const Real weight) {
92  Real ev = std::exp(val);
93  RiskMeasure<Real>::val_ += weight * ev;
94  RiskMeasure<Real>::gv_ -= weight * ev * gv;
95  RiskMeasure<Real>::g_->axpy(weight*ev,g);
96  RiskMeasure<Real>::hv_->axpy(weight*ev,hv);
97  scaledGradient_->axpy(weight*ev*gv,g);
98  }
99 
101  Real val = RiskMeasure<Real>::val_;
102  Real ev = 0.0;
103  sampler.sumAll(&val,&ev,1);
104  return std::log(ev);
105  }
106 
108  Real val = RiskMeasure<Real>::val_;
109  Real ev = 0.0;
110  sampler.sumAll(&val,&ev,1);
111 
112  sampler.sumAll(*(RiskMeasure<Real>::g_),*dualVector1_);
113  dualVector1_->scale(1.0/ev);
114 
115  (Teuchos::dyn_cast<RiskVector<Real> >(g)).setVector(*dualVector1_);
116  }
117 
119  Real val = RiskMeasure<Real>::val_;
120  Real ev = 0.0;
121  sampler.sumAll(&val,&ev,1);
122 
123  Real gv = RiskMeasure<Real>::gv_;
124  Real egv = 0.0;
125  sampler.sumAll(&gv,&egv,1);
126 
127  sampler.sumAll(*(RiskMeasure<Real>::hv_),*dualVector1_);
128 
129  sampler.sumAll(*scaledGradient_,*dualVector2_);
130  dualVector1_->plus(*dualVector2_);
131  dualVector1_->scale(1.0/ev);
132 
133  dualVector2_->zero();
134  sampler.sumAll(*(RiskMeasure<Real>::g_),*dualVector2_);
135  dualVector1_->axpy(egv/(ev*ev),*dualVector2_);
136 
137  (Teuchos::dyn_cast<RiskVector<Real> >(hv)).setVector(*dualVector1_);
138  }
139 };
140 
141 }
142 
143 #endif
void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x, Teuchos::RCP< Vector< Real > > &v0, const Vector< Real > &v)
void update(const Real val, const Vector< Real > &g, const Real weight)
Teuchos::RCP< Vector< Real > > dualVector2_
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:74
void getGradient(Vector< Real > &g, SampleGenerator< Real > &sampler)
void sumAll(Real *input, Real *output, int dim) const
void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x)
Teuchos::RCP< const Vector< Real > > getVector() const
Teuchos::RCP< Vector< Real > > scaledGradient_
Real getValue(SampleGenerator< Real > &sampler)
void update(const Real val, const Real weight)
void update(const Real val, const Vector< Real > &g, const Real gv, const Vector< Real > &hv, const Real weight)
void getHessVec(Vector< Real > &hv, SampleGenerator< Real > &sampler)
virtual void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x)
Teuchos::RCP< Vector< Real > > dualVector1_