ROL
ROL_MoreauYosidaCVaR.hpp
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43 
44 #ifndef ROL_MOREAUYOSIDACVAR_HPP
45 #define ROL_MOREAUYOSIDACVAR_HPP
46 
47 #include "ROL_ExpectationQuad.hpp"
48 
49 namespace ROL {
50 
51 template<class Real>
52 class MoreauYosidaCVaR : public ExpectationQuad<Real> {
53 private:
54 
55  Real prob_;
56  Real eps_;
57  Real omp_;
58  Real ub_;
59 
60 public:
61 
62  MoreauYosidaCVaR(Real prob, Real eps )
63  : ExpectationQuad<Real>() {
64  prob_ = ((prob >= 0.0) ? ((prob <= 1.0) ? prob : 0.5) : 0.5);
65  eps_ = ((eps > 0.0) ? eps : 1.0);
66  omp_ = 1.0-prob_;
67  ub_ = eps_/omp_;
68  }
69 
70  MoreauYosidaCVaR(Teuchos::ParameterList &parlist)
71  : ExpectationQuad<Real>() {
72  Teuchos::ParameterList& list
73  = parlist.sublist("SOL").sublist("Risk Measure").sublist("Moreau-Yosida CVaR");
74  // Check CVaR inputs
75  Real prob = list.get("Confidence Level",0.5);
76  prob_ = ((prob >= 0.0) ? ((prob <= 1.0) ? prob : 0.5) : 0.5);
77  // Smoothing parameter
78  Real eps = list.get("Smoothing Parameter",1.);
79  eps_ = ((eps > 0.) ? eps : 1.);
80  // Commonly used scalars
81  omp_ = 1.0-prob_;
82  ub_ = eps_/omp_;
83  }
84 
85  Real error(Real x, int deriv = 0) {
86  Real X = ((deriv==0) ? x : ((deriv==1) ? 1.0 : 0.0));
87  return regret(x,deriv) - X;
88  }
89 
90  Real regret(Real x, int deriv = 0) {
91  int region = ((x <= 0) ? -1 : ((x >= ub_) ? 1 : 0));
92  Real reg = 0.0;
93  if ( region == 0 ) {
94  reg = ((deriv == 0) ? 0.5*x*x : ((deriv == 1) ? x : 1.0));
95  reg /= eps_;
96  }
97  else if ( region == 1 ) {
98  reg = ((deriv == 0) ? (x-0.5*ub_) : ((deriv == 1) ? 1.0 : 0.0));
99  reg /= omp_;
100  }
101  return reg;
102  }
103 
104  void checkRegret(void) {
106  // Check v'(eps)
107  Real x = eps_;
108  Real vx = 0.0, vy = 0.0;
109  Real dv = regret(x,1);
110  Real t = 1.0;
111  Real diff = 0.0;
112  Real err = 0.0;
113  std::cout << std::right << std::setw(20) << "CHECK REGRET: v'(eps) is correct? \n";
114  std::cout << std::right << std::setw(20) << "t"
115  << std::setw(20) << "v'(x)"
116  << std::setw(20) << "(v(x+t)-v(x-t))/2t"
117  << std::setw(20) << "Error"
118  << "\n";
119  for (int i = 0; i < 13; i++) {
120  vy = regret(x+t,0);
121  vx = regret(x-t,0);
122  diff = (vy-vx)/(2.0*t);
123  err = std::abs(diff-dv);
124  std::cout << std::scientific << std::setprecision(11) << std::right
125  << std::setw(20) << t
126  << std::setw(20) << dv
127  << std::setw(20) << diff
128  << std::setw(20) << err
129  << "\n";
130  t *= 0.1;
131  }
132  std::cout << "\n";
133  // check v''(eps)
134  vx = 0.0;
135  vy = 0.0;
136  dv = regret(x,2);
137  t = 1.0;
138  diff = 0.0;
139  err = 0.0;
140  std::cout << std::right << std::setw(20) << "CHECK REGRET: v''(eps) is correct? \n";
141  std::cout << std::right << std::setw(20) << "t"
142  << std::setw(20) << "v''(x)"
143  << std::setw(20) << "(v'(x+t)-v'(x-t))/2t"
144  << std::setw(20) << "Error"
145  << "\n";
146  for (int i = 0; i < 13; i++) {
147  vy = regret(x+t,1);
148  vx = regret(x-t,1);
149  diff = (vy-vx)/(2.0*t);
150  err = std::abs(diff-dv);
151  std::cout << std::scientific << std::setprecision(11) << std::right
152  << std::setw(20) << t
153  << std::setw(20) << dv
154  << std::setw(20) << diff
155  << std::setw(20) << err
156  << "\n";
157  t *= 0.1;
158  }
159  std::cout << "\n";
160  // Check v'(0)
161  x = 0.0;
162  vx = 0.0;
163  vy = 0.0;
164  dv = regret(x,1);
165  t = 1.0;
166  diff = 0.0;
167  err = 0.0;
168  std::cout << std::right << std::setw(20) << "CHECK REGRET: v'(0) is correct? \n";
169  std::cout << std::right << std::setw(20) << "t"
170  << std::setw(20) << "v'(x)"
171  << std::setw(20) << "(v(x+t)-v(x-t))/2t"
172  << std::setw(20) << "Error"
173  << "\n";
174  for (int i = 0; i < 13; i++) {
175  vy = regret(x+t,0);
176  vx = regret(x-t,0);
177  diff = (vy-vx)/(2.0*t);
178  err = std::abs(diff-dv);
179  std::cout << std::scientific << std::setprecision(11) << std::right
180  << std::setw(20) << t
181  << std::setw(20) << dv
182  << std::setw(20) << diff
183  << std::setw(20) << err
184  << "\n";
185  t *= 0.1;
186  }
187  std::cout << "\n";
188  // check v''(eps)
189  vx = 0.0;
190  vy = 0.0;
191  dv = regret(x,2);
192  t = 1.0;
193  diff = 0.0;
194  err = 0.0;
195  std::cout << std::right << std::setw(20) << "CHECK REGRET: v''(0) is correct? \n";
196  std::cout << std::right << std::setw(20) << "t"
197  << std::setw(20) << "v''(x)"
198  << std::setw(20) << "(v'(x+t)-v'(x-t))/2t"
199  << std::setw(20) << "Error"
200  << "\n";
201  for (int i = 0; i < 13; i++) {
202  vy = regret(x+t,1);
203  vx = regret(x-t,1);
204  diff = (vy-vx)/(2.0*t);
205  err = std::abs(diff-dv);
206  std::cout << std::scientific << std::setprecision(11) << std::right
207  << std::setw(20) << t
208  << std::setw(20) << dv
209  << std::setw(20) << diff
210  << std::setw(20) << err
211  << "\n";
212  t *= 0.1;
213  }
214  std::cout << "\n";
215  // Check v'(0)
216  x = -eps_;
217  vx = 0.0;
218  vy = 0.0;
219  dv = regret(x,1);
220  t = 1.0;
221  diff = 0.0;
222  err = 0.0;
223  std::cout << std::right << std::setw(20) << "CHECK REGRET: v'(-eps) is correct? \n";
224  std::cout << std::right << std::setw(20) << "t"
225  << std::setw(20) << "v'(x)"
226  << std::setw(20) << "(v(x+t)-v(x-t))/2t"
227  << std::setw(20) << "Error"
228  << "\n";
229  for (int i = 0; i < 13; i++) {
230  vy = regret(x+t,0);
231  vx = regret(x-t,0);
232  diff = (vy-vx)/(2.0*t);
233  err = std::abs(diff-dv);
234  std::cout << std::scientific << std::setprecision(11) << std::right
235  << std::setw(20) << t
236  << std::setw(20) << dv
237  << std::setw(20) << diff
238  << std::setw(20) << err
239  << "\n";
240  t *= 0.1;
241  }
242  std::cout << "\n";
243  // check v''(eps)
244  vx = 0.0;
245  vy = 0.0;
246  dv = regret(x,2);
247  t = 1.0;
248  diff = 0.0;
249  err = 0.0;
250  std::cout << std::right << std::setw(20) << "CHECK REGRET: v''(-eps) is correct? \n";
251  std::cout << std::right << std::setw(20) << "t"
252  << std::setw(20) << "v''(x)"
253  << std::setw(20) << "(v'(x+t)-v'(x-t))/2t"
254  << std::setw(20) << "Error"
255  << "\n";
256  for (int i = 0; i < 13; i++) {
257  vy = regret(x+t,1);
258  vx = regret(x-t,1);
259  diff = (vy-vx)/(2.0*t);
260  err = std::abs(diff-dv);
261  std::cout << std::scientific << std::setprecision(11) << std::right
262  << std::setw(20) << t
263  << std::setw(20) << dv
264  << std::setw(20) << diff
265  << std::setw(20) << err
266  << "\n";
267  t *= 0.1;
268  }
269  std::cout << "\n";
270  }
271 
272 };
273 
274 }
275 #endif
virtual void checkRegret(void)
MoreauYosidaCVaR(Teuchos::ParameterList &parlist)
MoreauYosidaCVaR(Real prob, Real eps)
Real error(Real x, int deriv=0)
Real regret(Real x, int deriv=0)