44 #ifndef ROL_MIXEDQUANTILEQUADRANGLE_HPP 45 #define ROL_MIXEDQUANTILEQUADRANGLE_HPP 51 #include "Teuchos_Array.hpp" 52 #include "Teuchos_ParameterList.hpp" 109 TEUCHOS_TEST_FOR_EXCEPTION((pSize!=cSize),std::invalid_argument,
110 ">>> ERROR (ROL::MixedQuantileQuadrangle): Probability and coefficient arrays have different sizes!");
111 Real sum(0), zero(0), one(1);
112 for (
int i = 0; i < pSize; i++) {
113 TEUCHOS_TEST_FOR_EXCEPTION((
prob_[i]>one ||
prob_[i]<zero), std::invalid_argument,
114 ">>> ERROR (ROL::MixedQuantileQuadrangle): Element of probability array out of range!");
115 TEUCHOS_TEST_FOR_EXCEPTION((
coeff_[i]>one ||
coeff_[i]<zero), std::invalid_argument,
116 ">>> ERROR (ROL::MixedQuantileQuadrangle): Element of coefficient array out of range!");
119 TEUCHOS_TEST_FOR_EXCEPTION((std::abs(sum-one) > std::sqrt(ROL_EPSILON<Real>())),std::invalid_argument,
120 ">>> ERROR (ROL::MixedQuantileQuadrangle): Coefficients do not sum to one!");
121 TEUCHOS_TEST_FOR_EXCEPTION(
plusFunction_ == Teuchos::null, std::invalid_argument,
122 ">>> ERROR (ROL::MixedQuantileQuadrangle): PlusFunction pointer is null!");
138 Teuchos::ParameterList &list
139 = parlist.sublist(
"SOL").sublist(
"Risk Measure").sublist(
"Mixed-Quantile Quadrangle");
141 prob_ = Teuchos::getArrayFromStringParameter<Real>(list,
"Probability Array");
142 coeff_ = Teuchos::getArrayFromStringParameter<Real>(list,
"Coefficient Array");
150 const std::vector<Real> &coeff,
175 void update(
const Real val,
const Real weight) {
177 for (
int i = 0; i <
size_; i++) {
185 sampler.
sumAll(&val,&cvar,1);
186 for (
int i = 0; i <
size_; i++) {
193 Real pf(0), c(0), one(1);
194 for (
int i = 0; i <
size_; i++) {
204 std::vector<Real> var(
size_);
208 for (
int i = 0; i <
size_; i++) {
217 Real pf1(0), pf2(0), c(0), one(1);
218 for (
int i = 0; i <
size_; i++) {
232 std::vector<Real> var(
size_);
MixedQuantileQuadrangle(Teuchos::ParameterList &parlist)
Provides an interface for a convex combination of conditional value-at-risks.
void sumAll(Real *input, Real *output, int dim) const
void getHessVec(Vector< Real > &hv, SampleGenerator< Real > &sampler)
Return risk measure Hessian-times-a-vector.
void getGradient(Vector< Real > &g, SampleGenerator< Real > &sampler)
Return risk measure (sub)gradient.
Defines the linear algebra or vector space interface.
void setVector(const Vector< Real > &vec)
void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x)
Reset internal risk measure storage. Called for value and gradient computation.
void setStatistic(const Real stat)
void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x, Teuchos::RCP< Vector< Real > > &v0, const Vector< Real > &v)
Reset internal risk measure storage. Called for Hessian-times-a-vector computation.
void update(const Real val, const Real weight)
Update internal risk measure storage for value computation.
std::vector< Real > vvar_
MixedQuantileQuadrangle(const std::vector< Real > &prob, const std::vector< Real > &coeff, const Teuchos::RCP< PlusFunction< Real > > &pf)
Teuchos::RCP< Vector< Real > > dualVector_
void checkInputs(void) const
void update(const Real val, const Vector< Real > &g, const Real gv, const Vector< Real > &hv, const Real weight)
Update internal risk measure storage for Hessian-time-a-vector computation.
Teuchos::Array< Real > prob_
Teuchos::Array< Real > coeff_
void update(const Real val, const Vector< Real > &g, const Real weight)
Update internal risk measure storage for gradient computation.
virtual void reset(Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x)
Reset internal risk measure storage. Called for value and gradient computation.
Real getValue(SampleGenerator< Real > &sampler)
Return risk measure value.
Provides the interface to implement risk measures.
std::vector< Real > xvar_
Teuchos::RCP< PlusFunction< Real > > plusFunction_