ROL
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Provides an interface for the entropic risk. More...
#include <ROL_ExpUtility.hpp>
Public Member Functions | |
ExpUtility (const Real coeff=1) | |
Constructor. More... | |
ExpUtility (Teuchos::ParameterList &parlist) | |
Constructor. More... | |
void | reset (Teuchos::RCP< Vector< Real > > &x0, const Vector< Real > &x) |
Reset internal risk measure storage. Called for value and gradient computation. More... | |
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. More... | |
void | update (const Real val, const Real weight) |
Update internal risk measure storage for value computation. More... | |
Real | getValue (SampleGenerator< Real > &sampler) |
Return risk measure value. More... | |
void | update (const Real val, const Vector< Real > &g, const Real weight) |
Update internal risk measure storage for gradient computation. More... | |
void | getGradient (Vector< Real > &g, SampleGenerator< Real > &sampler) |
Return risk measure (sub)gradient. More... | |
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. More... | |
void | getHessVec (Vector< Real > &hv, SampleGenerator< Real > &sampler) |
Return risk measure Hessian-times-a-vector. More... | |
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virtual | ~RiskMeasure () |
RiskMeasure (void) | |
Private Member Functions | |
void | checkInputs (void) const |
Private Attributes | |
Teuchos::RCP< Vector< Real > > | scaledGradient_ |
Teuchos::RCP< Vector< Real > > | dualVector1_ |
Teuchos::RCP< Vector< Real > > | dualVector2_ |
bool | firstReset_ |
Real | coeff_ |
Additional Inherited Members | |
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Real | val_ |
Real | gv_ |
Teuchos::RCP< Vector< Real > > | g_ |
Teuchos::RCP< Vector< Real > > | hv_ |
Teuchos::RCP< Vector< Real > > | dualVector_ |
bool | firstReset_ |
Provides an interface for the entropic risk.
The entropic risk measure (also called the exponential utility and the log-exponential risk measure) is
\[ \mathcal{R}(X) = \lambda \log\mathbb{E}\left[\exp\left(\frac{X}{\lambda}\right)\right] \]
for \(\lambda > 0\). The entropic risk is convex, translation equivariant and monotonic.
Definition at line 66 of file ROL_ExpUtility.hpp.
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Constructor.
[in] | coeff | is the scale parameter \(\lambda\) |
Definition at line 86 of file ROL_ExpUtility.hpp.
References ROL::ExpUtility< Real >::checkInputs().
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Constructor.
[in] | parlist | is a parameter list specifying inputs |
parlist should contain sublists "SOL"->"Risk Measures"->"Exponential Utility" and withing the "Exponential Utility" sublist should have
Definition at line 99 of file ROL_ExpUtility.hpp.
References ROL::ExpUtility< Real >::checkInputs(), and ROL::ExpUtility< Real >::coeff_.
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inlineprivate |
Definition at line 75 of file ROL_ExpUtility.hpp.
References ROL::ExpUtility< Real >::coeff_.
Referenced by ROL::ExpUtility< Real >::ExpUtility().
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inlinevirtual |
Reset internal risk measure storage. Called for value and gradient computation.
[out] | x0 | is a user-provided optimization vector |
[in] | x | is a (potentially) augmented risk vector On input, \form#56 carries \form#323 and any statistics (scalars) associated with the risk measure. |
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 107 of file ROL_ExpUtility.hpp.
References ROL::ExpUtility< Real >::dualVector1_, ROL::ExpUtility< Real >::dualVector2_, ROL::ExpUtility< Real >::firstReset_, ROL::RiskMeasure< Real >::reset(), and ROL::ExpUtility< Real >::scaledGradient_.
Referenced by ROL::ExpUtility< Real >::reset().
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inlinevirtual |
Reset internal risk measure storage. Called for Hessian-times-a-vector computation.
[out] | x0 | is a user-provided optimization vector |
[in] | x | is a (potentially) augmented risk vector |
[out] | v0 | is a user-provided direction vector |
[in] | v | is a (potentially) augmented risk vector On input, \form#56 carries \form#323 and any statistics (scalars) associated with the risk measure. Similarly, \form#37 carries\(v_0\) and any statistics (scalars) associated with the risk measure. |
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 118 of file ROL_ExpUtility.hpp.
References ROL::ExpUtility< Real >::reset().
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Update internal risk measure storage for value computation.
[in] | val | is the value of the random variable objective function at the current sample point |
[in] | weight | is the weight associated with the current sample point |
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 125 of file ROL_ExpUtility.hpp.
References ROL::ExpUtility< Real >::coeff_.
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Return risk measure value.
[in] | sampler | is the ROL::SampleGenerator used to sample the objective function |
Upon return, getValue returns \(\mathcal{R}(f(x_0))\) where \(f(x_0)\) denotes the random variable objective function evaluated at \(x_0\).
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 129 of file ROL_ExpUtility.hpp.
References ROL::ExpUtility< Real >::coeff_, and ROL::SampleGenerator< Real >::sumAll().
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inlinevirtual |
Update internal risk measure storage for gradient computation.
[in] | val | is the value of the random variable objective function at the current sample point |
[in] | g | is the gradient of the random variable objective function at the current sample point |
[in] | weight | is the weight associated with the current sample point |
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 135 of file ROL_ExpUtility.hpp.
References ROL::ExpUtility< Real >::coeff_.
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Return risk measure (sub)gradient.
[out] | g | is the (sub)gradient of the risk measure |
[in] | sampler | is the ROL::SampleGenerator used to sample the objective function |
Upon return, getGradient returns \(\theta\in\partial\mathcal{R}(f(x_0))\) where \(f(x_0)\) denotes the random variable objective function evaluated at \(x_0\) and \(\partial\mathcal{R}(X)\) denotes the subdifferential of \(\mathcal{R}\) at \(X\).
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 141 of file ROL_ExpUtility.hpp.
References ROL::ExpUtility< Real >::dualVector1_, and ROL::SampleGenerator< Real >::sumAll().
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inlinevirtual |
Update internal risk measure storage for Hessian-time-a-vector computation.
[in] | val | is the value of the random variable objective function at the current sample point |
[in] | g | is the gradient of the random variable objective function at the current sample point |
[in] | gv | is the gradient of the random variable objective function at the current sample point applied to the vector v0 |
[in] | hv | is the Hessian of the random variable objective function at the current sample point applied to the vector v0 |
[in] | weight | is the weight associated with the current sample point |
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 151 of file ROL_ExpUtility.hpp.
References ROL::ExpUtility< Real >::coeff_, and ROL::ExpUtility< Real >::scaledGradient_.
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Return risk measure Hessian-times-a-vector.
[out] | hv | is the Hessian-times-a-vector of the risk measure |
[in] | sampler | is the ROL::SampleGenerator used to sample the objective function |
Upon return, getHessVec returns \(\nabla^2 \mathcal{R}(f(x_0))v_0\) (if available) where \(f(x_0)\) denotes the random variable objective function evaluated at \(x_0\).
Reimplemented from ROL::RiskMeasure< Real >.
Definition at line 161 of file ROL_ExpUtility.hpp.
References ROL::ExpUtility< Real >::coeff_, ROL::ExpUtility< Real >::dualVector1_, ROL::ExpUtility< Real >::dualVector2_, ROL::ExpUtility< Real >::scaledGradient_, and ROL::SampleGenerator< Real >::sumAll().
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Definition at line 68 of file ROL_ExpUtility.hpp.
Referenced by ROL::ExpUtility< Real >::getHessVec(), ROL::ExpUtility< Real >::reset(), and ROL::ExpUtility< Real >::update().
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Definition at line 69 of file ROL_ExpUtility.hpp.
Referenced by ROL::ExpUtility< Real >::getGradient(), ROL::ExpUtility< Real >::getHessVec(), and ROL::ExpUtility< Real >::reset().
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Definition at line 70 of file ROL_ExpUtility.hpp.
Referenced by ROL::ExpUtility< Real >::getHessVec(), and ROL::ExpUtility< Real >::reset().
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Definition at line 71 of file ROL_ExpUtility.hpp.
Referenced by ROL::ExpUtility< Real >::reset().
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Definition at line 73 of file ROL_ExpUtility.hpp.
Referenced by ROL::ExpUtility< Real >::checkInputs(), ROL::ExpUtility< Real >::ExpUtility(), ROL::ExpUtility< Real >::getHessVec(), ROL::ExpUtility< Real >::getValue(), and ROL::ExpUtility< Real >::update().