ROL
ROL_MeanVarianceQuadrangle.hpp
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43 
44 #ifndef ROL_MEANVARIANCEQUAD_HPP
45 #define ROL_MEANVARIANCEQUAD_HPP
46 
47 #include "ROL_ExpectationQuad.hpp"
48 
75 namespace ROL {
76 
77 template<class Real>
79 private:
80  Real coeff_;
81 
82  void checkInputs(void) const {
83  Real zero(0);
84  TEUCHOS_TEST_FOR_EXCEPTION((coeff_ <= zero), std::invalid_argument,
85  ">>> ERROR (ROL::MeanVarianceQuadrangle): Coefficient must be positive!");
86  }
87 
88 public:
93  MeanVarianceQuadrangle(const Real coeff = 1)
94  : ExpectationQuad<Real>(), coeff_(coeff) {
95  checkInputs();
96  }
97 
106  MeanVarianceQuadrangle(Teuchos::ParameterList &parlist)
107  : ExpectationQuad<Real>() {
108  Teuchos::ParameterList &list
109  = parlist.sublist("SOL").sublist("Risk Measure").sublist("Mean-Variance Quadrangle");
110  coeff_ = list.get<Real>("Coefficient");
111  checkInputs();
112  }
113 
114  Real error(Real x, int deriv = 0) {
115  Real err(0), two(2);
116  if (deriv==0) {
117  err = coeff_*x*x;
118  }
119  else if (deriv==1) {
120  err = two*coeff_*x;
121  }
122  else {
123  err = two*coeff_;
124  }
125  return err;
126  }
127 
128  Real regret(Real x, int deriv = 0) {
129  Real zero(0), one(1);
130  Real X = ((deriv==0) ? x : ((deriv==1) ? one : zero));
131  Real reg = error(x,deriv) + X;
132  return reg;
133  }
134 
135 };
136 
137 }
138 #endif
MeanVarianceQuadrangle(Teuchos::ParameterList &parlist)
Constructor.
Real regret(Real x, int deriv=0)
Evaluate the scalar regret function at x.
Provides a general interface for risk measures generated through the expectation risk quadrangle...
MeanVarianceQuadrangle(const Real coeff=1)
Constructor.
Provides an interface for the mean plus variance risk measure using the expectation risk quadrangle...