ROL
Public Member Functions | Private Member Functions | Private Attributes | List of all members
ROL::ExpUtility< Real > Class Template Reference

Provides an interface for the entropic risk. More...

#include <ROL_ExpUtility.hpp>

+ Inheritance diagram for ROL::ExpUtility< Real >:

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...
 
- Public Member Functions inherited from ROL::RiskMeasure< Real >
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

- Protected Attributes inherited from ROL::RiskMeasure< Real >
Real val_
 
Real gv_
 
Teuchos::RCP< Vector< Real > > g_
 
Teuchos::RCP< Vector< Real > > hv_
 
Teuchos::RCP< Vector< Real > > dualVector_
 
bool firstReset_
 

Detailed Description

template<class Real>
class ROL::ExpUtility< Real >

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.

Constructor & Destructor Documentation

◆ ExpUtility() [1/2]

template<class Real >
ROL::ExpUtility< Real >::ExpUtility ( const Real  coeff = 1)
inline

Constructor.

Parameters
[in]coeffis the scale parameter \(\lambda\)

Definition at line 86 of file ROL_ExpUtility.hpp.

References ROL::ExpUtility< Real >::checkInputs().

◆ ExpUtility() [2/2]

template<class Real >
ROL::ExpUtility< Real >::ExpUtility ( Teuchos::ParameterList &  parlist)
inline

Constructor.

Parameters
[in]parlistis a parameter list specifying inputs

parlist should contain sublists "SOL"->"Risk Measures"->"Exponential Utility" and withing the "Exponential Utility" sublist should have

  • "Rate" (greater than 0).

Definition at line 99 of file ROL_ExpUtility.hpp.

References ROL::ExpUtility< Real >::checkInputs(), and ROL::ExpUtility< Real >::coeff_.

Member Function Documentation

◆ checkInputs()

template<class Real >
void ROL::ExpUtility< Real >::checkInputs ( void  ) const
inlineprivate

Definition at line 75 of file ROL_ExpUtility.hpp.

References ROL::ExpUtility< Real >::coeff_.

Referenced by ROL::ExpUtility< Real >::ExpUtility().

◆ reset() [1/2]

template<class Real >
void ROL::ExpUtility< Real >::reset ( Teuchos::RCP< Vector< Real > > &  x0,
const Vector< Real > &  x 
)
inlinevirtual

Reset internal risk measure storage. Called for value and gradient computation.

Parameters
[out]x0is a user-provided optimization vector
[in]xis 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().

◆ reset() [2/2]

template<class Real >
void ROL::ExpUtility< Real >::reset ( Teuchos::RCP< Vector< Real > > &  x0,
const Vector< Real > &  x,
Teuchos::RCP< Vector< Real > > &  v0,
const Vector< Real > &  v 
)
inlinevirtual

Reset internal risk measure storage. Called for Hessian-times-a-vector computation.

Parameters
[out]x0is a user-provided optimization vector
[in]xis a (potentially) augmented risk vector
[out]v0is a user-provided direction vector
[in]vis 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().

◆ update() [1/3]

template<class Real >
void ROL::ExpUtility< Real >::update ( const Real  val,
const Real  weight 
)
inlinevirtual

Update internal risk measure storage for value computation.

Parameters
[in]valis the value of the random variable objective function at the current sample point
[in]weightis 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_.

◆ getValue()

template<class Real >
Real ROL::ExpUtility< Real >::getValue ( SampleGenerator< Real > &  sampler)
inlinevirtual

Return risk measure value.

Parameters
[in]sampleris 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().

◆ update() [2/3]

template<class Real >
void ROL::ExpUtility< Real >::update ( const Real  val,
const Vector< Real > &  g,
const Real  weight 
)
inlinevirtual

Update internal risk measure storage for gradient computation.

Parameters
[in]valis the value of the random variable objective function at the current sample point
[in]gis the gradient of the random variable objective function at the current sample point
[in]weightis 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_.

◆ getGradient()

template<class Real >
void ROL::ExpUtility< Real >::getGradient ( Vector< Real > &  g,
SampleGenerator< Real > &  sampler 
)
inlinevirtual

Return risk measure (sub)gradient.

Parameters
[out]gis the (sub)gradient of the risk measure
[in]sampleris 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().

◆ update() [3/3]

template<class Real >
void ROL::ExpUtility< Real >::update ( const Real  val,
const Vector< Real > &  g,
const Real  gv,
const Vector< Real > &  hv,
const Real  weight 
)
inlinevirtual

Update internal risk measure storage for Hessian-time-a-vector computation.

Parameters
[in]valis the value of the random variable objective function at the current sample point
[in]gis the gradient of the random variable objective function at the current sample point
[in]gvis the gradient of the random variable objective function at the current sample point applied to the vector v0
[in]hvis the Hessian of the random variable objective function at the current sample point applied to the vector v0
[in]weightis 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_.

◆ getHessVec()

template<class Real >
void ROL::ExpUtility< Real >::getHessVec ( Vector< Real > &  hv,
SampleGenerator< Real > &  sampler 
)
inlinevirtual

Return risk measure Hessian-times-a-vector.

Parameters
[out]hvis the Hessian-times-a-vector of the risk measure
[in]sampleris 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().

Member Data Documentation

◆ scaledGradient_

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::ExpUtility< Real >::scaledGradient_
private

◆ dualVector1_

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::ExpUtility< Real >::dualVector1_
private

◆ dualVector2_

template<class Real >
Teuchos::RCP<Vector<Real> > ROL::ExpUtility< Real >::dualVector2_
private

◆ firstReset_

template<class Real >
bool ROL::ExpUtility< Real >::firstReset_
private

Definition at line 71 of file ROL_ExpUtility.hpp.

Referenced by ROL::ExpUtility< Real >::reset().

◆ coeff_

template<class Real >
Real ROL::ExpUtility< Real >::coeff_
private

The documentation for this class was generated from the following file: