ROL
ROL_MeanVarianceQuadrangle.hpp
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43
44#ifndef ROL_MEANVARIANCEQUAD_HPP
45#define ROL_MEANVARIANCEQUAD_HPP
46
48
75namespace ROL {
76
77template<class Real>
79private:
80 Real coeff_;
81
82 void parseParameterList(ROL::ParameterList &parlist) {
83 std::string type = parlist.sublist("SOL").get("Type","Risk Averse");
84 ROL::ParameterList list;
85 if (type == "Risk Averse") {
86 list = parlist.sublist("SOL").sublist("Risk Measure").sublist("Safety Margin");
87 }
88 else if (type == "Regret") {
89 list = parlist.sublist("SOL").sublist("Regret Measure").sublist("Mean L2");
90 }
91 else if (type == "Error" || type == "Deviation") {
92 coeff_ = static_cast<Real>(1);
93 return;
94 }
95 coeff_ = list.get<Real>("Coefficient");
96 }
97
98 void checkInputs(void) const {
99 Real zero(0);
100 ROL_TEST_FOR_EXCEPTION((coeff_ <= zero), std::invalid_argument,
101 ">>> ERROR (ROL::MeanVarianceQuadrangle): Coefficient must be positive!");
102 }
103
104public:
109 MeanVarianceQuadrangle(const Real coeff = 1)
110 : ExpectationQuad<Real>(), coeff_(coeff) {
111 checkInputs();
112 }
113
122 MeanVarianceQuadrangle(ROL::ParameterList &parlist)
123 : ExpectationQuad<Real>() {
124 parseParameterList(parlist);
125 checkInputs();
126 }
127
128 Real error(Real x, int deriv = 0) {
129 Real err(0), two(2);
130 if (deriv==0) {
131 err = coeff_*x*x;
132 }
133 else if (deriv==1) {
134 err = two*coeff_*x;
135 }
136 else {
137 err = two*coeff_;
138 }
139 return err;
140 }
141
142 Real regret(Real x, int deriv = 0) {
143 Real zero(0), one(1);
144 Real X = ((deriv==0) ? x : ((deriv==1) ? one : zero));
145 Real reg = error(x,deriv) + X;
146 return reg;
147 }
148
149};
150
151}
152#endif
Objective_SerialSimOpt(const Ptr< Obj > &obj, const V &ui) z0_ zero()
Provides a general interface for risk and error measures generated through the expectation risk quadr...
Provides an interface for the mean plus variance risk measure using the expectation risk quadrangle.
Real error(Real x, int deriv=0)
Evaluate the scalar error function at x.
MeanVarianceQuadrangle(ROL::ParameterList &parlist)
Constructor.
Real regret(Real x, int deriv=0)
Evaluate the scalar regret function at x.
MeanVarianceQuadrangle(const Real coeff=1)
Constructor.
void parseParameterList(ROL::ParameterList &parlist)