ROL
ROL_LogExponentialQuadrangle.hpp
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43
44#ifndef ROL_LOGEXPONENTIALQUAD_HPP
45#define ROL_LOGEXPONENTIALQUAD_HPP
46
48
78namespace ROL {
79
80template<class Real>
82private:
83 Real coeff_;
84
85 void parseParameterList(ROL::ParameterList &parlist) {
86 std::string type = parlist.sublist("SOL").get("Type","Risk Averse");
87 ROL::ParameterList list;
88 if (type == "Risk Averse") {
89 list = parlist.sublist("SOL").sublist("Risk Measure").sublist("Entropic Risk");
90 }
91 else if (type == "Error") {
92 list = parlist.sublist("SOL").sublist("Error Measure").sublist("Exponential");
93 }
94 else if (type == "Deviation") {
95 list = parlist.sublist("SOL").sublist("Deviation Measure").sublist("Entropic");
96 }
97 else if (type == "Regret") {
98 list = parlist.sublist("SOL").sublist("Regret Measure").sublist("Exponential");
99 }
100 coeff_ = list.get<Real>("Rate");
101 }
102
103 void checkInputs(void) const {
104 Real zero(0);
105 ROL_TEST_FOR_EXCEPTION((coeff_ <= zero), std::invalid_argument,
106 ">>> ERROR (ROL::LogExponentialQuadrangle): Rate must be positive!");
107 }
108
109public:
114 LogExponentialQuadrangle(const Real coeff = 1)
115 : ExpectationQuad<Real>(), coeff_(coeff) {
116 checkInputs();
117 }
118
127 LogExponentialQuadrangle(ROL::ParameterList &parlist)
128 : ExpectationQuad<Real>() {
129 parseParameterList(parlist);
130 checkInputs();
131 }
132
133 Real error(Real x, int deriv = 0) {
134 Real err(0), one(1), cx = coeff_*x;
135 if (deriv==0) {
136 err = (std::exp(cx) - cx - one)/coeff_;
137 }
138 else if (deriv==1) {
139 err = std::exp(cx) - one;
140 }
141 else {
142 err = coeff_*std::exp(cx);
143 }
144 return err;
145 }
146
147 Real regret(Real x, int deriv = 0) {
148 Real zero(0), one(1);
149 Real X = ((deriv==0) ? x : ((deriv==1) ? one : zero));
150 Real reg = error(x,deriv) + X;
151 return reg;
152 }
153
154};
155
156}
157#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 entropic risk using the expectation risk quadrangle.
void parseParameterList(ROL::ParameterList &parlist)
Real error(Real x, int deriv=0)
Evaluate the scalar error function at x.
LogExponentialQuadrangle(const Real coeff=1)
Constructor.
Real regret(Real x, int deriv=0)
Evaluate the scalar regret function at x.
LogExponentialQuadrangle(ROL::ParameterList &parlist)
Constructor.