ROL
ROL_SecondOrderCVaR.hpp
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43
44#ifndef ROL_SUPERQUANTILEQUADRANGLE_HPP
45#define ROL_SUPERQUANTILEQUADRANGLE_HPP
46
47#include "ROL_SpectralRisk.hpp"
48#include "ROL_GaussLegendreQuadrature.hpp"
49#include "ROL_Fejer2Quadrature.hpp"
50
82namespace ROL {
83
84template<class Real>
85class SecondOrderCVaR : public SpectralRisk<Real> {
86private:
87 ROL::Ptr<PlusFunction<Real> > plusFunction_;
88
89 Real alpha_;
90 int nQuad_;
92
93 std::vector<Real> wts_;
94 std::vector<Real> pts_;
95
96 void checkInputs(void) const {
97 ROL_TEST_FOR_EXCEPTION((alpha_ < 0 || alpha_ >= 1), std::invalid_argument,
98 ">>> ERROR (ROL::SecondOrderCVaR): Confidence level not between 0 and 1!");
99 ROL_TEST_FOR_EXCEPTION(plusFunction_ == ROL::nullPtr, std::invalid_argument,
100 ">>> ERROR (ROL::SecondOrderCVaR): PlusFunction pointer is null!");
101 }
102
103 void initializeQuad(void) {
104 ROL::Ptr<Quadrature1D<Real> > quad;
105 if ( useGauss_ ) {
106 quad = ROL::makePtr<GaussLegendreQuadrature<Real>>(nQuad_);
107 }
108 else {
109 quad = ROL::makePtr<Fejer2Quadrature<Real>>(nQuad_);
110 }
111 // quad->test();
112 quad->get(pts_,wts_);
113 Real sum(0), half(0.5), one(1);
114 for (int i = 0; i < nQuad_; ++i) {
115 sum += wts_[i];
116 }
117 for (int i = 0; i < nQuad_; ++i) {
118 wts_[i] /= sum;
119 pts_[i] = one - alpha_*(half*(pts_[i] + one));
120 }
122 }
123
124public:
125
126 SecondOrderCVaR( ROL::ParameterList &parlist )
127 : SpectralRisk<Real>() {
128 ROL::ParameterList &list
129 = parlist.sublist("SOL").sublist("Risk Measure").sublist("Second Order CVaR");
130 // Grab confidence level and quadrature order
131 alpha_ = list.get<Real>("Confidence Level");
132 nQuad_ = list.get("Number of Quadrature Points",5);
133 useGauss_ = list.get("Use Gauss-Legendre Quadrature",true);
134 plusFunction_ = ROL::makePtr<PlusFunction<Real>>(list);
135 // Check inputs
136 checkInputs();
138 }
139
140 SecondOrderCVaR(const Real alpha,
141 const int nQuad,
142 const ROL::Ptr<PlusFunction<Real> > &pf,
143 const bool useGauss = true)
144 : SpectralRisk<Real>(), plusFunction_(pf),
145 alpha_(alpha), nQuad_(nQuad), useGauss_(useGauss) {
146 // Check inputs
147 checkInputs();
149 }
150};
151
152}
153
154#endif
Provides an interface for the risk measure associated with the super quantile quadrangle.
SecondOrderCVaR(ROL::ParameterList &parlist)
SecondOrderCVaR(const Real alpha, const int nQuad, const ROL::Ptr< PlusFunction< Real > > &pf, const bool useGauss=true)
std::vector< Real > pts_
std::vector< Real > wts_
ROL::Ptr< PlusFunction< Real > > plusFunction_
void checkInputs(void) const
Provides an interface for spectral risk measures.
void buildMixedQuantile(const std::vector< Real > &pts, const std::vector< Real > &wts, const ROL::Ptr< PlusFunction< Real > > &pf)