ROL_RiskMeasure.hpp

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// @HEADER
// *****************************************************************************
//               Rapid Optimization Library (ROL) Package
//
// Copyright 2014 NTESS and the ROL contributors.
// SPDX-License-Identifier: BSD-3-Clause
// *****************************************************************************
// @HEADER
 
#ifndef ROL_RISKMEASURE_HPP
#define ROL_RISKMEASURE_HPP
 
#include "ROL_RiskVector.hpp"

 
namespace ROL {
 
template<class Real>
class RiskMeasure {
protected:
  Real val_;
  Real gv_;
  ROL::Ptr<Vector<Real> > g_;
  ROL::Ptr<Vector<Real> > hv_;
  ROL::Ptr<Vector<Real> > dualVector_;
  bool firstReset_;
 
  int comp_;
  int index_;
 
public:
  virtual ~RiskMeasure() {}
 
  RiskMeasure(void) : val_(0), gv_(0), firstReset_(true),
                      comp_(0), index_(0) {}
 
  void setRiskVectorInfo(const int comp, const int index) {
    comp_ = comp;
    index_ = index;
  }
 
  int getComponent(void) const {
    return comp_;
  }
 
  int getIndex(void) const {
    return index_;
  }

  virtual void reset(ROL::Ptr<Vector<Real> > &x0, const Vector<Real> &x) {
    x0 = ROL::constPtrCast<Vector<Real> >(
         dynamic_cast<const RiskVector<Real>&>(x).getVector());
    // Create memory for class members
    if ( firstReset_ ) {
      g_  = (x0->dual()).clone();
      hv_ = (x0->dual()).clone();
      dualVector_ = (x0->dual()).clone();
      firstReset_ = false;
    }
    // Zero member variables
    const Real zero(0);
    val_ = zero; gv_ = zero;
    g_->zero(); hv_->zero(); dualVector_->zero();
  }

  virtual void reset(ROL::Ptr<Vector<Real> > &x0, const Vector<Real> &x,
                     ROL::Ptr<Vector<Real> > &v0, const Vector<Real> &v) {
    reset(x0,x);
    // Get vector component of v.  This is important for CVaR.
    v0 = ROL::constPtrCast<Vector<Real> >(
         dynamic_cast<const RiskVector<Real>&>(v).getVector());
  }

  virtual void update(const Real val, const Real weight) {
    val_ += weight * val;
  }

  virtual void update(const Real val, const Vector<Real> &g, const Real weight) {
    g_->axpy(weight,g);
  }

  virtual void update(const Real val, const Vector<Real> &g, const Real gv, const Vector<Real> &hv,
                      const Real weight) {
    hv_->axpy(weight,hv);
  }

  virtual Real getValue(SampleGenerator<Real> &sampler) {
    Real val(0);
    sampler.sumAll(&val_,&val,1);
    return val;
  }

  virtual void getGradient(Vector<Real> &g, SampleGenerator<Real> &sampler) {
    sampler.sumAll(*g_,*dualVector_);
    (dynamic_cast<RiskVector<Real>&>(g)).setVector(*dualVector_);
  }

  virtual void getHessVec(Vector<Real> &hv, SampleGenerator<Real> &sampler) {
    sampler.sumAll(*hv_,*dualVector_);
    (dynamic_cast<RiskVector<Real>&>(hv)).setVector(*dualVector_);
  }
};
 
}
 
#endif