/usr/include/trilinos/ROL_ChebyshevKusuoka.hpp is in libtrilinos-rol-dev 12.10.1-3.
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// Rapid Optimization Library (ROL) Package
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#ifndef ROL_CHEBYSHEVKUSUOKA_HPP
#define ROL_CHEBYSHEVKUSUOKA_HPP
#include "ROL_SpectralRisk.hpp"
#include "ROL_GaussChebyshev1Quadrature.hpp"
#include "ROL_GaussChebyshev2Quadrature.hpp"
#include "ROL_GaussChebyshev3Quadrature.hpp"
/** @ingroup risk_group
\class ROL::ChebyshevKusuoka
\brief Provides an interface for the Chebyshev-Kusuoka risk measure.
The Chebyshev-Kusuoka risk measure is defined as
\f[
\mathcal{R}(X) = \int_{\alpha_0}^{\alpha_1} w(\alpha)
\mathrm{CVaR}_{\alpha}(X) \,\mathrm{d}\alpha
\f]
where \f$0\le \alpha_0 < \alpha_1 < 1\f$ and the conditional value-at-risk
(CVaR) with confidence level \f$0\le \alpha < 1\f$ is
\f[
\mathrm{CVaR}_\alpha(X) = \inf_{t\in\mathbb{R}} \left\{
t + \frac{1}{1-\alpha} \mathbb{E}\left[(X-t)_+\right]
\right\}, \quad (x)_+ = \max\{0,x\}.
\f]
There are three choices of weight functions \f$w\f$: (i) the first weight
function generates the Chebyshev polynomials of the first kind and has
the specific form
\f[
w(x) = \frac{1}{\sqrt{(x-\alpha_0)(\alpha_1-x)}};
\f]
(ii) the second weight function generates the Chebyshev polynomials of the
second kind and has the specific form
\f[
w(x) = \sqrt{(x-\alpha_0)(\alpha_1-x)};
\f]
and (iii) the third weight function is related again to the Chebyshev
polynomials of the first kind and has the specific form
\f[
w(x) = \sqrt{\frac{x-\alpha_0}{\alpha_1-x}}.
\f]
As defined, \f$\mathcal{R}\f$ is a law-invariant coherent risk measure.
ROL implements \f$\mathcal{R}\f$ by approximating the integral with
the appropriate Gauss-Chebyshev quadrature rule. The corresponding
quadrature points and weights are then used to construct a
ROL::MixedQuantileQuadrangle risk measure.
When using derivative-based optimization, the user can provide a smooth
approximation of \f$(\cdot)_+\f$ using the ROL::PlusFunction class.
*/
namespace ROL {
template<class Real>
class ChebyshevKusuoka : public SpectralRisk<Real> {
private:
Teuchos::RCP<PlusFunction<Real> > plusFunction_;
Real lower_, upper_;
int nQuad_;
int wType_;
std::vector<Real> wts_;
std::vector<Real> pts_;
void checkInputs(void) const {
TEUCHOS_TEST_FOR_EXCEPTION(lower_ > upper_, std::invalid_argument,
">>> ERROR (ROL::ChebyshevKusuoka): Lower bound exceeds upper!");
TEUCHOS_TEST_FOR_EXCEPTION(lower_ < static_cast<Real>(0), std::invalid_argument,
">>> ERROR (ROL::ChebyshevKusuoka): Lower bound is less than zero!");
TEUCHOS_TEST_FOR_EXCEPTION(static_cast<Real>(1) < upper_, std::invalid_argument,
">>> ERROR (ROL::ChebyshevKusuoka): Upper bound is greater than one!");
TEUCHOS_TEST_FOR_EXCEPTION((wType_ < 1 || wType_ > 3), std::invalid_argument,
">>> ERROR (ROL::ChebyshevKusuoka): Weight must be 1, 2 or 3!");
TEUCHOS_TEST_FOR_EXCEPTION(plusFunction_ == Teuchos::null, std::invalid_argument,
">>> ERROR (ROL::ChebyshevKusuoka): PlusFunction pointer is null!");
}
void initialize(void) {
Teuchos::RCP<Quadrature1D<Real> > quad;
if ( wType_ == 1 ) {
quad = Teuchos::rcp(new GaussChebyshev1Quadrature<Real>(nQuad_));
}
else if ( wType_ == 2 ) {
quad = Teuchos::rcp(new GaussChebyshev2Quadrature<Real>(nQuad_));
}
else if ( wType_ == 3 ) {
quad = Teuchos::rcp(new GaussChebyshev3Quadrature<Real>(nQuad_));
}
// quad->test();
quad->get(pts_,wts_);
Real sum(0), half(0.5), one(1);
for (int i = 0; i < nQuad_; ++i) {
sum += wts_[i];
}
for (int i = 0; i < nQuad_; ++i) {
wts_[i] /= sum;
pts_[i] = lower_ + (upper_-lower_)*half*(pts_[i] + one);
}
SpectralRisk<Real>::buildMixedQuantile(pts_,wts_,plusFunction_);
}
public:
/** \brief Constructor.
@param[in] parlist is a parameter list specifying inputs
parlist should contain sublists "SOL"->"Risk Measure"->"Chebyshev-Kusuoka"
and the "Chebyshev-Kusuoka" sublist should have the following parameters
\li "Lower Bound" (between 0 and 1)
\li "Upper Bound" (between 0 and 1, greater than "Lower Bound")
\li "Weight Type" (either 1, 2, or 3)
\li "Number of Quadrature Points"
\li A sublist for plus function information.
*/
ChebyshevKusuoka( Teuchos::ParameterList &parlist )
: SpectralRisk<Real>() {
Teuchos::ParameterList &list
= parlist.sublist("SOL").sublist("Risk Measure").sublist("Chebyshev-Kusuoka");
// Grab confidence level and quadrature order
lower_ = list.get("Lower Bound",0.0);
upper_ = list.get("Upper Bound",1.0);
nQuad_ = list.get("Number of Quadrature Points",5);
wType_ = list.get("Weight Type",1);
plusFunction_ = Teuchos::rcp(new PlusFunction<Real>(list));
// Check inputs
checkInputs();
initialize();
}
/** \brief Constructor.
@param[in] lower is the lower confidence level (between 0 and 1)
@param[in] upper is the upper confidence level (between 0 and 1, greater than lower)
@param[in] nQuad is the number of quadrature points
@param[in] wType is the weight type (either 1, 2, or 3)
@param[in] pf is the plus function or an approximation
*/
ChebyshevKusuoka(const Real lower, const Real upper,
const int nQuad, const int wType,
const Teuchos::RCP<PlusFunction<Real> > &pf)
: RiskMeasure<Real>(), plusFunction_(pf),
lower_(lower), upper_(upper), nQuad_(nQuad), wType_(wType) {
// Check inputs
checkInputs();
initialize();
}
};
}
#endif
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