ROL
ROL_ExpectationQuad.hpp
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43 
44 #ifndef ROL_EXPECTATIONQUAD_HPP
45 #define ROL_EXPECTATIONQUAD_HPP
46 
47 #include "ROL_Types.hpp"
48 
84 namespace ROL {
85 
86 template<class Real>
87 class ExpectationQuad {
88 public:
89  virtual ~ExpectationQuad(void) {}
90  ExpectationQuad(void) {}
91 
99  virtual Real regret(Real x, int deriv = 0) = 0;
100 
108  virtual Real error(Real x, int deriv = 0) {
109  const Real one(1), zero(0);
110  Real X = (deriv==0 ? x : (deriv==1 ? one : zero));
111  return regret(x,deriv) - X;
112  }
113 
116  virtual void check(void) {
117  Real zero(0), half(0.5), two(2), one(1), oem3(1.e-3), fem4(5.e-4), p1(0.1);
118  // Check v(0) = 0
119  Real x = zero;
120  Real vx = regret(x,0);
121  std::cout << std::right << std::setw(20) << "CHECK REGRET: v(0) = 0? \n";
122  std::cout << std::right << std::setw(20) << "v(0)" << "\n";
123  std::cout << std::scientific << std::setprecision(11) << std::right
124  << std::setw(20) << std::abs(vx)
125  << "\n";
126  std::cout << "\n";
127  // Check v(x) > x
128  Real scale = two;
129  std::cout << std::right << std::setw(20) << "CHECK REGRET: x < v(x) for |x| > 0? \n";
130  std::cout << std::right << std::setw(20) << "x"
131  << std::right << std::setw(20) << "v(x)"
132  << "\n";
133  for (int i = 0; i < 10; i++) {
134  x = scale*(Real)rand()/(Real)RAND_MAX - scale*half;
135  vx = regret(x,0);
136  std::cout << std::scientific << std::setprecision(11) << std::right
137  << std::setw(20) << x
138  << std::setw(20) << vx
139  << "\n";
140  scale *= two;
141  }
142  std::cout << "\n";
143  // Check v(x) is convex
144  Real y = zero;
145  Real vy = zero;
146  Real z = zero;
147  Real vz = zero;
148  Real l = zero;
149  scale = two;
150  std::cout << std::right << std::setw(20) << "CHECK REGRET: v(x) is convex? \n";
151  std::cout << std::right << std::setw(20) << "v(l*x+(1-l)*y)"
152  << std::setw(20) << "l*v(x)+(1-l)*v(y)"
153  << "\n";
154  for (int i = 0; i < 10; i++) {
155  x = scale*(Real)rand()/(Real)RAND_MAX - scale*half;
156  vx = regret(x,0);
157  y = scale*(Real)rand()/(Real)RAND_MAX - scale*half;
158  vy = regret(y,0);
159  l = (Real)rand()/(Real)RAND_MAX;
160  z = l*x + (one-l)*y;
161  vz = regret(z,0);
162  std::cout << std::scientific << std::setprecision(11) << std::right
163  << std::setw(20) << vz
164  << std::setw(20) << l*vx + (one-l)*vy
165  << "\n";
166  scale *= two;
167  }
168  std::cout << "\n";
169  // Check v'(x)
170  x = oem3*(Real)rand()/(Real)RAND_MAX - fem4;
171  vx = regret(x,0);
172  Real dv = regret(x,1);
173  Real t = one;
174  Real diff = zero;
175  Real err = zero;
176  std::cout << std::right << std::setw(20) << "CHECK REGRET: v'(x) is correct? \n";
177  std::cout << std::right << std::setw(20) << "t"
178  << std::setw(20) << "v'(x)"
179  << std::setw(20) << "(v(x+t)-v(x))/t"
180  << std::setw(20) << "Error"
181  << "\n";
182  for (int i = 0; i < 13; i++) {
183  y = x + t;
184  vy = regret(y,0);
185  diff = (vy-vx)/t;
186  err = std::abs(diff-dv);
187  std::cout << std::scientific << std::setprecision(11) << std::right
188  << std::setw(20) << t
189  << std::setw(20) << dv
190  << std::setw(20) << diff
191  << std::setw(20) << err
192  << "\n";
193  t *= p1;
194  }
195  std::cout << "\n";
196  // Check v''(x)
197  x = oem3*(Real)rand()/(Real)RAND_MAX - fem4;
198  vx = regret(x,1);
199  dv = regret(x,2);
200  t = one;
201  diff = zero;
202  err = zero;
203  std::cout << std::right << std::setw(20) << "CHECK REGRET: v''(x) is correct? \n";
204  std::cout << std::right << std::setw(20) << "t"
205  << std::setw(20) << "v''(x)"
206  << std::setw(20) << "(v'(x+t)-v'(x))/t"
207  << std::setw(20) << "Error"
208  << "\n";
209  for (int i = 0; i < 13; i++) {
210  y = x + t;
211  vy = regret(y,1);
212  diff = (vy-vx)/t;
213  err = std::abs(diff-dv);
214  std::cout << std::scientific << std::setprecision(11) << std::right
215  << std::setw(20) << t
216  << std::setw(20) << dv
217  << std::setw(20) << diff
218  << std::setw(20) << err
219  << "\n";
220  t *= p1;
221  }
222  std::cout << "\n";
223  }
224 };
225 
226 }
227 
228 #endif
zero
Objective_SerialSimOpt(const Ptr< Obj > &obj, const V &ui) z0_ zero()
Definition: ROL_Objective_SerialSimOpt.hpp:163
ROL::ExpectationQuad
Provides a general interface for risk and error measures generated through the expectation risk quadr...
Definition: ROL_ExpectationQuad.hpp:87
ROL::ExpectationQuad::check
virtual void check(void)
Run default derivative tests for the scalar regret function.
Definition: ROL_ExpectationQuad.hpp:116
ROL_Types.hpp
Contains definitions of custom data types in ROL.
ROL
Definition: ROL_ElementwiseVector.hpp:61
ROL::ExpectationQuad::regret
virtual Real regret(Real x, int deriv=0)=0
Evaluate the scalar regret function at x.
ROL::ExpectationQuad::~ExpectationQuad
virtual ~ExpectationQuad(void)
Definition: ROL_ExpectationQuad.hpp:89
ROL::ExpectationQuad::error
virtual Real error(Real x, int deriv=0)
Evaluate the scalar error function at x.
Definition: ROL_ExpectationQuad.hpp:108
ROL::ExpectationQuad::ExpectationQuad
ExpectationQuad(void)
Definition: ROL_ExpectationQuad.hpp:90
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