/usr/include/trilinos/ROL_RiskMeasureFactory.hpp is in libtrilinos-rol-dev 12.10.1-3.
This file is owned by root:root, with mode 0o644.
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// ************************************************************************
//
// Rapid Optimization Library (ROL) Package
// Copyright (2014) Sandia Corporation
//
// Under terms of Contract DE-AC04-94AL85000, there is a non-exclusive
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// modification, are permitted provided that the following conditions are
// met:
//
// 1. Redistributions of source code must retain the above copyright
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//
// 2. Redistributions in binary form must reproduce the above copyright
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// documentation and/or other materials provided with the distribution.
//
// 3. Neither the name of the Corporation nor the names of the
// contributors may be used to endorse or promote products derived from
// this software without specific prior written permission.
//
// THIS SOFTWARE IS PROVIDED BY SANDIA CORPORATION "AS IS" AND ANY
// EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
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// Questions? Contact lead developers:
// Drew Kouri (dpkouri@sandia.gov) and
// Denis Ridzal (dridzal@sandia.gov)
//
// ************************************************************************
// @HEADER
#ifndef ROL_RISKMEASUREFACTORY_HPP
#define ROL_RISKMEASUREFACTORY_HPP
#include "Teuchos_ParameterList.hpp"
#include "ROL_Types.hpp"
// Standard Risk Measure Implementations
#include "ROL_CVaR.hpp"
#include "ROL_CoherentExpUtility.hpp"
#include "ROL_ExpUtility.hpp"
#include "ROL_HMCR.hpp"
#include "ROL_MeanDeviationFromTarget.hpp"
#include "ROL_MeanDeviation.hpp"
#include "ROL_MeanVarianceFromTarget.hpp"
#include "ROL_MeanVariance.hpp"
#include "ROL_MoreauYosidaCVaR.hpp"
// Risk Quadrangle Risk Measure Implementations
#include "ROL_LogExponentialQuadrangle.hpp"
#include "ROL_LogQuantileQuadrangle.hpp"
#include "ROL_MeanVarianceQuadrangle.hpp"
#include "ROL_MixedQuantileQuadrangle.hpp"
#include "ROL_SuperQuantileQuadrangle.hpp"
#include "ROL_ChebyshevKusuoka.hpp"
#include "ROL_SpectralRisk.hpp"
#include "ROL_QuantileQuadrangle.hpp"
#include "ROL_QuantileRadiusQuadrangle.hpp"
#include "ROL_SmoothedWorstCaseQuadrangle.hpp"
#include "ROL_TruncatedMeanQuadrangle.hpp"
// F-Divergence Distributionally Robust Risk Measure Implementations
#include "ROL_Chi2Divergence.hpp"
#include "ROL_KLDivergence.hpp"
namespace ROL {
enum ERiskMeasure {
RISKMEASURE_CVAR = 0,
RISKMEASURE_COHERENTEXPUTILITY,
RISKMEASURE_EXPUTILITY,
RISKMEASURE_HMCR,
RISKMEASURE_MEANDEVIATIONFROMTARGET,
RISKMEASURE_MEANDEVIATION,
RISKMEASURE_MEANVARIANCEFROMTARGET,
RISKMEASURE_MEANVARIANCE,
RISKMEASURE_MOREAUYOSIDACVAR,
RISKMEASURE_LOGEXPONENTIALQUADRANGLE,
RISKMEASURE_LOGQUANTILEQUADRANGLE,
RISKMEASURE_MEANVARIANCEQUADRANGLE,
RISKMEASURE_MIXEDQUANTILEQUADRANGLE,
RISKMEASURE_QUANTILEQUADRANGLE,
RISKMEASURE_QUANTILERADIUSQUADRANGLE,
RISKMEASURE_SMOOTHEDWORSTCASEQUADRANGLE,
RISKMEASURE_SUPERQUANTILEQUADRANGLE,
RISKMEASURE_CHEBYSHEVKUSUOKA,
RISKMEASURE_SPECTRALRISK,
RISKMEASURE_TRUNCATEDMEANQUADRANGLE,
RISKMEASURE_CHI2DIVERGENCE,
RISKMEASURE_KLDIVERGENCE,
RISKMEASURE_LAST
};
inline std::string ERiskMeasureToString(ERiskMeasure ed) {
std::string retString;
switch(ed) {
case RISKMEASURE_CVAR:
retString = "CVaR"; break;
case RISKMEASURE_COHERENTEXPUTILITY:
retString = "Coherent Exponential Utility"; break;
case RISKMEASURE_EXPUTILITY:
retString = "Exponential Utility"; break;
case RISKMEASURE_HMCR:
retString = "HMCR"; break;
case RISKMEASURE_MEANDEVIATIONFROMTARGET:
retString = "Mean Plus Deviation From Target"; break;
case RISKMEASURE_MEANDEVIATION:
retString = "Mean Plus Deviation"; break;
case RISKMEASURE_MEANVARIANCEFROMTARGET:
retString = "Mean Plus Variance From Target"; break;
case RISKMEASURE_MEANVARIANCE:
retString = "Mean Plus Variance"; break;
case RISKMEASURE_MOREAUYOSIDACVAR:
retString = "Moreau-Yosida CVaR"; break;
case RISKMEASURE_LOGEXPONENTIALQUADRANGLE:
retString = "Log-Exponential Quadrangle"; break;
case RISKMEASURE_LOGQUANTILEQUADRANGLE:
retString = "Log-Quantile Quadrangle"; break;
case RISKMEASURE_MEANVARIANCEQUADRANGLE:
retString = "Mean-Variance Quadrangle"; break;
case RISKMEASURE_MIXEDQUANTILEQUADRANGLE:
retString = "Mixed-Quantile Quadrangle"; break;
case RISKMEASURE_SUPERQUANTILEQUADRANGLE:
retString = "Super Quantile Quadrangle"; break;
case RISKMEASURE_CHEBYSHEVKUSUOKA:
retString = "Chebyshev-Kusuoka"; break;
case RISKMEASURE_SPECTRALRISK:
retString = "Spectral Risk"; break;
case RISKMEASURE_QUANTILEQUADRANGLE:
retString = "Quantile-Based Quadrangle"; break;
case RISKMEASURE_QUANTILERADIUSQUADRANGLE:
retString = "Quantile-Radius Quadrangle"; break;
case RISKMEASURE_SMOOTHEDWORSTCASEQUADRANGLE:
retString = "Smoothed Worst-Case Quadrangle"; break;
case RISKMEASURE_TRUNCATEDMEANQUADRANGLE:
retString = "Truncated Mean Quadrangle"; break;
case RISKMEASURE_CHI2DIVERGENCE:
retString = "Chi-Squared Divergence"; break;
case RISKMEASURE_KLDIVERGENCE:
retString = "KL Divergence"; break;
case RISKMEASURE_LAST:
retString = "Last Type (Dummy)"; break;
default:
retString = "INVALID ERiskMeasure"; break;
}
return retString;
}
inline int isValidRiskMeasure(ERiskMeasure ed) {
return( (ed == RISKMEASURE_CVAR) ||
(ed == RISKMEASURE_COHERENTEXPUTILITY) ||
(ed == RISKMEASURE_EXPUTILITY) ||
(ed == RISKMEASURE_HMCR) ||
(ed == RISKMEASURE_MEANDEVIATIONFROMTARGET) ||
(ed == RISKMEASURE_MEANDEVIATION) ||
(ed == RISKMEASURE_MEANVARIANCEFROMTARGET) ||
(ed == RISKMEASURE_MEANVARIANCE) ||
(ed == RISKMEASURE_MOREAUYOSIDACVAR) ||
(ed == RISKMEASURE_LOGEXPONENTIALQUADRANGLE) ||
(ed == RISKMEASURE_LOGQUANTILEQUADRANGLE) ||
(ed == RISKMEASURE_MEANVARIANCEQUADRANGLE) ||
(ed == RISKMEASURE_MIXEDQUANTILEQUADRANGLE) ||
(ed == RISKMEASURE_SUPERQUANTILEQUADRANGLE) ||
(ed == RISKMEASURE_CHEBYSHEVKUSUOKA) ||
(ed == RISKMEASURE_SPECTRALRISK) ||
(ed == RISKMEASURE_QUANTILEQUADRANGLE) ||
(ed == RISKMEASURE_QUANTILERADIUSQUADRANGLE) ||
(ed == RISKMEASURE_SMOOTHEDWORSTCASEQUADRANGLE) ||
(ed == RISKMEASURE_TRUNCATEDMEANQUADRANGLE) ||
(ed == RISKMEASURE_CHI2DIVERGENCE) ||
(ed == RISKMEASURE_KLDIVERGENCE) );
}
inline ERiskMeasure & operator++(ERiskMeasure &type) {
return type = static_cast<ERiskMeasure>(type+1);
}
inline ERiskMeasure operator++(ERiskMeasure &type, int) {
ERiskMeasure oldval = type;
++type;
return oldval;
}
inline ERiskMeasure & operator--(ERiskMeasure &type) {
return type = static_cast<ERiskMeasure>(type-1);
}
inline ERiskMeasure operator--(ERiskMeasure &type, int) {
ERiskMeasure oldval = type;
--type;
return oldval;
}
inline ERiskMeasure StringToERiskMeasure(std::string s) {
s = removeStringFormat(s);
for ( ERiskMeasure tr = RISKMEASURE_CVAR; tr < RISKMEASURE_LAST; tr++ ) {
if ( !s.compare(removeStringFormat(ERiskMeasureToString(tr))) ) {
return tr;
}
}
return RISKMEASURE_LAST;
}
template<class Real>
inline Teuchos::RCP<RiskMeasure<Real> > RiskMeasureFactory(Teuchos::ParameterList &parlist) {
std::string risk = parlist.sublist("SOL").sublist("Risk Measure").get("Name","CVaR");
ERiskMeasure ed = StringToERiskMeasure(risk);
switch(ed) {
case RISKMEASURE_CVAR:
return Teuchos::rcp(new CVaR<Real>(parlist));
case RISKMEASURE_COHERENTEXPUTILITY:
return Teuchos::rcp(new CoherentExpUtility<Real>());
case RISKMEASURE_EXPUTILITY:
return Teuchos::rcp(new ExpUtility<Real>(parlist));
case RISKMEASURE_HMCR:
return Teuchos::rcp(new HMCR<Real>(parlist));
case RISKMEASURE_MEANDEVIATIONFROMTARGET:
return Teuchos::rcp(new MeanDeviationFromTarget<Real>(parlist));
case RISKMEASURE_MEANDEVIATION:
return Teuchos::rcp(new MeanDeviation<Real>(parlist));
case RISKMEASURE_MEANVARIANCEFROMTARGET:
return Teuchos::rcp(new MeanVarianceFromTarget<Real>(parlist));
case RISKMEASURE_MEANVARIANCE:
return Teuchos::rcp(new MeanVariance<Real>(parlist));
case RISKMEASURE_MOREAUYOSIDACVAR:
return Teuchos::rcp(new MoreauYosidaCVaR<Real>(parlist));
case RISKMEASURE_LOGEXPONENTIALQUADRANGLE:
return Teuchos::rcp(new LogExponentialQuadrangle<Real>(parlist));
case RISKMEASURE_LOGQUANTILEQUADRANGLE:
return Teuchos::rcp(new LogQuantileQuadrangle<Real>(parlist));
case RISKMEASURE_MEANVARIANCEQUADRANGLE:
return Teuchos::rcp(new MeanVarianceQuadrangle<Real>(parlist));
case RISKMEASURE_MIXEDQUANTILEQUADRANGLE:
return Teuchos::rcp(new MixedQuantileQuadrangle<Real>(parlist));
case RISKMEASURE_SUPERQUANTILEQUADRANGLE:
return Teuchos::rcp(new SuperQuantileQuadrangle<Real>(parlist));
case RISKMEASURE_CHEBYSHEVKUSUOKA:
return Teuchos::rcp(new ChebyshevKusuoka<Real>(parlist));
case RISKMEASURE_SPECTRALRISK:
return Teuchos::rcp(new SpectralRisk<Real>(parlist));
case RISKMEASURE_QUANTILEQUADRANGLE:
return Teuchos::rcp(new QuantileQuadrangle<Real>(parlist));
case RISKMEASURE_QUANTILERADIUSQUADRANGLE:
return Teuchos::rcp(new QuantileRadiusQuadrangle<Real>(parlist));
case RISKMEASURE_SMOOTHEDWORSTCASEQUADRANGLE:
return Teuchos::rcp(new SmoothedWorstCaseQuadrangle<Real>(parlist));
case RISKMEASURE_TRUNCATEDMEANQUADRANGLE:
return Teuchos::rcp(new TruncatedMeanQuadrangle<Real>(parlist));
case RISKMEASURE_CHI2DIVERGENCE:
return Teuchos::rcp(new Chi2Divergence<Real>(parlist));
case RISKMEASURE_KLDIVERGENCE:
return Teuchos::rcp(new KLDivergence<Real>(parlist));
default:
TEUCHOS_TEST_FOR_EXCEPTION(true,std::invalid_argument,
"Invalid risk measure type " << risk << "!");
}
}
}
#endif
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