libtrilinos-rol-dev 12.10.1-3 / usr / include / trilinos / ROL_SmoothedWorstCaseQuadrangle.hpp

// @HEADER
// ************************************************************************
//
//               Rapid Optimization Library (ROL) Package
//                 Copyright (2014) Sandia Corporation
//
// Under terms of Contract DE-AC04-94AL85000, there is a non-exclusive
// license for use of this work by or on behalf of the U.S. Government.
//
// Redistribution and use in source and binary forms, with or without
// modification, are permitted provided that the following conditions are
// met:
//
// 1. Redistributions of source code must retain the above copyright
// notice, this list of conditions and the following disclaimer.
//
// 2. Redistributions in binary form must reproduce the above copyright
// notice, this list of conditions and the following disclaimer in the
// 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
// IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR
// PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL SANDIA CORPORATION OR THE
// CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
// EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
// PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
// PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
// LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
// NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
// SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
//
// Questions? Contact lead developers:
//              Drew Kouri   (dpkouri@sandia.gov) and
//              Denis Ridzal (dridzal@sandia.gov)
//
// ************************************************************************
// @HEADER

#ifndef ROL_SMOOTHEDWORSTCASEQUAD_HPP
#define ROL_SMOOTHEDWORSTCASEQUAD_HPP

#include "ROL_ExpectationQuad.hpp"

/** @ingroup risk_group
    \class ROL::SmoothedWorstCaseQuadrangle
    \brief Provides an interface for a smoothed version of the worst-case
           scenario risk measure using the expectation risk quadrangle.

    The worst-case scenario risk measure is
    \f[
       \mathcal{R}(X) = \sup_{\omega\in\Omega} X(\omega).
    \f]
    \f$\mathcal{R}\f$ is a law-invariant coherent risk measure.
    Clearly, \f$\mathcal{R}\f$ is not differentiable.  As such, this class
    defines a smoothed version of \f$\mathcal{R}\f$ the expectation risk
    quadrangle.  In the nonsmooth case, the scalar regret function is
    \f$v(x) = 0\f$ if \f$x \le 0\f$ and \f$v(x) = \infty\f$ if \f$x > 0\f$.
    Similarly, the scalar error function is \f$e(x) = -x\f$ if \f$x \le 0 \f$
    and \f$e(x) = \infty\f$ if \f$x > 0\f$.  To smooth \f$\mathcal{R}\f$, we
    perform Moreau-Yosida regularization on the scalar error function, i.e.,
    \f[
      e_\epsilon(x) = \inf_{y\in\mathbb{R}} \left\{ e(y) + \frac{1}{2\epsilon}
                        (x-y)^2\right\}
                 %   = \left\{\begin{array}{l l}
                 %       -\left(x+\frac{\epsilon}{2}\right) &
                 %           \text{if \f$x \le -\epsilon\f$}\\
                 %       \frac{1}{2\epsilon}x^2 & \text{if \f$x > -\epsilon\f$}.
                 %     \end{array}\right.
    \f]
    for \f$\epsilon > 0\f$.  The corresponding scalar regret function is
    \f$v_\epsilon(x) = e_\epsilon(x) + x\f$.  \f$\mathcal{R}\f$ is then
    implemented as
    \f[
       \mathcal{R}(X) = \inf_{t\in\mathbb{R}}\left\{
           t + \mathbb{E}[v_\epsilon(X-t)] \right\}.
    \f]
    ROL implements this by augmenting the optimization vector \f$x_0\f$ with
    the parameter \f$t\f$, then minimizes jointly for \f$(x_0,t)\f$.
*/

namespace ROL {

template<class Real>
class SmoothedWorstCaseQuadrangle : public ExpectationQuad<Real> {
private:

  Real eps_;

  void checkInputs(void) const {
    Real zero(0);
    TEUCHOS_TEST_FOR_EXCEPTION((eps_ <= zero), std::invalid_argument,
      ">>> ERROR (ROL::SmoothedWorstCaseQuadrangle): Smoothing parameter must be positive!");
  }

public:
  /** \brief Constructor.

      @param[in]     eps     is the regularization parameter
  */
  SmoothedWorstCaseQuadrangle(const Real eps)
    : ExpectationQuad<Real>(), eps_(eps) {
    checkInputs();
  }

  /** \brief Constructor.

      @param[in]     parlist is a parameter list specifying inputs

      parlist should contain sublists "SOL"->"Risk Measure"->"Smoothed Worst-Case Quadrangle" and
      within the "Smoothed Worst-Case Quadrangle" sublist should have the following parameters
      \li "Smoothing Parameter" (must be positive).
  */
  SmoothedWorstCaseQuadrangle(Teuchos::ParameterList &parlist) : ExpectationQuad<Real>() {
    Teuchos::ParameterList& list
      = parlist.sublist("SOL").sublist("Risk Measure").sublist("Smoothed Worst-Case Quadrangle");
    eps_ = list.get<Real>("Smoothing Parameter");
    checkInputs();
  }

  Real error(Real x, int deriv = 0) {
    Real err(0), zero(0), half(0.5), one(1);
    if (deriv == 0) {
      err = (x <= -eps_) ? -(x+half*eps_) : half*x*x/eps_;
    }
    else if (deriv == 1) {
      err = (x <= -eps_) ? -one : x/eps_;
    }
    else {
      err = (x <= -eps_) ? zero : one/eps_;
    }
    return err;
  }

  Real regret(Real x, int deriv = 0) {
    Real zero(0), one(1);
    Real X = ((deriv==0) ? x : ((deriv==1) ? one : zero));
    Real reg = error(x,deriv) + X;
    return reg;
  }

  void checkRegret(void) {
    ExpectationQuad<Real>::checkRegret();
    // Check v'(-eps)
    Real x = -eps_, zero(0), one(1), two(2), p1(0.1);
    Real vx = zero, vy = zero;
    Real dv = regret(x,1);
    Real t = one;
    Real diff = zero;
    Real err = zero;
    std::cout << std::right << std::setw(20) << "CHECK REGRET: v'(-eps) is correct? \n";
    std::cout << std::right << std::setw(20) << "t"
                            << std::setw(20) << "v'(x)"
                            << std::setw(20) << "(v(x+t)-v(x-t))/2t"
                            << std::setw(20) << "Error"
                            << "\n";
    for (int i = 0; i < 13; i++) {
      vy = regret(x+t,0);
      vx = regret(x-t,0);
      diff = (vy-vx)/(two*t);
      err = std::abs(diff-dv);
      std::cout << std::scientific << std::setprecision(11) << std::right
                << std::setw(20) << t
                << std::setw(20) << dv
                << std::setw(20) << diff
                << std::setw(20) << err
                << "\n";
      t *= p1;
    }
    std::cout << "\n";
    // check v''(-eps) 
    vx = zero;
    vy = zero;
    dv = regret(x,2);
    t = one;
    diff = zero;
    err = zero;
    std::cout << std::right << std::setw(20) << "CHECK REGRET: v''(-eps) is correct? \n";
    std::cout << std::right << std::setw(20) << "t"
                            << std::setw(20) << "v''(x)"
                            << std::setw(20) << "(v'(x+t)-v'(x-t))/2t"
                            << std::setw(20) << "Error"
                            << "\n";
    for (int i = 0; i < 13; i++) {
      vy = regret(x+t,1);
      vx = regret(x-t,1);
      diff = (vy-vx)/(two*t);
      err = std::abs(diff-dv);
      std::cout << std::scientific << std::setprecision(11) << std::right
                << std::setw(20) << t
                << std::setw(20) << dv
                << std::setw(20) << diff
                << std::setw(20) << err
                << "\n";
      t *= p1;
    }
    std::cout << "\n"; 
    // Check v'(0)
    x = zero;
    vx = zero;
    vy = zero;
    dv = regret(x,1);
    t = one;
    diff = zero;
    err = zero;
    std::cout << std::right << std::setw(20) << "CHECK REGRET: v'(0) is correct? \n";
    std::cout << std::right << std::setw(20) << "t"
                            << std::setw(20) << "v'(x)"
                            << std::setw(20) << "(v(x+t)-v(x-t))/2t"
                            << std::setw(20) << "Error"
                            << "\n";
    for (int i = 0; i < 13; i++) {
      vy = regret(x+t,0);
      vx = regret(x-t,0);
      diff = (vy-vx)/(two*t);
      err = std::abs(diff-dv);
      std::cout << std::scientific << std::setprecision(11) << std::right
                << std::setw(20) << t
                << std::setw(20) << dv
                << std::setw(20) << diff
                << std::setw(20) << err
                << "\n";
      t *= p1;
    }
    std::cout << "\n";
    // check v''(0) 
    vx = zero;
    vy = zero;
    dv = regret(x,2);
    t = one;
    diff = zero;
    err = zero;
    std::cout << std::right << std::setw(20) << "CHECK REGRET: v''(0) is correct? \n";
    std::cout << std::right << std::setw(20) << "t"
                            << std::setw(20) << "v''(x)"
                            << std::setw(20) << "(v'(x+t)-v'(x-t))/2t"
                            << std::setw(20) << "Error"
                            << "\n";
    for (int i = 0; i < 13; i++) {
      vy = regret(x+t,1);
      vx = regret(x-t,1);
      diff = (vy-vx)/(two*t);
      err = std::abs(diff-dv);
      std::cout << std::scientific << std::setprecision(11) << std::right
                << std::setw(20) << t
                << std::setw(20) << dv
                << std::setw(20) << diff
                << std::setw(20) << err
                << "\n";
      t *= p1;
    }
    std::cout << "\n"; 
    // Check v'(-1-eps)
    x = -eps_-one;
    vx = zero;
    vy = zero;
    dv = regret(x,1);
    t = one;
    diff = zero;
    err = zero;
    std::cout << std::right << std::setw(20) << "CHECK REGRET: v'(-1-eps) is correct? \n";
    std::cout << std::right << std::setw(20) << "t"
                            << std::setw(20) << "v'(x)"
                            << std::setw(20) << "(v(x+t)-v(x-t))/2t"
                            << std::setw(20) << "Error"
                            << "\n";
    for (int i = 0; i < 13; i++) {
      vy = regret(x+t,0);
      vx = regret(x-t,0);
      diff = (vy-vx)/(two*t);
      err = std::abs(diff-dv);
      std::cout << std::scientific << std::setprecision(11) << std::right
                << std::setw(20) << t
                << std::setw(20) << dv
                << std::setw(20) << diff
                << std::setw(20) << err
                << "\n";
      t *= p1;
    }
    std::cout << "\n";
    // check v''(-1-eps) 
    vx = zero;
    vy = zero;
    dv = regret(x,2);
    t = one;
    diff = zero;
    err = zero;
    std::cout << std::right << std::setw(20) << "CHECK REGRET: v''(-1-eps) is correct? \n";
    std::cout << std::right << std::setw(20) << "t"
                            << std::setw(20) << "v''(x)"
                            << std::setw(20) << "(v'(x+t)-v'(x-t))/2t"
                            << std::setw(20) << "Error"
                            << "\n";
    for (int i = 0; i < 13; i++) {
      vy = regret(x+t,1);
      vx = regret(x-t,1);
      diff = (vy-vx)/(two*t);
      err = std::abs(diff-dv);
      std::cout << std::scientific << std::setprecision(11) << std::right
                << std::setw(20) << t
                << std::setw(20) << dv
                << std::setw(20) << diff
                << std::setw(20) << err
                << "\n";
      t *= p1;
    }
    std::cout << "\n"; 
  }

};

}
#endif