/usr/include/trilinos/ROL_RiskMeasureInfo.hpp is in libtrilinos-rol-dev 12.12.1-5.
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
// 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
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//
// Questions? Contact lead developers:
// Drew Kouri (dpkouri@sandia.gov) and
// Denis Ridzal (dridzal@sandia.gov)
//
// ************************************************************************
// @HEADER
#ifndef ROL_RISKMEASUREINFO_HPP
#define ROL_RISKMEASUREINFO_HPP
#include "Teuchos_ParameterList.hpp"
#include "ROL_Types.hpp"
namespace ROL {
template<class Real>
inline void RiskMeasureInfo(Teuchos::ParameterList &parlist, std::string &name,
int &nStatistic, std::vector<Real> &lower,
std::vector<Real> &upper, bool &isBoundActivated,
const bool printToStream = false,
std::ostream &outStream = std::cout) {
name = parlist.sublist("SOL").sublist("Risk Measure").get<std::string>("Name");
Real zero(0);
lower.clear(); upper.clear();
nStatistic = 0; isBoundActivated = false;
if ( name == "CVaR" ||
name == "HMCR" ||
name == "Moreau-Yosida CVaR" ||
name == "Generalized Moreau-Yosida CVaR" ||
name == "Log-Exponential Quadrangle" ||
name == "Log-Quantile Quadrangle" ||
name == "Mean-Variance Quadrangle" ||
name == "Quantile-Based Quadrangle" ||
name == "Smoothed Worst-Case Quadrangle" ||
name == "Truncated Mean Quadrangle" ) {
nStatistic = 1;
lower.resize(nStatistic,ROL_NINF<Real>());
upper.resize(nStatistic,ROL_INF<Real>());
}
else if ( name == "Quantile-Radius Quadrangle" ) {
nStatistic = 2;
lower.resize(nStatistic,ROL_NINF<Real>());
upper.resize(nStatistic,ROL_INF<Real>());
}
else if ( name == "Coherent Exponential Utility" ||
name == "KL Divergence" ) {
nStatistic = 1;
isBoundActivated = true;
lower.resize(nStatistic,zero);
upper.resize(nStatistic,ROL_INF<Real>());
}
else if ( name == "Chi-Squared Divergence" ) {
nStatistic = 2;
isBoundActivated = true;
lower.resize(nStatistic,ROL_NINF<Real>()); lower[0] = zero;
upper.resize(nStatistic,ROL_INF<Real>());
}
else if ( name == "Mixed-Quantile Quadrangle" ) {
Teuchos::ParameterList &list
= parlist.sublist("SOL").sublist("Risk Measure").sublist("Mixed-Quantile Quadrangle");
Teuchos::Array<Real> prob
= Teuchos::getArrayFromStringParameter<Real>(list,"Probability Array");
nStatistic = prob.size();
lower.resize(nStatistic,ROL_NINF<Real>());
upper.resize(nStatistic,ROL_INF<Real>());
}
else if ( name == "Super Quantile Quadrangle" ||
name == "Chebyshev-Kusuoka" ||
name == "Spectral Risk" ) {
Teuchos::ParameterList &list
= parlist.sublist("SOL").sublist("Risk Measure").sublist(name);
nStatistic = list.get("Number of Quadrature Points",5);
lower.resize(nStatistic,ROL_NINF<Real>());
upper.resize(nStatistic,ROL_INF<Real>());
}
else if ( name == "Exponential Utility" ||
name == "Mean Plus Deviation From Target" ||
name == "Mean Plus Deviation" ||
name == "Mean Plus Variance From Target" ||
name == "Mean Plus Variance" ) {
nStatistic = 0;
}
else if ( name == "Convex Combination Risk Measure" ) {
Teuchos::ParameterList &list
= parlist.sublist("SOL").sublist("Risk Measure").sublist("Convex Combination Risk Measure");
// Get convex combination parameters
Teuchos::Array<Real> lambda
= Teuchos::getArrayFromStringParameter<Real>(list,"Convex Combination Parameters");
// Build risk measures
std::vector<std::string> riskString;
for (typename Teuchos::Array<Real>::size_type i = 0; i < lambda.size(); ++i) {
std::ostringstream convert;
convert << i;
std::string si = convert.str();
Teuchos::ParameterList &ilist = list.sublist(si);
std::string name = ilist.get<std::string>("Name");
riskString.push_back(name);
}
for (typename std::vector<Real>::size_type i = 0; i < riskString.size(); ++i) {
if ( riskString[i] == "CVaR" ||
riskString[i] == "HMCR" ||
riskString[i] == "Moreau-Yosida CVaR" ||
riskString[i] == "Generalized Moreau-Yosida CVaR" ||
riskString[i] == "Log-Exponential Quadrangle" ||
riskString[i] == "Log-Quantile Quadrangle" ||
riskString[i] == "Mean-Variance Quadrangle" ||
riskString[i] == "Quantile-Based Quadrangle" ||
riskString[i] == "Smoothed Worst-Case Quadrangle" ||
riskString[i] == "Truncated Mean Quadrangle" ) {
nStatistic += 1;
lower.push_back(ROL_NINF<Real>());
upper.push_back(ROL_INF<Real>());
}
else if ( riskString[i] == "Quantile-Radius Quadrangle" ) {
nStatistic += 2;
lower.push_back(ROL_NINF<Real>()); lower.push_back(ROL_NINF<Real>());
upper.push_back(ROL_INF<Real>()); upper.push_back(ROL_INF<Real>());
}
else if ( riskString[i] == "Coherent Exponential Utility" ||
riskString[i] == "KL Divergence" ) {
nStatistic += 1;
isBoundActivated = true;
lower.push_back(zero);
upper.push_back(ROL_INF<Real>());
}
else if ( riskString[i] == "Chi-Squared Divergence" ) {
nStatistic += 2;
isBoundActivated = true;
lower.push_back(zero); lower.push_back(ROL_NINF<Real>());
upper.push_back(ROL_INF<Real>()); upper.push_back(ROL_INF<Real>());
}
else if ( riskString[i] == "Mixed-Quantile Quadrangle" ) {
Teuchos::ParameterList &MQlist = list.sublist("Mixed-Quantile Quadrangle");
Teuchos::Array<Real> prob
= Teuchos::getArrayFromStringParameter<Real>(MQlist,"Probability Array");
nStatistic += prob.size();
for (typename Teuchos::Array<Real>::size_type j = 0; j < prob.size(); ++j) {
lower.push_back(ROL_NINF<Real>());
upper.push_back(ROL_INF<Real>());
}
}
else if ( riskString[i] == "Super Quantile Quadrangle" ||
riskString[i] == "Chebyshev-Kusuoka" ||
riskString[i] == "Spectral Risk" ) {
Teuchos::ParameterList &SQlist = list.sublist(riskString[i]);
int nSQQstat = SQlist.get("Number of Quadrature Points",5);
nStatistic += nSQQstat;
for (int j = 0; j < nSQQstat; ++j) {
lower.push_back(ROL_NINF<Real>());
upper.push_back(ROL_INF<Real>());
}
}
else if ( riskString[i] == "Exponential Utility" ||
riskString[i] == "Mean Plus Deviation From Target" ||
riskString[i] == "Mean Plus Deviation" ||
riskString[i] == "Mean Plus Variance From Target" ||
riskString[i] == "Mean Plus Variance" ) {
nStatistic += 0;
}
else {
TEUCHOS_TEST_FOR_EXCEPTION(true,std::invalid_argument,
">>> (ROL::RiskMeasureInfo): Invalid risk measure " << riskString[i] << "!");
}
}
}
else {
TEUCHOS_TEST_FOR_EXCEPTION(true,std::invalid_argument,
">>> (ROL::RiskMeasureInfo): Invalid risk measure " << name << "!");
}
// Print Information
if ( printToStream ) {
Teuchos::oblackholestream oldFormatState;
oldFormatState.copyfmt(outStream);
outStream << std::endl;
outStream << std::scientific << std::setprecision(6);
outStream << std::setfill('-') << std::setw(80) << "-" << std::endl;
outStream << " RISK MEASURE INFORMATION" << std::endl;
outStream << std::setfill('-') << std::setw(80) << "-" << std::endl;
outStream << " NAME" << std::endl;
outStream << " " << name << std::endl;
outStream << " NUMBER OF STATISTICS" << std::endl;
outStream << " " << nStatistic << std::endl;
outStream << " ARE BOUNDS ACTIVATED" << std::endl;
outStream << " " << (isBoundActivated ? "TRUE" : "FALSE") << std::endl;
if ( isBoundActivated ) {
outStream << " STATISTIC LOWER BOUNDS" << std::endl;
for (int i = 0; i < nStatistic-1; ++i) {
outStream << " " << lower[i] << std::endl;
}
outStream << " " << lower[nStatistic-1] << std::endl;
outStream << " STATISTIC UPPER BOUNDS" << std::endl;
for (int i = 0; i < nStatistic-1; ++i) {
outStream << " " << upper[i] << std::endl;
}
outStream << " " << upper[nStatistic-1] << std::endl;
}
outStream << std::setfill('-') << std::setw(80) << "-" << std::endl;
outStream << std::endl;
outStream.copyfmt(oldFormatState);
}
}
}
#endif
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