ROL
ROL_RiskMeasureFactory.hpp
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43 
44 #ifndef ROL_RISKMEASUREFACTORY_HPP
45 #define ROL_RISKMEASUREFACTORY_HPP
46 
47 #include "ROL_ParameterList.hpp"
48 
49 #include "ROL_Types.hpp"
50 
51 // Standard Risk Measure Implementations
52 #include "ROL_CVaR.hpp"
53 #include "ROL_MixedCVaR.hpp"
54 #include "ROL_SecondOrderCVaR.hpp"
56 #include "ROL_SpectralRisk.hpp"
57 #include "ROL_QuantileRadius.hpp"
58 #include "ROL_HMCR.hpp"
59 #include "ROL_EntropicRisk.hpp"
62 #include "ROL_MeanDeviation.hpp"
64 #include "ROL_MeanVariance.hpp"
65 
66 // Risk Quadrangle Risk Measure Implementations
71 #include "ROL_MoreauYosidaCVaR.hpp"
75 
76 // F-Divergence Distributionally Robust Risk Measure Implementations
77 #include "ROL_Chi2Divergence.hpp"
78 #include "ROL_KLDivergence.hpp"
79 
80 namespace ROL {
81 
82  enum ERiskMeasure {
106  };
107 
108  inline std::string ERiskMeasureToString(ERiskMeasure ed) {
109  std::string retString;
110  switch(ed) {
111  case RISKMEASURE_CVAR:
112  retString = "CVaR"; break;
114  retString = "Moreau-Yosida CVaR"; break;
116  retString = "Generalized Moreau-Yosida CVaR"; break;
118  retString = "Mixed CVaR"; break;
120  retString = "Spectral Risk"; break;
122  retString = "Second Order CVaR"; break;
124  retString = "Chebyshev Spectral Risk"; break;
126  retString = "Quantile Radius"; break;
127  case RISKMEASURE_HMCR:
128  retString = "HMCR"; break;
130  retString = "Entropic Risk"; break;
132  retString = "Coherent Entropic Risk"; break;
134  retString = "Mean Plus Deviation From Target"; break;
136  retString = "Mean Plus Deviation"; break;
138  retString = "Mean Plus Variance From Target"; break;
140  retString = "Mean Plus Variance"; break;
142  retString = "Truncated Mean"; break;
144  retString = "Log Quantile"; break;
146  retString = "Smoothed Worst Case"; break;
148  retString = "Log Exponential"; break;
150  retString = "Safety Margin"; break;
152  retString = "Chi-Squared Divergence"; break;
154  retString = "KL Divergence"; break;
155  case RISKMEASURE_LAST:
156  retString = "Last Type (Dummy)"; break;
157  default:
158  retString = "INVALID ERiskMeasure"; break;
159  }
160  return retString;
161  }
162 
164  return( (ed == RISKMEASURE_CVAR) ||
167  (ed == RISKMEASURE_MIXEDCVAR) ||
168  (ed == RISKMEASURE_SPECTRALRISK) ||
169  (ed == RISKMEASURE_SECONDORDERCVAR) ||
171  (ed == RISKMEASURE_QUANTILERADIUS) ||
172  (ed == RISKMEASURE_HMCR) ||
173  (ed == RISKMEASURE_ENTROPICRISK) ||
176  (ed == RISKMEASURE_MEANDEVIATION) ||
178  (ed == RISKMEASURE_MEANVARIANCE) ||
179  (ed == RISKMEASURE_TRUNCATEDMEAN) ||
180  (ed == RISKMEASURE_LOGQUANTILE) ||
182  (ed == RISKMEASURE_LOGEXPONENTIAL) ||
183  (ed == RISKMEASURE_SAFETYMARGIN) ||
184  (ed == RISKMEASURE_CHI2DIVERGENCE) ||
185  (ed == RISKMEASURE_KLDIVERGENCE));
186  }
187 
189  return type = static_cast<ERiskMeasure>(type+1);
190  }
191 
192  inline ERiskMeasure operator++(ERiskMeasure &type, int) {
193  ERiskMeasure oldval = type;
194  ++type;
195  return oldval;
196  }
197 
199  return type = static_cast<ERiskMeasure>(type-1);
200  }
201 
202  inline ERiskMeasure operator--(ERiskMeasure &type, int) {
203  ERiskMeasure oldval = type;
204  --type;
205  return oldval;
206  }
207 
208  inline ERiskMeasure StringToERiskMeasure(std::string s) {
209  s = removeStringFormat(s);
210  for ( ERiskMeasure tr = RISKMEASURE_CVAR; tr < RISKMEASURE_LAST; tr++ ) {
211  if ( !s.compare(removeStringFormat(ERiskMeasureToString(tr))) ) {
212  return tr;
213  }
214  }
215  return RISKMEASURE_LAST;
216  }
217 
218  template<class Real>
219  inline Ptr<RandVarFunctional<Real> > RiskMeasureFactory(ROL::ParameterList &parlist) {
220  std::string risk = parlist.sublist("SOL").sublist("Risk Measure").get("Name","CVaR");
222  switch(ed) {
223  case RISKMEASURE_CVAR:
224  return makePtr<CVaR<Real>>(parlist);
226  return makePtr<ExpectationQuadRisk<Real>>(makePtr<MoreauYosidaCVaR<Real>>(parlist));
228  return makePtr<ExpectationQuadRisk<Real>>(makePtr<GenMoreauYosidaCVaR<Real>>(parlist));
230  return makePtr<MixedCVaR<Real>>(parlist);
232  return makePtr<SpectralRisk<Real>>(parlist);
234  return makePtr<SecondOrderCVaR<Real>>(parlist);
236  return makePtr<ChebyshevSpectral<Real>>(parlist);
238  return makePtr<QuantileRadius<Real>>(parlist);
239  case RISKMEASURE_HMCR:
240  return makePtr<HMCR<Real>>(parlist);
242  return makePtr<EntropicRisk<Real>>(parlist);
244  return makePtr<CoherentEntropicRisk<Real>>();
246  return makePtr<MeanDeviationFromTarget<Real>>(parlist);
248  return makePtr<MeanDeviation<Real>>(parlist);
250  return makePtr<MeanVarianceFromTarget<Real>>(parlist);
252  return makePtr<MeanVariance<Real>>(parlist);
254  return makePtr<ExpectationQuadRisk<Real>>(makePtr<TruncatedMeanQuadrangle<Real>>(parlist));
256  return makePtr<ExpectationQuadRisk<Real>>(makePtr<LogQuantileQuadrangle<Real>>(parlist));
258  return makePtr<ExpectationQuadRisk<Real>>(makePtr<SmoothedWorstCaseQuadrangle<Real>>(parlist));
260  return makePtr<ExpectationQuadRisk<Real>>(makePtr<LogExponentialQuadrangle<Real>>(parlist));
262  return makePtr<ExpectationQuadRisk<Real>>(makePtr<MeanVarianceQuadrangle<Real>>(parlist));
264  return makePtr<Chi2Divergence<Real>>(parlist);
266  return makePtr<KLDivergence<Real>>(parlist);
267  default:
268  ROL_TEST_FOR_EXCEPTION(true,std::invalid_argument,
269  "Invalid risk measure type " << risk << "!");
270  }
271  }
272 }
273 #endif
Contains definitions of custom data types in ROL.
std::string removeStringFormat(std::string s)
Definition: ROL_Types.hpp:247
ERiskMeasure StringToERiskMeasure(std::string s)
int isValidRiskMeasure(ERiskMeasure ed)
Ptr< RandVarFunctional< Real > > RiskMeasureFactory(ROL::ParameterList &parlist)
std::string ERiskMeasureToString(ERiskMeasure ed)
ETrustRegion & operator--(ETrustRegion &type)
ETrustRegion & operator++(ETrustRegion &type)