ROL_CVaR.hpp

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#ifndef ROL_CVAR_HPP
#define ROL_CVAR_HPP

#include "ROL_RiskMeasure.hpp"
#include "ROL_PlusFunction.hpp"
#include "ROL_CVaRVector.hpp"

namespace ROL {

template<class Real>
class CVaR : public RiskMeasure<Real> {
private:
  Teuchos::RCP<PlusFunction<Real> > plusFunction_;

  Real prob_;
  Real coeff_;

  Teuchos::RCP<Vector<Real> > dualVector_;
  Real xvar_;
  Real vvar_;

  bool firstReset_;

public:

  CVaR( Real prob, Real coeff, Teuchos::RCP<PlusFunction<Real> > &pf )
    : RiskMeasure<Real>(), plusFunction_(pf), xvar_(0.0), vvar_(0.0), firstReset_(true) {
    prob_  = ((prob  >= 0.0) ? ((prob  <= 1.0) ? prob  : 0.5) : 0.5);
    coeff_ = ((coeff >= 0.0) ? ((coeff <= 1.0) ? coeff : 1.0) : 1.0);
  }

  void reset(Teuchos::RCP<Vector<Real> > &x0, const Vector<Real> &x) {
    x0 = Teuchos::rcp_const_cast<Vector<Real> >(Teuchos::dyn_cast<const CVaRVector<Real> >(
           Teuchos::dyn_cast<const Vector<Real> >(x)).getVector());
    xvar_ = Teuchos::dyn_cast<const CVaRVector<Real> >(
              Teuchos::dyn_cast<const Vector<Real> >(x)).getVaR();
    if ( firstReset_ ) {
      RiskMeasure<Real>::g_  = (x0->dual()).clone();
      RiskMeasure<Real>::hv_ = (x0->dual()).clone();
      dualVector_            = (x0->dual()).clone();
      firstReset_ = false;
    }
    RiskMeasure<Real>::val_ = 0.0;
    RiskMeasure<Real>::g_->zero();
    RiskMeasure<Real>::hv_->zero();
    dualVector_->zero();
  }

  void reset(Teuchos::RCP<Vector<Real> > &x0, const Vector<Real> &x,
             Teuchos::RCP<Vector<Real> > &v0, const Vector<Real> &v) {
    this->reset(x0,x);
    v0 = Teuchos::rcp_const_cast<Vector<Real> >(Teuchos::dyn_cast<const CVaRVector<Real> >(
           Teuchos::dyn_cast<const Vector<Real> >(v)).getVector());
    vvar_ = Teuchos::dyn_cast<const CVaRVector<Real> >(
              Teuchos::dyn_cast<const Vector<Real> >(v)).getVaR();
  }

  void update(const Real val, const Real weight) {
    Real pf = plusFunction_->evaluate(val-xvar_,0);
    RiskMeasure<Real>::val_ += weight*((1.0-coeff_)*val + coeff_/(1.0-prob_)*pf);
  }

  void update(const Real val, const Vector<Real> &g, const Real weight) {
    Real pf = plusFunction_->evaluate(val-xvar_,1);
    RiskMeasure<Real>::val_ += weight*pf;
    Real c  = (1.0-coeff_) + coeff_/(1.0-prob_)*pf;
    RiskMeasure<Real>::g_->axpy(weight*c,g);
  }

  void update(const Real val, const Vector<Real> &g, const Real gv, const Vector<Real> &hv,
              const Real weight) {
    Real pf1 = plusFunction_->evaluate(val-xvar_,1);
    Real pf2 = plusFunction_->evaluate(val-xvar_,2);
    RiskMeasure<Real>::val_ += weight*pf2*(vvar_-gv);
    Real c  = pf2*coeff_/(1.0-prob_)*(gv-vvar_);
    RiskMeasure<Real>::hv_->axpy(weight*c,g);
    c = (1.0-coeff_) + coeff_/(1.0-prob_)*pf1;
    RiskMeasure<Real>::hv_->axpy(weight*c,hv);
  }

  Real getValue(SampleGenerator<Real> &sampler) {
    Real val  = RiskMeasure<Real>::val_;
    Real cvar = 0.0;
    sampler.sumAll(&val,&cvar,1);
    cvar += coeff_*xvar_;
    return cvar;
  }

  void getGradient(Vector<Real> &g, SampleGenerator<Real> &sampler) {
    CVaRVector<Real> &gs = Teuchos::dyn_cast<CVaRVector<Real> >(Teuchos::dyn_cast<Vector<Real> >(g));
    Real val = RiskMeasure<Real>::val_;
    Real var = 0.0;
    sampler.sumAll(&val,&var,1);
    
    sampler.sumAll(*(RiskMeasure<Real>::g_),*dualVector_);
    var *= -coeff_/(1.0-prob_);
    var += coeff_;
    gs.setVaR(var);
    gs.setVector(*(Teuchos::rcp_dynamic_cast<Vector<Real> >(dualVector_))); 
  }

  void getHessVec(Vector<Real> &hv, SampleGenerator<Real> &sampler) {
    CVaRVector<Real> &hs = Teuchos::dyn_cast<CVaRVector<Real> >(Teuchos::dyn_cast<Vector<Real> >(hv));
    Real val = RiskMeasure<Real>::val_;
    Real var = 0.0;
    sampler.sumAll(&val,&var,1);

    sampler.sumAll(*(RiskMeasure<Real>::hv_),*dualVector_);
    var *= coeff_/(1.0-prob_);
    hs.setVaR(var);
    hs.setVector(*(Teuchos::rcp_dynamic_cast<Vector<Real> >(dualVector_)));
  }
};

}

#endif