ROL
ROL_LogExponentialQuadrangle.hpp
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43 
44 #ifndef ROL_LOGEXPONENTIALQUAD_HPP
45 #define ROL_LOGEXPONENTIALQUAD_HPP
46 
47 #include "ROL_ExpectationQuad.hpp"
48 
78 namespace ROL {
79 
80 template<class Real>
82 private:
83  Real coeff_;
84 
85  void checkInputs(void) const {
86  Real zero(0);
87  TEUCHOS_TEST_FOR_EXCEPTION((coeff_ <= zero), std::invalid_argument,
88  ">>> ERROR (ROL::LogExponentialQuadrangle): Rate must be positive!");
89  }
90 
91 public:
96  LogExponentialQuadrangle(const Real coeff = 1)
97  : ExpectationQuad<Real>(), coeff_(coeff) {
98  checkInputs();
99  }
100 
109  LogExponentialQuadrangle(Teuchos::ParameterList &parlist)
110  : ExpectationQuad<Real>() {
111  Teuchos::ParameterList &list
112  = parlist.sublist("SOL").sublist("Risk Measure").sublist("Log-Exponential Quadrangle");
113  coeff_ = list.get<Real>("Rate");
114  checkInputs();
115  }
116 
117  Real error(Real x, int deriv = 0) {
118  Real err(0), one(1), cx = coeff_*x;
119  if (deriv==0) {
120  err = (std::exp(cx) - cx - one)/coeff_;
121  }
122  else if (deriv==1) {
123  err = std::exp(cx) - one;
124  }
125  else {
126  err = coeff_*std::exp(cx);
127  }
128  return err;
129  }
130 
131  Real regret(Real x, int deriv = 0) {
132  Real zero(0), one(1);
133  Real X = ((deriv==0) ? x : ((deriv==1) ? one : zero));
134  Real reg = error(x,deriv) + X;
135  return reg;
136  }
137 
138 };
139 
140 }
141 #endif
LogExponentialQuadrangle(const Real coeff=1)
Constructor.
Provides a general interface for risk measures generated through the expectation risk quadrangle...
Provides an interface for the entropic risk using the expectation risk quadrangle.
Real regret(Real x, int deriv=0)
Evaluate the scalar regret function at x.
LogExponentialQuadrangle(Teuchos::ParameterList &parlist)
Constructor.