ROL
ROL_Chi2Divergence.hpp
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43
44#ifndef ROL_CHI2DIVERGENCE_HPP
45#define ROL_CHI2DIVERGENCE_HPP
46
47#include "ROL_FDivergence.hpp"
48
70namespace ROL {
71
72template<class Real>
73class Chi2Divergence : public FDivergence<Real> {
74
75public:
80 Chi2Divergence(const Real thresh) : FDivergence<Real>(thresh) {}
81
90 Chi2Divergence(ROL::ParameterList &parlist) : FDivergence<Real>(parlist) {}
91
92 Real Fprimal(Real x, int deriv = 0) {
93 Real zero(0), one(1), half(0.5), val(0);
94 if (deriv==0) {
95 val = (x < zero) ? ROL_INF<Real>() : half*(x-one)*(x-one);
96 }
97 else if (deriv==1) {
98 val = (x < zero) ? ROL_INF<Real>() : x-one;
99 }
100 else if (deriv==2) {
101 val = (x < zero) ? ROL_INF<Real>() : one;
102 }
103 else {
104 ROL_TEST_FOR_EXCEPTION(true,std::invalid_argument,
105 ">>> (ROL::Chi2Divergence): Derivative order must be 0, 1, or 2!");
106 }
107 return val;
108 }
109
110 Real Fdual(Real x, int deriv = 0) {
111 Real zero(0), one(1), half(0.5), val(0);
112 if (deriv==0) {
113 val = (x < -one) ? -half : (half*x + one)*x;
114 }
115 else if (deriv==1) {
116 val = (x < -one) ? zero : x + one;
117 }
118 else if (deriv==2) {
119 val = (x < -one) ? zero : one;
120 }
121 else {
122 ROL_TEST_FOR_EXCEPTION(true,std::invalid_argument,
123 ">>> (ROL::Chi2Divergence): Derivative order must be 0, 1, or 2!");
124 }
125 return val;
126 }
127};
128
129}
130
131#endif
Objective_SerialSimOpt(const Ptr< Obj > &obj, const V &ui) z0 zero)()
Provides an interface for the chi-squared-divergence distributionally robust expectation.
Chi2Divergence(const Real thresh)
Constructor.
Chi2Divergence(ROL::ParameterList &parlist)
Constructor.
Real Fdual(Real x, int deriv=0)
Implementation of the scalar dual F function.
Real Fprimal(Real x, int deriv=0)
Implementation of the scalar primal F function.
Provides a general interface for the F-divergence distributionally robust expectation.