Enum RobustObjective 

#[non_exhaustive]
pub enum RobustObjective {
    MeanVariance {
        lambda: f64,
    },
    CVaR {
        alpha: f64,
    },
    WorstCase,
}

Selection of distributionally robust objective criterion.

Variants (Non-exhaustive)

Non-exhaustive enums could have additional variants added in future. Therefore, when matching against variants of non-exhaustive enums, an extra wildcard arm must be added to account for any future variants.

MeanVariance

Mean-variance trade-off: E[loss] + lambda * Var[loss].

Fields

lambda: f64

Trade-off parameter λ ≥ 0. Larger values penalise variance more.

CVaR

Conditional Value-at-Risk at level α ∈ (0,1).

Fields

alpha: f64

Confidence level α. Must be in (0, 1).

WorstCase

Pure worst-case (minimax) objective: max_{Q in B_eps} E_Q[loss].

Trait Implementations

impl Clone for RobustObjective

fn clone(&self) -> RobustObjective

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for RobustObjective

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for RobustObjective

fn default() -> Self

Returns the “default value” for a type.

impl PartialEq for RobustObjective

fn eq(&self, other: &RobustObjective) -> bool

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl Copy for RobustObjective

impl StructuralPartialEq for RobustObjective