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// Copyright (C) 2019 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef FINALSTEPDPCUTDIST_H
#define FINALSTEPDPCUTDIST_H
#include <functional>
#include <memory>
#include <boost/mpi.hpp>
#include <Eigen/Dense>
#include "StOpt/core/grids/FullGrid.h"
/** \file FinalStepDPCutDist.h
* \brief permits to affect a final value to a problem
* \author Xavier Warin
* \todo Develop MPI for regimes too
*/
namespace StOpt
{
///\class FinalStepDPCutDist FinalStepDPCutDist.h
/// Last time step in dynamic programming : set the final values
class FinalStepDPCutDist
{
private :
std::shared_ptr<FullGrid> m_pGridCurrent; ///< grid at final time step
std::shared_ptr<FullGrid> m_gridCurrentProc ; ///< local grid treated by the processor
int m_nDim ; ///< Dimension of the grid
int m_nbRegime ; ///< Number of regimes
public :
/// \brief Constructor
/// \param p_pGridCurrent grid describing the whole problem
/// \param p_nbRegime numbers of regime treated
/// \param p_bdimToSplit Dimensions to split for parallelism
/// \param p_world MPI communicator
FinalStepDPCutDist(const std::shared_ptr<FullGrid> &p_pGridCurrent, const int &p_nbRegime, const Eigen::Array< bool, Eigen::Dynamic, 1> &p_bdimToSplit,
const boost::mpi::communicator &p_world);
///\brief Fill in array with values
/// \param p_funcValue function giving the final cut values (arguments are the state : regime, point coordinates , array of simulations corresponding to stochastic non controlled state)
/// \param p_particles simulations at final date (First dimension : size of the stochastic non controlled state, second dimension : the number of particles)
/// \return cuts values on the grid : for each regime (number of simulations * nb cuts) by number of stock points
std::vector<std::shared_ptr< Eigen::ArrayXXd > > operator()(const std::function< Eigen::ArrayXd(const int &, const Eigen::ArrayXd &, const Eigen::ArrayXd &)> &p_funcValue,
const Eigen::ArrayXXd &p_particles) const;
/// \brief get back local grid associated to current step
inline std::shared_ptr<FullGrid> getGridCurrentProc()const
{
return m_gridCurrentProc ;
}
};
}
#endif /* FINALSTEPDPCUTDIST_H */
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