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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 OPTIMIZERDPCUTTREEBASE_H
#define OPTIMIZERDPCUTTREEBASE_H
#include <Eigen/Dense>
#include "StOpt/core/utils/StateWithStocks.h"
#include "StOpt/core/grids/SpaceGrid.h"
#include "StOpt/tree/Tree.h"
#include "StOpt/tree/StateTreeStocks.h"
#include "StOpt/tree/ContinuationCutsTree.h"
#include "StOpt/dp/SimulatorDPBaseTree.h"
#include "StOpt/dp/OptimizerBase.h"
/** \file OptimizerDPCutBase.h
* \brief Define an abstract class for Dynamic Programming problems solved by tree methods using cust to approximate
* Bellman values
* \author Xavier Warin
*/
namespace StOpt
{
/// \class OptimizerDPCutTreeBase OptimizerDPCutTreeBase.h
/// Base class for optimizer for Dynamic Programming with tree methods and cuts, so using LP to solve transitional problems
class OptimizerDPCutTreeBase : public OptimizerBase
{
public :
OptimizerDPCutTreeBase() {}
virtual ~OptimizerDPCutTreeBase() {}
/// \brief defines the diffusion cone for parallelism
/// \param p_regionByProcessor region (min max) treated by the processor for the different regimes treated
/// \return returns in each dimension the min max values in the stock that can be reached from the grid p_gridByProcessor for each regime
virtual std::vector< std::array< double, 2> > getCone(const std::vector< std::array< double, 2> > &p_regionByProcessor) const = 0;
/// \brief defines the dimension to split for MPI parallelism
/// For each dimension return true is the direction can be split
virtual Eigen::Array< bool, Eigen::Dynamic, 1> getDimensionToSplit() const = 0 ;
/// \brief defines a step in optimization
/// \param p_grid grid at arrival step after command
/// \param p_stock coordinates of the stock point to treat
/// \param p_condEsp continuation values for each regime
/// \return For each regimes (column) gives the solution for each particle , and cut (row)
/// For a given simulation , cuts components (C) at a point stock \$ \bar S \f$ are given such that the cut is given by
/// \f$ C[0] + \sum_{i=1}^d C[i] (S_i - \bat S_i) \f$
virtual Eigen::ArrayXXd stepOptimize(const std::shared_ptr< StOpt::SpaceGrid> &p_grid, const Eigen::ArrayXd &p_stock,
const std::vector< StOpt::ContinuationCutsTree > &p_condEsp) const = 0;
/// \brief defines a step in simulation
/// Control are recalculated during simulation using a local optimzation using the LP
/// \param p_grid grid at arrival step after command
/// \param p_continuation defines the continuation operator for each regime
/// \param p_state defines the state value (modified)
/// \param p_phiInOut defines the value functions (modified) : size number of functions to follow
virtual void stepSimulate(const std::shared_ptr< StOpt::SpaceGrid> &p_grid, const std::vector< StOpt::ContinuationCutsTree > &p_continuation,
StOpt::StateTreeStocks &p_state,
Eigen::Ref<Eigen::ArrayXd> p_phiInOut) const = 0 ;
/// \brief Get the number of regimes allowed for the asset to be reached at the current time step
/// If \f$ t \f$ is the current time, and $\f$ dt \f$ the resolution step, this is the number of regime allowed on \f$[ t- dt, t[\f$
virtual int getNbRegime() const = 0 ;
/// \brief get the simulator back
virtual std::shared_ptr< StOpt::SimulatorDPBaseTree > getSimulator() const = 0;
/// \brief get back the dimension of the control
virtual int getNbControl() const = 0 ;
/// \brief get size of the function to follow in simulation
virtual int getSimuFuncSize() const = 0;
};
}
#endif /* OPTIMIZERDPCUTTREEBASE_H */
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