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// Copyright (C) 2023 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef OPTIMIZERMULTISTAGEDPBASE_H
#define OPTIMIZERMULTISTAGEDPBASE_H
#include <Eigen/Dense>
#include "StOpt/core/utils/StateWithStocks.h"
#include "StOpt/core/grids/SpaceGrid.h"
#include "StOpt/dp/OptimizerBase.h"
#include "StOpt/dp/SimulatorMultiStageDPBase.h"
#include "StOpt/regression/GridAndRegressedValue.h"
#include "StOpt/regression/ContinuationValue.h"
/** \file OptimizerMultiStageDPBase.h
* \brief Define an abstract class for Dynamic Programming problems where each transition problem problem
* is itself solved using a dynamic programming approach
* \author Benoit Clair, Xavier Warin
*/
namespace StOpt
{
/// \class OptimizerMultiStageDPBase OptimizerMultiStageDPBase.h
/// Base class for optimizer for Dynamic Programming with regressions where each each transition problem
/// is itself solved using a deterministic DP
class OptimizerMultiStageDPBase : public OptimizerBase
{
public :
OptimizerMultiStageDPBase() {}
virtual ~OptimizerMultiStageDPBase() {}
/// \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
/// \param p_phiIn for each regime gives the solution calculated at the previous step ( next time step by Dynamic Programming resolution) : structure of the 2D array ( nb simulation ,nb stocks )
/// \return for each regimes (column) gives the solution for each particle (row)
[[nodiscard]] virtual Eigen::ArrayXXd stepOptimize(const std::shared_ptr<StOpt::SpaceGrid> &p_grid,
const Eigen::ArrayXd &p_stock,
const std::vector< std::shared_ptr<ContinuationValue> > &p_condEsp,
const std::vector<std::shared_ptr<Eigen::ArrayXXd>> &p_phiIn) const = 0;
/// \brief defines a step in simulation
/// Notice that this implementation is not optimal but is convenient if the control is discrete.
/// By avoiding interpolation in control we avoid non admissible control
/// Control are recalculated during simulation.
/// \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::GridAndRegressedValue > &p_continuation,
StOpt::StateWithStocks &p_state,
Eigen::Ref<Eigen::ArrayXd> p_phiInOut) const = 0 ;
// number of regime used in deterministic part
virtual int getNbDetRegime() const = 0 ;
/// \brief get the simulator back
virtual std::shared_ptr< SimulatorMultiStageDPBase > getSimulator() const = 0;
};
}
#endif /* OPTIMIZERMULTISTAGEDPBASE_H */
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