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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 SIMULATESTEPMULTISTAGEREGRESSION_H
#define SIMULATESTEPMULTISTAGEREGRESSION_H
#ifdef OMP
#include <omp.h>
#endif
#ifdef USE_MPI
#include <boost/mpi.hpp>
#endif
#include <boost/lexical_cast.hpp>
#include "geners/BinaryFileArchive.hh"
#include "geners/Reference.hh"
#include "StOpt/core/utils/StateWithStocks.h"
#include "StOpt/core/grids/SpaceGrid.h"
#include "StOpt/dp/OptimizerMultiStageDPBase.h"
#include "StOpt/regression/GridAndRegressedValueGeners.h"
/** \file SimulateStepMuliStageRegression.h
* \brief In simulation part, permits to use continuation values stored in in optimization step and
* calculate optimal control
* Multi stage version where a deterministic optimization by dynamic programming is achieved during time transition step
* \author Xavier Warin
*/
namespace StOpt
{
/// \class SimulateStepMultiStageRegression SimulateStepMultiStageRegression.h
/// One step in forward simulation
class SimulateStepMultiStageRegression
{
private :
std::shared_ptr<SpaceGrid> m_pGridFollowing ; ///< global grid at following time step
std::shared_ptr<StOpt::OptimizerMultiStageDPBase > m_pOptimize ; ///< optimizer solving the problem for one point and one step
std::shared_ptr<gs::BinaryFileArchive> m_ar ; ///< pointer on the archive
int m_iStep ; ///< time step number
std::string m_nameCont ; ///< name for stochastic bellman value
std::string m_nameDetCont; ///< name for deterministic bellman values
#ifdef USE_MPI
boost::mpi::communicator m_world; ///< Mpi communicator
#endif
public :
/// \brief default
SimulateStepMultiStageRegression() {}
virtual ~SimulateStepMultiStageRegression() {}
/// \brief Constructor
/// \param p_ar Archive where continuation values are stored
/// \param p_iStep Step number indentifier
/// \param p_nameCont Name use to store continuation values in stochastic
/// \param p_nameDetCont Name use to store continution value in deterministic part
/// \param p_pGridFollowing grid at following time step
/// \param p_pOptimize Optimize object defining the transition step
/// \param p_world MPI communicator
SimulateStepMultiStageRegression(std::shared_ptr<gs::BinaryFileArchive> &p_ar, const int &p_iStep, const std::string &p_nameCont, const std::string &p_nameDetCont,
const std::shared_ptr<SpaceGrid> &p_pGridFollowing, const std::shared_ptr<StOpt::OptimizerMultiStageDPBase > &p_pOptimize
#ifdef USE_MPI
, const boost::mpi::communicator &p_world
#endif
);
/// \brief Define one step arbitraging between possibhle commands
/// \param p_statevector Vector of states (regime, stock descritor, uncertainty)
/// \param p_phiInOut actual contract values modified at current time step by applying an optimal command (number of function by numver of simulations), one by period (size of the vector)
void oneStep(std::vector<StateWithStocks > &p_statevector, std::vector<Eigen::ArrayXXd> &p_phiInOut) const ;
};
}
#endif /* SIMULATESTEPMULTISTAGEREGRESSION_H */
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