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// Copyright (C) 2016 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef SIMULATESTEPREGRESSIONCONTROL_H
#define SIMULATESTEPREGRESSIONCONTROL_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/dp/SimulateStepBase.h"
#include "StOpt/core/utils/StateWithStocks.h"
#include "StOpt/core/grids/SpaceGrid.h"
#include "StOpt/dp/OptimizerBaseInterp.h"
#include "StOpt/regression/GridAndRegressedValue.h"
#include "StOpt/regression/GridAndRegressedValueGeners.h"
/** \file SimulateStepRegressionControl.h
* \brief In simulation part, permits to use the optimal control stored in in optimization step to calculate de Monte Carlo optimal trajectory
* \author Xavier Warin
*/
namespace StOpt
{
/// \class SimulateStepRegressionControl SimulateStepRegressionControl.h
/// One step in forward simulation
class SimulateStepRegressionControl : public SimulateStepBase
{
private :
std::shared_ptr<SpaceGrid> m_pGridFollowing ; ///< global grid at following time step
std::shared_ptr<StOpt::OptimizerBaseInterp > m_pOptimize ; ///< optimizer solving the problem for one point and one step
std::vector< GridAndRegressedValue > m_control ; ///< to store the optimal control calculated in optimization
#ifdef USE_MPI
boost::mpi::communicator m_world; ///< Mpi communicator
#endif
public :
/// \brief default
SimulateStepRegressionControl() {}
virtual ~SimulateStepRegressionControl() {}
/// \brief Constructor
/// \param p_ar Archive where continuation values are stored
/// \param p_iStep Step number identifier
/// \param p_nameCont Name use to store continuation valuation
/// \param p_pGridFollowing grid at following time step
/// \param p_pOptimize Optimize object defining the transition step
/// \param p_world MPI communicator
SimulateStepRegressionControl(gs::BinaryFileArchive &p_ar, const int &p_iStep, const std::string &p_nameCont,
const std::shared_ptr<SpaceGrid> &p_pGridFollowing,
const std::shared_ptr<StOpt::OptimizerBaseInterp > &p_pOptimize
#ifdef USE_MPI
, const boost::mpi::communicator &p_world
#endif
);
/// \brief Define one step arbitraging between possible commands
/// \param p_statevector Vector of states (regime, stock descriptor, uncertainty)
/// \param p_phiInOut actual contract value modified at current time step by applying an optimal command (size : number of function to follow by number of simulations)
void oneStep(std::vector<StateWithStocks > &p_statevector, Eigen::ArrayXXd &p_phiInOut) const;
};
}
#endif /* SIMULATESTEPREGRESSIONCONTROL_H */
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