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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 SIMULATESTEPREGRESSIONCUT_H
#define SIMULATESTEPREGRESSIONCUT_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/OptimizerDPCutBase.h"
#include "StOpt/regression/ContinuationCutsGeners.h"
/** \file SimulateStepRegressionCut.h
* \brief In simulation part, permits to use continuation cuts values stored in in optimization step and
* calculate optimal control. Locally, controls are calculated by a LP so that conditional cuts are used as terminal condition.
* \author Xavier Warin
*/
namespace StOpt
{
/// \class SimulateStepRegressionCut SimulateStepRegressionCut.h
/// One step in forward simulation
class SimulateStepRegressionCut : public SimulateStepBase
{
private :
std::shared_ptr<SpaceGrid> m_pGridFollowing ; ///< global grid at following time step
std::shared_ptr<StOpt::OptimizerDPCutBase > m_pOptimize ; ///< optimizer solving the problem for one point and one step
std::vector< ContinuationCuts > m_continuationObj ; ///< to store continuation cut values per regime on the grid at following step
#ifdef USE_MPI
boost::mpi::communicator m_world; ///< Mpi communicator
#endif
public :
/// \brief Constructor
/// \param p_ar Archive where continuation values are stored
/// \param p_iStep Step number indentifier
/// \param p_nameCont Name use to store conuation valuation
/// \param p_pGridFollowing grid at following time step
/// \param p_pOptimize Optimize object defining the transition step
/// \param p_world MPI communicator
SimulateStepRegressionCut(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::OptimizerDPCutBase > &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 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)
void oneStep(std::vector<StateWithStocks > &p_statevector, Eigen::ArrayXXd &p_phiInOut) const ;
};
}
#endif /* SIMULATESTEPREGRESSIONCUT_H */
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