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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 SIMULATESTEPREGRESSIONCUTDIST_H
#define SIMULATESTEPREGRESSIONCUTDIST_H
#include <boost/mpi.hpp>
#include <boost/mpi/collectives.hpp>
#include <boost/lexical_cast.hpp>
#include "geners/BinaryFileArchive.hh"
#include "StOpt/dp/SimulateStepBase.h"
#include "StOpt/core/grids/FullGrid.h"
#include "StOpt/core/utils/StateWithStocks.h"
#include "StOpt/regression/ContinuationCutsGeners.h"
#include "StOpt/core/parallelism/ParallelComputeGridSplitting.h"
#include "StOpt/dp/OptimizerDPCutBase.h"
/** SimulateStepRegressionCutDist.h
* In simulation part, permits to use continuation cuts values stored in in optimization step and
* calculate optimal controls using a LP programm to calculate transition problems
* \author Xavier Warin
*/
namespace StOpt
{
/// \class SimulateStepRegressionCutDist SimulateStepRegressionCutDist.h
/// One step in forward simulation using mpi
class SimulateStepRegressionCutDist : public SimulateStepBase
{
private :
std::shared_ptr<FullGrid> m_pGridFollowing ; ///< global grid at following time step
std::shared_ptr<OptimizerDPCutBase > m_pOptimize ; ///< optimizer solving the problem for one point and one step
std::vector< ContinuationCuts> m_continuationObj ; ///< to store continuation value per regime on the grid at following step
std::shared_ptr<BaseRegression> m_regressor ; ///< Regressor used (read if multiple file used)
std::vector< Eigen::ArrayXXd > m_contValue ; ///< to store continuation cuts values split in memory if multiple files used
bool m_bOneFile ; /// do we use one file for continuation values
std::shared_ptr<ParallelComputeGridSplitting> m_parall ; ///< parallel object for splitting and reconstruction
boost::mpi::communicator m_world; ///< Mpi communicator
public :
/// \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_bOneFile Do we store continuation values in only one file
/// \param p_world MPI communicator
SimulateStepRegressionCutDist(gs::BinaryFileArchive &p_ar, const int &p_iStep, const std::string &p_nameCont,
const std::shared_ptr<FullGrid> &p_pGridFollowing,
const std::shared_ptr<OptimizerDPCutBase > &p_pOptimize,
const bool &p_bOneFile, const boost::mpi::communicator &p_world);
/// \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 functions by number of simulations)
void oneStep(std::vector<StateWithStocks > &p_statevector, Eigen::ArrayXXd &p_phiInOut) const;
};
}
#endif /* SIMULATESTEPREGRESSIONCUTDIST_H */
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