1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
|
// Copyright (C) 2019 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef SIMULATORDPBASETREE_H
#define SIMULATORDPBASETREE_H
#include <Eigen/Dense>
#include "geners/BinaryFileArchive.hh"
/* \file SimulatorDPBaseTree.h
* \brief Abstract class for simulators for Dynamic Programming Programms with tree
* \author Xavier Warin
*/
namespace StOpt
{
/// \class SimulatorDPBaseTree SimulatorDPBaseTree.h
/// Abstract class for simulator used in dynamic programming with trees
class SimulatorDPBaseTree
{
protected :
std::shared_ptr<gs::BinaryFileArchive> m_binForTree ; ///< archive for tree
Eigen::ArrayXd m_dates ; ///< list of dates in the archive
int m_idateCur ; ///< current date index
Eigen::ArrayXXd m_nodesCurr ; ///< storing coordinates of the nodes at current date (dim, nbnodes)
Eigen::ArrayXXd m_nodesNext; ///< storing coordinates of the nodes at next date (dim, nbnodes)
std::vector<double> m_proba ; ///< value stores probability to go from on node at index m_dateCurc to node at next date m_dateNext.
std::vector< std::vector< std::array<int, 2> > > m_connected ; ///<for each node at current date, give a list of connected nodes at next date and index in probability vector
/// \brief load a date
void load(const int &p_idateCur);
public :
/// \brief Constructor
SimulatorDPBaseTree() {}
/// \brief Constructor : use in backward
/// \param p_binforTree binary geners archive with structure
/// - dates -> eigen array of dates, size ndate
/// - nodes -> nDate array , each array containing nodes coordinates with size (ndim, nbNodes)
/// - proba -> probabilities to go from node to another from a date to the next date
/// - connected -> connecton matrix for a node at current date to go to a node at next date
///
SimulatorDPBaseTree(const std::shared_ptr<gs::BinaryFileArchive> &p_binForTree);
/// \brief Destructor
virtual ~SimulatorDPBaseTree() {}
/// \brief a step forward for simulations
virtual void stepForward() = 0;
/// \brief sample one simulation in forward mode
/// \param p_nodeStart starting node
/// \param p_randUni uniform random in [0,1]
/// \return node reached
int getNodeReachedInForward(const int &p_nodeStart, const double &p_randUni) const ;
/// \brief a step backward for simulations
virtual void stepBackward() = 0;
/// \brief get back dimension of the problem
virtual int getDimension() const
{
return m_nodesCurr.rows();
}
/// \brief get the number of steps
virtual int getNbStep() const
{
return m_dates.size() - 1;
}
/// \brief Number of nodes at current date
virtual int getNbNodes() const
{
return m_nodesCurr.cols();
}
/// \brief Number of nodes at next date
virtual int getNbNodesNext() const
{
return m_nodesNext.cols();
}
/// \brief get back dates
inline Eigen::ArrayXd getDates() const
{
return m_dates;
}
/// \brief get back the last date index
inline int getBackLastDateIndex() const
{
return m_dates.size() - 1;
}
/// \brief get back connection matrix :for each node at current date, give the node connected
std::vector< std::vector< std::array<int, 2 > > > getConnected() const
{
return m_connected ;
}
/// \brief get back probabilities
inline std::vector< double > getProba() const
{
return m_proba;
}
/// \brief get current nodes
inline Eigen::ArrayXXd getNodes() const
{
return m_nodesCurr ;
}
/// \brief get nodes at next date
inline Eigen::ArrayXXd getNodesNext() const
{
return m_nodesNext ;
}
/// \brief Get number of simulations used in forward
virtual inline int getNbSimul() const = 0;
/// \brief Get node number associated to a node
/// \param p_nodeIndex index of the node
virtual Eigen::ArrayXd getValueAssociatedToNode(const int &p_nodeIndex) const = 0;
/// \brief get node associated to a simulation
/// \param p_isim simulation number
/// \return number of the node associated to a simulation
virtual int getNodeAssociatedToSim(const int &p_isim) const = 0;
};
}
#endif /* SIMULATORDPBASETREE_H */
|
