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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 TRANSITIONSTEPMULTISTAGEREGRESSIONDP_H
#define TRANSITIONSTEPMULTISTAGEREGRESSIONDP_H
#ifdef OMP
#include <omp.h>
#endif
#include <memory>
#ifdef USE_MPI
#include <boost/mpi.hpp>
#endif
#include <Eigen/Dense>
#include "geners/BinaryFileArchive.hh"
#include "StOpt/core/grids/FullGrid.h"
#include "StOpt/regression/BaseRegression.h"
#include "StOpt/regression/ContinuationValue.h"
#include "StOpt/dp/OptimizerMultiStageDPBase.h"
/** \file TransitionStepMultiStageRegressionDP.h
* \brief Solve the dynamic programming problem on one time step by regression with multi thread and mpi without distribution of the data
* In this version, on each time time a multistage deterministic problem is solved using DP
* \author Benoit Clair , Xavier Warin
*/
namespace StOpt
{
/// \class TransitionStepMultiStageRegressionDP TransitionStepMultiStageRegressionDP.h
/// One step of dynamic programming without using mpi
class TransitionStepMultiStageRegressionDP
{
private :
std::shared_ptr<FullGrid> m_pGridCurrent ; ///< global grid at current time step
std::shared_ptr<FullGrid> m_pGridPrevious ; ///< global grid at previous time step
std::shared_ptr<OptimizerMultiStageDPBase > m_pOptimize ; ///< optimizer solving the problem for one point and one step
std::shared_ptr<gs::BinaryFileArchive> m_arGen ; ///< geners archive
std::string m_nameDump ; ///< name to dump deterministic values
#ifdef USE_MPI
boost::mpi::communicator m_world; ///< Mpi communicator
#endif
/// \brief calculate one step period
/// \param p_phiIn cash values at the end of period (nb sim * nb stock points)
/// \param p_phiOut cash to be filled at the beginning of period (nb sim * nb stock points)
/// \param p_contVal continuation object
/// \param p_pGridCurTrans current grid in transition
/// \param p_pGridPrevTrans previous grid in transition
/// \param p_phiOutLoc utility for MPI calculations
/// \param p_ilocToGLobal utility for MPI calculations
/// \param p_ilocToGLobalGlob utility for MPI calculations
/// \param p_storeGlob utility for MPI calculations
void oneStageInStep(const std::vector< std::shared_ptr< Eigen::ArrayXXd > > &p_phiIn,
std::vector< std::shared_ptr< Eigen::ArrayXXd > > &p_phiOut,
std::vector<std::shared_ptr<ContinuationValue> > &p_contVal,
const std::shared_ptr<FullGrid> &p_pGridCurTrans,
const std::shared_ptr<FullGrid> &p_pGridPrevTrans
#ifdef USE_MPI
, std::vector< Eigen::ArrayXXd > &p_phiOutLoc,
Eigen::ArrayXi &p_ilocToGLobal,
Eigen::ArrayXi &p_ilocToGLobalGlob,
Eigen::ArrayXXd &p_storeGlob
#endif
) const;
public :
/// \brief default
TransitionStepMultiStageRegressionDP() {}
virtual ~TransitionStepMultiStageRegressionDP() {}
/// \brief Constructor without arxive dump
TransitionStepMultiStageRegressionDP(const std::shared_ptr<FullGrid> &p_pGridCurrent,
const std::shared_ptr<FullGrid> &p_pGridPrevious,
const std::shared_ptr<OptimizerMultiStageDPBase > &p_pOptimize
#ifdef USE_MPI
, const boost::mpi::communicator &p_world
#endif
);
/// \brief Constructor without arxive dump
TransitionStepMultiStageRegressionDP(const std::shared_ptr<FullGrid> &p_pGridCurrent,
const std::shared_ptr<FullGrid> &p_pGridPrevious,
const std::shared_ptr<OptimizerMultiStageDPBase > &p_pOptimize,
const std::shared_ptr<gs::BinaryFileArchive> &p_arGen,
const std::string &p_nameDump
#ifdef USE_MPI
, const boost::mpi::communicator &p_world
#endif
);
/// \brief One step for dynamic programming in optimization
/// \param p_phiIn for each regime the function value ( nb simulation, nb stocks )
/// \param p_condExp Conditional expectation object
std::vector< std::shared_ptr< Eigen::ArrayXXd > > oneStep(const std::vector< std::shared_ptr< Eigen::ArrayXXd > > &p_phiIn,
const std::shared_ptr< BaseRegression> &p_condExp) const ;
/// \brief Permits to dump stochastic continuation values on archive during time step optimization
/// \param p_ar archive to dump in
/// \param p_name name used for object
/// \param p_iStep Step number or identifier for time step
/// \param p_phiIn for each regime the function value ( nb simulation ,nb stocks)
/// \param p_condExp conditional expectation operator
void dumpContinuationValues(std::shared_ptr<gs::BinaryFileArchive> p_ar, const std::string &p_name, const int &p_iStep, const std::vector< std::shared_ptr< Eigen::ArrayXXd > > &p_phiIn, const std::shared_ptr<BaseRegression> &p_condExp) const;
/// \brief Permits to dump Bellman values on archive
/// \param p_ar archive to dump in
/// \param p_name name used for object
/// \param p_iStep Step number or identifier for time step
/// \param p_phiIn for each regime the function value ( nb simulation ,nb stocks)
/// \param p_condExp conditional expectation operator
void dumpBellmanValues(std::shared_ptr<gs::BinaryFileArchive> p_ar, const std::string &p_name, const int &p_iStep, const std::vector< std::shared_ptr< Eigen::ArrayXXd > > &p_phiIn,
const std::shared_ptr<BaseRegression> &p_condExp) const;
};
}
#endif /* TRANSITIONSTEPMULTISTAGEREGRESSIONDP_H */
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