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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 TRANSITIONSTEPREGRESSIONDPSPARSE_H
#define TRANSITIONSTEPREGRESSIONDPSPARSE_H
#ifdef OMP
#include <omp.h>
#endif
#ifdef USE_MPI
#include <boost/mpi.hpp>
#endif
#include <memory>
#include <Eigen/Dense>
#include "geners/BinaryFileArchive.hh"
#include "StOpt/dp/TransitionStepRegressionBase.h"
#include "StOpt/core/grids/SparseSpaceGrid.h"
#include "StOpt/regression/BaseRegression.h"
#include "StOpt/dp/OptimizerDPBase.h"
/** \file TransitionStepRegressionDPSparse.h
* \brief Solve the dynamic programming problem on one time step by regression with sparse grids
* \author Xavier Warin
*/
namespace StOpt
{
/// \class TransitionStepRegressionDPSparse TransitionStepRegressionDPSparse.h
/// One step of dynamic programming using sparse and mpi potentially
class TransitionStepRegressionDPSparse : public TransitionStepRegressionBase
{
private :
std::shared_ptr<SparseSpaceGrid> m_pGridCurrent ; ///< global grid at current time step
std::shared_ptr<SparseSpaceGrid> m_pGridPrevious ; ///< global grid at previous time step
std::shared_ptr<OptimizerDPBase > m_pOptimize ; ///< optimizer solving the problem for one point and one step
#ifdef USE_MPI
boost::mpi::communicator m_world; ///< Mpi communicator
#endif
public :
/// \brief Constructor
TransitionStepRegressionDPSparse(const std::shared_ptr<SparseSpaceGrid> &p_pGridCurrent,
const std::shared_ptr<SparseSpaceGrid> &p_pridPrevious,
const std::shared_ptr<OptimizerDPBase > &p_pOptimize
#ifdef USE_MPI
, const boost::mpi::communicator &p_world
#endif
);
/// \brief One step for
/// \param p_phiIn for each regime the function value ( nb simulation, nb stocks )
/// \param p_condExp Conditional expectation object
/// \return solution obtained after one step of dynamic programming and the optimal control
std::pair< std::vector< std::shared_ptr< Eigen::ArrayXXd > >, 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 continuation 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) which has been hierarchized
/// \param p_control Optimal control ( nb simulation ,nb stocks) for each control
/// \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::vector< std::shared_ptr< Eigen::ArrayXXd > > &p_control, const std::shared_ptr<BaseRegression> &p_condExp) const;
};
}
#endif /* TRANSITIONSTEPREGRESSIONDPSPARSE_H */
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