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// Copyright (C) 2021 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef TRANSITIONSTEPREGRESSIONSWITCHDIST_H
#define TRANSITIONSTEPREGRESSIONSWITCHDIST_H
#include <functional>
#include <memory>
#include <vector>
#include <boost/mpi.hpp>
#include <Eigen/Dense>
#include "geners/BinaryFileArchive.hh"
#include "geners/Record.hh"
#include "StOpt/core/grids/RegularSpaceIntGrid.h"
#include "StOpt/core/parallelism/ParallelComputeGridSplitting.h"
#include "StOpt/regression/BaseRegression.h"
#include "StOpt/dp/OptimizerSwitchBase.h"
/** \file TransitionStepRegressionSwitchDist.h
* \brief Solve the dynamic programming problem on one time step by regression with parallelization for switching problems with integer states
* \author Xavier Warin
* \todo Developp MPI for regimes too : parallelism should be applied to stock and regimes.
*/
namespace StOpt
{
/// \class TransitionStepRegressionSwitchDist TransitionStepRegressionSwitchDist.h
/// One step of dynamic programming using MPI for switching problems with integer states
class TransitionStepRegressionSwitchDist
{
private :
std::vector< std::shared_ptr<RegularSpaceIntGrid> > m_pGridCurrent ; ///< global grid for each regime at current time step
std::vector< std::shared_ptr<RegularSpaceIntGrid> > m_pGridPrevious ; ///< global grid for each regime at previous time step
std::shared_ptr<OptimizerSwitchBase > m_pOptimize ; ///< optimizer solving the problem for one point and one step
std::vector< std::shared_ptr<ParallelComputeGridSplitting> > m_paral ; ///< parallel object fro each regime
std::vector< std::shared_ptr<RegularSpaceIntGrid> > m_gridCurrentProc ; ///< vector of local grid treated by the processor (for each regime)
std::vector< std::shared_ptr<RegularSpaceIntGrid> > m_gridExtendPreviousStep; ///< vector of given extended grid at previous step (for each regime)
boost::mpi::communicator m_world; ///< Mpi communicator
public :
/// \brief default
TransitionStepRegressionSwitchDist() {}
/// \brief Destructor
virtual ~TransitionStepRegressionSwitchDist() {}
/// \brief Constructor
TransitionStepRegressionSwitchDist(const std::vector< std::shared_ptr<RegularSpaceIntGrid> > &p_pGridCurrent,
const std::vector< std::shared_ptr<RegularSpaceIntGrid> > &p_pGridPrevious,
const std::shared_ptr<OptimizerSwitchBase > &p_pOptimize,
const boost::mpi::communicator &p_world);
/// \brief One step for optimization
/// \param p_phiIn for each regime the function value ( nb simulation, nb stocks )
/// \param p_condExp Conditional expectation objet
/// \return solution obtained after one step of dynamic programming ( nb simulation, nb non stochastic states )
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 : for switching dump is realized on a single file
/// \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_phiInPrev 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_phiInPrev,
const std::shared_ptr<BaseRegression> &p_condExp) const;
};
}
#endif /* TRANSITIONSTEPREGRESSIONSWITCHDIST_H */
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