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// Copyright (C) 2019 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifdef USE_MPI
#include <boost/mpi.hpp>
#endif
#include <pybind11/pybind11.h>
#include <pybind11/eigen.h>
#include <pybind11/stl_bind.h>
#include <pybind11/stl.h>
#include "StOpt/core/utils/version.h"
#include "StOpt/sddp/SimulatorSDDPBase.h"
#include "StOpt/sddp/OptimizerSDDPBase.h"
#include "StOpt/sddp/LocalLinearRegressionForSDDP.h"
#include "StOpt/sddp/LocalLinearRegressionForSDDPGeners.h"
#include "StOpt/sddp/SDDPFinalCut.h"
#include "StOpt/sddp/backwardForwardSDDP.h"
#include "StOpt/sddp/backwardSDDP.h"
#include "StOpt/sddp/forwardSDDP.h"
#include "StOpt/sddp/SDDPLocalCut.h"
#include "StOpt/python/BinaryFileArchiveStOpt.h"
namespace py = pybind11;
/** \file Pybind11SOptSDDP.cpp
* \brief Mapping SDDP optimizer and simulator base classes to python
* \author Xavier Warin
*/
/// \brief backwardForward wrapper
/// \return backward, forward valorization , number of iterations used in SDDP, and acciracy achieved
py::dict pyBackwardForwardSDDP(std::shared_ptr<StOpt::OptimizerSDDPBase> p_optimizer,
const int &p_nbSimulCheckForSimu,
const Eigen::ArrayXd &p_initialState,
const StOpt::SDDPFinalCut &p_finalCut,
const Eigen::ArrayXd &p_dates,
const Eigen::ArrayXi &p_meshForReg,
const std::string &p_nameRegressor,
const std::string &p_nameCut,
const std::string &p_nameVisitedStates,
int p_iter,
double p_accuracy,
const int &p_nStepConv)
{
#ifdef USE_MPI
boost::mpi::communicator world;
#endif
std::ostringstream stringStream ;
std::pair<double, double> retLoc = StOpt::backwardForwardSDDP<StOpt::LocalLinearRegressionForSDDP>(p_optimizer, p_nbSimulCheckForSimu, p_initialState,
p_finalCut, p_dates, p_meshForReg, p_nameRegressor, p_nameCut,
p_nameVisitedStates, p_iter, p_accuracy,
p_nStepConv,
stringStream
#ifdef USE_MPI
, world
#endif
);
py::dict dicReturn;
dicReturn["BackWardEstimation"] = retLoc.first;
dicReturn["ForwardEStimation"] = retLoc.second;
dicReturn["NumberOfSDDPIterations"] = p_iter;
dicReturn["AccuracyReached"] = p_accuracy;
dicReturn["message"] = stringStream.str();
return dicReturn;
}
double pyBackwardSDDP(std::shared_ptr<StOpt::OptimizerSDDPBase> p_optimizer,
std::shared_ptr<StOpt::SimulatorSDDPBase> p_simulator,
const Eigen::ArrayXd &p_dates,
const Eigen::ArrayXd &p_initialState,
const StOpt::SDDPFinalCut &p_finalCut,
const std::shared_ptr<BinaryFileArchiveStOpt> &p_archiveRegresssor,
const std::string &p_nameVisitedStates,
const std::shared_ptr<BinaryFileArchiveStOpt> &p_archiveCut)
{
#ifdef USE_MPI
boost::mpi::communicator world;
#endif
return StOpt::backwardSDDP<StOpt::LocalLinearRegressionForSDDP>(p_optimizer, p_simulator, p_dates,
p_initialState, p_finalCut, p_archiveRegresssor, p_nameVisitedStates, p_archiveCut
#ifdef USE_MPI
, world
#endif
);
}
double pyForwardSDDP(std::shared_ptr<StOpt::OptimizerSDDPBase> p_optimizer,
std::shared_ptr<StOpt::SimulatorSDDPBase> p_simulator,
const Eigen::ArrayXd &p_dates,
const Eigen::ArrayXd &p_initialState,
const StOpt::SDDPFinalCut &p_finalCut,
const bool &p_bIncreaseCut,
const std::shared_ptr<BinaryFileArchiveStOpt > &p_archiveRegresssor,
const std::shared_ptr<BinaryFileArchiveStOpt > &p_archiveCutToRead,
const std::string &p_nameVisitedStates)
{
#ifdef USE_MPI
boost::mpi::communicator world;
#endif
return StOpt::forwardSDDP<StOpt::LocalLinearRegressionForSDDP>(p_optimizer, p_simulator, p_dates, p_initialState,
p_finalCut, p_bIncreaseCut, p_archiveRegresssor, p_archiveCutToRead, p_nameVisitedStates
#ifdef USE_MPI
, world
#endif
);
}
// Wrapper for SDDP simulator
//***************************
class PySimulatorSDDPBase : StOpt::SimulatorSDDPBase
{
public:
using StOpt::SimulatorSDDPBase::SimulatorSDDPBase;
int getNbSimul() const override
{
PYBIND11_OVERLOAD_PURE(int, StOpt::SimulatorSDDPBase, getNbSimul);
}
int getNbSample() const override
{
PYBIND11_OVERLOAD_PURE(int, StOpt::SimulatorSDDPBase, getNbSample);
}
void updateDateIndex(const int &p_idate) override
{
PYBIND11_OVERLOAD_PURE(void, StOpt::SimulatorSDDPBase, updateDateIndex, p_idate) ;
}
Eigen::VectorXd getOneParticle(const int &p_isim) const override
{
PYBIND11_OVERLOAD_PURE(Eigen::VectorXd, StOpt::SimulatorSDDPBase, getOneParticle, p_isim);
}
Eigen::MatrixXd getParticles() const override
{
PYBIND11_OVERLOAD_PURE(Eigen::MatrixXd, StOpt::SimulatorSDDPBase, getParticles);
}
void resetTime() override
{
PYBIND11_OVERLOAD_PURE(void, StOpt::SimulatorSDDPBase, resetTime) ;
}
void updateSimulationNumberAndResetTime(const int &p_nbSimul) override
{
PYBIND11_OVERLOAD_PURE(void, StOpt::SimulatorSDDPBase, updateSimulationNumberAndResetTime, p_nbSimul);
}
};
/// Wrap SDDP optimizer
//*********************
class PyOptimizerSDDPBase : StOpt::OptimizerSDDPBase
{
public :
using StOpt::OptimizerSDDPBase::OptimizerSDDPBase;
Eigen::ArrayXd oneStepBackward(const StOpt::SDDPCutOptBase &, const std::tuple< std::shared_ptr<Eigen::ArrayXd>, int, int > &, const Eigen::ArrayXd &, const int &) const override
{
PYBIND11_OVERLOAD_PURE(Eigen::ArrayXd, StOpt::OptimizerSDDPBase, oneStepBackward);
}
double oneStepForward(const Eigen::ArrayXd &, Eigen::ArrayXd &, Eigen::ArrayXd &, const StOpt::SDDPCutOptBase &, const int &) const override
{
PYBIND11_OVERLOAD_PURE(double, StOpt::OptimizerSDDPBase, oneStepForward);
}
void updateDates(const double &p_date, const double &p_dateNext) override
{
PYBIND11_OVERLOAD_PURE(void, StOpt::OptimizerSDDPBase, updateDates, p_date, p_dateNext);
}
Eigen::ArrayXd oneAdmissibleState(const double &p_date)override
{
PYBIND11_OVERLOAD_PURE(Eigen::ArrayXd, StOpt::OptimizerSDDPBase, oneAdmissibleState, p_date);
}
int getStateSize() const override
{
PYBIND11_OVERLOAD_PURE(int, StOpt::OptimizerSDDPBase, getStateSize);
}
std::shared_ptr< StOpt::SimulatorSDDPBase > getSimulatorBackward() const override
{
using shared_ptrSimTemp = std::shared_ptr< StOpt::SimulatorSDDPBase >;
PYBIND11_OVERLOAD_PURE(shared_ptrSimTemp, StOpt::OptimizerSDDPBase, getSimulatorBackward);
}
std::shared_ptr< StOpt::SimulatorSDDPBase > getSimulatorForward() const override
{
using shared_ptrSimTemp = std::shared_ptr< StOpt::SimulatorSDDPBase >;
PYBIND11_OVERLOAD_PURE(shared_ptrSimTemp, StOpt::OptimizerSDDPBase, getSimulatorForward);
}
};
/// \brief Encapsulation for regression module
PYBIND11_MODULE(StOptSDDP, m)
{
// version
m.def("getVersion", StOpt::getStOptVersion);
/// map sddp base simulator
py::class_<StOpt::SimulatorSDDPBase, std::shared_ptr<StOpt::SimulatorSDDPBase>, PySimulatorSDDPBase>(m, "SimulatorSDDPBase")
.def("getNbSimul", &StOpt::SimulatorSDDPBase::getNbSimul)
.def("getNbSample", &StOpt::SimulatorSDDPBase::getNbSample)
.def("updateDateIndex", &StOpt::SimulatorSDDPBase::updateDateIndex)
.def("getOneParticle", &StOpt::SimulatorSDDPBase::getOneParticle)
.def("getParticles", &StOpt::SimulatorSDDPBase::getParticles)
.def("resetTime", &StOpt::SimulatorSDDPBase::resetTime)
.def("updateSimulationNumberAndResetTime", &StOpt::SimulatorSDDPBase::updateSimulationNumberAndResetTime)
;
// map sddp base optimizer
py::class_<StOpt::OptimizerSDDPBase, std::shared_ptr<StOpt::OptimizerSDDPBase>, PyOptimizerSDDPBase>(m, "OptimizerSDDPBase")
.def("updateDates", &StOpt::OptimizerSDDPBase::updateDates)
.def("getStateSize", &StOpt::OptimizerSDDPBase::getStateSize)
.def("oneAdmissibleState", &StOpt::OptimizerSDDPBase::oneAdmissibleState)
;
// map SDDP final cut constructor
py::class_<StOpt::SDDPFinalCut, std::shared_ptr<StOpt::SDDPFinalCut> >(m, "SDDPFinalCut")
.def(py::init< >())
.def(py::init< const Eigen::ArrayXXd &>())
;
// map LocalLinearRegressionForSDDP
py::class_<StOpt::LocalLinearRegressionForSDDP, std::shared_ptr<StOpt::LocalLinearRegressionForSDDP> >(m, "LocalLinearRegressionForSDDP")
.def(py::init<const bool &, const Eigen::ArrayXXd &, const Eigen::ArrayXi &>())
.def("getNbMeshTotal", &StOpt::LocalLinearRegressionForSDDP::getNbMeshTotal)
;
/// map SDDPVisitedStates
py::class_<StOpt::SDDPVisitedStates, std::shared_ptr<StOpt::SDDPVisitedStates> >(m, "SDDPVisitedStates")
.def(py::init<>())
.def(py::init<const int & >())
.def("addVisitedState", [ ](StOpt::SDDPVisitedStates & p_x, const Eigen::Ref<Eigen::ArrayXd> &p_state, const Eigen::Ref<Eigen::ArrayXd> &p_particle, const StOpt::LocalLinearRegressionForSDDP & p_regressor)
{
std::shared_ptr< Eigen::ArrayXd > state = std::make_shared<Eigen::ArrayXd>(p_state);
p_x.addVisitedState(state, p_particle, p_regressor);
;
}
)
.def("addVisitedStateForAll", [ ](StOpt::SDDPVisitedStates & p_x, const Eigen::Ref<Eigen::ArrayXd> &p_state, const StOpt::LocalLinearRegressionForSDDP & p_regressor)
{
std::shared_ptr< Eigen::ArrayXd > state = std::make_shared<Eigen::ArrayXd>(p_state);
p_x.addVisitedStateForAll(state, p_regressor);
;
}
)
;
// SDDP functions
m.def("backwardForwardSDDP", pyBackwardForwardSDDP);
m.def("backwardSDDP", pyBackwardSDDP);
m.def("forwardSDDP", pyForwardSDDP);
}
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