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// Copyright (C) 2019 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef CONTINUATIONCUTSTREE_H
#define CONTINUATIONCUTSTREE_H
#include <iostream>
#include <vector>
#include <Eigen/Dense>
#include "StOpt/tree/Tree.h"
#include "StOpt/core/grids/SpaceGrid.h"
/** \file ContinuationCutsTree.h
* \brief In DP, when transition problem are solved using LP some final cuts are given to the LP solver as ending conditions
* This permits to store cuts coefficients with some tree.
* For each point of the grid, the cuts are stored.
* \author Xavier Warin
*/
namespace StOpt
{
/// \class ContinuationCutsTree ContinuationCutsTree.h
/// Permits to store some cuts at each point of a space grid
class ContinuationCutsTree
{
private :
std::shared_ptr< SpaceGrid > m_grid ; ///< grid used to define stock points
std::vector< Eigen::ArrayXXd > m_cutCoeff ; ///< for each cut \f$ \bar a_0 + \sum_i^d a_i x_i \f$ store the coefficients coefficient. Size of m_cutCoeff : (d+1). For each component of the cut, store its value for a given node and a given stock point (size (nb node , nb stock points)). Notice that \f$ \bar a_0 = a_0 - \sum_i^d a_i \bar x_i \f$
public :
/// \brief Default constructor
ContinuationCutsTree() {}
/// \brief Constructor
/// \param p_grid grid for stocks
/// \param p_condExp tree for conditional expectation
/// \param p_values functions to store ((number of nodes at next date by number of cuts) by (nb of stocks)). The pValues are given as
/// \f$ a_0 + \sum_i^d a_i (x_i -\bar x_i) \f$ at a point \f$ \bar x \f$.
ContinuationCutsTree(const std::shared_ptr< SpaceGrid > &p_grid,
const std::shared_ptr< Tree > &p_condExp,
const Eigen::ArrayXXd &p_values);
/// \brief Load another Continuation value object
/// Only a partial load of the objects is achieved
/// \param p_grid Grid to load
/// \param p_values coefficient polynomials for regression
virtual void loadForSimulation(const std::shared_ptr< SpaceGrid > &p_grid,
const std::vector< Eigen::ArrayXXd > &p_values)
{
m_grid = p_grid;
m_cutCoeff = p_values ;
}
/// \brief Get a list of all cuts for all nodes \f$ (\bar a_0, a_1, ...a_d) \f$
/// for stock points in a set
/// \param p_hypStock list of points defining an hypercube :
/// - (i,0) coordinate corresponds to min value in dimension i
/// - (i,1) coordinate corresponds to max value in dimension i
/// .
/// Return an array of cuts for all points in the hypercube and nodes used
/// shape : first dimension : (nb nodes by number of cuts)
/// second dimension : nb of points in the hypercube
Eigen::ArrayXXd getCutsAllNodes(const Eigen::ArrayXXd &p_hypStock) const;
/// \brief get list of cuts associated to an hypercube
/// \param p_hypStock list of points defining an hypercube
/// \param p_node node number
/// \return list of cuts (nb cut coeff, nb stock points)
Eigen::ArrayXXd getCutsANode(const Eigen::ArrayXXd &p_hypStock, const int &p_node) const;
/// \brief get Regressed values stored
const std::vector< Eigen::ArrayXXd> getValues() const
{
return m_cutCoeff;
}
//// \brief Get back
///@{
std::shared_ptr< SpaceGrid > getGrid() const
{
return m_grid;
}
inline int getNbNodes() const
{
return m_cutCoeff[0].rows();
}
///@}
};
}
#endif
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