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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 GRIDTREEVALUE_H
#define GRIDTREEVALUE_H
/** \file GridTreeValue.h
* \brief Permits du store some values on a grid and to interpolate on grid
* \author Xavier Warin
*/
namespace StOpt
{
/// \class GridTreeValue GridTreeValue.h
/// Permits to store values defined on a grid : at each point on the grid a set of/// values is defined
class GridTreeValue
{
private :
std::shared_ptr< SpaceGrid > m_grid ; ///< grid used to define stock points
std::vector< std::shared_ptr<InterpolatorSpectral> > m_interpFuncBasis; /// vector of spectral operator associated to the grid used for each point
public :
/// \brief Default constructor
GridTreeValue() {}
/// \brief Constructor
/// \param p_grid grid for stocks
/// \param p_values functions to store (number of node in the tree by nb of stocks)
GridTreeValue(const std::shared_ptr< SpaceGrid > &p_grid,
const Eigen::ArrayXXd &p_values) : m_grid(p_grid), m_interpFuncBasis(p_values.rows())
{
for (int i = 0; i < p_values.rows(); ++i)
m_interpFuncBasis[i] = p_grid->createInterpolatorSpectral(p_values.row(i).transpose());
}
/// \brief Constructor used to store the grid and the regressor
/// \param p_grid grid for stocks
GridTreeValue(const std::shared_ptr< SpaceGrid > &p_grid) : m_grid(p_grid) {}
/// \brief Constructor used for deserialization
/// \param p_grid grid for stocks
/// \param p_interpFuncBasis spectral interpolator associated to each regression function basis
GridTreeValue(const std::shared_ptr< SpaceGrid > &p_grid,
const std::vector< std::shared_ptr<InterpolatorSpectral> > &p_interpFuncBasis): m_grid(p_grid), m_interpFuncBasis(p_interpFuncBasis) {}
/// \brief Get value function for one stock and one node in tree
/// \param p_ptOfStock stock points
/// \param p_node node number
inline double getValue(const Eigen::ArrayXd &p_ptOfStock, const int &p_node) const
{
return m_interpFuncBasis[p_node]->apply(p_ptOfStock);
}
/// \brief Get value function for one stock and all nodes
/// \param p_ptOfStock stock points
inline Eigen::ArrayXd getValues(const Eigen::ArrayXd &p_ptOfStock) const
{
Eigen::ArrayXd ret(m_interpFuncBasis.size());
for (size_t inode = 0; inode < m_interpFuncBasis.size(); ++inode)
ret(inode) = m_interpFuncBasis[inode]->apply(p_ptOfStock);
return ret;
}
/// \brief Get the grid
std::shared_ptr< SpaceGrid > getGrid() const
{
return m_grid ;
}
/// \brief Get back the interpolators
const std::vector< std::shared_ptr<InterpolatorSpectral> > &getInterpolators() const
{
return m_interpFuncBasis;
}
};
}
#endif
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