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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 TREE_H
#define TREE_H
#include <memory>
#include <vector>
#include <array>
#include <Eigen/Dense>
/** \file Tree.h
* \brief Class to store a scenario tree
* \author Xavier warin
*/
namespace StOpt
{
/// \class Tree Tree.h
/// Tree class to calculate conditional expectation
class Tree
{
private :
std::vector<double> m_proba ;///< probality array
std::vector< std::vector< std::array<int, 2> > > m_connected ; ///< connection matrix between points (nodes) on tree between 2 dates : m_connected[i][j][0] gives for node i at current date, the number of the node at next date and the index in the probability array is m_connected[i][j][1]. The number of connection of node i is m_connected[i].size()
int m_nbNodeNextDate;
public :
/// \brief Default constructor
Tree();
/// \brief Default destructor
virtual ~Tree() {}
/// \brief Constructor storing nodes values at curretndates and probability matrix
/// \param p_proba probability between nodes on two dates
/// \param p_connected connection between nodes
Tree(const std::vector<double> &p_proba, const std::vector< std::vector< std::array<int, 2> > > &p_connected);
/// \brief update the data in existing Tree
/// \param p_probab probability between nodes on two dates
/// \param p_connected connection between nodes
void update(const std::vector<double> &p_proba,
const std::vector< std::vector< std::array<int, 2> > > &p_connected);
/// \brief Get some local accessors
///@{
inline std::vector<double> getProba() const
{
return m_proba;
}
inline std::vector< std::vector< std::array<int, 2> > > getConnected() const
{
return m_connected;
}
///@}
/// \brief Calculated conditional expectation
/// \param p_values at the tree node at the next date
Eigen::ArrayXd expCond(const Eigen::ArrayXd &p_values) const ;
/// \brief Calculated conditional expectation
/// \param p_values at the tree node at the next date (size : number of function to regress \times number of nodes)
Eigen::ArrayXXd expCondMultiple(const Eigen::ArrayXXd &p_values) const ;
/// \brief Number of nodes at current date
inline int getNbNodes() const
{
return m_connected.size();
}
/// \brief Number of nodes at next date
inline int getNbNodesNextDate() const
{
return m_nbNodeNextDate;
}
/// \brief connected node
/// \param p_iStart starting node
/// \param p_num number of the branch
/// \return arrival node
inline int getArrivalNode(const int &p_iStart, const int &p_num)
const
{
return m_connected[p_iStart][p_num][0];
}
/// \brief number of nodes connected to a node
inline int getNbConnected(const int &p_node) const
{
return m_connected[p_node].size();
}
/// \brief get probability
/// \param p_iStart starting node
/// \param p_num number of the branch
/// \return probability
inline double getProba(const int &p_iStart, const int &p_num) const
{
return m_proba[m_connected[p_iStart][p_num][1]];
}
};
}
#endif
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