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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 OPTIMIZERBASEINTERP_H
#define OPTIMIZERBASEINTERP_H
#include <Eigen/Dense>
#include "StOpt/core/utils/StateWithStocks.h"
#include "StOpt/core/grids/SpaceGrid.h"
#include "StOpt/regression/BaseRegression.h"
#include "StOpt/regression/ContinuationValue.h"
#include "StOpt/regression/GridAndRegressedValue.h"
#include "StOpt/dp/OptimizerBase.h"
#include "StOpt/dp/SimulatorDPBase.h"
/** \file OptimizerBaseInterp.h
* \brief Define an abstract class for Dynamic Programming problems solved by Monte Carlo methods with interpolation for Bellman values
* \author Xavier Warin
*/
namespace StOpt
{
/// \class OptimizerBaseInterp OptimizerBaseInterp.h
/// Base class for optimizer for Dynamic Programming with interpolation for Bellman values with and without regression methods
class OptimizerBaseInterp : public OptimizerBase
{
public :
OptimizerBaseInterp() {}
virtual ~OptimizerBaseInterp() {}
/// \brief Defines a step in simulation using interpolation in controls
/// \param p_grid grid at arrival step after command
/// \param p_control defines the controls
/// \param p_state defines the state value (modified)
/// \param p_phiInOut defines the value function (modified): size number of functions to follow
virtual void stepSimulateControl(const std::shared_ptr< StOpt::SpaceGrid> &p_grid, const std::vector< StOpt::GridAndRegressedValue > &p_control,
StOpt::StateWithStocks &p_state,
Eigen::Ref<Eigen::ArrayXd> p_phiInOut) const = 0 ;
/// \brief get the simulator back
virtual std::shared_ptr< StOpt::SimulatorDPBase > getSimulator() const = 0;
};
}
#endif /* OPTIMIZERBASEINTERP_H */
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