1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
|
// Copyright (C) 2023 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef TRANSITIONSTEPMULTISTAGEREGRESSIONDPDIST_H
#define TRANSITIONSTEPMULTISTAGEREGRESSIONDPDIST_H
#include <functional>
#include <memory>
#include "boost/mpi.hpp"
#include <Eigen/Dense>
#include "geners/BinaryFileArchive.hh"
#include "geners/Record.hh"
#include "StOpt/dp/TransitionStepBaseDist.h"
#include "StOpt/core/grids/FullGrid.h"
#include "StOpt/core/parallelism/ParallelComputeGridSplitting.h"
#include "StOpt/regression/BaseRegression.h"
#include "StOpt/regression/ContinuationValueBase.h"
#include "StOpt/dp/OptimizerMultiStageDPBase.h"
/** \file TransitionStepMultiStageRegressionDPDist.h
* \brief Solve the dynamic programming problem on one time step by regression with parallelization
* In this version, on each time time a multistage deterministic problem is solved using DP
* \author Xavier Warin
*/
namespace StOpt
{
/// \class TransitionStepMultiStageRegressionDPDist TransitionStepMultiStageRegressionDPDist.h
/// One step of dynamic programming using MPI. Transition problem is itself a deterministic problem.
class TransitionStepMultiStageRegressionDPDist : public TransitionStepBaseDist
{
private :
std::shared_ptr<gs::BinaryFileArchive> m_arGen ; ///< geners archive
std::string m_nameDump ; ///< name to dump deterministic values
bool m_bOneFileDet ; ///< if true deterministic continuaiton values are store in one file
bool m_bDump ; ///< True if we dump Bellman
std::shared_ptr<ParallelComputeGridSplitting> m_paralDet ; ///< parallel object for deterministic optimization
std::shared_ptr<FullGrid> m_gridExtendCurrentStep; ///< give extended grid at current step
/// \brief compute parallel object for deterministic transition
void calParalDet();
/// \brief calculate one step period
/// \param p_phiIn cash values at the end of period (nb sim * nb stock points)
/// \param p_phiOut cash to be filled at the beginning of period (nb sim * nb stock points)
/// \param p_condExp conditional expectation operator
/// \param p_paralStep parallel object used for the subtransition
/// \param p_pGridPrevTransExtended extended grid at the previous sub step.
void oneStageInStep(const std::vector< std::shared_ptr< Eigen::ArrayXXd > > &p_phiIn,
std::vector< std::shared_ptr< Eigen::ArrayXXd > > &p_phiOut,
const std::shared_ptr< BaseRegression> &p_condExp,
const std::shared_ptr<ParallelComputeGridSplitting> &p_paralStep,
const std::shared_ptr<FullGrid> &p_pGridPrevTransExtended) const ;
/// \brief Dump deterministic continuation values
/// \param p_phiInPrev values to dump as functon value by regression
/// \param p_condExp conditional expectation operator
/// \param p_iPeriod deterministic period number
void dumpContinuationDetValues(const std::vector< std::shared_ptr< Eigen::ArrayXXd > > &p_phiInPrev,
const std::shared_ptr<BaseRegression> &p_condExp,
const int &p_iPeriod) const ;
public :
/// \brief default
TransitionStepMultiStageRegressionDPDist() {}
virtual ~TransitionStepMultiStageRegressionDPDist() {}
/// \brief Constructor
TransitionStepMultiStageRegressionDPDist(const std::shared_ptr<FullGrid> &p_pGridCurrent,
const std::shared_ptr<FullGrid> &p_pGridPrevious,
const std::shared_ptr<OptimizerMultiStageDPBase > &p_pOptimize,
const boost::mpi::communicator &p_world);
/// \brief Constructor with archive dump
TransitionStepMultiStageRegressionDPDist(const std::shared_ptr<FullGrid> &p_pGridCurrent,
const std::shared_ptr<FullGrid> &p_pGridPrevious,
const std::shared_ptr<OptimizerMultiStageDPBase > &p_pOptimize,
const std::shared_ptr<gs::BinaryFileArchive> &p_arGen,
const std::string &p_nameDump,
const bool &p_bOneFileDet,
const boost::mpi::communicator &p_world);
/// \brief One step for optimization
/// \param p_phiIn for each regime the function value ( nb simulation, nb stocks )
/// \param p_condExp Conditional expectation objet
/// \return solution obtained after one step of dynamic programming ( nb simulation, nb stocks )
std::vector< std::shared_ptr< Eigen::ArrayXXd > > oneStep(const std::vector< std::shared_ptr< Eigen::ArrayXXd > > &p_phiIn,
const std::shared_ptr< BaseRegression> &p_condExp) const ;
/// \brief Permits to dump continuation values on archive
/// \param p_ar archive to dump in
/// \param p_name name used for object
/// \param p_iStep Step number or identifier for time step
/// \param p_phiInPrev for each regime the function value ( nb simulation, nb stocks )
/// \param p_condExp conditional expectation operator
/// \param p_bOneFile if true Bellman values are store in one file
void dumpContinuationValues(std::shared_ptr<gs::BinaryFileArchive> p_ar, const std::string &p_name, const int &p_iStep,
const std::vector< std::shared_ptr< Eigen::ArrayXXd > > &p_phiInPrev,
const std::shared_ptr<BaseRegression> &p_condExp,
const bool &p_bOneFile) const;
/// \brief Permits to dump Bellman values on archive
/// \param p_ar archive to dump in
/// \param p_name name used for object
/// \param p_iStep Step number or identifier for time step
/// \param p_phiIn for each regime the function value ( nb simulation ,nb stocks)
/// \param p_condExp conditional expectation operator
/// \param p_bOneFile if true Bellman values are store in one file
void dumpBellmanValues(std::shared_ptr<gs::BinaryFileArchive> p_ar, const std::string &p_name, const int &p_iStep, const std::vector< std::shared_ptr< Eigen::ArrayXXd > > &p_phiIn,
const std::shared_ptr<BaseRegression> &p_condExp,
const bool &p_bOneFile) const;
};
}
#endif /* TRANSITIONSTEPMULTISTEPREGRESSIONDPDIST_H */
|
