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
|
# Copyright (C) 2016 EDF
# All Rights Reserved
# This code is published under the GNU Lesser General Public License (GNU LGPL)
import numpy as np
import StOptReg as reg
class TransitionStepRegressionDP:
def __init__(self, p_pGridCurrent, p_pGridPrevious, p_pOptimize):
self.m_pGridCurrent = p_pGridCurrent
self.m_pGridPrevious = p_pGridPrevious
self.m_pOptimize = p_pOptimize
def oneStep(self, p_phiIn, p_condExp):
nbRegimes = self.m_pOptimize.getNbRegime()
phiOut = list(range(nbRegimes))
nbControl = self.m_pOptimize.getNbControl()
controlOut = list(range(nbControl))
# only if the processor is working
if self.m_pGridCurrent.getNbPoints() > 0:
# allocate for solution
for iReg in range(nbRegimes):
phiOut[iReg] = np.zeros((p_condExp.getNbSimul(), self.m_pGridCurrent.getNbPoints()))
for iCont in range(nbControl):
controlOut[iCont] = np.zeros((p_condExp.getNbSimul(), self.m_pGridCurrent.getNbPoints()))
# number of threads
nbThreads = 1
contVal = []
for iReg in range(len(p_phiIn)):
contVal.append(reg.ContinuationValue(self.m_pGridPrevious, p_condExp, p_phiIn[iReg]))
# create iterator on current grid treated for processor
iterGridPoint = self.m_pGridCurrent.getGridIteratorInc(0)
# iterates on points of the grid
for iIter in range(self.m_pGridCurrent.getNbPoints()):
if iterGridPoint.isValid():
pointCoord = iterGridPoint.getCoordinate()
# optimize the current point and the set of regimes
solutionAndControl = self.m_pOptimize.stepOptimize(self.m_pGridPrevious, pointCoord, contVal, p_phiIn)
# copy solution
for iReg in range(self.m_pOptimize.getNbRegime()):
phiOut[iReg][:,iterGridPoint.getCount()] = solutionAndControl[0][:,iReg]
for iCont in range(nbControl):
controlOut[iCont][:,iterGridPoint.getCount()] = solutionAndControl[1][:,iCont]
iterGridPoint.nextInc(nbThreads)
res = []
res.append(phiOut)
res.append(controlOut)
return res
|
