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
|
// Copyright (C) 2016 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef FINALSTEPDP_H
#define FINALSTEPDP_H
#include <functional>
#include <memory>
#include <Eigen/Dense>
#include "StOpt/core/grids/SpaceGrid.h"
/** \file FinalStepDP.h
* \brief permits to affect a final value to a problem
* \author Xavier Warin
* \todo Developp MPI for regimes too
*/
namespace StOpt
{
///\class FinalStepDP FinalStepDP.h
/// Last time step in dynamic programming : set the final values. used
class FinalStepDP
{
private :
std::shared_ptr<SpaceGrid> m_pGridCurrent; ///< grid at final time step
int m_nDim ; ///< Dimension of the grid
int m_nbRegime ; ///< Number of regimes
public :
/// \brief Constructor with general grids
/// \param p_pGridCurrent grid describing the whole problem
/// \param p_nbRegime numbers of regime treated
FinalStepDP(const std::shared_ptr<SpaceGrid> &p_pGridCurrent, const int &p_nbRegime);
///\brief Fill in array with values
/// \param p_funcValue function giving the final value for each regime (arguments are the state : regime number, point coordinates , array of simulations corresponding to stochastic non controlled state)
/// \param p_particles simulations at final date (First dimension : size of the stochastic non controlled state, second dimension : the number of particles)
/// \return values on the grid : for each regime number of simulations by number of stock points
std::vector<std::shared_ptr< Eigen::ArrayXXd > > operator()(const std::function<double(const int &, const Eigen::ArrayXd &, const Eigen::ArrayXd &)> &p_funcValue,
const Eigen::ArrayXXd &p_particles) const;
};
}
#endif /* FINALSTEPDP_H */
|
