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// Copyright (C) 2025 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef TRANSITIONSTEPREGRESSIONDPCUTGRIDADAPT_H
#define TRANSITIONSTEPREGRESSIONDPCUTGRIDADAPT_H
#ifdef OMP
#include <omp.h>
#endif
#ifdef USE_MPI
#include <boost/mpi.hpp>
#endif
#include <memory>
#include <Eigen/Dense>
#include "geners/BinaryFileArchive.hh"
#include "StOpt/core/grids/GridAdaptBase.h"
#include "StOpt/dp/OptimizerDPCutGridAdaptBase.h"
/** \file TransitionStepRegressionDPCutGridAdapt.h
* \brief Solve the dynamic programming problem on one time step by regression with multi thread and mpi without distribution of the data
* The transition problem is written with cuts so that the transition problem is written with LP solver.
* \author Xavier Warin
*/
namespace StOpt
{
/// \class TransitionStepRegressionDPCutGridAdapt TransitionStepRegressionDPCutGridAdapt.h
/// One step of dynamic programming without using mpi
class TransitionStepRegressionDPCutGridAdapt
{
private :
std::shared_ptr<GridAdaptBase> m_pGridCurrent ; ///< global grid at current time step
std::shared_ptr<GridAdaptBase> m_pGridPrevious ; ///< global grid at previous time step
std::shared_ptr<OptimizerDPCutGridAdaptBase > m_pOptimize ; ///< optimizer solving the problem for one point and one step
#ifdef USE_MPI
boost::mpi::communicator m_world; ///< Mpi communicator
#endif
public :
/// \brief Constructor
TransitionStepRegressionDPCutGridAdapt(std::shared_ptr<GridAdaptBase> &p_pGridCurrent,
const std::shared_ptr<GridAdaptBase> &p_pridPrevious,
const std::shared_ptr<OptimizerDPCutGridAdaptBase > &p_pOptimize
#ifdef USE_MPI
, const boost::mpi::communicator &p_world
#endif
);
/// \brief One step for dynamic programming in optimization
/// \param p_phiIn the function cut value ( (nb simulation * nb cuts), nb stocks ) coming from next step
/// \param p_condExp Conditional expectation object
/// \return vector containing the cut value for each ((simulation* nbcuts) * stock number)
/// each Eigen array has shape (simulation* nbcuts) by stock number
Eigen::ArrayXXd oneStep(const Eigen::ArrayXXd &p_phiIn, const std::shared_ptr< BaseRegression> &p_condExp) ;
/// \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_phiIn the function value ( nb simulation* nb cuts ,nb stocks)
/// \param p_condExp conditional expectation operator
void dumpContinuationCutsValues(std::shared_ptr<gs::BinaryFileArchive> p_ar, const std::string &p_name, const int &p_iStep, const Eigen::ArrayXXd &p_phiIn, const std::shared_ptr<BaseRegression> &p_condExp) const;
/// \brief Permits to dump Bellmna 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 the function value ( nb simulation* nb cuts ,nb stocks)
/// \param p_condExp conditional expectation operator
void dumpBellmanCutsValues(std::shared_ptr<gs::BinaryFileArchive> p_ar, const std::string &p_name, const int &p_iStep, const Eigen::ArrayXXd &p_phiIn, const std::shared_ptr<BaseRegression> &p_condExp) const;
};
}
#endif /* TRANSITIONSTEPREGRESSIONDPCUTGRIDADAPT_H */
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