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
|
// Copyright (C) 2021 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef TRANSITIONSTEPREGRESSIONSWITCH_H
#define TRANSITIONSTEPREGRESSIONSWITCH_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/RegularSpaceIntGrid.h"
#include "StOpt/regression/BaseRegression.h"
#include "StOpt/dp/OptimizerSwitchBase.h"
/** \file TransitionStepRegressionSwitch.h
* \brief Solve the switching problem with deterministic integer states on one time step by regression with multi thread and mpi without distribution of the data
* \author Xavier Warin
*/
namespace StOpt
{
/// \class TransitionStepRegressionSwitch TransitionStepRegressionSwitch.h
/// One step of dynamic programming without using mpi
class TransitionStepRegressionSwitch
{
private :
std::vector< std::shared_ptr<RegularSpaceIntGrid> > m_pGridCurrent ; ///< global grid at current time step for each regime
std::vector< std::shared_ptr<RegularSpaceIntGrid> > m_pGridPrevious ; ///< global grid at previous time step for each regime
std::shared_ptr<OptimizerSwitchBase > 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 default
TransitionStepRegressionSwitch() {}
virtual ~TransitionStepRegressionSwitch() {}
/// \brief Constructor
TransitionStepRegressionSwitch(const std::vector< std::shared_ptr< RegularSpaceIntGrid> > &p_pGridCurrent,
const std::vector< std::shared_ptr<RegularSpaceIntGrid> > &p_pridPrevious,
const std::shared_ptr<OptimizerSwitchBase > &p_pOptimize
#ifdef USE_MPI
, const boost::mpi::communicator &p_world
#endif
);
/// \brief One step for dynamic programming in optimization
/// \param p_phiIn for each regime the function value ( nb simulation, nb stocks )
/// \param p_condExp Conditional expectation object
/// \return solution obtained after one step of dynamic programming ( nb simulation, nb non stochastic states )
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_phiIn for each regime the function value ( nb simulation ,nb stocks)
/// \param p_condExp conditional expectation operator
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_phiIn, const std::shared_ptr<BaseRegression> &p_condExp) const;
};
}
#endif /* TRANSITIONSTEPREGRESSIONSWITCH_H */
|
