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// Copyright (C) 2019 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef TRANSITIONSTEPTREEBASE_H
#define TRANSITIONSTEPTREEBASE_H
#include <vector>
#include <memory>
#include <Eigen/Dense>
#include "geners/BinaryFileArchive.hh"
#include "StOpt/tree/Tree.h"
/** \file TransitionStepTreeBase.h
* \brief Base class to optimize on a time step in tree methods
* \author Xavier Warin
*/
namespace StOpt
{
/// \class TransitionStepTreeBase TransitionStepTreeBase.h
/// Defines one step of dynamic programming
class TransitionStepTreeBase
{
public :
/// \brief One step for dynamic programming in optimization
/// \param p_phiIn for each regime the function value ( nb node at next date, nb stocks )
/// \param p_condExp Tree object to calculate conditional expectatons
/// \return solution obtained after one step of dynamic programming and the optimal control
virtual std::pair< std::vector< std::shared_ptr< Eigen::ArrayXXd > >, std::vector< std::shared_ptr< Eigen::ArrayXXd > > > oneStep(const std::vector< std::shared_ptr< Eigen::ArrayXXd > > &p_phiIn,
const std::shared_ptr< Tree> &p_condExp) const = 0 ;
};
}
#endif
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