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// Copyright (C) 2023 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef CONTINUATIONVALUEBASE_H
#define CONTINUATIONVALUEBASE_H
#include <iostream>
#include <Eigen/Dense>
#include "StOpt/core/grids/SpaceGrid.h"
/** \file ContinuationValueBase.h
* \brief Base object for continuation values objects both deterministic and stochastic
* \author Xavier Warin
*/
namespace StOpt
{
/// \class ContinuationValueBase ContinuationValue.h
/// Base class for continuation object
class ContinuationValueBase
{
protected :
std::shared_ptr< SpaceGrid > m_grid ; ///< grid used to define stock points
public :
/// \brief Default constructor
ContinuationValueBase() {}
/// \brief Constructor
/// \param p_grid grid for stocks
ContinuationValueBase(const std::shared_ptr< SpaceGrid > &p_grid) :
m_grid(p_grid)
{}
/// \brief Get all simulations conditional expectation
/// \param p_ptOfStock grid point for interpolation
/// \return the continuation value associated to each simulation used in optimization
virtual Eigen::ArrayXd getAllSimulations(const Eigen::ArrayXd &p_ptOfStock) const = 0;
/// \brief Same as before but use an interpolator
virtual Eigen::ArrayXd getAllSimulations(const Interpolator &p_interpol) const = 0;
/// \brief Get continuation vale for a simulation
/// \param p_isim simulation number
/// \param p_ptOfStock stock points
/// \return the continuation value associated to the given simulation used in optimization
virtual double getASimulation(const int &p_isim, const Eigen::ArrayXd &p_ptOfStock) const = 0;
/// \brief Same as before but use an interpolator
/// \param p_isim simulation number
/// \param p_interpol interpolator
/// \return the continuation value associated to the given simulation used in optimization
virtual double getASimulation(const int &p_isim, const Interpolator &p_interpol) const = 0;
virtual std::shared_ptr< SpaceGrid > getGrid() const = 0;
virtual inline int getNbSimul() const = 0;
///@}
};
}
#endif /* CONTINUATIONVALUEBASE_H */
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