Line data    Source code

       1             : /*******************************************************************************
       2             :  *                                                                             *
       3             :  * Cosmos:(C)oncept et (O)utils (S)tatistique pour les (Mo)deles               *
       4             :  * (S)tochastiques                                                             *
       5             :  *                                                                             *
       6             :  * Copyright (C) 2009-2012 LSV & LACL                                          *
       7             :  * Authors: Paolo Ballarini Benoît Barbot & Hilal Djafri                       *
       8             :  * Website: http://www.lsv.ens-cachan.fr/Software/cosmos                       *
       9             :  *                                                                             *
      10             :  * This program is free software; you can redistribute it and/or modify        *
      11             :  * it under the terms of the GNU General Public License as published by        *
      12             :  * the Free Software Foundation; either version 3 of the License, or           *
      13             :  * (at your option) any later version.                                         *
      14             :  *                                                                             *
      15             :  * This program is distributed in the hope that it will be useful,             *
      16             :  * but WITHOUT ANY WARRANTY; without even the implied warranty of              *
      17             :  * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the               *
      18             :  * GNU General Public License for more details.                                *
      19             :  *                                                                             *
      20             :  * You should have received a copy of the GNU General Public License along     *
      21             :  * with this program; if not, write to the Free Software Foundation, Inc.,     *
      22             :  * 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.                 *
      23             :  * file numericalSolver.hpp created by Benoit Barbot on 05/12/11.              *
      24             :  *******************************************************************************
      25             :  */
      26             : 
      27             : /*
      28             :  *  This class implement some function of a numerical solver.
      29             :  *  It is used to compute Bounded Until importance sampling.
      30             :  *
      31             :  */
      32             : 
      33             : #ifndef _NUMERICAL_SOLVER_HPP
      34             : #define _NUMERICAL_SOLVER_HPP
      35             : 
      36             : 
      37             : #include "stateSpace.hpp"
      38             : namespace boostmat = boost::numeric::ublas;
      39             : 
      40             : /**
      41             :  * \brief a class handling numerical computation.
      42             :  * This class maintain a vector of probability to reach a final
      43             :  * state of the computation used for the importance sampling algorithm.
      44             :  */
      45           0 : class numericalSolver: public stateSpace
      46             : {
      47             :         
      48             : public:
      49             :         numericalSolver();
      50             :         
      51             :         //! Return the minimal number of step required to have a probability different than 0.
      52           0 :     virtual int getMinT(){return minT;};
      53             :         
      54             :         //!initialise for an horizon point T.
      55             :         virtual void initVect(int T);
      56             :         //! Horizon.
      57             :         int T;
      58             :         //! Reset to the initial state.
      59             :         virtual void reset();
      60             :         
      61             :         //! Switch off rare event acceleration: return vector of 1
      62             :         virtual void switchOff();
      63             :         
      64             :         //! Return a vector of the current distribution
      65             :         virtual boostmat::vector<double> getVect();
      66             :         virtual double getMu(int)const override ;
      67             :         virtual void previousVect();
      68             :         virtual void stepVect();
      69             :         virtual int currentRound();
      70             :         virtual void printState();
      71             : 
      72             :         
      73             : protected:
      74             :         vector<boostmat::vector<double> >* circularvect;
      75             :         int matOffset;
      76             :         int nbVect;
      77             :     void sparseProd(boostmat::vector<double> *result,boostmat::vector<double> *vect, boostmat::compressed_matrix<double> *mat);
      78             :         int minT;
      79             :     
      80             : };
      81             : 
      82             : 
      83             : 
      84             : 
      85             : #endif