feat: setting up merge logic for future threading

Author: ChronoInferna

include/lfmc/engine/engine.hpp

@@ -1,3 +1,21 @@
 #pragma once
 
-// TODO move headers into folders
+#include "lfmc/pipeline/pipeline.hpp"
+#include "lfmc/pipeline/pipeline_builder.hpp"
+
+namespace lfmc {
+
+// class Engine {
+//   private:
+//     Pipeline<StochasticProcess auto, NumericalScheme<StochasticProcess auto>> pipeline_;
+//
+//   public:
+//     Engine(Pipeline<StochasticProcess auto, NumericalScheme<StochasticProcess auto>> pipeline)
+//         : pipeline_(std::move(pipeline)) {}
+//
+//     std::expected<double, std::string> run() {
+//         return pipeline_.run();
+//     }
+// };
+
+} // namespace lfmc

include/lfmc/estimator/control_variate_estimator.hpp

@@ -28,7 +28,7 @@ class ControlVariateEstimator : public Estimator {
     std::expected<void, std::string> add_payoffs(const std::vector<Payoffs>& payoffs) override;
     bool converged() const override;
     std::expected<double, std::string> result() const override;
-    // void merge(Estimator const& other) override;
+    std::expected<void, std::string> merge(Estimator const& other) override;
 };
 
 } // namespace lfmc

include/lfmc/estimator/estimator.hpp

@@ -13,7 +13,7 @@ class Estimator {
     virtual std::expected<void, std::string> add_payoffs(const std::vector<Payoffs>& payoffs) = 0;
     virtual bool converged() const = 0;
     virtual std::expected<double, std::string> result() const = 0;
-    // virtual void merge(Estimator const& other) = 0;
+    virtual std::expected<void, std::string> merge(Estimator const& other) = 0;
     virtual ~Estimator() = default;
 };
 

include/lfmc/estimator/monte_carlo_estimator.hpp

@@ -18,7 +18,7 @@ class MonteCarloEstimator : public Estimator {
     std::expected<void, std::string> add_payoffs(const std::vector<Payoffs>& payoffs) override;
     bool converged() const override;
     std::expected<double, std::string> result() const override;
-    // void merge(Estimator const& other) override;
+    std::expected<void, std::string> merge(Estimator const& other) override;
 };
 
 } // namespace lfmc

src/estimator/control_variate_estimator.cpp

@@ -50,4 +50,19 @@ std::expected<double, std::string> ControlVariateEstimator::result() const {
     return mean_x - beta * (mean_y - control_expectation_);
 }
 
+std::expected<void, std::string> ControlVariateEstimator::merge(Estimator const& other) {
+    const auto* other_estimator = dynamic_cast<const ControlVariateEstimator*>(&other);
+    if (!other_estimator) {
+        return std::unexpected("Incompatible estimator type for merging");
+    }
+
+    count += other_estimator->count;
+    sum_x += other_estimator->sum_x;
+    sum_y += other_estimator->sum_y;
+    sum_xy += other_estimator->sum_xy;
+    sum_yy += other_estimator->sum_yy;
+
+    return {};
+}
+
 } // namespace lfmc

src/estimator/monte_carlo_estimator.cpp

@@ -33,10 +33,16 @@ std::expected<double, std::string> MonteCarloEstimator::result() const {
     return {sum / static_cast<double>(count)};
 }
 
-// void MonteCarloEstimator::merge(Estimator const& other) {
-//     auto const& mcOther = dynamic_cast<MonteCarloEstimator const&>(other);
-//     sum += mcOther.sum;
-//     count += mcOther.count;
-// }
+std::expected<void, std::string> MonteCarloEstimator::merge(Estimator const& other) {
+    const auto* other_estimator = dynamic_cast<const MonteCarloEstimator*>(&other);
+    if (!other_estimator) {
+        return std::unexpected("Incompatible estimator type for merging.");
+    }
+
+    sum += other_estimator->sum;
+    count += other_estimator->count;
+
+    return {};
+}
 
 } // namespace lfmc