Add a rough implementation of LBFGS.
Change-Id: I2bc816adfe0c02773a23035ea31de3cddc1322a4
diff --git a/internal/ceres/lbfgs.cc b/internal/ceres/lbfgs.cc
new file mode 100644
index 0000000..48067c8
--- /dev/null
+++ b/internal/ceres/lbfgs.cc
@@ -0,0 +1,106 @@
+// Ceres Solver - A fast non-linear least squares minimizer
+// Copyright 2012 Google Inc. All rights reserved.
+// http://code.google.com/p/ceres-solver/
+//
+// Redistribution and use in source and binary forms, with or without
+// modification, are permitted provided that the following conditions are met:
+//
+// * Redistributions of source code must retain the above copyright notice,
+// this list of conditions and the following disclaimer.
+// * Redistributions in binary form must reproduce the above copyright notice,
+// this list of conditions and the following disclaimer in the documentation
+// and/or other materials provided with the distribution.
+// * Neither the name of Google Inc. nor the names of its contributors may be
+// used to endorse or promote products derived from this software without
+// specific prior written permission.
+//
+// THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
+// AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
+// IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE
+// ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE
+// LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR
+// CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF
+// SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
+// INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN
+// CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE)
+// ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE
+// POSSIBILITY OF SUCH DAMAGE.
+//
+// Author: sameeragarwal@google.com (Sameer Agarwal)
+
+#include "glog/logging.h"
+#include "ceres/lbfgs.h"
+#include "ceres/internal/eigen.h"
+
+namespace ceres {
+namespace internal {
+
+LBFGS::LBFGS(int num_parameters, int max_num_corrections)
+ : num_parameters_(num_parameters),
+ max_num_corrections_(max_num_corrections),
+ num_corrections_(0),
+ diagonal_(1.0),
+ delta_x_history_(num_parameters, max_num_corrections),
+ delta_gradient_history_(num_parameters, max_num_corrections),
+ delta_x_dot_delta_gradient_(max_num_corrections) {
+}
+
+bool LBFGS::Update(const Vector& delta_x, const Vector& delta_gradient) {
+ const double delta_x_dot_delta_gradient = delta_x.dot(delta_gradient);
+ if (delta_x_dot_delta_gradient <= 1e-10) {
+ VLOG(2) << "Skipping LBFGS Update. " << delta_x_dot_delta_gradient;
+ return false;
+ }
+
+ if (num_corrections_ == max_num_corrections_) {
+ // TODO(sameeragarwal): This can be done more efficiently using
+ // a circular buffer/indexing scheme, but for simplicity we will
+ // do the expensive copy for now.
+ delta_x_history_.block(0, 0, num_parameters_, max_num_corrections_ - 2) =
+ delta_x_history_
+ .block(0, 1, num_parameters_, max_num_corrections_ - 1);
+
+ delta_gradient_history_
+ .block(0, 0, num_parameters_, max_num_corrections_ - 2) =
+ delta_gradient_history_
+ .block(0, 1, num_parameters_, max_num_corrections_ - 1);
+
+ delta_x_dot_delta_gradient_.head(num_corrections_ - 2) =
+ delta_x_dot_delta_gradient_.tail(num_corrections_ - 1);
+ } else {
+ ++num_corrections_;
+ }
+
+ delta_x_history_.col(num_corrections_ - 1) = delta_x;
+ delta_gradient_history_.col(num_corrections_ - 1) = delta_gradient;
+ delta_x_dot_delta_gradient_(num_corrections_ - 1) =
+ delta_x_dot_delta_gradient;
+ diagonal_ = delta_x_dot_delta_gradient / delta_gradient.squaredNorm();
+ return true;
+}
+
+void LBFGS::RightMultiply(const double* x_ptr, double* y_ptr) const {
+ ConstVectorRef gradient(x_ptr, num_parameters_);
+ VectorRef search_direction(y_ptr, num_parameters_);
+
+ search_direction = gradient;
+
+ Vector alpha(num_corrections_);
+
+ for (int i = num_corrections_ - 1; i >= 0; --i) {
+ alpha(i) = delta_x_history_.col(i).dot(search_direction) /
+ delta_x_dot_delta_gradient_(i);
+ search_direction -= alpha(i) * delta_gradient_history_.col(i);
+ }
+
+ search_direction *= diagonal_;
+
+ for (int i = 0; i < num_corrections_; ++i) {
+ const double beta = delta_gradient_history_.col(i).dot(search_direction) /
+ delta_x_dot_delta_gradient_(i);
+ search_direction += delta_x_history_.col(i) * (alpha(i) - beta);
+ }
+}
+
+} // namespace internal
+} // namespace ceres
