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// Ceres Solver - A fast non-linear least squares minimizer
// Copyright 2015 Google Inc. All rights reserved.
// http://ceres-solver.org/
//
// 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
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// 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)
#ifndef CERES_INTERNAL_DOGLEG_STRATEGY_H_
#define CERES_INTERNAL_DOGLEG_STRATEGY_H_
#include "ceres/linear_solver.h"
#include "ceres/trust_region_strategy.h"
namespace ceres {
namespace internal {
// Dogleg step computation and trust region sizing strategy based on
// on "Methods for Nonlinear Least Squares" by K. Madsen, H.B. Nielsen
// and O. Tingleff. Available to download from
//
// http://www2.imm.dtu.dk/pubdb/views/edoc_download.php/3215/pdf/imm3215.pdf
//
// One minor modification is that instead of computing the pure
// Gauss-Newton step, we compute a regularized version of it. This is
// because the Jacobian is often rank-deficient and in such cases
// using a direct solver leads to numerical failure.
//
// If SUBSPACE is passed as the type argument to the constructor, the
// DoglegStrategy follows the approach by Shultz, Schnabel, Byrd.
// This finds the exact optimum over the two-dimensional subspace
// spanned by the two Dogleg vectors.
class DoglegStrategy : public TrustRegionStrategy {
public:
explicit DoglegStrategy(const TrustRegionStrategy::Options& options);
virtual ~DoglegStrategy() {}
// TrustRegionStrategy interface
virtual Summary ComputeStep(const PerSolveOptions& per_solve_options,
SparseMatrix* jacobian,
const double* residuals,
double* step);
virtual void StepAccepted(double step_quality);
virtual void StepRejected(double step_quality);
virtual void StepIsInvalid();
virtual double Radius() const;
// These functions are predominantly for testing.
Vector gradient() const { return gradient_; }
Vector gauss_newton_step() const { return gauss_newton_step_; }
Matrix subspace_basis() const { return subspace_basis_; }
Vector subspace_g() const { return subspace_g_; }
Matrix subspace_B() const { return subspace_B_; }
private:
typedef Eigen::Matrix<double, 2, 1, Eigen::DontAlign> Vector2d;
typedef Eigen::Matrix<double, 2, 2, Eigen::DontAlign> Matrix2d;
LinearSolver::Summary ComputeGaussNewtonStep(
const PerSolveOptions& per_solve_options,
SparseMatrix* jacobian,
const double* residuals);
void ComputeCauchyPoint(SparseMatrix* jacobian);
void ComputeGradient(SparseMatrix* jacobian, const double* residuals);
void ComputeTraditionalDoglegStep(double* step);
bool ComputeSubspaceModel(SparseMatrix* jacobian);
void ComputeSubspaceDoglegStep(double* step);
bool FindMinimumOnTrustRegionBoundary(Vector2d* minimum) const;
Vector MakePolynomialForBoundaryConstrainedProblem() const;
Vector2d ComputeSubspaceStepFromRoot(double lambda) const;
double EvaluateSubspaceModel(const Vector2d& x) const;
LinearSolver* linear_solver_;
double radius_;
const double max_radius_;
const double min_diagonal_;
const double max_diagonal_;
// mu is used to scale the diagonal matrix used to make the
// Gauss-Newton solve full rank. In each solve, the strategy starts
// out with mu = min_mu, and tries values upto max_mu. If the user
// reports an invalid step, the value of mu_ is increased so that
// the next solve starts with a stronger regularization.
//
// If a successful step is reported, then the value of mu_ is
// decreased with a lower bound of min_mu_.
double mu_;
const double min_mu_;
const double max_mu_;
const double mu_increase_factor_;
const double increase_threshold_;
const double decrease_threshold_;
Vector diagonal_; // sqrt(diag(J^T J))
Vector lm_diagonal_;
Vector gradient_;
Vector gauss_newton_step_;
// cauchy_step = alpha * gradient
double alpha_;
double dogleg_step_norm_;
// When, ComputeStep is called, reuse_ indicates whether the
// Gauss-Newton and Cauchy steps from the last call to ComputeStep
// can be reused or not.
//
// If the user called StepAccepted, then it is expected that the
// user has recomputed the Jacobian matrix and new Gauss-Newton
// solve is needed and reuse is set to false.
//
// If the user called StepRejected, then it is expected that the
// user wants to solve the trust region problem with the same matrix
// but a different trust region radius and the Gauss-Newton and
// Cauchy steps can be reused to compute the Dogleg, thus reuse is
// set to true.
//
// If the user called StepIsInvalid, then there was a numerical
// problem with the step computed in the last call to ComputeStep,
// and the regularization used to do the Gauss-Newton solve is
// increased and a new solve should be done when ComputeStep is
// called again, thus reuse is set to false.
bool reuse_;
// The dogleg type determines how the minimum of the local
// quadratic model is found.
DoglegType dogleg_type_;
// If the type is SUBSPACE_DOGLEG, the two-dimensional
// model 1/2 x^T B x + g^T x has to be computed and stored.
bool subspace_is_one_dimensional_;
Matrix subspace_basis_;
Vector2d subspace_g_;
Matrix2d subspace_B_;
};
} // namespace internal
} // namespace ceres
#endif // CERES_INTERNAL_DOGLEG_STRATEGY_H_