internal/ceres/levenberg_marquardt_strategy.h

// Ceres Solver - A fast non-linear least squares minimizer
// Copyright 2012 Google Inc. All rights reserved.
// http://code.google.com/p/ceres-solver/
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// Author: sameeragarwal@google.com (Sameer Agarwal)

#ifndef CERES_INTERNAL_LEVENBERG_MARQUARDT_STRATEGY_H_
#define CERES_INTERNAL_LEVENBERG_MARQUARDT_STRATEGY_H_

#include "ceres/linear_solver.h"
#include "ceres/trust_region_strategy.h"

namespace ceres {
namespace internal {

// Levenberg-Marquardt 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
class LevenbergMarquardtStrategy : public TrustRegionStrategy {
public:
  LevenbergMarquardtStrategy(const TrustRegionStrategy::Options& options);
  virtual ~LevenbergMarquardtStrategy();

  // TrustRegionStrategy interface
  virtual LinearSolver::Summary ComputeStep(
      const TrustRegionStrategy::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() {
    // Treat the current step as a rejected step with no increase in
    // solution quality. Since rejected steps lead to decrease in the
    // size of the trust region, the next time ComputeStep is called,
    // this will lead to a better conditioned system.
    StepRejected(0.0);
  }

  virtual double Radius() const;

 private:
  LinearSolver* linear_solver_;
  double radius_;
  double max_radius_;
  const double min_diagonal_;
  const double max_diagonal_;
  double decrease_factor_;
  bool reuse_diagonal_;
  Vector diagonal_;   // diagonal_ =  diag(J'J)
  // Scaled copy of diagonal_. Stored here as optimization to prevent
  // allocations in every iteration and reuse when a step fails and
  // ComputeStep is called again.
  Vector lm_diagonal_;  // lm_diagonal_ = diagonal_ / radius_;
};

}  // namespace internal
}  // namespace ceres

#endif  // CERES_INTERNAL_LEVENBERG_MARQUARDT_STRATEGY_H_