internal/ceres/dense_normal_cholesky_solver.cc

// 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)

#include "ceres/dense_normal_cholesky_solver.h"

#include <cstddef>

#include "Eigen/Dense"
#include "ceres/dense_sparse_matrix.h"
#include "ceres/internal/eigen.h"
#include "ceres/internal/scoped_ptr.h"
#include "ceres/linear_solver.h"
#include "ceres/types.h"
#include "ceres/wall_time.h"

namespace ceres {
namespace internal {

DenseNormalCholeskySolver::DenseNormalCholeskySolver(
    const LinearSolver::Options& options)
    : options_(options) {}

LinearSolver::Summary DenseNormalCholeskySolver::SolveImpl(
    DenseSparseMatrix* A,
    const double* b,
    const LinearSolver::PerSolveOptions& per_solve_options,
    double* x) {
  EventLogger event_logger("DenseNormalCholeskySolver::Solve");

  const int num_rows = A->num_rows();
  const int num_cols = A->num_cols();

  ConstColMajorMatrixRef Aref = A->matrix();
  Matrix lhs(num_cols, num_cols);
  lhs.setZero();

  event_logger.AddEvent("Setup");
  //   lhs += A'A
  //
  // Using rankUpdate instead of GEMM, exposes the fact that its the
  // same matrix being multiplied with itself and that the product is
  // symmetric.
  lhs.selfadjointView<Eigen::Upper>().rankUpdate(Aref.transpose());

  //   rhs = A'b
  Vector rhs = Aref.transpose() * ConstVectorRef(b, num_rows);

  if (per_solve_options.D != NULL) {
    ConstVectorRef D(per_solve_options.D, num_cols);
    lhs += D.array().square().matrix().asDiagonal();
  }

  LinearSolver::Summary summary;
  summary.num_iterations = 1;
  summary.termination_type = TOLERANCE;
  VectorRef(x, num_cols) =
      lhs.selfadjointView<Eigen::Upper>().ldlt().solve(rhs);
  event_logger.AddEvent("Solve");

  return summary;
}

}   // namespace internal
}   // namespace ceres