|  | // Ceres Solver - A fast non-linear least squares minimizer | 
|  | // Copyright 2022 Google Inc. All rights reserved. | 
|  | // http://ceres-solver.org/ | 
|  | // | 
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|  | // | 
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|  | // | 
|  | // Author: sameeragarwal@google.com (Sameer Agarwal) | 
|  |  | 
|  | #include "ceres/schur_eliminator.h" | 
|  |  | 
|  | #include <algorithm> | 
|  | #include <memory> | 
|  | #include <random> | 
|  | #include <vector> | 
|  |  | 
|  | #include "Eigen/Dense" | 
|  | #include "ceres/block_random_access_dense_matrix.h" | 
|  | #include "ceres/block_sparse_matrix.h" | 
|  | #include "ceres/block_structure.h" | 
|  | #include "ceres/casts.h" | 
|  | #include "ceres/context_impl.h" | 
|  | #include "ceres/detect_structure.h" | 
|  | #include "ceres/internal/eigen.h" | 
|  | #include "ceres/linear_least_squares_problems.h" | 
|  | #include "ceres/test_util.h" | 
|  | #include "ceres/triplet_sparse_matrix.h" | 
|  | #include "ceres/types.h" | 
|  | #include "glog/logging.h" | 
|  | #include "gtest/gtest.h" | 
|  |  | 
|  | // TODO(sameeragarwal): Reduce the size of these tests and redo the | 
|  | // parameterization to be more efficient. | 
|  |  | 
|  | namespace ceres::internal { | 
|  |  | 
|  | class SchurEliminatorTest : public ::testing::Test { | 
|  | protected: | 
|  | void SetUpFromId(int id) { | 
|  | auto problem = CreateLinearLeastSquaresProblemFromId(id); | 
|  | CHECK(problem != nullptr); | 
|  | SetupHelper(problem.get()); | 
|  | } | 
|  |  | 
|  | void SetupHelper(LinearLeastSquaresProblem* problem) { | 
|  | A.reset(down_cast<BlockSparseMatrix*>(problem->A.release())); | 
|  | b = std::move(problem->b); | 
|  | D = std::move(problem->D); | 
|  |  | 
|  | num_eliminate_blocks = problem->num_eliminate_blocks; | 
|  | num_eliminate_cols = 0; | 
|  | const CompressedRowBlockStructure* bs = A->block_structure(); | 
|  |  | 
|  | for (int i = 0; i < num_eliminate_blocks; ++i) { | 
|  | num_eliminate_cols += bs->cols[i].size; | 
|  | } | 
|  | } | 
|  |  | 
|  | // Compute the golden values for the reduced linear system and the | 
|  | // solution to the linear least squares problem using dense linear | 
|  | // algebra. | 
|  | void ComputeReferenceSolution(const Vector& D) { | 
|  | Matrix J; | 
|  | A->ToDenseMatrix(&J); | 
|  | VectorRef f(b.get(), J.rows()); | 
|  |  | 
|  | Matrix H = (D.cwiseProduct(D)).asDiagonal(); | 
|  | H.noalias() += J.transpose() * J; | 
|  |  | 
|  | const Vector g = J.transpose() * f; | 
|  | const int schur_size = J.cols() - num_eliminate_cols; | 
|  |  | 
|  | lhs_expected.resize(schur_size, schur_size); | 
|  | lhs_expected.setZero(); | 
|  |  | 
|  | rhs_expected.resize(schur_size); | 
|  | rhs_expected.setZero(); | 
|  |  | 
|  | sol_expected.resize(J.cols()); | 
|  | sol_expected.setZero(); | 
|  |  | 
|  | Matrix P = H.block(0, 0, num_eliminate_cols, num_eliminate_cols); | 
|  | Matrix Q = H.block(0, num_eliminate_cols, num_eliminate_cols, schur_size); | 
|  | Matrix R = | 
|  | H.block(num_eliminate_cols, num_eliminate_cols, schur_size, schur_size); | 
|  | int row = 0; | 
|  | const CompressedRowBlockStructure* bs = A->block_structure(); | 
|  | for (int i = 0; i < num_eliminate_blocks; ++i) { | 
|  | const int block_size = bs->cols[i].size; | 
|  | P.block(row, row, block_size, block_size) = | 
|  | P.block(row, row, block_size, block_size) | 
|  | .llt() | 
|  | .solve(Matrix::Identity(block_size, block_size)); | 
|  | row += block_size; | 
|  | } | 
|  |  | 
|  | lhs_expected.triangularView<Eigen::Upper>() = R - Q.transpose() * P * Q; | 
|  | rhs_expected = | 
|  | g.tail(schur_size) - Q.transpose() * P * g.head(num_eliminate_cols); | 
|  | sol_expected = H.llt().solve(g); | 
|  | } | 
|  |  | 
|  | void EliminateSolveAndCompare(const VectorRef& diagonal, | 
|  | bool use_static_structure, | 
|  | const double relative_tolerance) { | 
|  | const CompressedRowBlockStructure* bs = A->block_structure(); | 
|  | const int num_col_blocks = bs->cols.size(); | 
|  | auto blocks = Tail(bs->cols, num_col_blocks - num_eliminate_blocks); | 
|  | BlockRandomAccessDenseMatrix lhs(blocks); | 
|  |  | 
|  | const int num_cols = A->num_cols(); | 
|  | const int schur_size = lhs.num_rows(); | 
|  |  | 
|  | Vector rhs(schur_size); | 
|  |  | 
|  | LinearSolver::Options options; | 
|  | ContextImpl context; | 
|  | options.context = &context; | 
|  | options.elimination_groups.push_back(num_eliminate_blocks); | 
|  | if (use_static_structure) { | 
|  | DetectStructure(*bs, | 
|  | num_eliminate_blocks, | 
|  | &options.row_block_size, | 
|  | &options.e_block_size, | 
|  | &options.f_block_size); | 
|  | } | 
|  |  | 
|  | std::unique_ptr<SchurEliminatorBase> eliminator = | 
|  | SchurEliminatorBase::Create(options); | 
|  | const bool kFullRankETE = true; | 
|  | eliminator->Init(num_eliminate_blocks, kFullRankETE, A->block_structure()); | 
|  | eliminator->Eliminate( | 
|  | BlockSparseMatrixData(*A), b.get(), diagonal.data(), &lhs, rhs.data()); | 
|  |  | 
|  | MatrixRef lhs_ref(lhs.mutable_values(), lhs.num_rows(), lhs.num_cols()); | 
|  | Vector reduced_sol = | 
|  | lhs_ref.selfadjointView<Eigen::Upper>().llt().solve(rhs); | 
|  |  | 
|  | // Solution to the linear least squares problem. | 
|  | Vector sol(num_cols); | 
|  | sol.setZero(); | 
|  | sol.tail(schur_size) = reduced_sol; | 
|  | eliminator->BackSubstitute(BlockSparseMatrixData(*A), | 
|  | b.get(), | 
|  | diagonal.data(), | 
|  | reduced_sol.data(), | 
|  | sol.data()); | 
|  |  | 
|  | Matrix delta = (lhs_ref - lhs_expected).selfadjointView<Eigen::Upper>(); | 
|  | double diff = delta.norm(); | 
|  | EXPECT_NEAR(diff / lhs_expected.norm(), 0.0, relative_tolerance); | 
|  | EXPECT_NEAR((rhs - rhs_expected).norm() / rhs_expected.norm(), | 
|  | 0.0, | 
|  | relative_tolerance); | 
|  | EXPECT_NEAR((sol - sol_expected).norm() / sol_expected.norm(), | 
|  | 0.0, | 
|  | relative_tolerance); | 
|  | } | 
|  |  | 
|  | std::unique_ptr<BlockSparseMatrix> A; | 
|  | std::unique_ptr<double[]> b; | 
|  | std::unique_ptr<double[]> D; | 
|  | int num_eliminate_blocks; | 
|  | int num_eliminate_cols; | 
|  |  | 
|  | Matrix lhs_expected; | 
|  | Vector rhs_expected; | 
|  | Vector sol_expected; | 
|  | }; | 
|  |  | 
|  | TEST_F(SchurEliminatorTest, ScalarProblemNoRegularization) { | 
|  | SetUpFromId(2); | 
|  | Vector zero(A->num_cols()); | 
|  | zero.setZero(); | 
|  |  | 
|  | ComputeReferenceSolution(VectorRef(zero.data(), A->num_cols())); | 
|  | EliminateSolveAndCompare(VectorRef(zero.data(), A->num_cols()), true, 1e-14); | 
|  | EliminateSolveAndCompare(VectorRef(zero.data(), A->num_cols()), false, 1e-14); | 
|  | } | 
|  |  | 
|  | TEST_F(SchurEliminatorTest, ScalarProblemWithRegularization) { | 
|  | SetUpFromId(2); | 
|  | ComputeReferenceSolution(VectorRef(D.get(), A->num_cols())); | 
|  | EliminateSolveAndCompare(VectorRef(D.get(), A->num_cols()), true, 1e-14); | 
|  | EliminateSolveAndCompare(VectorRef(D.get(), A->num_cols()), false, 1e-14); | 
|  | } | 
|  |  | 
|  | TEST_F(SchurEliminatorTest, VaryingFBlockSizeWithStaticStructure) { | 
|  | SetUpFromId(4); | 
|  | ComputeReferenceSolution(VectorRef(D.get(), A->num_cols())); | 
|  | EliminateSolveAndCompare(VectorRef(D.get(), A->num_cols()), true, 1e-14); | 
|  | } | 
|  |  | 
|  | TEST_F(SchurEliminatorTest, VaryingFBlockSizeWithoutStaticStructure) { | 
|  | SetUpFromId(4); | 
|  | ComputeReferenceSolution(VectorRef(D.get(), A->num_cols())); | 
|  | EliminateSolveAndCompare(VectorRef(D.get(), A->num_cols()), false, 1e-14); | 
|  | } | 
|  |  | 
|  | TEST(SchurEliminatorForOneFBlock, MatchesSchurEliminator) { | 
|  | constexpr int kRowBlockSize = 2; | 
|  | constexpr int kEBlockSize = 3; | 
|  | constexpr int kFBlockSize = 6; | 
|  | constexpr int num_e_blocks = 5; | 
|  |  | 
|  | auto* bs = new CompressedRowBlockStructure; | 
|  | bs->cols.resize(num_e_blocks + 1); | 
|  | int col_pos = 0; | 
|  | for (int i = 0; i < num_e_blocks; ++i) { | 
|  | bs->cols[i].position = col_pos; | 
|  | bs->cols[i].size = kEBlockSize; | 
|  | col_pos += kEBlockSize; | 
|  | } | 
|  | bs->cols.back().position = col_pos; | 
|  | bs->cols.back().size = kFBlockSize; | 
|  |  | 
|  | bs->rows.resize(2 * num_e_blocks + 1); | 
|  | int row_pos = 0; | 
|  | int cell_pos = 0; | 
|  | for (int i = 0; i < num_e_blocks; ++i) { | 
|  | { | 
|  | auto& row = bs->rows[2 * i]; | 
|  | row.block.position = row_pos; | 
|  | row.block.size = kRowBlockSize; | 
|  | row_pos += kRowBlockSize; | 
|  | auto& cells = row.cells; | 
|  | cells.resize(2); | 
|  | cells[0].block_id = i; | 
|  | cells[0].position = cell_pos; | 
|  | cell_pos += kRowBlockSize * kEBlockSize; | 
|  | cells[1].block_id = num_e_blocks; | 
|  | cells[1].position = cell_pos; | 
|  | cell_pos += kRowBlockSize * kFBlockSize; | 
|  | } | 
|  | { | 
|  | auto& row = bs->rows[2 * i + 1]; | 
|  | row.block.position = row_pos; | 
|  | row.block.size = kRowBlockSize; | 
|  | row_pos += kRowBlockSize; | 
|  | auto& cells = row.cells; | 
|  | cells.resize(1); | 
|  | cells[0].block_id = i; | 
|  | cells[0].position = cell_pos; | 
|  | cell_pos += kRowBlockSize * kEBlockSize; | 
|  | } | 
|  | } | 
|  |  | 
|  | { | 
|  | auto& row = bs->rows.back(); | 
|  | row.block.position = row_pos; | 
|  | row.block.size = kEBlockSize; | 
|  | row_pos += kRowBlockSize; | 
|  | auto& cells = row.cells; | 
|  | cells.resize(1); | 
|  | cells[0].block_id = num_e_blocks; | 
|  | cells[0].position = cell_pos; | 
|  | cell_pos += kEBlockSize * kEBlockSize; | 
|  | } | 
|  |  | 
|  | BlockSparseMatrix matrix(bs); | 
|  | double* values = matrix.mutable_values(); | 
|  | std::mt19937 prng; | 
|  | std::normal_distribution<> standard_normal; | 
|  | std::generate_n(values, matrix.num_nonzeros(), [&prng, &standard_normal] { | 
|  | return standard_normal(prng); | 
|  | }); | 
|  |  | 
|  | Vector b(matrix.num_rows()); | 
|  | b.setRandom(); | 
|  |  | 
|  | Vector diagonal(matrix.num_cols()); | 
|  | diagonal.setOnes(); | 
|  |  | 
|  | std::vector<Block> blocks; | 
|  | blocks.emplace_back(kFBlockSize, 0); | 
|  | BlockRandomAccessDenseMatrix actual_lhs(blocks); | 
|  | BlockRandomAccessDenseMatrix expected_lhs(blocks); | 
|  | Vector actual_rhs(kFBlockSize); | 
|  | Vector expected_rhs(kFBlockSize); | 
|  |  | 
|  | Vector f_sol(kFBlockSize); | 
|  | f_sol.setRandom(); | 
|  | Vector actual_e_sol(num_e_blocks * kEBlockSize); | 
|  | actual_e_sol.setZero(); | 
|  | Vector expected_e_sol(num_e_blocks * kEBlockSize); | 
|  | expected_e_sol.setZero(); | 
|  |  | 
|  | { | 
|  | ContextImpl context; | 
|  | LinearSolver::Options linear_solver_options; | 
|  | linear_solver_options.e_block_size = kEBlockSize; | 
|  | linear_solver_options.row_block_size = kRowBlockSize; | 
|  | linear_solver_options.f_block_size = kFBlockSize; | 
|  | linear_solver_options.context = &context; | 
|  | std::unique_ptr<SchurEliminatorBase> eliminator( | 
|  | SchurEliminatorBase::Create(linear_solver_options)); | 
|  | eliminator->Init(num_e_blocks, true, matrix.block_structure()); | 
|  | eliminator->Eliminate(BlockSparseMatrixData(matrix), | 
|  | b.data(), | 
|  | diagonal.data(), | 
|  | &expected_lhs, | 
|  | expected_rhs.data()); | 
|  | eliminator->BackSubstitute(BlockSparseMatrixData(matrix), | 
|  | b.data(), | 
|  | diagonal.data(), | 
|  | f_sol.data(), | 
|  | actual_e_sol.data()); | 
|  | } | 
|  |  | 
|  | { | 
|  | SchurEliminatorForOneFBlock<2, 3, 6> eliminator; | 
|  | eliminator.Init(num_e_blocks, true, matrix.block_structure()); | 
|  | eliminator.Eliminate(BlockSparseMatrixData(matrix), | 
|  | b.data(), | 
|  | diagonal.data(), | 
|  | &actual_lhs, | 
|  | actual_rhs.data()); | 
|  | eliminator.BackSubstitute(BlockSparseMatrixData(matrix), | 
|  | b.data(), | 
|  | diagonal.data(), | 
|  | f_sol.data(), | 
|  | expected_e_sol.data()); | 
|  | } | 
|  | ConstMatrixRef actual_lhsref( | 
|  | actual_lhs.values(), actual_lhs.num_cols(), actual_lhs.num_cols()); | 
|  | ConstMatrixRef expected_lhsref( | 
|  | expected_lhs.values(), actual_lhs.num_cols(), actual_lhs.num_cols()); | 
|  |  | 
|  | EXPECT_NEAR((actual_lhsref - expected_lhsref).norm() / expected_lhsref.norm(), | 
|  | 0.0, | 
|  | 1e-12) | 
|  | << "expected: \n" | 
|  | << expected_lhsref << "\nactual: \n" | 
|  | << actual_lhsref; | 
|  |  | 
|  | EXPECT_NEAR( | 
|  | (actual_rhs - expected_rhs).norm() / expected_rhs.norm(), 0.0, 1e-12) | 
|  | << "expected: \n" | 
|  | << expected_rhs << "\nactual: \n" | 
|  | << actual_rhs; | 
|  |  | 
|  | EXPECT_NEAR((actual_e_sol - expected_e_sol).norm() / expected_e_sol.norm(), | 
|  | 0.0, | 
|  | 1e-12) | 
|  | << "expected: \n" | 
|  | << expected_e_sol << "\nactual: \n" | 
|  | << actual_e_sol; | 
|  | } | 
|  |  | 
|  | }  // namespace ceres::internal |