| // 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 |
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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) |
| // |
| // Abstract interface for objects solving linear systems of various |
| // kinds. |
| |
| #ifndef CERES_INTERNAL_LINEAR_SOLVER_H_ |
| #define CERES_INTERNAL_LINEAR_SOLVER_H_ |
| |
| #include <cstddef> |
| #include <map> |
| #include <string> |
| #include <vector> |
| #include "ceres/block_sparse_matrix.h" |
| #include "ceres/casts.h" |
| #include "ceres/compressed_row_sparse_matrix.h" |
| #include "ceres/context_impl.h" |
| #include "ceres/dense_sparse_matrix.h" |
| #include "ceres/execution_summary.h" |
| #include "ceres/triplet_sparse_matrix.h" |
| #include "ceres/types.h" |
| #include "glog/logging.h" |
| |
| namespace ceres { |
| namespace internal { |
| |
| enum LinearSolverTerminationType { |
| // Termination criterion was met. |
| LINEAR_SOLVER_SUCCESS, |
| |
| // Solver ran for max_num_iterations and terminated before the |
| // termination tolerance could be satisfied. |
| LINEAR_SOLVER_NO_CONVERGENCE, |
| |
| // Solver was terminated due to numerical problems, generally due to |
| // the linear system being poorly conditioned. |
| LINEAR_SOLVER_FAILURE, |
| |
| // Solver failed with a fatal error that cannot be recovered from, |
| // e.g. CHOLMOD ran out of memory when computing the symbolic or |
| // numeric factorization or an underlying library was called with |
| // the wrong arguments. |
| LINEAR_SOLVER_FATAL_ERROR |
| }; |
| |
| // This enum controls the fill-reducing ordering a sparse linear |
| // algebra library should use before computing a sparse factorization |
| // (usually Cholesky). |
| enum OrderingType { |
| NATURAL, // Do not re-order the matrix. This is useful when the |
| // matrix has been ordered using a fill-reducing ordering |
| // already. |
| AMD // Use the Approximate Minimum Degree algorithm to re-order |
| // the matrix. |
| }; |
| |
| class LinearOperator; |
| |
| // Abstract base class for objects that implement algorithms for |
| // solving linear systems |
| // |
| // Ax = b |
| // |
| // It is expected that a single instance of a LinearSolver object |
| // maybe used multiple times for solving multiple linear systems with |
| // the same sparsity structure. This allows them to cache and reuse |
| // information across solves. This means that calling Solve on the |
| // same LinearSolver instance with two different linear systems will |
| // result in undefined behaviour. |
| // |
| // Subclasses of LinearSolver use two structs to configure themselves. |
| // The Options struct configures the LinearSolver object for its |
| // lifetime. The PerSolveOptions struct is used to specify options for |
| // a particular Solve call. |
| class LinearSolver { |
| public: |
| struct Options { |
| LinearSolverType type = SPARSE_NORMAL_CHOLESKY; |
| PreconditionerType preconditioner_type = JACOBI; |
| VisibilityClusteringType visibility_clustering_type = CANONICAL_VIEWS; |
| DenseLinearAlgebraLibraryType dense_linear_algebra_library_type = EIGEN; |
| SparseLinearAlgebraLibraryType sparse_linear_algebra_library_type = |
| SUITE_SPARSE; |
| |
| // See solver.h for information about these flags. |
| bool use_postordering = false; |
| bool dynamic_sparsity = false; |
| bool use_explicit_schur_complement = false; |
| |
| // Number of internal iterations that the solver uses. This |
| // parameter only makes sense for iterative solvers like CG. |
| int min_num_iterations = 1; |
| int max_num_iterations = 1; |
| |
| // If possible, how many threads can the solver use. |
| int num_threads = 1; |
| |
| // Hints about the order in which the parameter blocks should be |
| // eliminated by the linear solver. |
| // |
| // For example if elimination_groups is a vector of size k, then |
| // the linear solver is informed that it should eliminate the |
| // parameter blocks 0 ... elimination_groups[0] - 1 first, and |
| // then elimination_groups[0] ... elimination_groups[1] - 1 and so |
| // on. Within each elimination group, the linear solver is free to |
| // choose how the parameter blocks are ordered. Different linear |
| // solvers have differing requirements on elimination_groups. |
| // |
| // The most common use is for Schur type solvers, where there |
| // should be at least two elimination groups and the first |
| // elimination group must form an independent set in the normal |
| // equations. The first elimination group corresponds to the |
| // num_eliminate_blocks in the Schur type solvers. |
| std::vector<int> elimination_groups; |
| |
| // Iterative solvers, e.g. Preconditioned Conjugate Gradients |
| // maintain a cheap estimate of the residual which may become |
| // inaccurate over time. Thus for non-zero values of this |
| // parameter, the solver can be told to recalculate the value of |
| // the residual using a |b - Ax| evaluation. |
| int residual_reset_period = 10; |
| |
| // If the block sizes in a BlockSparseMatrix are fixed, then in |
| // some cases the Schur complement based solvers can detect and |
| // specialize on them. |
| // |
| // It is expected that these parameters are set programmatically |
| // rather than manually. |
| // |
| // Please see schur_complement_solver.h and schur_eliminator.h for |
| // more details. |
| int row_block_size = Eigen::Dynamic; |
| int e_block_size = Eigen::Dynamic; |
| int f_block_size = Eigen::Dynamic; |
| |
| bool use_mixed_precision_solves = false; |
| int max_num_refinement_iterations = 0; |
| ContextImpl* context = nullptr; |
| }; |
| |
| // Options for the Solve method. |
| struct PerSolveOptions { |
| // This option only makes sense for unsymmetric linear solvers |
| // that can solve rectangular linear systems. |
| // |
| // Given a matrix A, an optional diagonal matrix D as a vector, |
| // and a vector b, the linear solver will solve for |
| // |
| // | A | x = | b | |
| // | D | | 0 | |
| // |
| // If D is null, then it is treated as zero, and the solver returns |
| // the solution to |
| // |
| // A x = b |
| // |
| // In either case, x is the vector that solves the following |
| // optimization problem. |
| // |
| // arg min_x ||Ax - b||^2 + ||Dx||^2 |
| // |
| // Here A is a matrix of size m x n, with full column rank. If A |
| // does not have full column rank, the results returned by the |
| // solver cannot be relied on. D, if it is not null is an array of |
| // size n. b is an array of size m and x is an array of size n. |
| double* D = nullptr; |
| |
| // This option only makes sense for iterative solvers. |
| // |
| // In general the performance of an iterative linear solver |
| // depends on the condition number of the matrix A. For example |
| // the convergence rate of the conjugate gradients algorithm |
| // is proportional to the square root of the condition number. |
| // |
| // One particularly useful technique for improving the |
| // conditioning of a linear system is to precondition it. In its |
| // simplest form a preconditioner is a matrix M such that instead |
| // of solving Ax = b, we solve the linear system AM^{-1} y = b |
| // instead, where M is such that the condition number k(AM^{-1}) |
| // is smaller than the conditioner k(A). Given the solution to |
| // this system, x = M^{-1} y. The iterative solver takes care of |
| // the mechanics of solving the preconditioned system and |
| // returning the corrected solution x. The user only needs to |
| // supply a linear operator. |
| // |
| // A null preconditioner is equivalent to an identity matrix being |
| // used a preconditioner. |
| LinearOperator* preconditioner = nullptr; |
| |
| |
| // The following tolerance related options only makes sense for |
| // iterative solvers. Direct solvers ignore them. |
| |
| // Solver terminates when |
| // |
| // |Ax - b| <= r_tolerance * |b|. |
| // |
| // This is the most commonly used termination criterion for |
| // iterative solvers. |
| double r_tolerance = 0.0; |
| |
| // For PSD matrices A, let |
| // |
| // Q(x) = x'Ax - 2b'x |
| // |
| // be the cost of the quadratic function defined by A and b. Then, |
| // the solver terminates at iteration i if |
| // |
| // i * (Q(x_i) - Q(x_i-1)) / Q(x_i) < q_tolerance. |
| // |
| // This termination criterion is more useful when using CG to |
| // solve the Newton step. This particular convergence test comes |
| // from Stephen Nash's work on truncated Newton |
| // methods. References: |
| // |
| // 1. Stephen G. Nash & Ariela Sofer, Assessing A Search |
| // Direction Within A Truncated Newton Method, Operation |
| // Research Letters 9(1990) 219-221. |
| // |
| // 2. Stephen G. Nash, A Survey of Truncated Newton Methods, |
| // Journal of Computational and Applied Mathematics, |
| // 124(1-2), 45-59, 2000. |
| // |
| double q_tolerance = 0.0; |
| }; |
| |
| // Summary of a call to the Solve method. We should move away from |
| // the true/false method for determining solver success. We should |
| // let the summary object do the talking. |
| struct Summary { |
| double residual_norm = -1.0; |
| int num_iterations = -1; |
| LinearSolverTerminationType termination_type = LINEAR_SOLVER_FAILURE; |
| std::string message; |
| }; |
| |
| // If the optimization problem is such that there are no remaining |
| // e-blocks, a Schur type linear solver cannot be used. If the |
| // linear solver is of Schur type, this function implements a policy |
| // to select an alternate nearest linear solver to the one selected |
| // by the user. The input linear_solver_type is returned otherwise. |
| static LinearSolverType LinearSolverForZeroEBlocks( |
| LinearSolverType linear_solver_type); |
| |
| virtual ~LinearSolver(); |
| |
| // Solve Ax = b. |
| virtual Summary Solve(LinearOperator* A, |
| const double* b, |
| const PerSolveOptions& per_solve_options, |
| double* x) = 0; |
| |
| // This method returns copies instead of references so that the base |
| // class implementation does not have to worry about life time |
| // issues. Further, this calls are not expected to be frequent or |
| // performance sensitive. |
| virtual std::map<std::string, CallStatistics> Statistics() const { |
| return std::map<std::string, CallStatistics>(); |
| } |
| |
| // Factory |
| static LinearSolver* Create(const Options& options); |
| }; |
| |
| // This templated subclass of LinearSolver serves as a base class for |
| // other linear solvers that depend on the particular matrix layout of |
| // the underlying linear operator. For example some linear solvers |
| // need low level access to the TripletSparseMatrix implementing the |
| // LinearOperator interface. This class hides those implementation |
| // details behind a private virtual method, and has the Solve method |
| // perform the necessary upcasting. |
| template <typename MatrixType> |
| class TypedLinearSolver : public LinearSolver { |
| public: |
| virtual ~TypedLinearSolver() {} |
| virtual LinearSolver::Summary Solve( |
| LinearOperator* A, |
| const double* b, |
| const LinearSolver::PerSolveOptions& per_solve_options, |
| double* x) { |
| ScopedExecutionTimer total_time("LinearSolver::Solve", &execution_summary_); |
| CHECK(A != nullptr); |
| CHECK(b != nullptr); |
| CHECK(x != nullptr); |
| return SolveImpl(down_cast<MatrixType*>(A), b, per_solve_options, x); |
| } |
| |
| virtual std::map<std::string, CallStatistics> Statistics() const { |
| return execution_summary_.statistics(); |
| } |
| |
| private: |
| virtual LinearSolver::Summary SolveImpl( |
| MatrixType* A, |
| const double* b, |
| const LinearSolver::PerSolveOptions& per_solve_options, |
| double* x) = 0; |
| |
| ExecutionSummary execution_summary_; |
| }; |
| |
| // Linear solvers that depend on acccess to the low level structure of |
| // a SparseMatrix. |
| typedef TypedLinearSolver<BlockSparseMatrix> BlockSparseMatrixSolver; // NOLINT |
| typedef TypedLinearSolver<CompressedRowSparseMatrix> CompressedRowSparseMatrixSolver; // NOLINT |
| typedef TypedLinearSolver<DenseSparseMatrix> DenseSparseMatrixSolver; // NOLINT |
| typedef TypedLinearSolver<TripletSparseMatrix> TripletSparseMatrixSolver; // NOLINT |
| |
| } // namespace internal |
| } // namespace ceres |
| |
| #endif // CERES_INTERNAL_LINEAR_SOLVER_H_ |