| // 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: |
| // |
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| // 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" |
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| // IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE |
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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: moll.markus@arcor.de (Markus Moll) |
| |
| #include "ceres/dogleg_strategy.h" |
| |
| #include <limits> |
| #include <memory> |
| |
| #include "ceres/dense_qr_solver.h" |
| #include "ceres/internal/eigen.h" |
| #include "ceres/linear_solver.h" |
| #include "ceres/trust_region_strategy.h" |
| #include "glog/logging.h" |
| #include "gtest/gtest.h" |
| |
| namespace ceres::internal { |
| namespace { |
| |
| class Fixture : public testing::Test { |
| protected: |
| std::unique_ptr<DenseSparseMatrix> jacobian_; |
| Vector residual_; |
| Vector x_; |
| TrustRegionStrategy::Options options_; |
| }; |
| |
| // A test problem where |
| // |
| // J^T J = Q diag([1 2 4 8 16 32]) Q^T |
| // |
| // where Q is a randomly chosen orthonormal basis of R^6. |
| // The residual is chosen so that the minimum of the quadratic function is |
| // at (1, 1, 1, 1, 1, 1). It is therefore at a distance of sqrt(6) ~ 2.45 |
| // from the origin. |
| class DoglegStrategyFixtureEllipse : public Fixture { |
| protected: |
| void SetUp() final { |
| Matrix basis(6, 6); |
| // The following lines exceed 80 characters for better readability. |
| // clang-format off |
| basis << -0.1046920933796121, -0.7449367449921986, -0.4190744502875876, -0.4480450716142566, 0.2375351607929440, -0.0363053418882862, // NOLINT |
| 0.4064975684355914, 0.2681113508511354, -0.7463625494601520, -0.0803264850508117, -0.4463149623021321, 0.0130224954867195, // NOLINT |
| -0.5514387729089798, 0.1026621026168657, -0.5008316122125011, 0.5738122212666414, 0.2974664724007106, 0.1296020877535158, // NOLINT |
| 0.5037835370947156, 0.2668479925183712, -0.1051754618492798, -0.0272739396578799, 0.7947481647088278, -0.1776623363955670, // NOLINT |
| -0.4005458426625444, 0.2939330589634109, -0.0682629380550051, -0.2895448882503687, -0.0457239396341685, -0.8139899477847840, // NOLINT |
| -0.3247764582762654, 0.4528151365941945, -0.0276683863102816, -0.6155994592510784, 0.1489240599972848, 0.5362574892189350; // NOLINT |
| // clang-format on |
| |
| Vector Ddiag(6); |
| Ddiag << 1.0, 2.0, 4.0, 8.0, 16.0, 32.0; |
| |
| Matrix sqrtD = Ddiag.array().sqrt().matrix().asDiagonal(); |
| Matrix jacobian = sqrtD * basis; |
| jacobian_ = std::make_unique<DenseSparseMatrix>(jacobian); |
| |
| Vector minimum(6); |
| minimum << 1.0, 1.0, 1.0, 1.0, 1.0, 1.0; |
| residual_ = -jacobian * minimum; |
| |
| x_.resize(6); |
| x_.setZero(); |
| |
| options_.min_lm_diagonal = 1.0; |
| options_.max_lm_diagonal = 1.0; |
| } |
| }; |
| |
| // A test problem where |
| // |
| // J^T J = diag([1 2 4 8 16 32]) . |
| // |
| // The residual is chosen so that the minimum of the quadratic function is |
| // at (0, 0, 1, 0, 0, 0). It is therefore at a distance of 1 from the origin. |
| // The gradient at the origin points towards the global minimum. |
| class DoglegStrategyFixtureValley : public Fixture { |
| protected: |
| void SetUp() final { |
| Vector Ddiag(6); |
| Ddiag << 1.0, 2.0, 4.0, 8.0, 16.0, 32.0; |
| |
| Matrix jacobian = Ddiag.asDiagonal(); |
| jacobian_ = std::make_unique<DenseSparseMatrix>(jacobian); |
| |
| Vector minimum(6); |
| minimum << 0.0, 0.0, 1.0, 0.0, 0.0, 0.0; |
| residual_ = -jacobian * minimum; |
| |
| x_.resize(6); |
| x_.setZero(); |
| |
| options_.min_lm_diagonal = 1.0; |
| options_.max_lm_diagonal = 1.0; |
| } |
| }; |
| |
| const double kTolerance = 1e-14; |
| const double kToleranceLoose = 1e-5; |
| const double kEpsilon = std::numeric_limits<double>::epsilon(); |
| |
| } // namespace |
| |
| // The DoglegStrategy must never return a step that is longer than the current |
| // trust region radius. |
| TEST_F(DoglegStrategyFixtureEllipse, TrustRegionObeyedTraditional) { |
| std::unique_ptr<LinearSolver> linear_solver( |
| new DenseQRSolver(LinearSolver::Options())); |
| options_.linear_solver = linear_solver.get(); |
| // The global minimum is at (1, 1, ..., 1), so the distance to it is |
| // sqrt(6.0). By restricting the trust region to a radius of 2.0, |
| // we test if the trust region is actually obeyed. |
| options_.dogleg_type = TRADITIONAL_DOGLEG; |
| options_.initial_radius = 2.0; |
| options_.max_radius = 2.0; |
| |
| DoglegStrategy strategy(options_); |
| TrustRegionStrategy::PerSolveOptions pso; |
| |
| TrustRegionStrategy::Summary summary = |
| strategy.ComputeStep(pso, jacobian_.get(), residual_.data(), x_.data()); |
| |
| EXPECT_NE(summary.termination_type, LinearSolverTerminationType::FAILURE); |
| EXPECT_LE(x_.norm(), options_.initial_radius * (1.0 + 4.0 * kEpsilon)); |
| } |
| |
| TEST_F(DoglegStrategyFixtureEllipse, TrustRegionObeyedSubspace) { |
| std::unique_ptr<LinearSolver> linear_solver( |
| new DenseQRSolver(LinearSolver::Options())); |
| options_.linear_solver = linear_solver.get(); |
| options_.dogleg_type = SUBSPACE_DOGLEG; |
| options_.initial_radius = 2.0; |
| options_.max_radius = 2.0; |
| |
| DoglegStrategy strategy(options_); |
| TrustRegionStrategy::PerSolveOptions pso; |
| |
| TrustRegionStrategy::Summary summary = |
| strategy.ComputeStep(pso, jacobian_.get(), residual_.data(), x_.data()); |
| |
| EXPECT_NE(summary.termination_type, LinearSolverTerminationType::FAILURE); |
| EXPECT_LE(x_.norm(), options_.initial_radius * (1.0 + 4.0 * kEpsilon)); |
| } |
| |
| TEST_F(DoglegStrategyFixtureEllipse, CorrectGaussNewtonStep) { |
| std::unique_ptr<LinearSolver> linear_solver( |
| new DenseQRSolver(LinearSolver::Options())); |
| options_.linear_solver = linear_solver.get(); |
| options_.dogleg_type = SUBSPACE_DOGLEG; |
| options_.initial_radius = 10.0; |
| options_.max_radius = 10.0; |
| |
| DoglegStrategy strategy(options_); |
| TrustRegionStrategy::PerSolveOptions pso; |
| |
| TrustRegionStrategy::Summary summary = |
| strategy.ComputeStep(pso, jacobian_.get(), residual_.data(), x_.data()); |
| |
| EXPECT_NE(summary.termination_type, LinearSolverTerminationType::FAILURE); |
| EXPECT_NEAR(x_(0), 1.0, kToleranceLoose); |
| EXPECT_NEAR(x_(1), 1.0, kToleranceLoose); |
| EXPECT_NEAR(x_(2), 1.0, kToleranceLoose); |
| EXPECT_NEAR(x_(3), 1.0, kToleranceLoose); |
| EXPECT_NEAR(x_(4), 1.0, kToleranceLoose); |
| EXPECT_NEAR(x_(5), 1.0, kToleranceLoose); |
| } |
| |
| // Test if the subspace basis is a valid orthonormal basis of the space spanned |
| // by the gradient and the Gauss-Newton point. |
| TEST_F(DoglegStrategyFixtureEllipse, ValidSubspaceBasis) { |
| std::unique_ptr<LinearSolver> linear_solver( |
| new DenseQRSolver(LinearSolver::Options())); |
| options_.linear_solver = linear_solver.get(); |
| options_.dogleg_type = SUBSPACE_DOGLEG; |
| options_.initial_radius = 2.0; |
| options_.max_radius = 2.0; |
| |
| DoglegStrategy strategy(options_); |
| TrustRegionStrategy::PerSolveOptions pso; |
| |
| strategy.ComputeStep(pso, jacobian_.get(), residual_.data(), x_.data()); |
| |
| // Check if the basis is orthonormal. |
| const Matrix basis = strategy.subspace_basis(); |
| EXPECT_NEAR(basis.col(0).norm(), 1.0, kTolerance); |
| EXPECT_NEAR(basis.col(1).norm(), 1.0, kTolerance); |
| EXPECT_NEAR(basis.col(0).dot(basis.col(1)), 0.0, kTolerance); |
| |
| // Check if the gradient projects onto itself. |
| const Vector gradient = strategy.gradient(); |
| EXPECT_NEAR((gradient - basis * (basis.transpose() * gradient)).norm(), |
| 0.0, |
| kTolerance); |
| |
| // Check if the Gauss-Newton point projects onto itself. |
| const Vector gn = strategy.gauss_newton_step(); |
| EXPECT_NEAR((gn - basis * (basis.transpose() * gn)).norm(), 0.0, kTolerance); |
| } |
| |
| // Test if the step is correct if the gradient and the Gauss-Newton step point |
| // in the same direction and the Gauss-Newton step is outside the trust region, |
| // i.e. the trust region is active. |
| TEST_F(DoglegStrategyFixtureValley, CorrectStepLocalOptimumAlongGradient) { |
| std::unique_ptr<LinearSolver> linear_solver( |
| new DenseQRSolver(LinearSolver::Options())); |
| options_.linear_solver = linear_solver.get(); |
| options_.dogleg_type = SUBSPACE_DOGLEG; |
| options_.initial_radius = 0.25; |
| options_.max_radius = 0.25; |
| |
| DoglegStrategy strategy(options_); |
| TrustRegionStrategy::PerSolveOptions pso; |
| |
| TrustRegionStrategy::Summary summary = |
| strategy.ComputeStep(pso, jacobian_.get(), residual_.data(), x_.data()); |
| |
| EXPECT_NE(summary.termination_type, LinearSolverTerminationType::FAILURE); |
| EXPECT_NEAR(x_(0), 0.0, kToleranceLoose); |
| EXPECT_NEAR(x_(1), 0.0, kToleranceLoose); |
| EXPECT_NEAR(x_(2), options_.initial_radius, kToleranceLoose); |
| EXPECT_NEAR(x_(3), 0.0, kToleranceLoose); |
| EXPECT_NEAR(x_(4), 0.0, kToleranceLoose); |
| EXPECT_NEAR(x_(5), 0.0, kToleranceLoose); |
| } |
| |
| // Test if the step is correct if the gradient and the Gauss-Newton step point |
| // in the same direction and the Gauss-Newton step is inside the trust region, |
| // i.e. the trust region is inactive. |
| TEST_F(DoglegStrategyFixtureValley, CorrectStepGlobalOptimumAlongGradient) { |
| std::unique_ptr<LinearSolver> linear_solver( |
| new DenseQRSolver(LinearSolver::Options())); |
| options_.linear_solver = linear_solver.get(); |
| options_.dogleg_type = SUBSPACE_DOGLEG; |
| options_.initial_radius = 2.0; |
| options_.max_radius = 2.0; |
| |
| DoglegStrategy strategy(options_); |
| TrustRegionStrategy::PerSolveOptions pso; |
| |
| TrustRegionStrategy::Summary summary = |
| strategy.ComputeStep(pso, jacobian_.get(), residual_.data(), x_.data()); |
| |
| EXPECT_NE(summary.termination_type, LinearSolverTerminationType::FAILURE); |
| EXPECT_NEAR(x_(0), 0.0, kToleranceLoose); |
| EXPECT_NEAR(x_(1), 0.0, kToleranceLoose); |
| EXPECT_NEAR(x_(2), 1.0, kToleranceLoose); |
| EXPECT_NEAR(x_(3), 0.0, kToleranceLoose); |
| EXPECT_NEAR(x_(4), 0.0, kToleranceLoose); |
| EXPECT_NEAR(x_(5), 0.0, kToleranceLoose); |
| } |
| |
| } // namespace ceres::internal |