New Trust region loop.
1. New TrustRegionMinimizer and basic tests for it.
2. New TrustRegionStrategy interface.
3. New LevenbergMarquardtStrategy and tests for it.
4. Updates to SolverImpl to reflect this.
5. Changes to Solver::Options and IterationSummary related to this.
6. Deleted levenberg_marquardt.cc/h/_test.cc
Change-Id: I6c1d1a7c774f014856f9f26263a830aa886e1400
diff --git a/internal/ceres/levenberg_marquardt_strategy.h b/internal/ceres/levenberg_marquardt_strategy.h
new file mode 100644
index 0000000..274e972
--- /dev/null
+++ b/internal/ceres/levenberg_marquardt_strategy.h
@@ -0,0 +1,78 @@
+// Ceres Solver - A fast non-linear least squares minimizer
+// Copyright 2012 Google Inc. All rights reserved.
+// http://code.google.com/p/ceres-solver/
+//
+// 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
+// IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE
+// ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE
+// LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR
+// CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF
+// SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
+// INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN
+// CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE)
+// 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)
+
+#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 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_
