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_test.cc b/internal/ceres/levenberg_marquardt_strategy_test.cc
new file mode 100644
index 0000000..370d0a5
--- /dev/null
+++ b/internal/ceres/levenberg_marquardt_strategy_test.cc
@@ -0,0 +1,152 @@
+// 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)
+
+
+#include <glog/logging.h>
+#include "gmock/gmock.h"
+#include "gtest/gtest.h"
+#include "ceres/mock_log.h"
+#include "ceres/trust_region_strategy.h"
+#include "ceres/levenberg_marquardt_strategy.h"
+#include "ceres/internal/eigen.h"
+
+using testing::AllOf;
+using testing::AnyNumber;
+using testing::HasSubstr;
+using testing::ScopedMockLog;
+using testing::_;
+
+namespace ceres {
+namespace internal {
+
+const double kTolerance = 1e-16;
+
+// Linear solver that takes as input a vector and checks that the
+// caller passes the same vector as LinearSolver::PerSolveOptions.D.
+class RegularizationCheckingLinearSolver : public DenseSparseMatrixSolver {
+ public:
+ RegularizationCheckingLinearSolver(const int num_cols, const double* diagonal)
+ : num_cols_(num_cols),
+ diagonal_(diagonal) {
+ }
+
+ virtual ~RegularizationCheckingLinearSolver(){}
+
+ private:
+ virtual LinearSolver::Summary SolveImpl(
+ DenseSparseMatrix* A,
+ const double* b,
+ const LinearSolver::PerSolveOptions& per_solve_options,
+ double* x) {
+ CHECK_NOTNULL(per_solve_options.D);
+ for (int i = 0; i < num_cols_; ++i) {
+ EXPECT_NEAR(per_solve_options.D[i], diagonal_[i], kTolerance)
+ << i << " " << per_solve_options.D[i] << " " << diagonal_[i];
+ }
+ }
+ const int num_cols_;
+ const double* diagonal_;
+};
+
+TEST(LevenbergMarquardtStrategy, AcceptRejectStepRadiusScaling) {
+ TrustRegionStrategy::Options options;
+ options.initial_radius = 2.0;
+ options.max_radius = 20.0;
+ options.lm_min_diagonal = 1e-8;
+ options.lm_max_diagonal = 1e8;
+
+ // We need a non-null pointer here, so anything should do.
+ options.linear_solver = new RegularizationCheckingLinearSolver(0, NULL);
+
+ LevenbergMarquardtStrategy lms(options);
+ EXPECT_EQ(lms.Radius(), options.initial_radius);
+ lms.StepRejected(0.0);
+ EXPECT_EQ(lms.Radius(), 1.0);
+ lms.StepRejected(-1.0);
+ EXPECT_EQ(lms.Radius(), 0.25);
+ lms.StepAccepted(1.0);
+ EXPECT_EQ(lms.Radius(), 0.25 * 3.0);
+ lms.StepAccepted(1.0);
+ EXPECT_EQ(lms.Radius(), 0.25 * 3.0 * 3.0);
+ lms.StepAccepted(0.25);
+ EXPECT_EQ(lms.Radius(), 0.25 * 3.0 * 3.0 / 1.125);
+ lms.StepAccepted(1.0);
+ EXPECT_EQ(lms.Radius(), 0.25 * 3.0 * 3.0 / 1.125 * 3.0);
+ lms.StepAccepted(1.0);
+ EXPECT_EQ(lms.Radius(), 0.25 * 3.0 * 3.0 / 1.125 * 3.0 * 3.0);
+ lms.StepAccepted(1.0);
+ EXPECT_EQ(lms.Radius(), options.max_radius);
+}
+
+TEST(LevenbergMarquardtStrategy, CorrectDiagonalToLinearSolver) {
+ Matrix jacobian(2,3);
+ jacobian.setZero();
+ jacobian(0,0) = 0.0;
+ jacobian(0,1) = 1.0;
+ jacobian(1,1) = 1.0;
+ jacobian(0,2) = 100.0;
+
+ double residual = 1.0;
+ double x[2];
+ DenseSparseMatrix dsm(jacobian);
+
+ TrustRegionStrategy::Options options;
+ options.initial_radius = 2.0;
+ options.max_radius = 20.0;
+ options.lm_min_diagonal = 1e-2;
+ options.lm_max_diagonal = 1e2;
+
+ double diagonal[3];
+ diagonal[0] = options.lm_min_diagonal;
+ diagonal[1] = 2.0;
+ diagonal[2] = options.lm_max_diagonal;
+ for (int i = 0; i < 3; ++i) {
+ diagonal[i] = sqrt(diagonal[i] / options.initial_radius);
+ }
+
+ RegularizationCheckingLinearSolver linear_solver(3, diagonal);
+ options.linear_solver = &linear_solver;
+
+ LevenbergMarquardtStrategy lms(options);
+ TrustRegionStrategy::PerSolveOptions pso;
+
+ {
+ ScopedMockLog log;
+ EXPECT_CALL(log, Log(_, _, _)).Times(AnyNumber());
+ EXPECT_CALL(log, Log(WARNING, _,
+ HasSubstr("Failed to compute a finite step.")));
+
+ LinearSolver::Summary summary = lms.ComputeStep(pso, &dsm, &residual, x);
+ EXPECT_EQ(summary.termination_type, FAILURE);
+ }
+}
+
+} // namespace internal
+} // namespace ceres
