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/trust_region_strategy.h b/internal/ceres/trust_region_strategy.h
new file mode 100644
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+++ b/internal/ceres/trust_region_strategy.h
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+// 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_TRUST_REGION_STRATEGY_H_
+#define CERES_INTERNAL_TRUST_REGION_STRATEGY_H_
+
+#include "ceres/linear_solver.h"
+
+namespace ceres {
+namespace internal {
+
+// Interface for classes implementing various trust region strategies
+// for nonlinear least squares problems.
+//
+// The object is expected to maintain and update a trust region
+// radius, which it then uses to solve for the trust region step using
+// the jacobian matrix and residual vector.
+//
+// Here the term trust region radius is used loosely, as the strategy
+// is free to treat it as guidance and violate it as need be. e.g.,
+// the LevenbergMarquardtStrategy uses the inverse of the trust region
+// radius to scale the damping term, which controls the step size, but
+// does not set a hard limit on its size.
+class TrustRegionStrategy {
+public:
+ struct Options {
+ Options()
+ : trust_region_strategy_type(LEVENBERG_MARQUARDT),
+ initial_radius(1e4),
+ max_radius(1e32),
+ lm_min_diagonal(1e-6),
+ lm_max_diagonal(1e32) {
+ }
+
+ TrustRegionStrategyType trust_region_strategy_type;
+ // Linear solver used for actually solving the trust region step.
+ LinearSolver* linear_solver;
+ double initial_radius;
+ double max_radius;
+
+ // Minimum and maximum values of the diagonal damping matrix used
+ // by LevenbergMarquardtStrategy.
+ double lm_min_diagonal;
+ double lm_max_diagonal;
+ };
+
+ // Per solve options.
+ struct PerSolveOptions {
+ // Forcing sequence for inexact solves.
+ double eta;
+ };
+
+ ~TrustRegionStrategy();
+
+ // Use the current radius to solve for the trust region step.
+ virtual LinearSolver::Summary ComputeStep(
+ const PerSolveOptions& per_solve_options,
+ SparseMatrix* jacobian,
+ const double* residuals,
+ double* step) = 0;
+
+ // Inform the strategy that the current step has been accepted, and
+ // that the ratio of the decrease in the non-linear objective to the
+ // decrease in the trust region model is step_quality.
+ virtual void StepAccepted(double step_quality) = 0;
+
+ // Inform the strategy that the current step has been rejected, and
+ // that the ratio of the decrease in the non-linear objective to the
+ // decrease in the trust region model is step_quality.
+ virtual void StepRejected(double step_quality) = 0;
+
+ // Current trust region radius.
+ virtual double Radius() const = 0;
+
+ // Factory.
+ static TrustRegionStrategy* Create(const Options& options);
+};
+
+} // namespace internal
+} // namespace ceres
+
+#endif // CERES_INTERNAL_TRUST_REGION_STRATEGY_H_
