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// 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
// 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 "ceres/covariance.h"
#include <algorithm>
#include <cmath>
#include <cstdint>
#include <map>
#include <memory>
#include <utility>
#include "ceres/autodiff_cost_function.h"
#include "ceres/compressed_row_sparse_matrix.h"
#include "ceres/cost_function.h"
#include "ceres/covariance_impl.h"
#include "ceres/internal/config.h"
#include "ceres/local_parameterization.h"
#include "ceres/manifold.h"
#include "ceres/map_util.h"
#include "ceres/problem_impl.h"
#include "gtest/gtest.h"
namespace ceres {
namespace internal {
using std::make_pair;
using std::map;
using std::pair;
using std::vector;
class UnaryCostFunction : public CostFunction {
public:
UnaryCostFunction(const int num_residuals,
const int32_t parameter_block_size,
const double* jacobian)
: jacobian_(jacobian, jacobian + num_residuals * parameter_block_size) {
set_num_residuals(num_residuals);
mutable_parameter_block_sizes()->push_back(parameter_block_size);
}
bool Evaluate(double const* const* parameters,
double* residuals,
double** jacobians) const final {
for (int i = 0; i < num_residuals(); ++i) {
residuals[i] = 1;
}
if (jacobians == nullptr) {
return true;
}
if (jacobians[0] != nullptr) {
std::copy(jacobian_.begin(), jacobian_.end(), jacobians[0]);
}
return true;
}
private:
vector<double> jacobian_;
};
class BinaryCostFunction : public CostFunction {
public:
BinaryCostFunction(const int num_residuals,
const int32_t parameter_block1_size,
const int32_t parameter_block2_size,
const double* jacobian1,
const double* jacobian2)
: jacobian1_(jacobian1,
jacobian1 + num_residuals * parameter_block1_size),
jacobian2_(jacobian2,
jacobian2 + num_residuals * parameter_block2_size) {
set_num_residuals(num_residuals);
mutable_parameter_block_sizes()->push_back(parameter_block1_size);
mutable_parameter_block_sizes()->push_back(parameter_block2_size);
}
bool Evaluate(double const* const* parameters,
double* residuals,
double** jacobians) const final {
for (int i = 0; i < num_residuals(); ++i) {
residuals[i] = 2;
}
if (jacobians == nullptr) {
return true;
}
if (jacobians[0] != nullptr) {
std::copy(jacobian1_.begin(), jacobian1_.end(), jacobians[0]);
}
if (jacobians[1] != nullptr) {
std::copy(jacobian2_.begin(), jacobian2_.end(), jacobians[1]);
}
return true;
}
private:
vector<double> jacobian1_;
vector<double> jacobian2_;
};
TEST(CovarianceImpl, ComputeCovarianceSparsity) {
double parameters[10];
double* block1 = parameters;
double* block2 = block1 + 1;
double* block3 = block2 + 2;
double* block4 = block3 + 3;
ProblemImpl problem;
// Add in random order
Vector junk_jacobian = Vector::Zero(10);
problem.AddResidualBlock(
new UnaryCostFunction(1, 1, junk_jacobian.data()), nullptr, block1);
problem.AddResidualBlock(
new UnaryCostFunction(1, 4, junk_jacobian.data()), nullptr, block4);
problem.AddResidualBlock(
new UnaryCostFunction(1, 3, junk_jacobian.data()), nullptr, block3);
problem.AddResidualBlock(
new UnaryCostFunction(1, 2, junk_jacobian.data()), nullptr, block2);
// Sparsity pattern
//
// Note that the problem structure does not imply this sparsity
// pattern since all the residual blocks are unary. But the
// ComputeCovarianceSparsity function in its current incarnation
// does not pay attention to this fact and only looks at the
// parameter block pairs that the user provides.
//
// X . . . . . X X X X
// . X X X X X . . . .
// . X X X X X . . . .
// . . . X X X . . . .
// . . . X X X . . . .
// . . . X X X . . . .
// . . . . . . X X X X
// . . . . . . X X X X
// . . . . . . X X X X
// . . . . . . X X X X
// clang-format off
int expected_rows[] = {0, 5, 10, 15, 18, 21, 24, 28, 32, 36, 40};
int expected_cols[] = {0, 6, 7, 8, 9,
1, 2, 3, 4, 5,
1, 2, 3, 4, 5,
3, 4, 5,
3, 4, 5,
3, 4, 5,
6, 7, 8, 9,
6, 7, 8, 9,
6, 7, 8, 9,
6, 7, 8, 9};
// clang-format on
vector<pair<const double*, const double*>> covariance_blocks;
covariance_blocks.emplace_back(block1, block1);
covariance_blocks.emplace_back(block4, block4);
covariance_blocks.emplace_back(block2, block2);
covariance_blocks.emplace_back(block3, block3);
covariance_blocks.emplace_back(block2, block3);
covariance_blocks.emplace_back(block4, block1); // reversed
Covariance::Options options;
CovarianceImpl covariance_impl(options);
EXPECT_TRUE(
covariance_impl.ComputeCovarianceSparsity(covariance_blocks, &problem));
const CompressedRowSparseMatrix* crsm = covariance_impl.covariance_matrix();
EXPECT_EQ(crsm->num_rows(), 10);
EXPECT_EQ(crsm->num_cols(), 10);
EXPECT_EQ(crsm->num_nonzeros(), 40);
const int* rows = crsm->rows();
for (int r = 0; r < crsm->num_rows() + 1; ++r) {
EXPECT_EQ(rows[r], expected_rows[r])
<< r << " " << rows[r] << " " << expected_rows[r];
}
const int* cols = crsm->cols();
for (int c = 0; c < crsm->num_nonzeros(); ++c) {
EXPECT_EQ(cols[c], expected_cols[c])
<< c << " " << cols[c] << " " << expected_cols[c];
}
}
TEST(CovarianceImpl, ComputeCovarianceSparsityWithConstantParameterBlock) {
double parameters[10];
double* block1 = parameters;
double* block2 = block1 + 1;
double* block3 = block2 + 2;
double* block4 = block3 + 3;
ProblemImpl problem;
// Add in random order
Vector junk_jacobian = Vector::Zero(10);
problem.AddResidualBlock(
new UnaryCostFunction(1, 1, junk_jacobian.data()), nullptr, block1);
problem.AddResidualBlock(
new UnaryCostFunction(1, 4, junk_jacobian.data()), nullptr, block4);
problem.AddResidualBlock(
new UnaryCostFunction(1, 3, junk_jacobian.data()), nullptr, block3);
problem.AddResidualBlock(
new UnaryCostFunction(1, 2, junk_jacobian.data()), nullptr, block2);
problem.SetParameterBlockConstant(block3);
// Sparsity pattern
//
// Note that the problem structure does not imply this sparsity
// pattern since all the residual blocks are unary. But the
// ComputeCovarianceSparsity function in its current incarnation
// does not pay attention to this fact and only looks at the
// parameter block pairs that the user provides.
//
// X . . X X X X
// . X X . . . .
// . X X . . . .
// . . . X X X X
// . . . X X X X
// . . . X X X X
// . . . X X X X
// clang-format off
int expected_rows[] = {0, 5, 7, 9, 13, 17, 21, 25};
int expected_cols[] = {0, 3, 4, 5, 6,
1, 2,
1, 2,
3, 4, 5, 6,
3, 4, 5, 6,
3, 4, 5, 6,
3, 4, 5, 6};
// clang-format on
vector<pair<const double*, const double*>> covariance_blocks;
covariance_blocks.emplace_back(block1, block1);
covariance_blocks.emplace_back(block4, block4);
covariance_blocks.emplace_back(block2, block2);
covariance_blocks.emplace_back(block3, block3);
covariance_blocks.emplace_back(block2, block3);
covariance_blocks.emplace_back(block4, block1); // reversed
Covariance::Options options;
CovarianceImpl covariance_impl(options);
EXPECT_TRUE(
covariance_impl.ComputeCovarianceSparsity(covariance_blocks, &problem));
const CompressedRowSparseMatrix* crsm = covariance_impl.covariance_matrix();
EXPECT_EQ(crsm->num_rows(), 7);
EXPECT_EQ(crsm->num_cols(), 7);
EXPECT_EQ(crsm->num_nonzeros(), 25);
const int* rows = crsm->rows();
for (int r = 0; r < crsm->num_rows() + 1; ++r) {
EXPECT_EQ(rows[r], expected_rows[r])
<< r << " " << rows[r] << " " << expected_rows[r];
}
const int* cols = crsm->cols();
for (int c = 0; c < crsm->num_nonzeros(); ++c) {
EXPECT_EQ(cols[c], expected_cols[c])
<< c << " " << cols[c] << " " << expected_cols[c];
}
}
TEST(CovarianceImpl, ComputeCovarianceSparsityWithFreeParameterBlock) {
double parameters[10];
double* block1 = parameters;
double* block2 = block1 + 1;
double* block3 = block2 + 2;
double* block4 = block3 + 3;
ProblemImpl problem;
// Add in random order
Vector junk_jacobian = Vector::Zero(10);
problem.AddResidualBlock(
new UnaryCostFunction(1, 1, junk_jacobian.data()), nullptr, block1);
problem.AddResidualBlock(
new UnaryCostFunction(1, 4, junk_jacobian.data()), nullptr, block4);
problem.AddParameterBlock(block3, 3);
problem.AddResidualBlock(
new UnaryCostFunction(1, 2, junk_jacobian.data()), nullptr, block2);
// Sparsity pattern
//
// Note that the problem structure does not imply this sparsity
// pattern since all the residual blocks are unary. But the
// ComputeCovarianceSparsity function in its current incarnation
// does not pay attention to this fact and only looks at the
// parameter block pairs that the user provides.
//
// X . . X X X X
// . X X . . . .
// . X X . . . .
// . . . X X X X
// . . . X X X X
// . . . X X X X
// . . . X X X X
// clang-format off
int expected_rows[] = {0, 5, 7, 9, 13, 17, 21, 25};
int expected_cols[] = {0, 3, 4, 5, 6,
1, 2,
1, 2,
3, 4, 5, 6,
3, 4, 5, 6,
3, 4, 5, 6,
3, 4, 5, 6};
// clang-format on
vector<pair<const double*, const double*>> covariance_blocks;
covariance_blocks.emplace_back(block1, block1);
covariance_blocks.emplace_back(block4, block4);
covariance_blocks.emplace_back(block2, block2);
covariance_blocks.emplace_back(block3, block3);
covariance_blocks.emplace_back(block2, block3);
covariance_blocks.emplace_back(block4, block1); // reversed
Covariance::Options options;
CovarianceImpl covariance_impl(options);
EXPECT_TRUE(
covariance_impl.ComputeCovarianceSparsity(covariance_blocks, &problem));
const CompressedRowSparseMatrix* crsm = covariance_impl.covariance_matrix();
EXPECT_EQ(crsm->num_rows(), 7);
EXPECT_EQ(crsm->num_cols(), 7);
EXPECT_EQ(crsm->num_nonzeros(), 25);
const int* rows = crsm->rows();
for (int r = 0; r < crsm->num_rows() + 1; ++r) {
EXPECT_EQ(rows[r], expected_rows[r])
<< r << " " << rows[r] << " " << expected_rows[r];
}
const int* cols = crsm->cols();
for (int c = 0; c < crsm->num_nonzeros(); ++c) {
EXPECT_EQ(cols[c], expected_cols[c])
<< c << " " << cols[c] << " " << expected_cols[c];
}
}
// x_plus_delta = delta * x;
class PolynomialParameterization : public LocalParameterization {
public:
bool Plus(const double* x,
const double* delta,
double* x_plus_delta) const final {
x_plus_delta[0] = delta[0] * x[0];
x_plus_delta[1] = delta[0] * x[1];
return true;
}
bool ComputeJacobian(const double* x, double* jacobian) const final {
jacobian[0] = x[0];
jacobian[1] = x[1];
return true;
}
int GlobalSize() const final { return 2; }
int LocalSize() const final { return 1; }
};
// x_plus_delta = delta * x;
class PolynomialManifold : public Manifold {
public:
bool Plus(const double* x,
const double* delta,
double* x_plus_delta) const final {
x_plus_delta[0] = delta[0] * x[0];
x_plus_delta[1] = delta[0] * x[1];
return true;
}
bool Minus(const double* y, const double* x, double* y_minus_x) const final {
LOG(FATAL) << "Should not be called";
return true;
}
bool PlusJacobian(const double* x, double* jacobian) const final {
jacobian[0] = x[0];
jacobian[1] = x[1];
return true;
}
bool MinusJacobian(const double* x, double* jacobian) const final {
LOG(FATAL) << "Should not be called";
return true;
}
int AmbientSize() const final { return 2; }
int TangentSize() const final { return 1; }
};
class CovarianceTest : public ::testing::Test {
protected:
using BoundsMap = map<const double*, pair<int, int>>;
void SetUp() override {
double* x = parameters_;
double* y = x + 2;
double* z = y + 3;
x[0] = 1;
x[1] = 1;
y[0] = 2;
y[1] = 2;
y[2] = 2;
z[0] = 3;
{
double jacobian[] = {1.0, 0.0, 0.0, 1.0};
problem_.AddResidualBlock(
new UnaryCostFunction(2, 2, jacobian), nullptr, x);
}
{
double jacobian[] = {2.0, 0.0, 0.0, 0.0, 2.0, 0.0, 0.0, 0.0, 2.0};
problem_.AddResidualBlock(
new UnaryCostFunction(3, 3, jacobian), nullptr, y);
}
{
double jacobian = 5.0;
problem_.AddResidualBlock(
new UnaryCostFunction(1, 1, &jacobian), nullptr, z);
}
{
double jacobian1[] = {1.0, 2.0, 3.0};
double jacobian2[] = {-5.0, -6.0};
problem_.AddResidualBlock(
new BinaryCostFunction(1, 3, 2, jacobian1, jacobian2), nullptr, y, x);
}
{
double jacobian1[] = {2.0};
double jacobian2[] = {3.0, -2.0};
problem_.AddResidualBlock(
new BinaryCostFunction(1, 1, 2, jacobian1, jacobian2), nullptr, z, x);
}
all_covariance_blocks_.emplace_back(x, x);
all_covariance_blocks_.emplace_back(y, y);
all_covariance_blocks_.emplace_back(z, z);
all_covariance_blocks_.emplace_back(x, y);
all_covariance_blocks_.emplace_back(x, z);
all_covariance_blocks_.emplace_back(y, z);
column_bounds_[x] = make_pair(0, 2);
column_bounds_[y] = make_pair(2, 5);
column_bounds_[z] = make_pair(5, 6);
}
// Computes covariance in ambient space.
void ComputeAndCompareCovarianceBlocks(const Covariance::Options& options,
const double* expected_covariance) {
ComputeAndCompareCovarianceBlocksInTangentOrAmbientSpace(
options,
true, // ambient
expected_covariance);
}
// Computes covariance in tangent space.
void ComputeAndCompareCovarianceBlocksInTangentSpace(
const Covariance::Options& options, const double* expected_covariance) {
ComputeAndCompareCovarianceBlocksInTangentOrAmbientSpace(
options,
false, // tangent
expected_covariance);
}
void ComputeAndCompareCovarianceBlocksInTangentOrAmbientSpace(
const Covariance::Options& options,
bool lift_covariance_to_ambient_space,
const double* expected_covariance) {
// Generate all possible combination of block pairs and check if the
// covariance computation is correct.
for (int i = 0; i <= 64; ++i) {
vector<pair<const double*, const double*>> covariance_blocks;
if (i & 1) {
covariance_blocks.push_back(all_covariance_blocks_[0]);
}
if (i & 2) {
covariance_blocks.push_back(all_covariance_blocks_[1]);
}
if (i & 4) {
covariance_blocks.push_back(all_covariance_blocks_[2]);
}
if (i & 8) {
covariance_blocks.push_back(all_covariance_blocks_[3]);
}
if (i & 16) {
covariance_blocks.push_back(all_covariance_blocks_[4]);
}
if (i & 32) {
covariance_blocks.push_back(all_covariance_blocks_[5]);
}
Covariance covariance(options);
EXPECT_TRUE(covariance.Compute(covariance_blocks, &problem_));
for (auto& covariance_block : covariance_blocks) {
const double* block1 = covariance_block.first;
const double* block2 = covariance_block.second;
// block1, block2
GetCovarianceBlockAndCompare(block1,
block2,
lift_covariance_to_ambient_space,
covariance,
expected_covariance);
// block2, block1
GetCovarianceBlockAndCompare(block2,
block1,
lift_covariance_to_ambient_space,
covariance,
expected_covariance);
}
}
}
void GetCovarianceBlockAndCompare(const double* block1,
const double* block2,
bool lift_covariance_to_ambient_space,
const Covariance& covariance,
const double* expected_covariance) {
const BoundsMap& column_bounds = lift_covariance_to_ambient_space
? column_bounds_
: local_column_bounds_;
const int row_begin = FindOrDie(column_bounds, block1).first;
const int row_end = FindOrDie(column_bounds, block1).second;
const int col_begin = FindOrDie(column_bounds, block2).first;
const int col_end = FindOrDie(column_bounds, block2).second;
Matrix actual(row_end - row_begin, col_end - col_begin);
if (lift_covariance_to_ambient_space) {
EXPECT_TRUE(covariance.GetCovarianceBlock(block1, block2, actual.data()));
} else {
EXPECT_TRUE(covariance.GetCovarianceBlockInTangentSpace(
block1, block2, actual.data()));
}
int dof = 0; // degrees of freedom = sum of LocalSize()s
for (const auto& bound : column_bounds) {
dof = std::max(dof, bound.second.second);
}
ConstMatrixRef expected(expected_covariance, dof, dof);
double diff_norm =
(expected.block(
row_begin, col_begin, row_end - row_begin, col_end - col_begin) -
actual)
.norm();
diff_norm /= (row_end - row_begin) * (col_end - col_begin);
const double kTolerance = 1e-5;
EXPECT_NEAR(diff_norm, 0.0, kTolerance)
<< "rows: " << row_begin << " " << row_end << " "
<< "cols: " << col_begin << " " << col_end << " "
<< "\n\n expected: \n "
<< expected.block(
row_begin, col_begin, row_end - row_begin, col_end - col_begin)
<< "\n\n actual: \n " << actual << "\n\n full expected: \n"
<< expected;
}
double parameters_[6];
Problem problem_;
vector<pair<const double*, const double*>> all_covariance_blocks_;
BoundsMap column_bounds_;
BoundsMap local_column_bounds_;
};
TEST_F(CovarianceTest, NormalBehavior) {
// J
//
// 1 0 0 0 0 0
// 0 1 0 0 0 0
// 0 0 2 0 0 0
// 0 0 0 2 0 0
// 0 0 0 0 2 0
// 0 0 0 0 0 5
// -5 -6 1 2 3 0
// 3 -2 0 0 0 2
// J'J
//
// 35 24 -5 -10 -15 6
// 24 41 -6 -12 -18 -4
// -5 -6 5 2 3 0
// -10 -12 2 8 6 0
// -15 -18 3 6 13 0
// 6 -4 0 0 0 29
// inv(J'J) computed using octave.
// clang-format off
double expected_covariance[] = {
7.0747e-02, -8.4923e-03, 1.6821e-02, 3.3643e-02, 5.0464e-02, -1.5809e-02, // NOLINT
-8.4923e-03, 8.1352e-02, 2.4758e-02, 4.9517e-02, 7.4275e-02, 1.2978e-02, // NOLINT
1.6821e-02, 2.4758e-02, 2.4904e-01, -1.9271e-03, -2.8906e-03, -6.5325e-05, // NOLINT
3.3643e-02, 4.9517e-02, -1.9271e-03, 2.4615e-01, -5.7813e-03, -1.3065e-04, // NOLINT
5.0464e-02, 7.4275e-02, -2.8906e-03, -5.7813e-03, 2.4133e-01, -1.9598e-04, // NOLINT
-1.5809e-02, 1.2978e-02, -6.5325e-05, -1.3065e-04, -1.9598e-04, 3.9544e-02, // NOLINT
};
// clang-format on
Covariance::Options options;
#ifndef CERES_NO_SUITESPARSE
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = SUITE_SPARSE;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
#endif
options.algorithm_type = DENSE_SVD;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = EIGEN_SPARSE;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
}
#ifdef CERES_USE_OPENMP
TEST_F(CovarianceTest, ThreadedNormalBehavior) {
// J
//
// 1 0 0 0 0 0
// 0 1 0 0 0 0
// 0 0 2 0 0 0
// 0 0 0 2 0 0
// 0 0 0 0 2 0
// 0 0 0 0 0 5
// -5 -6 1 2 3 0
// 3 -2 0 0 0 2
// J'J
//
// 35 24 -5 -10 -15 6
// 24 41 -6 -12 -18 -4
// -5 -6 5 2 3 0
// -10 -12 2 8 6 0
// -15 -18 3 6 13 0
// 6 -4 0 0 0 29
// inv(J'J) computed using octave.
// clang-format off
double expected_covariance[] = {
7.0747e-02, -8.4923e-03, 1.6821e-02, 3.3643e-02, 5.0464e-02, -1.5809e-02, // NOLINT
-8.4923e-03, 8.1352e-02, 2.4758e-02, 4.9517e-02, 7.4275e-02, 1.2978e-02, // NOLINT
1.6821e-02, 2.4758e-02, 2.4904e-01, -1.9271e-03, -2.8906e-03, -6.5325e-05, // NOLINT
3.3643e-02, 4.9517e-02, -1.9271e-03, 2.4615e-01, -5.7813e-03, -1.3065e-04, // NOLINT
5.0464e-02, 7.4275e-02, -2.8906e-03, -5.7813e-03, 2.4133e-01, -1.9598e-04, // NOLINT
-1.5809e-02, 1.2978e-02, -6.5325e-05, -1.3065e-04, -1.9598e-04, 3.9544e-02, // NOLINT
};
// clang-format on
Covariance::Options options;
options.num_threads = 4;
#ifndef CERES_NO_SUITESPARSE
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = SUITE_SPARSE;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
#endif
options.algorithm_type = DENSE_SVD;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = EIGEN_SPARSE;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
}
#endif // CERES_USE_OPENMP
TEST_F(CovarianceTest, ConstantParameterBlock) {
problem_.SetParameterBlockConstant(parameters_);
// J
//
// 0 0 0 0 0 0
// 0 0 0 0 0 0
// 0 0 2 0 0 0
// 0 0 0 2 0 0
// 0 0 0 0 2 0
// 0 0 0 0 0 5
// 0 0 1 2 3 0
// 0 0 0 0 0 2
// J'J
//
// 0 0 0 0 0 0
// 0 0 0 0 0 0
// 0 0 5 2 3 0
// 0 0 2 8 6 0
// 0 0 3 6 13 0
// 0 0 0 0 0 29
// pinv(J'J) computed using octave.
// clang-format off
double expected_covariance[] = {
0, 0, 0, 0, 0, 0, // NOLINT
0, 0, 0, 0, 0, 0, // NOLINT
0, 0, 0.23611, -0.02778, -0.04167, -0.00000, // NOLINT
0, 0, -0.02778, 0.19444, -0.08333, -0.00000, // NOLINT
0, 0, -0.04167, -0.08333, 0.12500, -0.00000, // NOLINT
0, 0, -0.00000, -0.00000, -0.00000, 0.03448 // NOLINT
// clang-format on
};
Covariance::Options options;
#ifndef CERES_NO_SUITESPARSE
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = SUITE_SPARSE;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
#endif
options.algorithm_type = DENSE_SVD;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = EIGEN_SPARSE;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
}
TEST_F(CovarianceTest, LocalParameterization) {
double* x = parameters_;
double* y = x + 2;
problem_.SetParameterization(x, new PolynomialParameterization);
vector<int> subset;
subset.push_back(2);
problem_.SetParameterization(y, new SubsetParameterization(3, subset));
// Raw Jacobian: J
//
// 1 0 0 0 0 0
// 0 1 0 0 0 0
// 0 0 2 0 0 0
// 0 0 0 2 0 0
// 0 0 0 0 2 0
// 0 0 0 0 0 5
// -5 -6 1 2 3 0
// 3 -2 0 0 0 2
// Local to global jacobian: A
//
// 1 0 0 0
// 1 0 0 0
// 0 1 0 0
// 0 0 1 0
// 0 0 0 0
// 0 0 0 1
// A * inv((J*A)'*(J*A)) * A'
// Computed using octave.
// clang-format off
double expected_covariance[] = {
0.01766, 0.01766, 0.02158, 0.04316, 0.00000, -0.00122,
0.01766, 0.01766, 0.02158, 0.04316, 0.00000, -0.00122,
0.02158, 0.02158, 0.24860, -0.00281, 0.00000, -0.00149,
0.04316, 0.04316, -0.00281, 0.24439, 0.00000, -0.00298,
0.00000, 0.00000, 0.00000, 0.00000, 0.00000, 0.00000,
-0.00122, -0.00122, -0.00149, -0.00298, 0.00000, 0.03457
};
// clang-format on
Covariance::Options options;
#ifndef CERES_NO_SUITESPARSE
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = SUITE_SPARSE;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
#endif
options.algorithm_type = DENSE_SVD;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = EIGEN_SPARSE;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
}
TEST_F(CovarianceTest, LocalParameterizationInTangentSpace) {
double* x = parameters_;
double* y = x + 2;
double* z = y + 3;
problem_.SetParameterization(x, new PolynomialParameterization);
vector<int> subset;
subset.push_back(2);
problem_.SetParameterization(y, new SubsetParameterization(3, subset));
local_column_bounds_[x] = make_pair(0, 1);
local_column_bounds_[y] = make_pair(1, 3);
local_column_bounds_[z] = make_pair(3, 4);
// Raw Jacobian: J
//
// 1 0 0 0 0 0
// 0 1 0 0 0 0
// 0 0 2 0 0 0
// 0 0 0 2 0 0
// 0 0 0 0 2 0
// 0 0 0 0 0 5
// -5 -6 1 2 3 0
// 3 -2 0 0 0 2
// Local to global jacobian: A
//
// 1 0 0 0
// 1 0 0 0
// 0 1 0 0
// 0 0 1 0
// 0 0 0 0
// 0 0 0 1
// inv((J*A)'*(J*A))
// Computed using octave.
// clang-format off
double expected_covariance[] = {
0.01766, 0.02158, 0.04316, -0.00122,
0.02158, 0.24860, -0.00281, -0.00149,
0.04316, -0.00281, 0.24439, -0.00298,
-0.00122, -0.00149, -0.00298, 0.03457 // NOLINT
};
// clang-format on
Covariance::Options options;
#ifndef CERES_NO_SUITESPARSE
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = SUITE_SPARSE;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
#endif
options.algorithm_type = DENSE_SVD;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = EIGEN_SPARSE;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
}
TEST_F(CovarianceTest, LocalParameterizationInTangentSpaceWithConstantBlocks) {
double* x = parameters_;
double* y = x + 2;
double* z = y + 3;
problem_.SetParameterization(x, new PolynomialParameterization);
problem_.SetParameterBlockConstant(x);
vector<int> subset;
subset.push_back(2);
problem_.SetParameterization(y, new SubsetParameterization(3, subset));
problem_.SetParameterBlockConstant(y);
local_column_bounds_[x] = make_pair(0, 1);
local_column_bounds_[y] = make_pair(1, 3);
local_column_bounds_[z] = make_pair(3, 4);
// Raw Jacobian: J
//
// 1 0 0 0 0 0
// 0 1 0 0 0 0
// 0 0 2 0 0 0
// 0 0 0 2 0 0
// 0 0 0 0 2 0
// 0 0 0 0 0 5
// -5 -6 1 2 3 0
// 3 -2 0 0 0 2
// Local to global jacobian: A
//
// 0 0 0 0
// 0 0 0 0
// 0 0 0 0
// 0 0 0 0
// 0 0 0 0
// 0 0 0 1
// pinv((J*A)'*(J*A))
// Computed using octave.
// clang-format off
double expected_covariance[] = {
0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.034482 // NOLINT
};
// clang-format on
Covariance::Options options;
#ifndef CERES_NO_SUITESPARSE
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = SUITE_SPARSE;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
#endif
options.algorithm_type = DENSE_SVD;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = EIGEN_SPARSE;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
}
TEST_F(CovarianceTest, Manifold) {
double* x = parameters_;
double* y = x + 2;
problem_.SetManifold(x, new PolynomialManifold);
vector<int> subset;
subset.push_back(2);
problem_.SetManifold(y, new SubsetManifold(3, subset));
// Raw Jacobian: J
//
// 1 0 0 0 0 0
// 0 1 0 0 0 0
// 0 0 2 0 0 0
// 0 0 0 2 0 0
// 0 0 0 0 2 0
// 0 0 0 0 0 5
// -5 -6 1 2 3 0
// 3 -2 0 0 0 2
// Local to global jacobian: A
//
// 1 0 0 0
// 1 0 0 0
// 0 1 0 0
// 0 0 1 0
// 0 0 0 0
// 0 0 0 1
// A * inv((J*A)'*(J*A)) * A'
// Computed using octave.
// clang-format off
double expected_covariance[] = {
0.01766, 0.01766, 0.02158, 0.04316, 0.00000, -0.00122,
0.01766, 0.01766, 0.02158, 0.04316, 0.00000, -0.00122,
0.02158, 0.02158, 0.24860, -0.00281, 0.00000, -0.00149,
0.04316, 0.04316, -0.00281, 0.24439, 0.00000, -0.00298,
0.00000, 0.00000, 0.00000, 0.00000, 0.00000, 0.00000,
-0.00122, -0.00122, -0.00149, -0.00298, 0.00000, 0.03457
};
// clang-format on
Covariance::Options options;
#ifndef CERES_NO_SUITESPARSE
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = SUITE_SPARSE;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
#endif
options.algorithm_type = DENSE_SVD;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = EIGEN_SPARSE;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
}
TEST_F(CovarianceTest, ManifoldInTangentSpace) {
double* x = parameters_;
double* y = x + 2;
double* z = y + 3;
problem_.SetManifold(x, new PolynomialManifold);
vector<int> subset;
subset.push_back(2);
problem_.SetManifold(y, new SubsetManifold(3, subset));
local_column_bounds_[x] = make_pair(0, 1);
local_column_bounds_[y] = make_pair(1, 3);
local_column_bounds_[z] = make_pair(3, 4);
// Raw Jacobian: J
//
// 1 0 0 0 0 0
// 0 1 0 0 0 0
// 0 0 2 0 0 0
// 0 0 0 2 0 0
// 0 0 0 0 2 0
// 0 0 0 0 0 5
// -5 -6 1 2 3 0
// 3 -2 0 0 0 2
// Local to global jacobian: A
//
// 1 0 0 0
// 1 0 0 0
// 0 1 0 0
// 0 0 1 0
// 0 0 0 0
// 0 0 0 1
// inv((J*A)'*(J*A))
// Computed using octave.
// clang-format off
double expected_covariance[] = {
0.01766, 0.02158, 0.04316, -0.00122,
0.02158, 0.24860, -0.00281, -0.00149,
0.04316, -0.00281, 0.24439, -0.00298,
-0.00122, -0.00149, -0.00298, 0.03457 // NOLINT
};
// clang-format on
Covariance::Options options;
#ifndef CERES_NO_SUITESPARSE
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = SUITE_SPARSE;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
#endif
options.algorithm_type = DENSE_SVD;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = EIGEN_SPARSE;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
}
TEST_F(CovarianceTest, ManifoldInTangentSpaceWithConstantBlocks) {
double* x = parameters_;
double* y = x + 2;
double* z = y + 3;
problem_.SetManifold(x, new PolynomialManifold);
problem_.SetParameterBlockConstant(x);
vector<int> subset;
subset.push_back(2);
problem_.SetManifold(y, new SubsetManifold(3, subset));
problem_.SetParameterBlockConstant(y);
local_column_bounds_[x] = make_pair(0, 1);
local_column_bounds_[y] = make_pair(1, 3);
local_column_bounds_[z] = make_pair(3, 4);
// Raw Jacobian: J
//
// 1 0 0 0 0 0
// 0 1 0 0 0 0
// 0 0 2 0 0 0
// 0 0 0 2 0 0
// 0 0 0 0 2 0
// 0 0 0 0 0 5
// -5 -6 1 2 3 0
// 3 -2 0 0 0 2
// Local to global jacobian: A
//
// 0 0 0 0
// 0 0 0 0
// 0 0 0 0
// 0 0 0 0
// 0 0 0 0
// 0 0 0 1
// pinv((J*A)'*(J*A))
// Computed using octave.
// clang-format off
double expected_covariance[] = {
0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.034482 // NOLINT
};
// clang-format on
Covariance::Options options;
#ifndef CERES_NO_SUITESPARSE
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = SUITE_SPARSE;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
#endif
options.algorithm_type = DENSE_SVD;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = EIGEN_SPARSE;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
}
TEST_F(CovarianceTest, TruncatedRank) {
// J
//
// 1 0 0 0 0 0
// 0 1 0 0 0 0
// 0 0 2 0 0 0
// 0 0 0 2 0 0
// 0 0 0 0 2 0
// 0 0 0 0 0 5
// -5 -6 1 2 3 0
// 3 -2 0 0 0 2
// J'J
//
// 35 24 -5 -10 -15 6
// 24 41 -6 -12 -18 -4
// -5 -6 5 2 3 0
// -10 -12 2 8 6 0
// -15 -18 3 6 13 0
// 6 -4 0 0 0 29
// 3.4142 is the smallest eigenvalue of J'J. The following matrix
// was obtained by dropping the eigenvector corresponding to this
// eigenvalue.
// clang-format off
double expected_covariance[] = {
5.4135e-02, -3.5121e-02, 1.7257e-04, 3.4514e-04, 5.1771e-04, -1.6076e-02, // NOLINT
-3.5121e-02, 3.8667e-02, -1.9288e-03, -3.8576e-03, -5.7864e-03, 1.2549e-02, // NOLINT
1.7257e-04, -1.9288e-03, 2.3235e-01, -3.5297e-02, -5.2946e-02, -3.3329e-04, // NOLINT
3.4514e-04, -3.8576e-03, -3.5297e-02, 1.7941e-01, -1.0589e-01, -6.6659e-04, // NOLINT
5.1771e-04, -5.7864e-03, -5.2946e-02, -1.0589e-01, 9.1162e-02, -9.9988e-04, // NOLINT
-1.6076e-02, 1.2549e-02, -3.3329e-04, -6.6659e-04, -9.9988e-04, 3.9539e-02 // NOLINT
};
// clang-format on
{
Covariance::Options options;
options.algorithm_type = DENSE_SVD;
// Force dropping of the smallest eigenvector.
options.null_space_rank = 1;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
}
{
Covariance::Options options;
options.algorithm_type = DENSE_SVD;
// Force dropping of the smallest eigenvector via the ratio but
// automatic truncation.
options.min_reciprocal_condition_number = 0.044494;
options.null_space_rank = -1;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
}
}
TEST_F(CovarianceTest, DenseCovarianceMatrixFromSetOfParameters) {
Covariance::Options options;
Covariance covariance(options);
double* x = parameters_;
double* y = x + 2;
double* z = y + 3;
vector<const double*> parameter_blocks;
parameter_blocks.push_back(x);
parameter_blocks.push_back(y);
parameter_blocks.push_back(z);
covariance.Compute(parameter_blocks, &problem_);
double expected_covariance[36];
covariance.GetCovarianceMatrix(parameter_blocks, expected_covariance);
#ifndef CERES_NO_SUITESPARSE
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = SUITE_SPARSE;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
#endif
options.algorithm_type = DENSE_SVD;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = EIGEN_SPARSE;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
}
TEST_F(CovarianceTest, DenseCovarianceMatrixFromSetOfParametersThreaded) {
Covariance::Options options;
options.num_threads = 4;
Covariance covariance(options);
double* x = parameters_;
double* y = x + 2;
double* z = y + 3;
vector<const double*> parameter_blocks;
parameter_blocks.push_back(x);
parameter_blocks.push_back(y);
parameter_blocks.push_back(z);
covariance.Compute(parameter_blocks, &problem_);
double expected_covariance[36];
covariance.GetCovarianceMatrix(parameter_blocks, expected_covariance);
#ifndef CERES_NO_SUITESPARSE
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = SUITE_SPARSE;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
#endif
options.algorithm_type = DENSE_SVD;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = EIGEN_SPARSE;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
}
TEST_F(
CovarianceTest,
DenseCovarianceMatrixFromSetOfParametersInTangentSpaceUsingLocalParameterizations) {
Covariance::Options options;
Covariance covariance(options);
double* x = parameters_;
double* y = x + 2;
double* z = y + 3;
problem_.SetParameterization(x, new PolynomialParameterization);
vector<int> subset;
subset.push_back(2);
problem_.SetParameterization(y, new SubsetParameterization(3, subset));
local_column_bounds_[x] = make_pair(0, 1);
local_column_bounds_[y] = make_pair(1, 3);
local_column_bounds_[z] = make_pair(3, 4);
vector<const double*> parameter_blocks;
parameter_blocks.push_back(x);
parameter_blocks.push_back(y);
parameter_blocks.push_back(z);
covariance.Compute(parameter_blocks, &problem_);
double expected_covariance[16];
covariance.GetCovarianceMatrixInTangentSpace(parameter_blocks,
expected_covariance);
#ifndef CERES_NO_SUITESPARSE
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = SUITE_SPARSE;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
#endif
options.algorithm_type = DENSE_SVD;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = EIGEN_SPARSE;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
}
TEST_F(CovarianceTest, DenseCovarianceMatrixFromSetOfParametersInTangentSpace) {
Covariance::Options options;
Covariance covariance(options);
double* x = parameters_;
double* y = x + 2;
double* z = y + 3;
problem_.SetManifold(x, new PolynomialManifold);
vector<int> subset;
subset.push_back(2);
problem_.SetManifold(y, new SubsetManifold(3, subset));
local_column_bounds_[x] = make_pair(0, 1);
local_column_bounds_[y] = make_pair(1, 3);
local_column_bounds_[z] = make_pair(3, 4);
vector<const double*> parameter_blocks;
parameter_blocks.push_back(x);
parameter_blocks.push_back(y);
parameter_blocks.push_back(z);
covariance.Compute(parameter_blocks, &problem_);
double expected_covariance[16];
covariance.GetCovarianceMatrixInTangentSpace(parameter_blocks,
expected_covariance);
#ifndef CERES_NO_SUITESPARSE
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = SUITE_SPARSE;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
#endif
options.algorithm_type = DENSE_SVD;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
options.algorithm_type = SPARSE_QR;
options.sparse_linear_algebra_library_type = EIGEN_SPARSE;
ComputeAndCompareCovarianceBlocksInTangentSpace(options, expected_covariance);
}
TEST_F(CovarianceTest, ComputeCovarianceFailure) {
Covariance::Options options;
Covariance covariance(options);
double* x = parameters_;
double* y = x + 2;
vector<const double*> parameter_blocks;
parameter_blocks.push_back(x);
parameter_blocks.push_back(x);
parameter_blocks.push_back(y);
parameter_blocks.push_back(y);
EXPECT_DEATH_IF_SUPPORTED(covariance.Compute(parameter_blocks, &problem_),
"Covariance::Compute called with duplicate blocks "
"at indices \\(0, 1\\) and \\(2, 3\\)");
vector<pair<const double*, const double*>> covariance_blocks;
covariance_blocks.emplace_back(x, x);
covariance_blocks.emplace_back(x, x);
covariance_blocks.emplace_back(y, y);
covariance_blocks.emplace_back(y, y);
EXPECT_DEATH_IF_SUPPORTED(covariance.Compute(covariance_blocks, &problem_),
"Covariance::Compute called with duplicate blocks "
"at indices \\(0, 1\\) and \\(2, 3\\)");
}
class RankDeficientCovarianceTest : public CovarianceTest {
protected:
void SetUp() final {
double* x = parameters_;
double* y = x + 2;
double* z = y + 3;
{
double jacobian[] = {1.0, 0.0, 0.0, 1.0};
problem_.AddResidualBlock(
new UnaryCostFunction(2, 2, jacobian), nullptr, x);
}
{
double jacobian[] = {0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0};
problem_.AddResidualBlock(
new UnaryCostFunction(3, 3, jacobian), nullptr, y);
}
{
double jacobian = 5.0;
problem_.AddResidualBlock(
new UnaryCostFunction(1, 1, &jacobian), nullptr, z);
}
{
double jacobian1[] = {0.0, 0.0, 0.0};
double jacobian2[] = {-5.0, -6.0};
problem_.AddResidualBlock(
new BinaryCostFunction(1, 3, 2, jacobian1, jacobian2), nullptr, y, x);
}
{
double jacobian1[] = {2.0};
double jacobian2[] = {3.0, -2.0};
problem_.AddResidualBlock(
new BinaryCostFunction(1, 1, 2, jacobian1, jacobian2), nullptr, z, x);
}
all_covariance_blocks_.emplace_back(x, x);
all_covariance_blocks_.emplace_back(y, y);
all_covariance_blocks_.emplace_back(z, z);
all_covariance_blocks_.emplace_back(x, y);
all_covariance_blocks_.emplace_back(x, z);
all_covariance_blocks_.emplace_back(y, z);
column_bounds_[x] = make_pair(0, 2);
column_bounds_[y] = make_pair(2, 5);
column_bounds_[z] = make_pair(5, 6);
}
};
TEST_F(RankDeficientCovarianceTest, AutomaticTruncation) {
// J
//
// 1 0 0 0 0 0
// 0 1 0 0 0 0
// 0 0 0 0 0 0
// 0 0 0 0 0 0
// 0 0 0 0 0 0
// 0 0 0 0 0 5
// -5 -6 0 0 0 0
// 3 -2 0 0 0 2
// J'J
//
// 35 24 0 0 0 6
// 24 41 0 0 0 -4
// 0 0 0 0 0 0
// 0 0 0 0 0 0
// 0 0 0 0 0 0
// 6 -4 0 0 0 29
// pinv(J'J) computed using octave.
// clang-format off
double expected_covariance[] = {
0.053998, -0.033145, 0.000000, 0.000000, 0.000000, -0.015744,
-0.033145, 0.045067, 0.000000, 0.000000, 0.000000, 0.013074,
0.000000, 0.000000, 0.000000, 0.000000, 0.000000, 0.000000,
0.000000, 0.000000, 0.000000, 0.000000, 0.000000, 0.000000,
0.000000, 0.000000, 0.000000, 0.000000, 0.000000, 0.000000,
-0.015744, 0.013074, 0.000000, 0.000000, 0.000000, 0.039543
};
// clang-format on
Covariance::Options options;
options.algorithm_type = DENSE_SVD;
options.null_space_rank = -1;
ComputeAndCompareCovarianceBlocks(options, expected_covariance);
}
struct LinearCostFunction {
template <typename T>
bool operator()(const T* x, const T* y, T* residual) const {
residual[0] = T(10.0) - *x;
residual[1] = T(5.0) - *y;
return true;
}
static CostFunction* Create() {
return new AutoDiffCostFunction<LinearCostFunction, 2, 1, 1>(
new LinearCostFunction);
}
};
TEST(Covariance, ZeroSizedLocalParameterizationGetCovariance) {
double x = 0.0;
double y = 1.0;
Problem problem;
problem.AddResidualBlock(LinearCostFunction::Create(), nullptr, &x, &y);
problem.SetParameterization(&y, new SubsetParameterization(1, {0}));
// J = [-1 0]
// [ 0 0]
Covariance::Options options;
options.algorithm_type = DENSE_SVD;
Covariance covariance(options);
vector<pair<const double*, const double*>> covariance_blocks;
covariance_blocks.emplace_back(&x, &x);
covariance_blocks.emplace_back(&x, &y);
covariance_blocks.emplace_back(&y, &x);
covariance_blocks.emplace_back(&y, &y);
EXPECT_TRUE(covariance.Compute(covariance_blocks, &problem));
double value = -1;
covariance.GetCovarianceBlock(&x, &x, &value);
EXPECT_NEAR(value, 1.0, std::numeric_limits<double>::epsilon());
value = -1;
covariance.GetCovarianceBlock(&x, &y, &value);
EXPECT_NEAR(value, 0.0, std::numeric_limits<double>::epsilon());
value = -1;
covariance.GetCovarianceBlock(&y, &x, &value);
EXPECT_NEAR(value, 0.0, std::numeric_limits<double>::epsilon());
value = -1;
covariance.GetCovarianceBlock(&y, &y, &value);
EXPECT_NEAR(value, 0.0, std::numeric_limits<double>::epsilon());
}
TEST(Covariance, ZeroSizedLocalParameterizationGetCovarianceInTangentSpace) {
double x = 0.0;
double y = 1.0;
Problem problem;
problem.AddResidualBlock(LinearCostFunction::Create(), nullptr, &x, &y);
problem.SetParameterization(&y, new SubsetParameterization(1, {0}));
// J = [-1 0]
// [ 0 0]
Covariance::Options options;
options.algorithm_type = DENSE_SVD;
Covariance covariance(options);
vector<pair<const double*, const double*>> covariance_blocks;
covariance_blocks.emplace_back(&x, &x);
covariance_blocks.emplace_back(&x, &y);
covariance_blocks.emplace_back(&y, &x);
covariance_blocks.emplace_back(&y, &y);
EXPECT_TRUE(covariance.Compute(covariance_blocks, &problem));
double value = -1;
covariance.GetCovarianceBlockInTangentSpace(&x, &x, &value);
EXPECT_NEAR(value, 1.0, std::numeric_limits<double>::epsilon());
value = -1;
// The following three calls, should not touch this value, since the
// tangent space is of size zero
covariance.GetCovarianceBlockInTangentSpace(&x, &y, &value);
EXPECT_EQ(value, -1);
covariance.GetCovarianceBlockInTangentSpace(&y, &x, &value);
EXPECT_EQ(value, -1);
covariance.GetCovarianceBlockInTangentSpace(&y, &y, &value);
EXPECT_EQ(value, -1);
}
TEST(Covariance, ZeroSizedManifoldGetCovariance) {
double x = 0.0;
double y = 1.0;
Problem problem;
problem.AddResidualBlock(LinearCostFunction::Create(), nullptr, &x, &y);
problem.SetManifold(&y, new SubsetManifold(1, {0}));
// J = [-1 0]
// [ 0 0]
Covariance::Options options;
options.algorithm_type = DENSE_SVD;
Covariance covariance(options);
vector<pair<const double*, const double*>> covariance_blocks;
covariance_blocks.emplace_back(&x, &x);
covariance_blocks.emplace_back(&x, &y);
covariance_blocks.emplace_back(&y, &x);
covariance_blocks.emplace_back(&y, &y);
EXPECT_TRUE(covariance.Compute(covariance_blocks, &problem));
double value = -1;
covariance.GetCovarianceBlock(&x, &x, &value);
EXPECT_NEAR(value, 1.0, std::numeric_limits<double>::epsilon());
value = -1;
covariance.GetCovarianceBlock(&x, &y, &value);
EXPECT_NEAR(value, 0.0, std::numeric_limits<double>::epsilon());
value = -1;
covariance.GetCovarianceBlock(&y, &x, &value);
EXPECT_NEAR(value, 0.0, std::numeric_limits<double>::epsilon());
value = -1;
covariance.GetCovarianceBlock(&y, &y, &value);
EXPECT_NEAR(value, 0.0, std::numeric_limits<double>::epsilon());
}
TEST(Covariance, ZeroSizedManifoldGetCovarianceInTangentSpace) {
double x = 0.0;
double y = 1.0;
Problem problem;
problem.AddResidualBlock(LinearCostFunction::Create(), nullptr, &x, &y);
problem.SetManifold(&y, new SubsetManifold(1, {0}));
// J = [-1 0]
// [ 0 0]
Covariance::Options options;
options.algorithm_type = DENSE_SVD;
Covariance covariance(options);
vector<pair<const double*, const double*>> covariance_blocks;
covariance_blocks.emplace_back(&x, &x);
covariance_blocks.emplace_back(&x, &y);
covariance_blocks.emplace_back(&y, &x);
covariance_blocks.emplace_back(&y, &y);
EXPECT_TRUE(covariance.Compute(covariance_blocks, &problem));
double value = -1;
covariance.GetCovarianceBlockInTangentSpace(&x, &x, &value);
EXPECT_NEAR(value, 1.0, std::numeric_limits<double>::epsilon());
value = -1;
// The following three calls, should not touch this value, since the
// tangent space is of size zero
covariance.GetCovarianceBlockInTangentSpace(&x, &y, &value);
EXPECT_EQ(value, -1);
covariance.GetCovarianceBlockInTangentSpace(&y, &x, &value);
EXPECT_EQ(value, -1);
covariance.GetCovarianceBlockInTangentSpace(&y, &y, &value);
EXPECT_EQ(value, -1);
}
class LargeScaleCovarianceTest : public ::testing::Test {
protected:
void SetUp() final {
num_parameter_blocks_ = 2000;
parameter_block_size_ = 5;
parameters_ = std::make_unique<double[]>(parameter_block_size_ *
num_parameter_blocks_);
Matrix jacobian(parameter_block_size_, parameter_block_size_);
for (int i = 0; i < num_parameter_blocks_; ++i) {
jacobian.setIdentity();
jacobian *= (i + 1);
double* block_i = parameters_.get() + i * parameter_block_size_;
problem_.AddResidualBlock(
new UnaryCostFunction(
parameter_block_size_, parameter_block_size_, jacobian.data()),
nullptr,
block_i);
for (int j = i; j < num_parameter_blocks_; ++j) {
double* block_j = parameters_.get() + j * parameter_block_size_;
all_covariance_blocks_.emplace_back(block_i, block_j);
}
}
}
void ComputeAndCompare(
CovarianceAlgorithmType algorithm_type,
SparseLinearAlgebraLibraryType sparse_linear_algebra_library_type,
int num_threads) {
Covariance::Options options;
options.algorithm_type = algorithm_type;
options.sparse_linear_algebra_library_type =
sparse_linear_algebra_library_type;
options.num_threads = num_threads;
Covariance covariance(options);
EXPECT_TRUE(covariance.Compute(all_covariance_blocks_, &problem_));
Matrix expected(parameter_block_size_, parameter_block_size_);
Matrix actual(parameter_block_size_, parameter_block_size_);
const double kTolerance = 1e-16;
for (int i = 0; i < num_parameter_blocks_; ++i) {
expected.setIdentity();
expected /= (i + 1.0) * (i + 1.0);
double* block_i = parameters_.get() + i * parameter_block_size_;
covariance.GetCovarianceBlock(block_i, block_i, actual.data());
EXPECT_NEAR((expected - actual).norm(), 0.0, kTolerance)
<< "block: " << i << ", " << i << "\n"
<< "expected: \n"
<< expected << "\n"
<< "actual: \n"
<< actual;
expected.setZero();
for (int j = i + 1; j < num_parameter_blocks_; ++j) {
double* block_j = parameters_.get() + j * parameter_block_size_;
covariance.GetCovarianceBlock(block_i, block_j, actual.data());
EXPECT_NEAR((expected - actual).norm(), 0.0, kTolerance)
<< "block: " << i << ", " << j << "\n"
<< "expected: \n"
<< expected << "\n"
<< "actual: \n"
<< actual;
}
}
}
std::unique_ptr<double[]> parameters_;
int parameter_block_size_;
int num_parameter_blocks_;
Problem problem_;
vector<pair<const double*, const double*>> all_covariance_blocks_;
};
#if !defined(CERES_NO_SUITESPARSE) && defined(CERES_USE_OPENMP)
TEST_F(LargeScaleCovarianceTest, Parallel) {
ComputeAndCompare(SPARSE_QR, SUITE_SPARSE, 4);
}
#endif // !defined(CERES_NO_SUITESPARSE) && defined(CERES_USE_OPENMP)
} // namespace internal
} // namespace ceres