Add a general sparse iterative solver: CGNR
This adds a new LinearOperator which implements symmetric
products of a matrix, and a new CGNR solver to leverage
CG to directly solve the normal equations. This also
includes a block diagonal preconditioner. In experiments
on problem-16, the non-preconditioned version is about
1/5 the speed of SPARSE_SCHUR, and the preconditioned
version using block cholesky is about 20% slower than
SPARSE_SCHUR.
diff --git a/internal/ceres/cgnr_solver.h b/internal/ceres/cgnr_solver.h
new file mode 100644
index 0000000..db49b07
--- /dev/null
+++ b/internal/ceres/cgnr_solver.h
@@ -0,0 +1,66 @@
+// 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: keir@google.com (Keir Mierle)
+
+#ifndef CERES_INTERNAL_CGNR_SOLVER_H_
+#define CERES_INTERNAL_CGNR_SOLVER_H_
+
+#include "ceres/internal/scoped_ptr.h"
+#include "ceres/linear_solver.h"
+
+namespace ceres {
+namespace internal {
+
+class BlockDiagonalPreconditioner;
+
+// A conjugate gradients on the normal equations solver. This directly solves
+// for the solution to
+//
+// (A^T A + D^T D)x = A^T b
+//
+// as required for solving for x in the least squares sense. Currently only
+// block diagonal preconditioning is supported.
+class CgnrSolver : public LinearSolver {
+ public:
+ explicit CgnrSolver(const LinearSolver::Options& options);
+ virtual Summary Solve(LinearOperator* A,
+ const double* b,
+ const LinearSolver::PerSolveOptions& per_solve_options,
+ double* x);
+
+ private:
+ const LinearSolver::Options options_;
+ scoped_ptr<BlockDiagonalPreconditioner> jacobi_preconditioner_;
+ DISALLOW_COPY_AND_ASSIGN(CgnrSolver);
+};
+
+} // namespace internal
+} // namespace ceres
+
+#endif // CERES_INTERNAL_CGNR_SOLVER_H_
