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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_impl.h"
#if defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS)
#include "ceres/parallel_for.h"
#endif
#include <algorithm>
#include <cstdlib>
#include <numeric>
#include <sstream>
#include <utility>
#include <vector>
#include "Eigen/SparseCore"
#include "Eigen/SparseQR"
#include "Eigen/SVD"
#include "ceres/collections_port.h"
#include "ceres/compressed_col_sparse_matrix_utils.h"
#include "ceres/compressed_row_sparse_matrix.h"
#include "ceres/covariance.h"
#include "ceres/crs_matrix.h"
#include "ceres/internal/eigen.h"
#include "ceres/map_util.h"
#include "ceres/parallel_utils.h"
#include "ceres/parameter_block.h"
#include "ceres/problem_impl.h"
#include "ceres/residual_block.h"
#include "ceres/scoped_thread_token.h"
#include "ceres/suitesparse.h"
#include "ceres/thread_token_provider.h"
#include "ceres/wall_time.h"
#include "glog/logging.h"
namespace ceres {
namespace internal {
using std::make_pair;
using std::map;
using std::pair;
using std::sort;
using std::swap;
using std::vector;
typedef vector<pair<const double*, const double*> > CovarianceBlocks;
CovarianceImpl::CovarianceImpl(const Covariance::Options& options)
: options_(options),
is_computed_(false),
is_valid_(false) {
#ifdef CERES_NO_THREADS
if (options_.num_threads > 1) {
LOG(WARNING)
<< "Neither OpenMP nor TBB support is compiled into this binary; "
<< "only options.num_threads = 1 is supported. Switching "
<< "to single threaded mode.";
options_.num_threads = 1;
}
#endif
evaluate_options_.num_threads = options_.num_threads;
evaluate_options_.apply_loss_function = options_.apply_loss_function;
}
CovarianceImpl::~CovarianceImpl() {
}
template <typename T> void CheckForDuplicates(vector<T> blocks) {
sort(blocks.begin(), blocks.end());
typename vector<T>::iterator it =
std::adjacent_find(blocks.begin(), blocks.end());
if (it != blocks.end()) {
// In case there are duplicates, we search for their location.
map<T, vector<int> > blocks_map;
for (int i = 0; i < blocks.size(); ++i) {
blocks_map[blocks[i]].push_back(i);
}
std::ostringstream duplicates;
while (it != blocks.end()) {
duplicates << "(";
for (int i = 0; i < blocks_map[*it].size() - 1; ++i) {
duplicates << blocks_map[*it][i] << ", ";
}
duplicates << blocks_map[*it].back() << ")";
it = std::adjacent_find(it + 1, blocks.end());
if (it < blocks.end()) {
duplicates << " and ";
}
}
LOG(FATAL) << "Covariance::Compute called with duplicate blocks at "
<< "indices " << duplicates.str();
}
}
bool CovarianceImpl::Compute(const CovarianceBlocks& covariance_blocks,
ProblemImpl* problem) {
CheckForDuplicates<pair<const double*, const double*> >(covariance_blocks);
problem_ = problem;
parameter_block_to_row_index_.clear();
covariance_matrix_.reset(NULL);
is_valid_ = (ComputeCovarianceSparsity(covariance_blocks, problem) &&
ComputeCovarianceValues());
is_computed_ = true;
return is_valid_;
}
bool CovarianceImpl::Compute(const vector<const double*>& parameter_blocks,
ProblemImpl* problem) {
CheckForDuplicates<const double*>(parameter_blocks);
CovarianceBlocks covariance_blocks;
for (int i = 0; i < parameter_blocks.size(); ++i) {
for (int j = i; j < parameter_blocks.size(); ++j) {
covariance_blocks.push_back(make_pair(parameter_blocks[i],
parameter_blocks[j]));
}
}
return Compute(covariance_blocks, problem);
}
bool CovarianceImpl::GetCovarianceBlockInTangentOrAmbientSpace(
const double* original_parameter_block1,
const double* original_parameter_block2,
bool lift_covariance_to_ambient_space,
double* covariance_block) const {
CHECK(is_computed_)
<< "Covariance::GetCovarianceBlock called before Covariance::Compute";
CHECK(is_valid_)
<< "Covariance::GetCovarianceBlock called when Covariance::Compute "
<< "returned false.";
// If either of the two parameter blocks is constant, then the
// covariance block is also zero.
if (constant_parameter_blocks_.count(original_parameter_block1) > 0 ||
constant_parameter_blocks_.count(original_parameter_block2) > 0) {
const ProblemImpl::ParameterMap& parameter_map = problem_->parameter_map();
ParameterBlock* block1 =
FindOrDie(parameter_map,
const_cast<double*>(original_parameter_block1));
ParameterBlock* block2 =
FindOrDie(parameter_map,
const_cast<double*>(original_parameter_block2));
const int block1_size = block1->Size();
const int block2_size = block2->Size();
const int block1_local_size = block1->LocalSize();
const int block2_local_size = block2->LocalSize();
if (!lift_covariance_to_ambient_space) {
MatrixRef(covariance_block, block1_local_size, block2_local_size)
.setZero();
} else {
MatrixRef(covariance_block, block1_size, block2_size).setZero();
}
return true;
}
const double* parameter_block1 = original_parameter_block1;
const double* parameter_block2 = original_parameter_block2;
const bool transpose = parameter_block1 > parameter_block2;
if (transpose) {
swap(parameter_block1, parameter_block2);
}
// Find where in the covariance matrix the block is located.
const int row_begin =
FindOrDie(parameter_block_to_row_index_, parameter_block1);
const int col_begin =
FindOrDie(parameter_block_to_row_index_, parameter_block2);
const int* rows = covariance_matrix_->rows();
const int* cols = covariance_matrix_->cols();
const int row_size = rows[row_begin + 1] - rows[row_begin];
const int* cols_begin = cols + rows[row_begin];
// The only part that requires work is walking the compressed column
// vector to determine where the set of columns correspnding to the
// covariance block begin.
int offset = 0;
while (cols_begin[offset] != col_begin && offset < row_size) {
++offset;
}
if (offset == row_size) {
LOG(ERROR) << "Unable to find covariance block for "
<< original_parameter_block1 << " "
<< original_parameter_block2;
return false;
}
const ProblemImpl::ParameterMap& parameter_map = problem_->parameter_map();
ParameterBlock* block1 =
FindOrDie(parameter_map, const_cast<double*>(parameter_block1));
ParameterBlock* block2 =
FindOrDie(parameter_map, const_cast<double*>(parameter_block2));
const LocalParameterization* local_param1 = block1->local_parameterization();
const LocalParameterization* local_param2 = block2->local_parameterization();
const int block1_size = block1->Size();
const int block1_local_size = block1->LocalSize();
const int block2_size = block2->Size();
const int block2_local_size = block2->LocalSize();
ConstMatrixRef cov(covariance_matrix_->values() + rows[row_begin],
block1_size,
row_size);
// Fast path when there are no local parameterizations or if the
// user does not want it lifted to the ambient space.
if ((local_param1 == NULL && local_param2 == NULL) ||
!lift_covariance_to_ambient_space) {
if (transpose) {
MatrixRef(covariance_block, block2_local_size, block1_local_size) =
cov.block(0, offset, block1_local_size,
block2_local_size).transpose();
} else {
MatrixRef(covariance_block, block1_local_size, block2_local_size) =
cov.block(0, offset, block1_local_size, block2_local_size);
}
return true;
}
// If local parameterizations are used then the covariance that has
// been computed is in the tangent space and it needs to be lifted
// back to the ambient space.
//
// This is given by the formula
//
// C'_12 = J_1 C_12 J_2'
//
// Where C_12 is the local tangent space covariance for parameter
// blocks 1 and 2. J_1 and J_2 are respectively the local to global
// jacobians for parameter blocks 1 and 2.
//
// See Result 5.11 on page 142 of Hartley & Zisserman (2nd Edition)
// for a proof.
//
// TODO(sameeragarwal): Add caching of local parameterization, so
// that they are computed just once per parameter block.
Matrix block1_jacobian(block1_size, block1_local_size);
if (local_param1 == NULL) {
block1_jacobian.setIdentity();
} else {
local_param1->ComputeJacobian(parameter_block1, block1_jacobian.data());
}
Matrix block2_jacobian(block2_size, block2_local_size);
// Fast path if the user is requesting a diagonal block.
if (parameter_block1 == parameter_block2) {
block2_jacobian = block1_jacobian;
} else {
if (local_param2 == NULL) {
block2_jacobian.setIdentity();
} else {
local_param2->ComputeJacobian(parameter_block2, block2_jacobian.data());
}
}
if (transpose) {
MatrixRef(covariance_block, block2_size, block1_size) =
block2_jacobian *
cov.block(0, offset, block1_local_size, block2_local_size).transpose() *
block1_jacobian.transpose();
} else {
MatrixRef(covariance_block, block1_size, block2_size) =
block1_jacobian *
cov.block(0, offset, block1_local_size, block2_local_size) *
block2_jacobian.transpose();
}
return true;
}
bool CovarianceImpl::GetCovarianceMatrixInTangentOrAmbientSpace(
const vector<const double*>& parameters,
bool lift_covariance_to_ambient_space,
double* covariance_matrix) const {
CHECK(is_computed_)
<< "Covariance::GetCovarianceMatrix called before Covariance::Compute";
CHECK(is_valid_)
<< "Covariance::GetCovarianceMatrix called when Covariance::Compute "
<< "returned false.";
const ProblemImpl::ParameterMap& parameter_map = problem_->parameter_map();
// For OpenMP compatibility we need to define these vectors in advance
const int num_parameters = parameters.size();
vector<int> parameter_sizes;
vector<int> cum_parameter_size;
parameter_sizes.reserve(num_parameters);
cum_parameter_size.resize(num_parameters + 1);
cum_parameter_size[0] = 0;
for (int i = 0; i < num_parameters; ++i) {
ParameterBlock* block =
FindOrDie(parameter_map, const_cast<double*>(parameters[i]));
if (lift_covariance_to_ambient_space) {
parameter_sizes.push_back(block->Size());
} else {
parameter_sizes.push_back(block->LocalSize());
}
}
std::partial_sum(parameter_sizes.begin(), parameter_sizes.end(),
cum_parameter_size.begin() + 1);
const int max_covariance_block_size =
*std::max_element(parameter_sizes.begin(), parameter_sizes.end());
const int covariance_size = cum_parameter_size.back();
// Assemble the blocks in the covariance matrix.
MatrixRef covariance(covariance_matrix, covariance_size, covariance_size);
const int num_threads = options_.num_threads;
scoped_array<double> workspace(
new double[num_threads * max_covariance_block_size *
max_covariance_block_size]);
bool success = true;
#if !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
ThreadTokenProvider thread_token_provider(num_threads);
#endif // !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
// Technically the following code is a double nested loop where
// i = 1:n, j = i:n.
int iteration_count = (num_parameters * (num_parameters + 1)) / 2;
#if defined(CERES_USE_OPENMP)
# pragma omp parallel for num_threads(num_threads) schedule(dynamic)
#endif // CERES_USE_OPENMP
#if !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
for (int k = 0; k < iteration_count; ++k) {
#else
problem_->context()->EnsureMinimumThreads(num_threads);
ParallelFor(problem_->context(),
0,
iteration_count,
num_threads,
[&](int thread_id, int k) {
#endif // !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
int i, j;
LinearIndexToUpperTriangularIndex(k, num_parameters, &i, &j);
int covariance_row_idx = cum_parameter_size[i];
int covariance_col_idx = cum_parameter_size[j];
int size_i = parameter_sizes[i];
int size_j = parameter_sizes[j];
#if !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
const ScopedThreadToken scoped_thread_token(&thread_token_provider);
const int thread_id = scoped_thread_token.token();
#endif // !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
double* covariance_block =
workspace.get() +
thread_id * max_covariance_block_size * max_covariance_block_size;
if (!GetCovarianceBlockInTangentOrAmbientSpace(
parameters[i], parameters[j], lift_covariance_to_ambient_space,
covariance_block)) {
success = false;
}
covariance.block(covariance_row_idx, covariance_col_idx,
size_i, size_j) =
MatrixRef(covariance_block, size_i, size_j);
if (i != j) {
covariance.block(covariance_col_idx, covariance_row_idx,
size_j, size_i) =
MatrixRef(covariance_block, size_i, size_j).transpose();
}
}
#if defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS)
);
#endif // defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS)
return success;
}
// Determine the sparsity pattern of the covariance matrix based on
// the block pairs requested by the user.
bool CovarianceImpl::ComputeCovarianceSparsity(
const CovarianceBlocks& original_covariance_blocks,
ProblemImpl* problem) {
EventLogger event_logger("CovarianceImpl::ComputeCovarianceSparsity");
// Determine an ordering for the parameter block, by sorting the
// parameter blocks by their pointers.
vector<double*> all_parameter_blocks;
problem->GetParameterBlocks(&all_parameter_blocks);
const ProblemImpl::ParameterMap& parameter_map = problem->parameter_map();
HashSet<ParameterBlock*> parameter_blocks_in_use;
vector<ResidualBlock*> residual_blocks;
problem->GetResidualBlocks(&residual_blocks);
for (int i = 0; i < residual_blocks.size(); ++i) {
ResidualBlock* residual_block = residual_blocks[i];
parameter_blocks_in_use.insert(residual_block->parameter_blocks(),
residual_block->parameter_blocks() +
residual_block->NumParameterBlocks());
}
constant_parameter_blocks_.clear();
vector<double*>& active_parameter_blocks =
evaluate_options_.parameter_blocks;
active_parameter_blocks.clear();
for (int i = 0; i < all_parameter_blocks.size(); ++i) {
double* parameter_block = all_parameter_blocks[i];
ParameterBlock* block = FindOrDie(parameter_map, parameter_block);
if (!block->IsConstant() && (parameter_blocks_in_use.count(block) > 0)) {
active_parameter_blocks.push_back(parameter_block);
} else {
constant_parameter_blocks_.insert(parameter_block);
}
}
std::sort(active_parameter_blocks.begin(), active_parameter_blocks.end());
// Compute the number of rows. Map each parameter block to the
// first row corresponding to it in the covariance matrix using the
// ordering of parameter blocks just constructed.
int num_rows = 0;
parameter_block_to_row_index_.clear();
for (int i = 0; i < active_parameter_blocks.size(); ++i) {
double* parameter_block = active_parameter_blocks[i];
const int parameter_block_size =
problem->ParameterBlockLocalSize(parameter_block);
parameter_block_to_row_index_[parameter_block] = num_rows;
num_rows += parameter_block_size;
}
// Compute the number of non-zeros in the covariance matrix. Along
// the way flip any covariance blocks which are in the lower
// triangular part of the matrix.
int num_nonzeros = 0;
CovarianceBlocks covariance_blocks;
for (int i = 0; i < original_covariance_blocks.size(); ++i) {
const pair<const double*, const double*>& block_pair =
original_covariance_blocks[i];
if (constant_parameter_blocks_.count(block_pair.first) > 0 ||
constant_parameter_blocks_.count(block_pair.second) > 0) {
continue;
}
int index1 = FindOrDie(parameter_block_to_row_index_, block_pair.first);
int index2 = FindOrDie(parameter_block_to_row_index_, block_pair.second);
const int size1 = problem->ParameterBlockLocalSize(block_pair.first);
const int size2 = problem->ParameterBlockLocalSize(block_pair.second);
num_nonzeros += size1 * size2;
// Make sure we are constructing a block upper triangular matrix.
if (index1 > index2) {
covariance_blocks.push_back(make_pair(block_pair.second,
block_pair.first));
} else {
covariance_blocks.push_back(block_pair);
}
}
if (covariance_blocks.size() == 0) {
VLOG(2) << "No non-zero covariance blocks found";
covariance_matrix_.reset(NULL);
return true;
}
// Sort the block pairs. As a consequence we get the covariance
// blocks as they will occur in the CompressedRowSparseMatrix that
// will store the covariance.
sort(covariance_blocks.begin(), covariance_blocks.end());
// Fill the sparsity pattern of the covariance matrix.
covariance_matrix_.reset(
new CompressedRowSparseMatrix(num_rows, num_rows, num_nonzeros));
int* rows = covariance_matrix_->mutable_rows();
int* cols = covariance_matrix_->mutable_cols();
// Iterate over parameter blocks and in turn over the rows of the
// covariance matrix. For each parameter block, look in the upper
// triangular part of the covariance matrix to see if there are any
// blocks requested by the user. If this is the case then fill out a
// set of compressed rows corresponding to this parameter block.
//
// The key thing that makes this loop work is the fact that the
// row/columns of the covariance matrix are ordered by the pointer
// values of the parameter blocks. Thus iterating over the keys of
// parameter_block_to_row_index_ corresponds to iterating over the
// rows of the covariance matrix in order.
int i = 0; // index into covariance_blocks.
int cursor = 0; // index into the covariance matrix.
for (map<const double*, int>::const_iterator it =
parameter_block_to_row_index_.begin();
it != parameter_block_to_row_index_.end();
++it) {
const double* row_block = it->first;
const int row_block_size = problem->ParameterBlockLocalSize(row_block);
int row_begin = it->second;
// Iterate over the covariance blocks contained in this row block
// and count the number of columns in this row block.
int num_col_blocks = 0;
int num_columns = 0;
for (int j = i; j < covariance_blocks.size(); ++j, ++num_col_blocks) {
const pair<const double*, const double*>& block_pair =
covariance_blocks[j];
if (block_pair.first != row_block) {
break;
}
num_columns += problem->ParameterBlockLocalSize(block_pair.second);
}
// Fill out all the compressed rows for this parameter block.
for (int r = 0; r < row_block_size; ++r) {
rows[row_begin + r] = cursor;
for (int c = 0; c < num_col_blocks; ++c) {
const double* col_block = covariance_blocks[i + c].second;
const int col_block_size = problem->ParameterBlockLocalSize(col_block);
int col_begin = FindOrDie(parameter_block_to_row_index_, col_block);
for (int k = 0; k < col_block_size; ++k) {
cols[cursor++] = col_begin++;
}
}
}
i+= num_col_blocks;
}
rows[num_rows] = cursor;
return true;
}
bool CovarianceImpl::ComputeCovarianceValues() {
if (options_.algorithm_type == DENSE_SVD) {
return ComputeCovarianceValuesUsingDenseSVD();
}
if (options_.algorithm_type == SPARSE_QR) {
if (options_.sparse_linear_algebra_library_type == EIGEN_SPARSE) {
return ComputeCovarianceValuesUsingEigenSparseQR();
}
if (options_.sparse_linear_algebra_library_type == SUITE_SPARSE) {
#if !defined(CERES_NO_SUITESPARSE)
return ComputeCovarianceValuesUsingSuiteSparseQR();
#else
LOG(ERROR) << "SuiteSparse is required to use the SPARSE_QR algorithm "
<< "with "
<< "Covariance::Options::sparse_linear_algebra_library_type "
<< "= SUITE_SPARSE.";
return false;
#endif
}
LOG(ERROR) << "Unsupported "
<< "Covariance::Options::sparse_linear_algebra_library_type "
<< "= "
<< SparseLinearAlgebraLibraryTypeToString(
options_.sparse_linear_algebra_library_type);
return false;
}
LOG(ERROR) << "Unsupported Covariance::Options::algorithm_type = "
<< CovarianceAlgorithmTypeToString(options_.algorithm_type);
return false;
}
bool CovarianceImpl::ComputeCovarianceValuesUsingSuiteSparseQR() {
EventLogger event_logger(
"CovarianceImpl::ComputeCovarianceValuesUsingSparseQR");
#ifndef CERES_NO_SUITESPARSE
if (covariance_matrix_.get() == NULL) {
// Nothing to do, all zeros covariance matrix.
return true;
}
CRSMatrix jacobian;
problem_->Evaluate(evaluate_options_, NULL, NULL, NULL, &jacobian);
event_logger.AddEvent("Evaluate");
// Construct a compressed column form of the Jacobian.
const int num_rows = jacobian.num_rows;
const int num_cols = jacobian.num_cols;
const int num_nonzeros = jacobian.values.size();
vector<SuiteSparse_long> transpose_rows(num_cols + 1, 0);
vector<SuiteSparse_long> transpose_cols(num_nonzeros, 0);
vector<double> transpose_values(num_nonzeros, 0);
for (int idx = 0; idx < num_nonzeros; ++idx) {
transpose_rows[jacobian.cols[idx] + 1] += 1;
}
for (int i = 1; i < transpose_rows.size(); ++i) {
transpose_rows[i] += transpose_rows[i - 1];
}
for (int r = 0; r < num_rows; ++r) {
for (int idx = jacobian.rows[r]; idx < jacobian.rows[r + 1]; ++idx) {
const int c = jacobian.cols[idx];
const int transpose_idx = transpose_rows[c];
transpose_cols[transpose_idx] = r;
transpose_values[transpose_idx] = jacobian.values[idx];
++transpose_rows[c];
}
}
for (int i = transpose_rows.size() - 1; i > 0 ; --i) {
transpose_rows[i] = transpose_rows[i - 1];
}
transpose_rows[0] = 0;
cholmod_sparse cholmod_jacobian;
cholmod_jacobian.nrow = num_rows;
cholmod_jacobian.ncol = num_cols;
cholmod_jacobian.nzmax = num_nonzeros;
cholmod_jacobian.nz = NULL;
cholmod_jacobian.p = reinterpret_cast<void*>(&transpose_rows[0]);
cholmod_jacobian.i = reinterpret_cast<void*>(&transpose_cols[0]);
cholmod_jacobian.x = reinterpret_cast<void*>(&transpose_values[0]);
cholmod_jacobian.z = NULL;
cholmod_jacobian.stype = 0; // Matrix is not symmetric.
cholmod_jacobian.itype = CHOLMOD_LONG;
cholmod_jacobian.xtype = CHOLMOD_REAL;
cholmod_jacobian.dtype = CHOLMOD_DOUBLE;
cholmod_jacobian.sorted = 1;
cholmod_jacobian.packed = 1;
cholmod_common cc;
cholmod_l_start(&cc);
cholmod_sparse* R = NULL;
SuiteSparse_long* permutation = NULL;
// Compute a Q-less QR factorization of the Jacobian. Since we are
// only interested in inverting J'J = R'R, we do not need Q. This
// saves memory and gives us R as a permuted compressed column
// sparse matrix.
//
// TODO(sameeragarwal): Currently the symbolic factorization and the
// numeric factorization is done at the same time, and this does not
// explicitly account for the block column and row structure in the
// matrix. When using AMD, we have observed in the past that
// computing the ordering with the block matrix is significantly
// more efficient, both in runtime as well as the quality of
// ordering computed. So, it maybe worth doing that analysis
// separately.
const SuiteSparse_long rank =
SuiteSparseQR<double>(SPQR_ORDERING_BESTAMD,
SPQR_DEFAULT_TOL,
cholmod_jacobian.ncol,
&cholmod_jacobian,
&R,
&permutation,
&cc);
event_logger.AddEvent("Numeric Factorization");
CHECK_NOTNULL(permutation);
CHECK_NOTNULL(R);
if (rank < cholmod_jacobian.ncol) {
LOG(ERROR) << "Jacobian matrix is rank deficient. "
<< "Number of columns: " << cholmod_jacobian.ncol
<< " rank: " << rank;
free(permutation);
cholmod_l_free_sparse(&R, &cc);
cholmod_l_finish(&cc);
return false;
}
vector<int> inverse_permutation(num_cols);
for (SuiteSparse_long i = 0; i < num_cols; ++i) {
inverse_permutation[permutation[i]] = i;
}
const int* rows = covariance_matrix_->rows();
const int* cols = covariance_matrix_->cols();
double* values = covariance_matrix_->mutable_values();
// The following loop exploits the fact that the i^th column of A^{-1}
// is given by the solution to the linear system
//
// A x = e_i
//
// where e_i is a vector with e(i) = 1 and all other entries zero.
//
// Since the covariance matrix is symmetric, the i^th row and column
// are equal.
const int num_threads = options_.num_threads;
scoped_array<double> workspace(new double[num_threads * num_cols]);
#if !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
ThreadTokenProvider thread_token_provider(num_threads);
#endif // !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
#ifdef CERES_USE_OPENMP
#pragma omp parallel for num_threads(num_threads) schedule(dynamic)
#endif // CERES_USE_OPENMP
#if !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
for (int r = 0; r < num_cols; ++r) {
#else
problem_->context()->EnsureMinimumThreads(num_threads);
ParallelFor(problem_->context(),
0,
num_cols,
num_threads,
[&](int thread_id, int r) {
#endif // !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
const int row_begin = rows[r];
const int row_end = rows[r + 1];
if (row_end != row_begin) {
#if !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
const ScopedThreadToken scoped_thread_token(&thread_token_provider);
const int thread_id = scoped_thread_token.token();
#endif // !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
double* solution = workspace.get() + thread_id * num_cols;
SolveRTRWithSparseRHS<SuiteSparse_long>(
num_cols,
static_cast<SuiteSparse_long*>(R->i),
static_cast<SuiteSparse_long*>(R->p),
static_cast<double*>(R->x),
inverse_permutation[r],
solution);
for (int idx = row_begin; idx < row_end; ++idx) {
const int c = cols[idx];
values[idx] = solution[inverse_permutation[c]];
}
}
}
#if defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS)
);
#endif // defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS)
free(permutation);
cholmod_l_free_sparse(&R, &cc);
cholmod_l_finish(&cc);
event_logger.AddEvent("Inversion");
return true;
#else // CERES_NO_SUITESPARSE
return false;
#endif // CERES_NO_SUITESPARSE
}
bool CovarianceImpl::ComputeCovarianceValuesUsingDenseSVD() {
EventLogger event_logger(
"CovarianceImpl::ComputeCovarianceValuesUsingDenseSVD");
if (covariance_matrix_.get() == NULL) {
// Nothing to do, all zeros covariance matrix.
return true;
}
CRSMatrix jacobian;
problem_->Evaluate(evaluate_options_, NULL, NULL, NULL, &jacobian);
event_logger.AddEvent("Evaluate");
Matrix dense_jacobian(jacobian.num_rows, jacobian.num_cols);
dense_jacobian.setZero();
for (int r = 0; r < jacobian.num_rows; ++r) {
for (int idx = jacobian.rows[r]; idx < jacobian.rows[r + 1]; ++idx) {
const int c = jacobian.cols[idx];
dense_jacobian(r, c) = jacobian.values[idx];
}
}
event_logger.AddEvent("ConvertToDenseMatrix");
Eigen::JacobiSVD<Matrix> svd(dense_jacobian,
Eigen::ComputeThinU | Eigen::ComputeThinV);
event_logger.AddEvent("SingularValueDecomposition");
const Vector singular_values = svd.singularValues();
const int num_singular_values = singular_values.rows();
Vector inverse_squared_singular_values(num_singular_values);
inverse_squared_singular_values.setZero();
const double max_singular_value = singular_values[0];
const double min_singular_value_ratio =
sqrt(options_.min_reciprocal_condition_number);
const bool automatic_truncation = (options_.null_space_rank < 0);
const int max_rank = std::min(num_singular_values,
num_singular_values - options_.null_space_rank);
// Compute the squared inverse of the singular values. Truncate the
// computation based on min_singular_value_ratio and
// null_space_rank. When either of these two quantities are active,
// the resulting covariance matrix is a Moore-Penrose inverse
// instead of a regular inverse.
for (int i = 0; i < max_rank; ++i) {
const double singular_value_ratio = singular_values[i] / max_singular_value;
if (singular_value_ratio < min_singular_value_ratio) {
// Since the singular values are in decreasing order, if
// automatic truncation is enabled, then from this point on
// all values will fail the ratio test and there is nothing to
// do in this loop.
if (automatic_truncation) {
break;
} else {
LOG(ERROR) << "Error: Covariance matrix is near rank deficient "
<< "and the user did not specify a non-zero"
<< "Covariance::Options::null_space_rank "
<< "to enable the computation of a Pseudo-Inverse. "
<< "Reciprocal condition number: "
<< singular_value_ratio * singular_value_ratio << " "
<< "min_reciprocal_condition_number: "
<< options_.min_reciprocal_condition_number;
return false;
}
}
inverse_squared_singular_values[i] =
1.0 / (singular_values[i] * singular_values[i]);
}
Matrix dense_covariance =
svd.matrixV() *
inverse_squared_singular_values.asDiagonal() *
svd.matrixV().transpose();
event_logger.AddEvent("PseudoInverse");
const int num_rows = covariance_matrix_->num_rows();
const int* rows = covariance_matrix_->rows();
const int* cols = covariance_matrix_->cols();
double* values = covariance_matrix_->mutable_values();
for (int r = 0; r < num_rows; ++r) {
for (int idx = rows[r]; idx < rows[r + 1]; ++idx) {
const int c = cols[idx];
values[idx] = dense_covariance(r, c);
}
}
event_logger.AddEvent("CopyToCovarianceMatrix");
return true;
}
bool CovarianceImpl::ComputeCovarianceValuesUsingEigenSparseQR() {
EventLogger event_logger(
"CovarianceImpl::ComputeCovarianceValuesUsingEigenSparseQR");
if (covariance_matrix_.get() == NULL) {
// Nothing to do, all zeros covariance matrix.
return true;
}
CRSMatrix jacobian;
problem_->Evaluate(evaluate_options_, NULL, NULL, NULL, &jacobian);
event_logger.AddEvent("Evaluate");
typedef Eigen::SparseMatrix<double, Eigen::ColMajor> EigenSparseMatrix;
// Convert the matrix to column major order as required by SparseQR.
EigenSparseMatrix sparse_jacobian =
Eigen::MappedSparseMatrix<double, Eigen::RowMajor>(
jacobian.num_rows, jacobian.num_cols,
static_cast<int>(jacobian.values.size()),
jacobian.rows.data(), jacobian.cols.data(), jacobian.values.data());
event_logger.AddEvent("ConvertToSparseMatrix");
Eigen::SparseQR<EigenSparseMatrix, Eigen::COLAMDOrdering<int> >
qr_solver(sparse_jacobian);
event_logger.AddEvent("QRDecomposition");
if (qr_solver.info() != Eigen::Success) {
LOG(ERROR) << "Eigen::SparseQR decomposition failed.";
return false;
}
if (qr_solver.rank() < jacobian.num_cols) {
LOG(ERROR) << "Jacobian matrix is rank deficient. "
<< "Number of columns: " << jacobian.num_cols
<< " rank: " << qr_solver.rank();
return false;
}
const int* rows = covariance_matrix_->rows();
const int* cols = covariance_matrix_->cols();
double* values = covariance_matrix_->mutable_values();
// Compute the inverse column permutation used by QR factorization.
Eigen::PermutationMatrix<Eigen::Dynamic, Eigen::Dynamic> inverse_permutation =
qr_solver.colsPermutation().inverse();
// The following loop exploits the fact that the i^th column of A^{-1}
// is given by the solution to the linear system
//
// A x = e_i
//
// where e_i is a vector with e(i) = 1 and all other entries zero.
//
// Since the covariance matrix is symmetric, the i^th row and column
// are equal.
const int num_cols = jacobian.num_cols;
const int num_threads = options_.num_threads;
scoped_array<double> workspace(new double[num_threads * num_cols]);
#if !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
ThreadTokenProvider thread_token_provider(num_threads);
#endif // !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
#ifdef CERES_USE_OPENMP
#pragma omp parallel for num_threads(num_threads) schedule(dynamic)
#endif // CERES_USE_OPENMP
#if !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
for (int r = 0; r < num_cols; ++r) {
#else
problem_->context()->EnsureMinimumThreads(num_threads);
ParallelFor(problem_->context(),
0,
num_cols,
num_threads,
[&](int thread_id, int r) {
#endif // !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
const int row_begin = rows[r];
const int row_end = rows[r + 1];
if (row_end != row_begin) {
#if !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
const ScopedThreadToken scoped_thread_token(&thread_token_provider);
const int thread_id = scoped_thread_token.token();
#endif // !(defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS))
double* solution = workspace.get() + thread_id * num_cols;
SolveRTRWithSparseRHS<int>(
num_cols,
qr_solver.matrixR().innerIndexPtr(),
qr_solver.matrixR().outerIndexPtr(),
&qr_solver.matrixR().data().value(0),
inverse_permutation.indices().coeff(r),
solution);
// Assign the values of the computed covariance using the
// inverse permutation used in the QR factorization.
for (int idx = row_begin; idx < row_end; ++idx) {
const int c = cols[idx];
values[idx] = solution[inverse_permutation.indices().coeff(c)];
}
}
}
#if defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS)
);
#endif // defined(CERES_USE_TBB) || defined(CERES_USE_CXX11_THREADS)
event_logger.AddEvent("Inverse");
return true;
}
} // namespace internal
} // namespace ceres