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// Ceres Solver - A fast non-linear least squares minimizer
// Copyright 2010, 2011, 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)
//
// Abstract interface for objects solving linear systems of various
// kinds.
#ifndef CERES_INTERNAL_LINEAR_SOLVER_H_
#define CERES_INTERNAL_LINEAR_SOLVER_H_
#include <cstddef>
#include <vector>
#include <glog/logging.h>
#include "ceres/block_sparse_matrix.h"
#include "ceres/casts.h"
#include "ceres/compressed_row_sparse_matrix.h"
#include "ceres/dense_sparse_matrix.h"
#include "ceres/triplet_sparse_matrix.h"
#include "ceres/types.h"
namespace ceres {
namespace internal {
class LinearOperator;
// Abstract base class for objects that implement algorithms for
// solving linear systems
//
// Ax = b
//
// It is expected that a single instance of a LinearSolver object
// maybe used multiple times for solving multiple linear systems with
// the same sparsity structure. This allows them to cache and reuse
// information across solves. This means that calling Solve on the
// same LinearSolver instance with two different linear systems will
// result in undefined behaviour.
//
// Subclasses of LinearSolver use two structs to configure themselves.
// The Options struct configures the LinearSolver object for its
// lifetime. The PerSolveOptions struct is used to specify options for
// a particular Solve call.
class LinearSolver {
public:
struct Options {
Options()
: type(SPARSE_NORMAL_CHOLESKY),
preconditioner_type(JACOBI),
sparse_linear_algebra_library(SUITE_SPARSE),
use_block_amd(true),
min_num_iterations(1),
max_num_iterations(1),
num_threads(1),
residual_reset_period(10),
row_block_size(Dynamic),
e_block_size(Dynamic),
f_block_size(Dynamic) {
}
LinearSolverType type;
PreconditionerType preconditioner_type;
SparseLinearAlgebraLibraryType sparse_linear_algebra_library;
// See solver.h for explanation of this option.
bool use_block_amd;
// Number of internal iterations that the solver uses. This
// parameter only makes sense for iterative solvers like CG.
int min_num_iterations;
int max_num_iterations;
// If possible, how many threads can the solver use.
int num_threads;
// Hints about the order in which the parameter blocks should be
// eliminated by the linear solver.
//
// For example if elimination_groups is a vector of size k, then
// the linear solver is informed that it should eliminate the
// parameter blocks 0 - elimination_groups[0] - 1 first, and then
// elimination_groups[0] - elimination_groups[1] and so on. Within
// each elimination group, the linear solver is free to choose how
// the parameter blocks are ordered. Different linear solvers have
// differing requirements on elimination_groups.
//
// The most common use is for Schur type solvers, where there
// should be at least two elimination groups and the first
// elimination group must form an independent set in the normal
// equations. The first elimination group corresponds to the
// num_eliminate_blocks in the Schur type solvers.
vector<int> elimination_groups;
// Iterative solvers, e.g. Preconditioned Conjugate Gradients
// maintain a cheap estimate of the residual which may become
// inaccurate over time. Thus for non-zero values of this
// parameter, the solver can be told to recalculate the value of
// the residual using a |b - Ax| evaluation.
int residual_reset_period;
// If the block sizes in a BlockSparseMatrix are fixed, then in
// some cases the Schur complement based solvers can detect and
// specialize on them.
//
// It is expected that these parameters are set programmatically
// rather than manually.
//
// Please see schur_complement_solver.h and schur_eliminator.h for
// more details.
int row_block_size;
int e_block_size;
int f_block_size;
};
// Options for the Solve method.
struct PerSolveOptions {
PerSolveOptions()
: D(NULL),
preconditioner(NULL),
r_tolerance(0.0),
q_tolerance(0.0) {
}
// This option only makes sense for unsymmetric linear solvers
// that can solve rectangular linear systems.
//
// Given a matrix A, an optional diagonal matrix D as a vector,
// and a vector b, the linear solver will solve for
//
// | A | x = | b |
// | D | | 0 |
//
// If D is null, then it is treated as zero, and the solver returns
// the solution to
//
// A x = b
//
// In either case, x is the vector that solves the following
// optimization problem.
//
// arg min_x ||Ax - b||^2 + ||Dx||^2
//
// Here A is a matrix of size m x n, with full column rank. If A
// does not have full column rank, the results returned by the
// solver cannot be relied on. D, if it is not null is an array of
// size n. b is an array of size m and x is an array of size n.
double * D;
// This option only makes sense for iterative solvers.
//
// In general the performance of an iterative linear solver
// depends on the condition number of the matrix A. For example
// the convergence rate of the conjugate gradients algorithm
// is proportional to the square root of the condition number.
//
// One particularly useful technique for improving the
// conditioning of a linear system is to precondition it. In its
// simplest form a preconditioner is a matrix M such that instead
// of solving Ax = b, we solve the linear system AM^{-1} y = b
// instead, where M is such that the condition number k(AM^{-1})
// is smaller than the conditioner k(A). Given the solution to
// this system, x = M^{-1} y. The iterative solver takes care of
// the mechanics of solving the preconditioned system and
// returning the corrected solution x. The user only needs to
// supply a linear operator.
//
// A null preconditioner is equivalent to an identity matrix being
// used a preconditioner.
LinearOperator* preconditioner;
// The following tolerance related options only makes sense for
// iterative solvers. Direct solvers ignore them.
// Solver terminates when
//
// |Ax - b| <= r_tolerance * |b|.
//
// This is the most commonly used termination criterion for
// iterative solvers.
double r_tolerance;
// For PSD matrices A, let
//
// Q(x) = x'Ax - 2b'x
//
// be the cost of the quadratic function defined by A and b. Then,
// the solver terminates at iteration i if
//
// i * (Q(x_i) - Q(x_i-1)) / Q(x_i) < q_tolerance.
//
// This termination criterion is more useful when using CG to
// solve the Newton step. This particular convergence test comes
// from Stephen Nash's work on truncated Newton
// methods. References:
//
// 1. Stephen G. Nash & Ariela Sofer, Assessing A Search
// Direction Within A Truncated Newton Method, Operation
// Research Letters 9(1990) 219-221.
//
// 2. Stephen G. Nash, A Survey of Truncated Newton Methods,
// Journal of Computational and Applied Mathematics,
// 124(1-2), 45-59, 2000.
//
double q_tolerance;
};
// Summary of a call to the Solve method. We should move away from
// the true/false method for determining solver success. We should
// let the summary object do the talking.
struct Summary {
Summary()
: residual_norm(0.0),
num_iterations(-1),
termination_type(FAILURE) {
}
double residual_norm;
int num_iterations;
LinearSolverTerminationType termination_type;
};
virtual ~LinearSolver();
// Solve Ax = b.
virtual Summary Solve(LinearOperator* A,
const double* b,
const PerSolveOptions& per_solve_options,
double* x) = 0;
// Factory
static LinearSolver* Create(const Options& options);
};
// This templated subclass of LinearSolver serves as a base class for
// other linear solvers that depend on the particular matrix layout of
// the underlying linear operator. For example some linear solvers
// need low level access to the TripletSparseMatrix implementing the
// LinearOperator interface. This class hides those implementation
// details behind a private virtual method, and has the Solve method
// perform the necessary upcasting.
template <typename MatrixType>
class TypedLinearSolver : public LinearSolver {
public:
virtual ~TypedLinearSolver() {}
virtual LinearSolver::Summary Solve(
LinearOperator* A,
const double* b,
const LinearSolver::PerSolveOptions& per_solve_options,
double* x) {
CHECK_NOTNULL(A);
CHECK_NOTNULL(b);
CHECK_NOTNULL(x);
return SolveImpl(down_cast<MatrixType*>(A), b, per_solve_options, x);
}
private:
virtual LinearSolver::Summary SolveImpl(
MatrixType* A,
const double* b,
const LinearSolver::PerSolveOptions& per_solve_options,
double* x) = 0;
};
// Linear solvers that depend on acccess to the low level structure of
// a SparseMatrix.
typedef TypedLinearSolver<BlockSparseMatrix> BlockSparseMatrixSolver; // NOLINT
typedef TypedLinearSolver<BlockSparseMatrixBase> BlockSparseMatrixBaseSolver; // NOLINT
typedef TypedLinearSolver<CompressedRowSparseMatrix> CompressedRowSparseMatrixSolver; // NOLINT
typedef TypedLinearSolver<DenseSparseMatrix> DenseSparseMatrixSolver; // NOLINT
typedef TypedLinearSolver<TripletSparseMatrix> TripletSparseMatrixSolver; // NOLINT
} // namespace internal
} // namespace ceres
#endif // CERES_INTERNAL_LINEAR_SOLVER_H_