| // Ceres Solver - A fast non-linear least squares minimizer |
| // Copyright 2015 Google Inc. All rights reserved. |
| // http://ceres-solver.org/ |
| // |
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| // |
| // Author: sameeragarwal@google.com (Sameer Agarwal) |
| |
| #ifndef CERES_INTERNAL_LEVENBERG_MARQUARDT_STRATEGY_H_ |
| #define CERES_INTERNAL_LEVENBERG_MARQUARDT_STRATEGY_H_ |
| |
| #include "ceres/internal/eigen.h" |
| #include "ceres/internal/port.h" |
| #include "ceres/trust_region_strategy.h" |
| |
| namespace ceres { |
| namespace internal { |
| |
| // Levenberg-Marquardt step computation and trust region sizing |
| // strategy based on on "Methods for Nonlinear Least Squares" by |
| // K. Madsen, H.B. Nielsen and O. Tingleff. Available to download from |
| // |
| // http://www2.imm.dtu.dk/pubdb/views/edoc_download.php/3215/pdf/imm3215.pdf |
| class CERES_EXPORT_INTERNAL LevenbergMarquardtStrategy |
| : public TrustRegionStrategy { |
| public: |
| explicit LevenbergMarquardtStrategy( |
| const TrustRegionStrategy::Options& options); |
| virtual ~LevenbergMarquardtStrategy(); |
| |
| // TrustRegionStrategy interface |
| TrustRegionStrategy::Summary ComputeStep( |
| const TrustRegionStrategy::PerSolveOptions& per_solve_options, |
| SparseMatrix* jacobian, |
| const double* residuals, |
| double* step) final; |
| void StepAccepted(double step_quality) final; |
| void StepRejected(double step_quality) final; |
| void StepIsInvalid() final { |
| // Treat the current step as a rejected step with no increase in |
| // solution quality. Since rejected steps lead to decrease in the |
| // size of the trust region, the next time ComputeStep is called, |
| // this will lead to a better conditioned system. |
| StepRejected(0.0); |
| } |
| |
| double Radius() const final; |
| |
| private: |
| LinearSolver* linear_solver_; |
| double radius_; |
| double max_radius_; |
| const double min_diagonal_; |
| const double max_diagonal_; |
| double decrease_factor_; |
| bool reuse_diagonal_; |
| Vector diagonal_; // diagonal_ = diag(J'J) |
| // Scaled copy of diagonal_. Stored here as optimization to prevent |
| // allocations in every iteration and reuse when a step fails and |
| // ComputeStep is called again. |
| Vector lm_diagonal_; // lm_diagonal_ = sqrt(diagonal_ / radius_); |
| }; |
| |
| } // namespace internal |
| } // namespace ceres |
| |
| #endif // CERES_INTERNAL_LEVENBERG_MARQUARDT_STRATEGY_H_ |