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Diffstat (limited to 'extern/ceres/internal/ceres/dense_normal_cholesky_solver.cc')
| -rw-r--r-- | extern/ceres/internal/ceres/dense_normal_cholesky_solver.cc | 166 |
1 files changed, 166 insertions, 0 deletions
diff --git a/extern/ceres/internal/ceres/dense_normal_cholesky_solver.cc b/extern/ceres/internal/ceres/dense_normal_cholesky_solver.cc new file mode 100644 index 00000000000..b13cf3fc9f6 --- /dev/null +++ b/extern/ceres/internal/ceres/dense_normal_cholesky_solver.cc @@ -0,0 +1,166 @@ +// 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/dense_normal_cholesky_solver.h" + +#include <cstddef> + +#include "Eigen/Dense" +#include "ceres/blas.h" +#include "ceres/dense_sparse_matrix.h" +#include "ceres/internal/eigen.h" +#include "ceres/internal/scoped_ptr.h" +#include "ceres/lapack.h" +#include "ceres/linear_solver.h" +#include "ceres/types.h" +#include "ceres/wall_time.h" + +namespace ceres { +namespace internal { + +DenseNormalCholeskySolver::DenseNormalCholeskySolver( + const LinearSolver::Options& options) + : options_(options) {} + +LinearSolver::Summary DenseNormalCholeskySolver::SolveImpl( + DenseSparseMatrix* A, + const double* b, + const LinearSolver::PerSolveOptions& per_solve_options, + double* x) { + if (options_.dense_linear_algebra_library_type == EIGEN) { + return SolveUsingEigen(A, b, per_solve_options, x); + } else { + return SolveUsingLAPACK(A, b, per_solve_options, x); + } +} + +LinearSolver::Summary DenseNormalCholeskySolver::SolveUsingEigen( + DenseSparseMatrix* A, + const double* b, + const LinearSolver::PerSolveOptions& per_solve_options, + double* x) { + EventLogger event_logger("DenseNormalCholeskySolver::Solve"); + + const int num_rows = A->num_rows(); + const int num_cols = A->num_cols(); + + ConstColMajorMatrixRef Aref = A->matrix(); + Matrix lhs(num_cols, num_cols); + lhs.setZero(); + + event_logger.AddEvent("Setup"); + + // lhs += A'A + // + // Using rankUpdate instead of GEMM, exposes the fact that its the + // same matrix being multiplied with itself and that the product is + // symmetric. + lhs.selfadjointView<Eigen::Upper>().rankUpdate(Aref.transpose()); + + // rhs = A'b + Vector rhs = Aref.transpose() * ConstVectorRef(b, num_rows); + + if (per_solve_options.D != NULL) { + ConstVectorRef D(per_solve_options.D, num_cols); + lhs += D.array().square().matrix().asDiagonal(); + } + event_logger.AddEvent("Product"); + + LinearSolver::Summary summary; + summary.num_iterations = 1; + summary.termination_type = LINEAR_SOLVER_SUCCESS; + Eigen::LLT<Matrix, Eigen::Upper> llt = + lhs.selfadjointView<Eigen::Upper>().llt(); + + if (llt.info() != Eigen::Success) { + summary.termination_type = LINEAR_SOLVER_FAILURE; + summary.message = "Eigen LLT decomposition failed."; + } else { + summary.termination_type = LINEAR_SOLVER_SUCCESS; + summary.message = "Success."; + } + + VectorRef(x, num_cols) = llt.solve(rhs); + event_logger.AddEvent("Solve"); + return summary; +} + +LinearSolver::Summary DenseNormalCholeskySolver::SolveUsingLAPACK( + DenseSparseMatrix* A, + const double* b, + const LinearSolver::PerSolveOptions& per_solve_options, + double* x) { + EventLogger event_logger("DenseNormalCholeskySolver::Solve"); + + if (per_solve_options.D != NULL) { + // Temporarily append a diagonal block to the A matrix, but undo + // it before returning the matrix to the user. + A->AppendDiagonal(per_solve_options.D); + } + + const int num_cols = A->num_cols(); + Matrix lhs(num_cols, num_cols); + event_logger.AddEvent("Setup"); + + // lhs = A'A + // + // Note: This is a bit delicate, it assumes that the stride on this + // matrix is the same as the number of rows. + BLAS::SymmetricRankKUpdate(A->num_rows(), + num_cols, + A->values(), + true, + 1.0, + 0.0, + lhs.data()); + + if (per_solve_options.D != NULL) { + // Undo the modifications to the matrix A. + A->RemoveDiagonal(); + } + + // TODO(sameeragarwal): Replace this with a gemv call for true blasness. + // rhs = A'b + VectorRef(x, num_cols) = + A->matrix().transpose() * ConstVectorRef(b, A->num_rows()); + event_logger.AddEvent("Product"); + + LinearSolver::Summary summary; + summary.num_iterations = 1; + summary.termination_type = + LAPACK::SolveInPlaceUsingCholesky(num_cols, + lhs.data(), + x, + &summary.message); + event_logger.AddEvent("Solve"); + return summary; +} +} // namespace internal +} // namespace ceres |