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Diffstat (limited to 'extern/libmv/third_party/ceres/internal/ceres/levenberg_marquardt_strategy.cc')
-rw-r--r-- | extern/libmv/third_party/ceres/internal/ceres/levenberg_marquardt_strategy.cc | 144 |
1 files changed, 144 insertions, 0 deletions
diff --git a/extern/libmv/third_party/ceres/internal/ceres/levenberg_marquardt_strategy.cc b/extern/libmv/third_party/ceres/internal/ceres/levenberg_marquardt_strategy.cc new file mode 100644 index 00000000000..9e6a59e3813 --- /dev/null +++ b/extern/libmv/third_party/ceres/internal/ceres/levenberg_marquardt_strategy.cc @@ -0,0 +1,144 @@ +// 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: sameeragarwal@google.com (Sameer Agarwal) + +#include "ceres/levenberg_marquardt_strategy.h" + +#include <cmath> +#include "Eigen/Core" +#include "ceres/array_utils.h" +#include "ceres/internal/eigen.h" +#include "ceres/linear_solver.h" +#include "ceres/sparse_matrix.h" +#include "ceres/trust_region_strategy.h" +#include "ceres/types.h" +#include "glog/logging.h" + +namespace ceres { +namespace internal { + +LevenbergMarquardtStrategy::LevenbergMarquardtStrategy( + const TrustRegionStrategy::Options& options) + : linear_solver_(options.linear_solver), + radius_(options.initial_radius), + max_radius_(options.max_radius), + min_diagonal_(options.lm_min_diagonal), + max_diagonal_(options.lm_max_diagonal), + decrease_factor_(2.0), + reuse_diagonal_(false) { + CHECK_NOTNULL(linear_solver_); + CHECK_GT(min_diagonal_, 0.0); + CHECK_LE(min_diagonal_, max_diagonal_); + CHECK_GT(max_radius_, 0.0); +} + +LevenbergMarquardtStrategy::~LevenbergMarquardtStrategy() { +} + +TrustRegionStrategy::Summary LevenbergMarquardtStrategy::ComputeStep( + const TrustRegionStrategy::PerSolveOptions& per_solve_options, + SparseMatrix* jacobian, + const double* residuals, + double* step) { + CHECK_NOTNULL(jacobian); + CHECK_NOTNULL(residuals); + CHECK_NOTNULL(step); + + const int num_parameters = jacobian->num_cols(); + if (!reuse_diagonal_) { + if (diagonal_.rows() != num_parameters) { + diagonal_.resize(num_parameters, 1); + } + + jacobian->SquaredColumnNorm(diagonal_.data()); + for (int i = 0; i < num_parameters; ++i) { + diagonal_[i] = min(max(diagonal_[i], min_diagonal_), max_diagonal_); + } + } + + lm_diagonal_ = (diagonal_ / radius_).array().sqrt(); + + LinearSolver::PerSolveOptions solve_options; + solve_options.D = lm_diagonal_.data(); + solve_options.q_tolerance = per_solve_options.eta; + // Disable r_tolerance checking. Since we only care about + // termination via the q_tolerance. As Nash and Sofer show, + // r_tolerance based termination is essentially useless in + // Truncated Newton methods. + solve_options.r_tolerance = -1.0; + + // Invalidate the output array lm_step, so that we can detect if + // the linear solver generated numerical garbage. This is known + // to happen for the DENSE_QR and then DENSE_SCHUR solver when + // the Jacobin is severly rank deficient and mu is too small. + InvalidateArray(num_parameters, step); + + // Instead of solving Jx = -r, solve Jy = r. + // Then x can be found as x = -y, but the inputs jacobian and residuals + // do not need to be modified. + LinearSolver::Summary linear_solver_summary = + linear_solver_->Solve(jacobian, residuals, solve_options, step); + if (linear_solver_summary.termination_type == FAILURE || + !IsArrayValid(num_parameters, step)) { + LOG(WARNING) << "Linear solver failure. Failed to compute a finite step."; + linear_solver_summary.termination_type = FAILURE; + } else { + VectorRef(step, num_parameters) *= -1.0; + } + + reuse_diagonal_ = true; + + TrustRegionStrategy::Summary summary; + summary.residual_norm = linear_solver_summary.residual_norm; + summary.num_iterations = linear_solver_summary.num_iterations; + summary.termination_type = linear_solver_summary.termination_type; + return summary; +} + +void LevenbergMarquardtStrategy::StepAccepted(double step_quality) { + CHECK_GT(step_quality, 0.0); + radius_ = radius_ / std::max(1.0 / 3.0, + 1.0 - pow(2.0 * step_quality - 1.0, 3)); + radius_ = std::min(max_radius_, radius_); + decrease_factor_ = 2.0; + reuse_diagonal_ = false; +} + +void LevenbergMarquardtStrategy::StepRejected(double step_quality) { + radius_ = radius_ / decrease_factor_; + decrease_factor_ *= 2.0; + reuse_diagonal_ = true; +} + +double LevenbergMarquardtStrategy::Radius() const { + return radius_; +} + +} // namespace internal +} // namespace ceres |