1 // Ceres Solver - A fast non-linear least squares minimizer 2 // Copyright 2015 Google Inc. All rights reserved. 3 // http://ceres-solver.org/ 4 // 5 // Redistribution and use in source and binary forms, with or without 6 // modification, are permitted provided that the following conditions are met: 7 // 8 // * Redistributions of source code must retain the above copyright notice, 9 // this list of conditions and the following disclaimer. 10 // * Redistributions in binary form must reproduce the above copyright notice, 11 // this list of conditions and the following disclaimer in the documentation 12 // and/or other materials provided with the distribution. 13 // * Neither the name of Google Inc. nor the names of its contributors may be 14 // used to endorse or promote products derived from this software without 15 // specific prior written permission. 16 // 17 // THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" 18 // AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE 19 // IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE 20 // ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE 21 // LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR 22 // CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF 23 // SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS 24 // INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN 25 // CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) 26 // ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE 27 // POSSIBILITY OF SUCH DAMAGE. 28 // 29 // Author: sameeragarwal@google.com (Sameer Agarwal) 30 31 #ifndef CERES_INTERNAL_LEVENBERG_MARQUARDT_STRATEGY_H_ 32 #define CERES_INTERNAL_LEVENBERG_MARQUARDT_STRATEGY_H_ 33 34 #include "ceres/internal/eigen.h" 35 #include "ceres/internal/port.h" 36 #include "ceres/trust_region_strategy.h" 37 38 namespace ceres { 39 namespace internal { 40 41 // Levenberg-Marquardt step computation and trust region sizing 42 // strategy based on on "Methods for Nonlinear Least Squares" by 43 // K. Madsen, H.B. Nielsen and O. Tingleff. Available to download from 44 // 45 // http://www2.imm.dtu.dk/pubdb/views/edoc_download.php/3215/pdf/imm3215.pdf 46 class CERES_EXPORT_INTERNAL LevenbergMarquardtStrategy 47 : public TrustRegionStrategy { 48 public: 49 explicit LevenbergMarquardtStrategy( 50 const TrustRegionStrategy::Options& options); 51 virtual ~LevenbergMarquardtStrategy(); 52 53 // TrustRegionStrategy interface 54 TrustRegionStrategy::Summary ComputeStep( 55 const TrustRegionStrategy::PerSolveOptions& per_solve_options, 56 SparseMatrix* jacobian, 57 const double* residuals, 58 double* step) final; 59 void StepAccepted(double step_quality) final; 60 void StepRejected(double step_quality) final; StepIsInvalid()61 void StepIsInvalid() final { 62 // Treat the current step as a rejected step with no increase in 63 // solution quality. Since rejected steps lead to decrease in the 64 // size of the trust region, the next time ComputeStep is called, 65 // this will lead to a better conditioned system. 66 StepRejected(0.0); 67 } 68 69 double Radius() const final; 70 71 private: 72 LinearSolver* linear_solver_; 73 double radius_; 74 double max_radius_; 75 const double min_diagonal_; 76 const double max_diagonal_; 77 double decrease_factor_; 78 bool reuse_diagonal_; 79 Vector diagonal_; // diagonal_ = diag(J'J) 80 // Scaled copy of diagonal_. Stored here as optimization to prevent 81 // allocations in every iteration and reuse when a step fails and 82 // ComputeStep is called again. 83 Vector lm_diagonal_; // lm_diagonal_ = sqrt(diagonal_ / radius_); 84 }; 85 86 } // namespace internal 87 } // namespace ceres 88 89 #endif // CERES_INTERNAL_LEVENBERG_MARQUARDT_STRATEGY_H_ 90