1 // Ceres Solver - A fast non-linear least squares minimizer 2 // Copyright 2012 Google Inc. All rights reserved. 3 // http://code.google.com/p/ceres-solver/ 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 (at) 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/trust_region_strategy.h" 36 37 namespace ceres { 38 namespace internal { 39 40 // Levenberg-Marquardt step computation and trust region sizing 41 // strategy based on on "Methods for Nonlinear Least Squares" by 42 // K. Madsen, H.B. Nielsen and O. Tingleff. Available to download from 43 // 44 // http://www2.imm.dtu.dk/pubdb/views/edoc_download.php/3215/pdf/imm3215.pdf 45 class LevenbergMarquardtStrategy : public TrustRegionStrategy { 46 public: 47 LevenbergMarquardtStrategy(const TrustRegionStrategy::Options& options); 48 virtual ~LevenbergMarquardtStrategy(); 49 50 // TrustRegionStrategy interface 51 virtual TrustRegionStrategy::Summary ComputeStep( 52 const TrustRegionStrategy::PerSolveOptions& per_solve_options, 53 SparseMatrix* jacobian, 54 const double* residuals, 55 double* step); 56 virtual void StepAccepted(double step_quality); 57 virtual void StepRejected(double step_quality); 58 virtual void StepIsInvalid() { 59 // Treat the current step as a rejected step with no increase in 60 // solution quality. Since rejected steps lead to decrease in the 61 // size of the trust region, the next time ComputeStep is called, 62 // this will lead to a better conditioned system. 63 StepRejected(0.0); 64 } 65 66 virtual double Radius() const; 67 68 private: 69 LinearSolver* linear_solver_; 70 double radius_; 71 double max_radius_; 72 const double min_diagonal_; 73 const double max_diagonal_; 74 double decrease_factor_; 75 bool reuse_diagonal_; 76 Vector diagonal_; // diagonal_ = diag(J'J) 77 // Scaled copy of diagonal_. Stored here as optimization to prevent 78 // allocations in every iteration and reuse when a step fails and 79 // ComputeStep is called again. 80 Vector lm_diagonal_; // lm_diagonal_ = diagonal_ / radius_; 81 }; 82 83 } // namespace internal 84 } // namespace ceres 85 86 #endif // CERES_INTERNAL_LEVENBERG_MARQUARDT_STRATEGY_H_ 87
