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      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