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      1 // Ceres Solver - A fast non-linear least squares minimizer
      2 // Copyright 2013 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 //         mierle (at) gmail.com (Keir Mierle)
     31 //
     32 // This autodiff implementation differs from the one found in
     33 // autodiff_cost_function.h by supporting autodiff on cost functions
     34 // with variable numbers of parameters with variable sizes. With the
     35 // other implementation, all the sizes (both the number of parameter
     36 // blocks and the size of each block) must be fixed at compile time.
     37 //
     38 // The functor API differs slightly from the API for fixed size
     39 // autodiff; the expected interface for the cost functors is:
     40 //
     41 //   struct MyCostFunctor {
     42 //     template<typename T>
     43 //     bool operator()(T const* const* parameters, T* residuals) const {
     44 //       // Use parameters[i] to access the i'th parameter block.
     45 //     }
     46 //   }
     47 //
     48 // Since the sizing of the parameters is done at runtime, you must
     49 // also specify the sizes after creating the dynamic autodiff cost
     50 // function. For example:
     51 //
     52 //   DynamicAutoDiffCostFunction<MyCostFunctor, 3> cost_function(
     53 //       new MyCostFunctor());
     54 //   cost_function.AddParameterBlock(5);
     55 //   cost_function.AddParameterBlock(10);
     56 //   cost_function.SetNumResiduals(21);
     57 //
     58 // Under the hood, the implementation evaluates the cost function
     59 // multiple times, computing a small set of the derivatives (four by
     60 // default, controlled by the Stride template parameter) with each
     61 // pass. There is a tradeoff with the size of the passes; you may want
     62 // to experiment with the stride.
     63 
     64 #ifndef CERES_PUBLIC_DYNAMIC_AUTODIFF_COST_FUNCTION_H_
     65 #define CERES_PUBLIC_DYNAMIC_AUTODIFF_COST_FUNCTION_H_
     66 
     67 #include <cmath>
     68 #include <numeric>
     69 #include <vector>
     70 
     71 #include "ceres/cost_function.h"
     72 #include "ceres/internal/scoped_ptr.h"
     73 #include "ceres/jet.h"
     74 #include "glog/logging.h"
     75 
     76 namespace ceres {
     77 
     78 template <typename CostFunctor, int Stride = 4>
     79 class DynamicAutoDiffCostFunction : public CostFunction {
     80  public:
     81   explicit DynamicAutoDiffCostFunction(CostFunctor* functor)
     82     : functor_(functor) {}
     83 
     84   virtual ~DynamicAutoDiffCostFunction() {}
     85 
     86   void AddParameterBlock(int size) {
     87     mutable_parameter_block_sizes()->push_back(size);
     88   }
     89 
     90   void SetNumResiduals(int num_residuals) {
     91     set_num_residuals(num_residuals);
     92   }
     93 
     94   virtual bool Evaluate(double const* const* parameters,
     95                         double* residuals,
     96                         double** jacobians) const {
     97     CHECK_GT(num_residuals(), 0)
     98         << "You must call DynamicAutoDiffCostFunction::SetNumResiduals() "
     99         << "before DynamicAutoDiffCostFunction::Evaluate().";
    100 
    101     if (jacobians == NULL) {
    102       return (*functor_)(parameters, residuals);
    103     }
    104 
    105     // The difficulty with Jets, as implemented in Ceres, is that they were
    106     // originally designed for strictly compile-sized use. At this point, there
    107     // is a large body of code that assumes inside a cost functor it is
    108     // acceptable to do e.g. T(1.5) and get an appropriately sized jet back.
    109     //
    110     // Unfortunately, it is impossible to communicate the expected size of a
    111     // dynamically sized jet to the static instantiations that existing code
    112     // depends on.
    113     //
    114     // To work around this issue, the solution here is to evaluate the
    115     // jacobians in a series of passes, each one computing Stripe *
    116     // num_residuals() derivatives. This is done with small, fixed-size jets.
    117     const int num_parameter_blocks = parameter_block_sizes().size();
    118     const int num_parameters = std::accumulate(parameter_block_sizes().begin(),
    119                                                parameter_block_sizes().end(),
    120                                                0);
    121 
    122     // Allocate scratch space for the strided evaluation.
    123     vector<Jet<double, Stride> > input_jets(num_parameters);
    124     vector<Jet<double, Stride> > output_jets(num_residuals());
    125 
    126     // Make the parameter pack that is sent to the functor (reused).
    127     vector<Jet<double, Stride>* > jet_parameters(num_parameter_blocks,
    128         static_cast<Jet<double, Stride>* >(NULL));
    129     int num_active_parameters = 0;
    130 
    131     // To handle constant parameters between non-constant parameter blocks, the
    132     // start position --- a raw parameter index --- of each contiguous block of
    133     // non-constant parameters is recorded in start_derivative_section.
    134     vector<int> start_derivative_section;
    135     bool in_derivative_section = false;
    136     int parameter_cursor = 0;
    137 
    138     // Discover the derivative sections and set the parameter values.
    139     for (int i = 0; i < num_parameter_blocks; ++i) {
    140       jet_parameters[i] = &input_jets[parameter_cursor];
    141 
    142       const int parameter_block_size = parameter_block_sizes()[i];
    143       if (jacobians[i] != NULL) {
    144         if (!in_derivative_section) {
    145           start_derivative_section.push_back(parameter_cursor);
    146           in_derivative_section = true;
    147         }
    148 
    149         num_active_parameters += parameter_block_size;
    150       } else {
    151         in_derivative_section = false;
    152       }
    153 
    154       for (int j = 0; j < parameter_block_size; ++j, parameter_cursor++) {
    155         input_jets[parameter_cursor].a = parameters[i][j];
    156       }
    157     }
    158 
    159     // When `num_active_parameters % Stride != 0` then it can be the case
    160     // that `active_parameter_count < Stride` while parameter_cursor is less
    161     // than the total number of parameters and with no remaining non-constant
    162     // parameter blocks. Pushing parameter_cursor (the total number of
    163     // parameters) as a final entry to start_derivative_section is required
    164     // because if a constant parameter block is encountered after the
    165     // last non-constant block then current_derivative_section is incremented
    166     // and would otherwise index an invalid position in
    167     // start_derivative_section. Setting the final element to the total number
    168     // of parameters means that this can only happen at most once in the loop
    169     // below.
    170     start_derivative_section.push_back(parameter_cursor);
    171 
    172     // Evaluate all of the strides. Each stride is a chunk of the derivative to
    173     // evaluate, typically some size proportional to the size of the SIMD
    174     // registers of the CPU.
    175     int num_strides = static_cast<int>(ceil(num_active_parameters /
    176                                             static_cast<float>(Stride)));
    177 
    178     int current_derivative_section = 0;
    179     int current_derivative_section_cursor = 0;
    180 
    181     for (int pass = 0; pass < num_strides; ++pass) {
    182       // Set most of the jet components to zero, except for
    183       // non-constant #Stride parameters.
    184       const int initial_derivative_section = current_derivative_section;
    185       const int initial_derivative_section_cursor =
    186         current_derivative_section_cursor;
    187 
    188       int active_parameter_count = 0;
    189       parameter_cursor = 0;
    190 
    191       for (int i = 0; i < num_parameter_blocks; ++i) {
    192         for (int j = 0; j < parameter_block_sizes()[i];
    193              ++j, parameter_cursor++) {
    194           input_jets[parameter_cursor].v.setZero();
    195           if (active_parameter_count < Stride &&
    196               parameter_cursor >= (
    197                 start_derivative_section[current_derivative_section] +
    198                 current_derivative_section_cursor)) {
    199             if (jacobians[i] != NULL) {
    200               input_jets[parameter_cursor].v[active_parameter_count] = 1.0;
    201               ++active_parameter_count;
    202               ++current_derivative_section_cursor;
    203             } else {
    204               ++current_derivative_section;
    205               current_derivative_section_cursor = 0;
    206             }
    207           }
    208         }
    209       }
    210 
    211       if (!(*functor_)(&jet_parameters[0], &output_jets[0])) {
    212         return false;
    213       }
    214 
    215       // Copy the pieces of the jacobians into their final place.
    216       active_parameter_count = 0;
    217 
    218       current_derivative_section = initial_derivative_section;
    219       current_derivative_section_cursor = initial_derivative_section_cursor;
    220 
    221       for (int i = 0, parameter_cursor = 0; i < num_parameter_blocks; ++i) {
    222         for (int j = 0; j < parameter_block_sizes()[i];
    223              ++j, parameter_cursor++) {
    224           if (active_parameter_count < Stride &&
    225               parameter_cursor >= (
    226                 start_derivative_section[current_derivative_section] +
    227                 current_derivative_section_cursor)) {
    228             if (jacobians[i] != NULL) {
    229               for (int k = 0; k < num_residuals(); ++k) {
    230                 jacobians[i][k * parameter_block_sizes()[i] + j] =
    231                     output_jets[k].v[active_parameter_count];
    232               }
    233               ++active_parameter_count;
    234               ++current_derivative_section_cursor;
    235             } else {
    236               ++current_derivative_section;
    237               current_derivative_section_cursor = 0;
    238             }
    239           }
    240         }
    241       }
    242 
    243       // Only copy the residuals over once (even though we compute them on
    244       // every loop).
    245       if (pass == num_strides - 1) {
    246         for (int k = 0; k < num_residuals(); ++k) {
    247           residuals[k] = output_jets[k].a;
    248         }
    249       }
    250     }
    251     return true;
    252   }
    253 
    254  private:
    255   internal::scoped_ptr<CostFunctor> functor_;
    256 };
    257 
    258 }  // namespace ceres
    259 
    260 #endif  // CERES_PUBLIC_DYNAMIC_AUTODIFF_COST_FUNCTION_H_
    261