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Diffstat (limited to 'internal/ceres/low_rank_inverse_hessian.h')
-rw-r--r-- | internal/ceres/low_rank_inverse_hessian.h | 106 |
1 files changed, 106 insertions, 0 deletions
diff --git a/internal/ceres/low_rank_inverse_hessian.h b/internal/ceres/low_rank_inverse_hessian.h new file mode 100644 index 0000000..7d293d0 --- /dev/null +++ b/internal/ceres/low_rank_inverse_hessian.h @@ -0,0 +1,106 @@ +// 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) +// +// Limited memory positive definite approximation to the inverse +// Hessian, using the LBFGS algorithm + +#ifndef CERES_INTERNAL_LOW_RANK_INVERSE_HESSIAN_H_ +#define CERES_INTERNAL_LOW_RANK_INVERSE_HESSIAN_H_ + +#include "ceres/internal/eigen.h" +#include "ceres/linear_operator.h" + +namespace ceres { +namespace internal { + +// LowRankInverseHessian is a positive definite approximation to the +// Hessian using the limited memory variant of the +// Broyden-Fletcher-Goldfarb-Shanno (BFGS)secant formula for +// approximating the Hessian. +// +// Other update rules like the Davidon-Fletcher-Powell (DFP) are +// possible, but the BFGS rule is considered the best performing one. +// +// The limited memory variant was developed by Nocedal and further +// enhanced with scaling rule by Byrd, Nocedal and Schanbel. +// +// Nocedal, J. (1980). "Updating Quasi-Newton Matrices with Limited +// Storage". Mathematics of Computation 35 (151): 773–782. +// +// Byrd, R. H.; Nocedal, J.; Schnabel, R. B. (1994). +// "Representations of Quasi-Newton Matrices and their use in +// Limited Memory Methods". Mathematical Programming 63 (4): +class LowRankInverseHessian : public LinearOperator { + public: + // num_parameters is the row/column size of the Hessian. + // max_num_corrections is the rank of the Hessian approximation. + // use_approximate_eigenvalue_scaling controls whether the initial + // inverse Hessian used during Right/LeftMultiply() is scaled by + // the approximate eigenvalue of the true inverse Hessian at the + // current operating point. + // The approximation uses: + // 2 * max_num_corrections * num_parameters + max_num_corrections + // doubles. + LowRankInverseHessian(int num_parameters, + int max_num_corrections, + bool use_approximate_eigenvalue_scaling); + virtual ~LowRankInverseHessian() {} + + // Update the low rank approximation. delta_x is the change in the + // domain of Hessian, and delta_gradient is the change in the + // gradient. The update copies the delta_x and delta_gradient + // vectors, and gets rid of the oldest delta_x and delta_gradient + // vectors if the number of corrections is already equal to + // max_num_corrections. + bool Update(const Vector& delta_x, const Vector& delta_gradient); + + // LinearOperator interface + virtual void RightMultiply(const double* x, double* y) const; + virtual void LeftMultiply(const double* x, double* y) const { + RightMultiply(x, y); + } + virtual int num_rows() const { return num_parameters_; } + virtual int num_cols() const { return num_parameters_; } + + private: + const int num_parameters_; + const int max_num_corrections_; + const bool use_approximate_eigenvalue_scaling_; + int num_corrections_; + double approximate_eigenvalue_scale_; + Matrix delta_x_history_; + Matrix delta_gradient_history_; + Vector delta_x_dot_delta_gradient_; +}; + +} // namespace internal +} // namespace ceres + +#endif // CERES_INTERNAL_LOW_RANK_INVERSE_HESSIAN_H_ |