// 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) #include "ceres/dense_normal_cholesky_solver.h" #include #include "Eigen/Dense" #include "ceres/blas.h" #include "ceres/dense_sparse_matrix.h" #include "ceres/internal/eigen.h" #include "ceres/internal/scoped_ptr.h" #include "ceres/lapack.h" #include "ceres/linear_solver.h" #include "ceres/types.h" #include "ceres/wall_time.h" namespace ceres { namespace internal { DenseNormalCholeskySolver::DenseNormalCholeskySolver( const LinearSolver::Options& options) : options_(options) {} LinearSolver::Summary DenseNormalCholeskySolver::SolveImpl( DenseSparseMatrix* A, const double* b, const LinearSolver::PerSolveOptions& per_solve_options, double* x) { if (options_.dense_linear_algebra_library_type == EIGEN) { return SolveUsingEigen(A, b, per_solve_options, x); } else { return SolveUsingLAPACK(A, b, per_solve_options, x); } } LinearSolver::Summary DenseNormalCholeskySolver::SolveUsingEigen( DenseSparseMatrix* A, const double* b, const LinearSolver::PerSolveOptions& per_solve_options, double* x) { EventLogger event_logger("DenseNormalCholeskySolver::Solve"); const int num_rows = A->num_rows(); const int num_cols = A->num_cols(); ConstColMajorMatrixRef Aref = A->matrix(); Matrix lhs(num_cols, num_cols); lhs.setZero(); event_logger.AddEvent("Setup"); // lhs += A'A // // Using rankUpdate instead of GEMM, exposes the fact that its the // same matrix being multiplied with itself and that the product is // symmetric. lhs.selfadjointView().rankUpdate(Aref.transpose()); // rhs = A'b Vector rhs = Aref.transpose() * ConstVectorRef(b, num_rows); if (per_solve_options.D != NULL) { ConstVectorRef D(per_solve_options.D, num_cols); lhs += D.array().square().matrix().asDiagonal(); } event_logger.AddEvent("Product"); LinearSolver::Summary summary; summary.num_iterations = 1; summary.termination_type = LINEAR_SOLVER_SUCCESS; Eigen::LLT llt = lhs.selfadjointView().llt(); if (llt.info() != Eigen::Success) { summary.termination_type = LINEAR_SOLVER_FAILURE; summary.message = "Eigen LLT decomposition failed."; } else { summary.termination_type = LINEAR_SOLVER_SUCCESS; summary.message = "Success."; } VectorRef(x, num_cols) = llt.solve(rhs); event_logger.AddEvent("Solve"); return summary; } LinearSolver::Summary DenseNormalCholeskySolver::SolveUsingLAPACK( DenseSparseMatrix* A, const double* b, const LinearSolver::PerSolveOptions& per_solve_options, double* x) { EventLogger event_logger("DenseNormalCholeskySolver::Solve"); if (per_solve_options.D != NULL) { // Temporarily append a diagonal block to the A matrix, but undo // it before returning the matrix to the user. A->AppendDiagonal(per_solve_options.D); } const int num_cols = A->num_cols(); Matrix lhs(num_cols, num_cols); event_logger.AddEvent("Setup"); // lhs = A'A // // Note: This is a bit delicate, it assumes that the stride on this // matrix is the same as the number of rows. BLAS::SymmetricRankKUpdate(A->num_rows(), num_cols, A->values(), true, 1.0, 0.0, lhs.data()); if (per_solve_options.D != NULL) { // Undo the modifications to the matrix A. A->RemoveDiagonal(); } // TODO(sameeragarwal): Replace this with a gemv call for true blasness. // rhs = A'b VectorRef(x, num_cols) = A->matrix().transpose() * ConstVectorRef(b, A->num_rows()); event_logger.AddEvent("Product"); LinearSolver::Summary summary; summary.num_iterations = 1; summary.termination_type = LAPACK::SolveInPlaceUsingCholesky(num_cols, lhs.data(), x, &summary.message); event_logger.AddEvent("Solve"); return summary; } } // namespace internal } // namespace ceres