// Ceres Solver - A fast non-linear least squares minimizer // Copyright 2013 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/incomplete_lq_factorization.h" #include <vector> #include <utility> #include <cmath> #include "ceres/compressed_row_sparse_matrix.h" #include "ceres/internal/eigen.h" #include "ceres/internal/port.h" #include "glog/logging.h" namespace ceres { namespace internal { // Normalize a row and return it's norm. inline double NormalizeRow(const int row, CompressedRowSparseMatrix* matrix) { const int row_begin = matrix->rows()[row]; const int row_end = matrix->rows()[row + 1]; double* values = matrix->mutable_values(); double norm = 0.0; for (int i = row_begin; i < row_end; ++i) { norm += values[i] * values[i]; } norm = sqrt(norm); const double inverse_norm = 1.0 / norm; for (int i = row_begin; i < row_end; ++i) { values[i] *= inverse_norm; } return norm; } // Compute a(row_a,:) * b(row_b, :)' inline double RowDotProduct(const CompressedRowSparseMatrix& a, const int row_a, const CompressedRowSparseMatrix& b, const int row_b) { const int* a_rows = a.rows(); const int* a_cols = a.cols(); const double* a_values = a.values(); const int* b_rows = b.rows(); const int* b_cols = b.cols(); const double* b_values = b.values(); const int row_a_end = a_rows[row_a + 1]; const int row_b_end = b_rows[row_b + 1]; int idx_a = a_rows[row_a]; int idx_b = b_rows[row_b]; double dot_product = 0.0; while (idx_a < row_a_end && idx_b < row_b_end) { if (a_cols[idx_a] == b_cols[idx_b]) { dot_product += a_values[idx_a++] * b_values[idx_b++]; } while (a_cols[idx_a] < b_cols[idx_b] && idx_a < row_a_end) { ++idx_a; } while (a_cols[idx_a] > b_cols[idx_b] && idx_b < row_b_end) { ++idx_b; } } return dot_product; } struct SecondGreaterThan { public: bool operator()(const pair<int, double>& lhs, const pair<int, double>& rhs) const { return (fabs(lhs.second) > fabs(rhs.second)); } }; // In the row vector dense_row(0:num_cols), drop values smaller than // the max_value * drop_tolerance. Of the remaining non-zero values, // choose at most level_of_fill values and then add the resulting row // vector to matrix. void DropEntriesAndAddRow(const Vector& dense_row, const int num_entries, const int level_of_fill, const double drop_tolerance, vector<pair<int, double> >* scratch, CompressedRowSparseMatrix* matrix) { int* rows = matrix->mutable_rows(); int* cols = matrix->mutable_cols(); double* values = matrix->mutable_values(); int num_nonzeros = rows[matrix->num_rows()]; if (num_entries == 0) { matrix->set_num_rows(matrix->num_rows() + 1); rows[matrix->num_rows()] = num_nonzeros; return; } const double max_value = dense_row.head(num_entries).cwiseAbs().maxCoeff(); const double threshold = drop_tolerance * max_value; int scratch_count = 0; for (int i = 0; i < num_entries; ++i) { if (fabs(dense_row[i]) > threshold) { pair<int, double>& entry = (*scratch)[scratch_count]; entry.first = i; entry.second = dense_row[i]; ++scratch_count; } } if (scratch_count > level_of_fill) { nth_element(scratch->begin(), scratch->begin() + level_of_fill, scratch->begin() + scratch_count, SecondGreaterThan()); scratch_count = level_of_fill; sort(scratch->begin(), scratch->begin() + scratch_count); } for (int i = 0; i < scratch_count; ++i) { const pair<int, double>& entry = (*scratch)[i]; cols[num_nonzeros] = entry.first; values[num_nonzeros] = entry.second; ++num_nonzeros; } matrix->set_num_rows(matrix->num_rows() + 1); rows[matrix->num_rows()] = num_nonzeros; } // Saad's Incomplete LQ factorization algorithm. CompressedRowSparseMatrix* IncompleteLQFactorization( const CompressedRowSparseMatrix& matrix, const int l_level_of_fill, const double l_drop_tolerance, const int q_level_of_fill, const double q_drop_tolerance) { const int num_rows = matrix.num_rows(); const int num_cols = matrix.num_cols(); const int* rows = matrix.rows(); const int* cols = matrix.cols(); const double* values = matrix.values(); CompressedRowSparseMatrix* l = new CompressedRowSparseMatrix(num_rows, num_rows, l_level_of_fill * num_rows); l->set_num_rows(0); CompressedRowSparseMatrix q(num_rows, num_cols, q_level_of_fill * num_rows); q.set_num_rows(0); int* l_rows = l->mutable_rows(); int* l_cols = l->mutable_cols(); double* l_values = l->mutable_values(); int* q_rows = q.mutable_rows(); int* q_cols = q.mutable_cols(); double* q_values = q.mutable_values(); Vector l_i(num_rows); Vector q_i(num_cols); vector<pair<int, double> > scratch(num_cols); for (int i = 0; i < num_rows; ++i) { // l_i = q * matrix(i,:)'); l_i.setZero(); for (int j = 0; j < i; ++j) { l_i(j) = RowDotProduct(matrix, i, q, j); } DropEntriesAndAddRow(l_i, i, l_level_of_fill, l_drop_tolerance, &scratch, l); // q_i = matrix(i,:) - q(0:i-1,:) * l_i); q_i.setZero(); for (int idx = rows[i]; idx < rows[i + 1]; ++idx) { q_i(cols[idx]) = values[idx]; } for (int j = l_rows[i]; j < l_rows[i + 1]; ++j) { const int r = l_cols[j]; const double lij = l_values[j]; for (int idx = q_rows[r]; idx < q_rows[r + 1]; ++idx) { q_i(q_cols[idx]) -= lij * q_values[idx]; } } DropEntriesAndAddRow(q_i, num_cols, q_level_of_fill, q_drop_tolerance, &scratch, &q); // lii = |qi| l_cols[l->num_nonzeros()] = i; l_values[l->num_nonzeros()] = NormalizeRow(i, &q); l_rows[l->num_rows()] += 1; } return l; } } // namespace internal } // namespace ceres