// Ceres Solver - A fast non-linear least squares minimizer // Copyright 2014 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/internal/port.h" #include <algorithm> #include <ctime> #include <set> #include <vector> #include "ceres/block_random_access_dense_matrix.h" #include "ceres/block_random_access_matrix.h" #include "ceres/block_random_access_sparse_matrix.h" #include "ceres/block_sparse_matrix.h" #include "ceres/block_structure.h" #include "ceres/cxsparse.h" #include "ceres/detect_structure.h" #include "ceres/internal/eigen.h" #include "ceres/internal/scoped_ptr.h" #include "ceres/lapack.h" #include "ceres/linear_solver.h" #include "ceres/schur_complement_solver.h" #include "ceres/suitesparse.h" #include "ceres/triplet_sparse_matrix.h" #include "ceres/types.h" #include "ceres/wall_time.h" #include "Eigen/Dense" #include "Eigen/SparseCore" namespace ceres { namespace internal { LinearSolver::Summary SchurComplementSolver::SolveImpl( BlockSparseMatrix* A, const double* b, const LinearSolver::PerSolveOptions& per_solve_options, double* x) { EventLogger event_logger("SchurComplementSolver::Solve"); if (eliminator_.get() == NULL) { InitStorage(A->block_structure()); DetectStructure(*A->block_structure(), options_.elimination_groups[0], &options_.row_block_size, &options_.e_block_size, &options_.f_block_size); eliminator_.reset(CHECK_NOTNULL(SchurEliminatorBase::Create(options_))); eliminator_->Init(options_.elimination_groups[0], A->block_structure()); }; fill(x, x + A->num_cols(), 0.0); event_logger.AddEvent("Setup"); eliminator_->Eliminate(A, b, per_solve_options.D, lhs_.get(), rhs_.get()); event_logger.AddEvent("Eliminate"); double* reduced_solution = x + A->num_cols() - lhs_->num_cols(); const LinearSolver::Summary summary = SolveReducedLinearSystem(reduced_solution); event_logger.AddEvent("ReducedSolve"); if (summary.termination_type == LINEAR_SOLVER_SUCCESS) { eliminator_->BackSubstitute(A, b, per_solve_options.D, reduced_solution, x); event_logger.AddEvent("BackSubstitute"); } return summary; } // Initialize a BlockRandomAccessDenseMatrix to store the Schur // complement. void DenseSchurComplementSolver::InitStorage( const CompressedRowBlockStructure* bs) { const int num_eliminate_blocks = options().elimination_groups[0]; const int num_col_blocks = bs->cols.size(); vector<int> blocks(num_col_blocks - num_eliminate_blocks, 0); for (int i = num_eliminate_blocks, j = 0; i < num_col_blocks; ++i, ++j) { blocks[j] = bs->cols[i].size; } set_lhs(new BlockRandomAccessDenseMatrix(blocks)); set_rhs(new double[lhs()->num_rows()]); } // Solve the system Sx = r, assuming that the matrix S is stored in a // BlockRandomAccessDenseMatrix. The linear system is solved using // Eigen's Cholesky factorization. LinearSolver::Summary DenseSchurComplementSolver::SolveReducedLinearSystem(double* solution) { LinearSolver::Summary summary; summary.num_iterations = 0; summary.termination_type = LINEAR_SOLVER_SUCCESS; summary.message = "Success."; const BlockRandomAccessDenseMatrix* m = down_cast<const BlockRandomAccessDenseMatrix*>(lhs()); const int num_rows = m->num_rows(); // The case where there are no f blocks, and the system is block // diagonal. if (num_rows == 0) { return summary; } summary.num_iterations = 1; if (options().dense_linear_algebra_library_type == EIGEN) { Eigen::LLT<Matrix, Eigen::Upper> llt = ConstMatrixRef(m->values(), num_rows, num_rows) .selfadjointView<Eigen::Upper>() .llt(); if (llt.info() != Eigen::Success) { summary.termination_type = LINEAR_SOLVER_FAILURE; summary.message = "Eigen failure. Unable to perform dense Cholesky factorization."; return summary; } VectorRef(solution, num_rows) = llt.solve(ConstVectorRef(rhs(), num_rows)); } else { VectorRef(solution, num_rows) = ConstVectorRef(rhs(), num_rows); summary.termination_type = LAPACK::SolveInPlaceUsingCholesky(num_rows, m->values(), solution, &summary.message); } return summary; } SparseSchurComplementSolver::SparseSchurComplementSolver( const LinearSolver::Options& options) : SchurComplementSolver(options), factor_(NULL), cxsparse_factor_(NULL) { } SparseSchurComplementSolver::~SparseSchurComplementSolver() { if (factor_ != NULL) { ss_.Free(factor_); factor_ = NULL; } if (cxsparse_factor_ != NULL) { cxsparse_.Free(cxsparse_factor_); cxsparse_factor_ = NULL; } } // Determine the non-zero blocks in the Schur Complement matrix, and // initialize a BlockRandomAccessSparseMatrix object. void SparseSchurComplementSolver::InitStorage( const CompressedRowBlockStructure* bs) { const int num_eliminate_blocks = options().elimination_groups[0]; const int num_col_blocks = bs->cols.size(); const int num_row_blocks = bs->rows.size(); blocks_.resize(num_col_blocks - num_eliminate_blocks, 0); for (int i = num_eliminate_blocks; i < num_col_blocks; ++i) { blocks_[i - num_eliminate_blocks] = bs->cols[i].size; } set<pair<int, int> > block_pairs; for (int i = 0; i < blocks_.size(); ++i) { block_pairs.insert(make_pair(i, i)); } int r = 0; while (r < num_row_blocks) { int e_block_id = bs->rows[r].cells.front().block_id; if (e_block_id >= num_eliminate_blocks) { break; } vector<int> f_blocks; // Add to the chunk until the first block in the row is // different than the one in the first row for the chunk. for (; r < num_row_blocks; ++r) { const CompressedRow& row = bs->rows[r]; if (row.cells.front().block_id != e_block_id) { break; } // Iterate over the blocks in the row, ignoring the first // block since it is the one to be eliminated. for (int c = 1; c < row.cells.size(); ++c) { const Cell& cell = row.cells[c]; f_blocks.push_back(cell.block_id - num_eliminate_blocks); } } sort(f_blocks.begin(), f_blocks.end()); f_blocks.erase(unique(f_blocks.begin(), f_blocks.end()), f_blocks.end()); for (int i = 0; i < f_blocks.size(); ++i) { for (int j = i + 1; j < f_blocks.size(); ++j) { block_pairs.insert(make_pair(f_blocks[i], f_blocks[j])); } } } // Remaing rows do not contribute to the chunks and directly go // into the schur complement via an outer product. for (; r < num_row_blocks; ++r) { const CompressedRow& row = bs->rows[r]; CHECK_GE(row.cells.front().block_id, num_eliminate_blocks); for (int i = 0; i < row.cells.size(); ++i) { int r_block1_id = row.cells[i].block_id - num_eliminate_blocks; for (int j = 0; j < row.cells.size(); ++j) { int r_block2_id = row.cells[j].block_id - num_eliminate_blocks; if (r_block1_id <= r_block2_id) { block_pairs.insert(make_pair(r_block1_id, r_block2_id)); } } } } set_lhs(new BlockRandomAccessSparseMatrix(blocks_, block_pairs)); set_rhs(new double[lhs()->num_rows()]); } LinearSolver::Summary SparseSchurComplementSolver::SolveReducedLinearSystem(double* solution) { switch (options().sparse_linear_algebra_library_type) { case SUITE_SPARSE: return SolveReducedLinearSystemUsingSuiteSparse(solution); case CX_SPARSE: return SolveReducedLinearSystemUsingCXSparse(solution); case EIGEN_SPARSE: return SolveReducedLinearSystemUsingEigen(solution); default: LOG(FATAL) << "Unknown sparse linear algebra library : " << options().sparse_linear_algebra_library_type; } return LinearSolver::Summary(); } // Solve the system Sx = r, assuming that the matrix S is stored in a // BlockRandomAccessSparseMatrix. The linear system is solved using // CHOLMOD's sparse cholesky factorization routines. LinearSolver::Summary SparseSchurComplementSolver::SolveReducedLinearSystemUsingSuiteSparse( double* solution) { #ifdef CERES_NO_SUITESPARSE LinearSolver::Summary summary; summary.num_iterations = 0; summary.termination_type = LINEAR_SOLVER_FATAL_ERROR; summary.message = "Ceres was not built with SuiteSparse support. " "Therefore, SPARSE_SCHUR cannot be used with SUITE_SPARSE"; return summary; #else LinearSolver::Summary summary; summary.num_iterations = 0; summary.termination_type = LINEAR_SOLVER_SUCCESS; summary.message = "Success."; TripletSparseMatrix* tsm = const_cast<TripletSparseMatrix*>( down_cast<const BlockRandomAccessSparseMatrix*>(lhs())->matrix()); const int num_rows = tsm->num_rows(); // The case where there are no f blocks, and the system is block // diagonal. if (num_rows == 0) { return summary; } summary.num_iterations = 1; cholmod_sparse* cholmod_lhs = NULL; if (options().use_postordering) { // If we are going to do a full symbolic analysis of the schur // complement matrix from scratch and not rely on the // pre-ordering, then the fastest path in cholmod_factorize is the // one corresponding to upper triangular matrices. // Create a upper triangular symmetric matrix. cholmod_lhs = ss_.CreateSparseMatrix(tsm); cholmod_lhs->stype = 1; if (factor_ == NULL) { factor_ = ss_.BlockAnalyzeCholesky(cholmod_lhs, blocks_, blocks_, &summary.message); } } else { // If we are going to use the natural ordering (i.e. rely on the // pre-ordering computed by solver_impl.cc), then the fastest // path in cholmod_factorize is the one corresponding to lower // triangular matrices. // Create a upper triangular symmetric matrix. cholmod_lhs = ss_.CreateSparseMatrixTranspose(tsm); cholmod_lhs->stype = -1; if (factor_ == NULL) { factor_ = ss_.AnalyzeCholeskyWithNaturalOrdering(cholmod_lhs, &summary.message); } } if (factor_ == NULL) { ss_.Free(cholmod_lhs); summary.termination_type = LINEAR_SOLVER_FATAL_ERROR; // No need to set message as it has already been set by the // symbolic analysis routines above. return summary; } summary.termination_type = ss_.Cholesky(cholmod_lhs, factor_, &summary.message); ss_.Free(cholmod_lhs); if (summary.termination_type != LINEAR_SOLVER_SUCCESS) { // No need to set message as it has already been set by the // numeric factorization routine above. return summary; } cholmod_dense* cholmod_rhs = ss_.CreateDenseVector(const_cast<double*>(rhs()), num_rows, num_rows); cholmod_dense* cholmod_solution = ss_.Solve(factor_, cholmod_rhs, &summary.message); ss_.Free(cholmod_rhs); if (cholmod_solution == NULL) { summary.message = "SuiteSparse failure. Unable to perform triangular solve."; summary.termination_type = LINEAR_SOLVER_FAILURE; return summary; } VectorRef(solution, num_rows) = VectorRef(static_cast<double*>(cholmod_solution->x), num_rows); ss_.Free(cholmod_solution); return summary; #endif // CERES_NO_SUITESPARSE } // Solve the system Sx = r, assuming that the matrix S is stored in a // BlockRandomAccessSparseMatrix. The linear system is solved using // CXSparse's sparse cholesky factorization routines. LinearSolver::Summary SparseSchurComplementSolver::SolveReducedLinearSystemUsingCXSparse( double* solution) { #ifdef CERES_NO_CXSPARSE LinearSolver::Summary summary; summary.num_iterations = 0; summary.termination_type = LINEAR_SOLVER_FATAL_ERROR; summary.message = "Ceres was not built with CXSparse support. " "Therefore, SPARSE_SCHUR cannot be used with CX_SPARSE"; return summary; #else LinearSolver::Summary summary; summary.num_iterations = 0; summary.termination_type = LINEAR_SOLVER_SUCCESS; summary.message = "Success."; // Extract the TripletSparseMatrix that is used for actually storing S. TripletSparseMatrix* tsm = const_cast<TripletSparseMatrix*>( down_cast<const BlockRandomAccessSparseMatrix*>(lhs())->matrix()); const int num_rows = tsm->num_rows(); // The case where there are no f blocks, and the system is block // diagonal. if (num_rows == 0) { return summary; } cs_di* lhs = CHECK_NOTNULL(cxsparse_.CreateSparseMatrix(tsm)); VectorRef(solution, num_rows) = ConstVectorRef(rhs(), num_rows); // Compute symbolic factorization if not available. if (cxsparse_factor_ == NULL) { cxsparse_factor_ = cxsparse_.BlockAnalyzeCholesky(lhs, blocks_, blocks_); } if (cxsparse_factor_ == NULL) { summary.termination_type = LINEAR_SOLVER_FATAL_ERROR; summary.message = "CXSparse failure. Unable to find symbolic factorization."; } else if (!cxsparse_.SolveCholesky(lhs, cxsparse_factor_, solution)) { summary.termination_type = LINEAR_SOLVER_FAILURE; summary.message = "CXSparse::SolveCholesky failed."; } cxsparse_.Free(lhs); return summary; #endif // CERES_NO_CXPARSE } // Solve the system Sx = r, assuming that the matrix S is stored in a // BlockRandomAccessSparseMatrix. The linear system is solved using // Eigen's sparse cholesky factorization routines. LinearSolver::Summary SparseSchurComplementSolver::SolveReducedLinearSystemUsingEigen( double* solution) { #ifndef CERES_USE_EIGEN_SPARSE LinearSolver::Summary summary; summary.num_iterations = 0; summary.termination_type = LINEAR_SOLVER_FATAL_ERROR; summary.message = "SPARSE_SCHUR cannot be used with EIGEN_SPARSE. " "Ceres was not built with support for " "Eigen's SimplicialLDLT decomposition. " "This requires enabling building with -DEIGENSPARSE=ON."; return summary; #else EventLogger event_logger("SchurComplementSolver::EigenSolve"); LinearSolver::Summary summary; summary.num_iterations = 0; summary.termination_type = LINEAR_SOLVER_SUCCESS; summary.message = "Success."; // Extract the TripletSparseMatrix that is used for actually storing S. TripletSparseMatrix* tsm = const_cast<TripletSparseMatrix*>( down_cast<const BlockRandomAccessSparseMatrix*>(lhs())->matrix()); const int num_rows = tsm->num_rows(); // The case where there are no f blocks, and the system is block // diagonal. if (num_rows == 0) { return summary; } // This is an upper triangular matrix. CompressedRowSparseMatrix crsm(*tsm); // Map this to a column major, lower triangular matrix. Eigen::MappedSparseMatrix<double, Eigen::ColMajor> eigen_lhs( crsm.num_rows(), crsm.num_rows(), crsm.num_nonzeros(), crsm.mutable_rows(), crsm.mutable_cols(), crsm.mutable_values()); event_logger.AddEvent("ToCompressedRowSparseMatrix"); // Compute symbolic factorization if one does not exist. if (simplicial_ldlt_.get() == NULL) { simplicial_ldlt_.reset(new SimplicialLDLT); // This ordering is quite bad. The scalar ordering produced by the // AMD algorithm is quite bad and can be an order of magnitude // worse than the one computed using the block version of the // algorithm. simplicial_ldlt_->analyzePattern(eigen_lhs); event_logger.AddEvent("Analysis"); if (simplicial_ldlt_->info() != Eigen::Success) { summary.termination_type = LINEAR_SOLVER_FATAL_ERROR; summary.message = "Eigen failure. Unable to find symbolic factorization."; return summary; } } simplicial_ldlt_->factorize(eigen_lhs); event_logger.AddEvent("Factorize"); if (simplicial_ldlt_->info() != Eigen::Success) { summary.termination_type = LINEAR_SOLVER_FAILURE; summary.message = "Eigen failure. Unable to find numeric factoriztion."; return summary; } VectorRef(solution, num_rows) = simplicial_ldlt_->solve(ConstVectorRef(rhs(), num_rows)); event_logger.AddEvent("Solve"); if (simplicial_ldlt_->info() != Eigen::Success) { summary.termination_type = LINEAR_SOLVER_FAILURE; summary.message = "Eigen failure. Unable to do triangular solve."; } return summary; #endif // CERES_USE_EIGEN_SPARSE } } // namespace internal } // namespace ceres