1// Ceres Solver - A fast non-linear least squares minimizer
2// Copyright 2012 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@google.com (Sameer Agarwal)
30
31#ifndef CERES_INTERNAL_TRUST_REGION_STRATEGY_H_
32#define CERES_INTERNAL_TRUST_REGION_STRATEGY_H_
33
34#include <string>
35#include "ceres/internal/port.h"
36#include "ceres/linear_solver.h"
37
38namespace ceres {
39namespace internal {
40
41class LinearSolver;
42class SparseMatrix;
43
44// Interface for classes implementing various trust region strategies
45// for nonlinear least squares problems.
46//
47// The object is expected to maintain and update a trust region
48// radius, which it then uses to solve for the trust region step using
49// the jacobian matrix and residual vector.
50//
51// Here the term trust region radius is used loosely, as the strategy
52// is free to treat it as guidance and violate it as need be. e.g.,
53// the LevenbergMarquardtStrategy uses the inverse of the trust region
54// radius to scale the damping term, which controls the step size, but
55// does not set a hard limit on its size.
56class TrustRegionStrategy {
57 public:
58  struct Options {
59    Options()
60        : trust_region_strategy_type(LEVENBERG_MARQUARDT),
61          initial_radius(1e4),
62          max_radius(1e32),
63          min_lm_diagonal(1e-6),
64          max_lm_diagonal(1e32),
65          dogleg_type(TRADITIONAL_DOGLEG) {
66    }
67
68    TrustRegionStrategyType trust_region_strategy_type;
69    // Linear solver used for actually solving the trust region step.
70    LinearSolver* linear_solver;
71    double initial_radius;
72    double max_radius;
73
74    // Minimum and maximum values of the diagonal damping matrix used
75    // by LevenbergMarquardtStrategy. The DoglegStrategy also uses
76    // these bounds to construct a regularizing diagonal to ensure
77    // that the Gauss-Newton step computation is of full rank.
78    double min_lm_diagonal;
79    double max_lm_diagonal;
80
81    // Further specify which dogleg method to use
82    DoglegType dogleg_type;
83  };
84
85  // Per solve options.
86  struct PerSolveOptions {
87    PerSolveOptions()
88        : eta(0),
89          dump_filename_base(""),
90          dump_format_type(TEXTFILE) {
91    }
92
93    // Forcing sequence for inexact solves.
94    double eta;
95
96    // If non-empty and dump_format_type is not CONSOLE, the trust
97    // regions strategy will write the linear system to file(s) with
98    // name starting with dump_filename_base.  If dump_format_type is
99    // CONSOLE then dump_filename_base will be ignored and the linear
100    // system will be written to the standard error.
101    string dump_filename_base;
102    DumpFormatType dump_format_type;
103  };
104
105  struct Summary {
106    Summary()
107        : residual_norm(0.0),
108          num_iterations(-1),
109          termination_type(LINEAR_SOLVER_FAILURE) {
110    }
111
112    // If the trust region problem is,
113    //
114    //   1/2 x'Ax + b'x + c,
115    //
116    // then
117    //
118    //   residual_norm = |Ax -b|
119    double residual_norm;
120
121    // Number of iterations used by the linear solver. If a linear
122    // solver was not called (e.g., DogLegStrategy after an
123    // unsuccessful step), then this would be zero.
124    int num_iterations;
125
126    // Status of the linear solver used to solve the Newton system.
127    LinearSolverTerminationType termination_type;
128  };
129
130  virtual ~TrustRegionStrategy();
131
132  // Use the current radius to solve for the trust region step.
133  virtual Summary ComputeStep(const PerSolveOptions& per_solve_options,
134                              SparseMatrix* jacobian,
135                              const double* residuals,
136                              double* step) = 0;
137
138  // Inform the strategy that the current step has been accepted, and
139  // that the ratio of the decrease in the non-linear objective to the
140  // decrease in the trust region model is step_quality.
141  virtual void StepAccepted(double step_quality) = 0;
142
143  // Inform the strategy that the current step has been rejected, and
144  // that the ratio of the decrease in the non-linear objective to the
145  // decrease in the trust region model is step_quality.
146  virtual void StepRejected(double step_quality) = 0;
147
148  // Inform the strategy that the current step has been rejected
149  // because it was found to be numerically invalid.
150  // StepRejected/StepAccepted will not be called for this step, and
151  // the strategy is free to do what it wants with this information.
152  virtual void StepIsInvalid() = 0;
153
154  // Current trust region radius.
155  virtual double Radius() const = 0;
156
157  // Factory.
158  static TrustRegionStrategy* Create(const Options& options);
159};
160
161}  // namespace internal
162}  // namespace ceres
163
164#endif  // CERES_INTERNAL_TRUST_REGION_STRATEGY_H_
165