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//
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6// modification, are permitted provided that the following conditions are met:
7//
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9//   this list of conditions and the following disclaimer.
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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
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28//
29// Author: sameeragarwal@google.com (Sameer Agarwal)
30
31#ifndef CERES_INTERNAL_LEVENBERG_MARQUARDT_STRATEGY_H_
32#define CERES_INTERNAL_LEVENBERG_MARQUARDT_STRATEGY_H_
33
34#include "ceres/internal/eigen.h"
35#include "ceres/trust_region_strategy.h"
36
37namespace ceres {
38namespace internal {
39
40// Levenberg-Marquardt step computation and trust region sizing
41// strategy based on on "Methods for Nonlinear Least Squares" by
42// K. Madsen, H.B. Nielsen and O. Tingleff. Available to download from
43//
44// http://www2.imm.dtu.dk/pubdb/views/edoc_download.php/3215/pdf/imm3215.pdf
45class LevenbergMarquardtStrategy : public TrustRegionStrategy {
46 public:
47  explicit LevenbergMarquardtStrategy(
48      const TrustRegionStrategy::Options& options);
49  virtual ~LevenbergMarquardtStrategy();
50
51  // TrustRegionStrategy interface
52  virtual TrustRegionStrategy::Summary ComputeStep(
53      const TrustRegionStrategy::PerSolveOptions& per_solve_options,
54      SparseMatrix* jacobian,
55      const double* residuals,
56      double* step);
57  virtual void StepAccepted(double step_quality);
58  virtual void StepRejected(double step_quality);
59  virtual void StepIsInvalid() {
60    // Treat the current step as a rejected step with no increase in
61    // solution quality. Since rejected steps lead to decrease in the
62    // size of the trust region, the next time ComputeStep is called,
63    // this will lead to a better conditioned system.
64    StepRejected(0.0);
65  }
66
67  virtual double Radius() const;
68
69 private:
70  LinearSolver* linear_solver_;
71  double radius_;
72  double max_radius_;
73  const double min_diagonal_;
74  const double max_diagonal_;
75  double decrease_factor_;
76  bool reuse_diagonal_;
77  Vector diagonal_;   // diagonal_ =  diag(J'J)
78  // Scaled copy of diagonal_. Stored here as optimization to prevent
79  // allocations in every iteration and reuse when a step fails and
80  // ComputeStep is called again.
81  Vector lm_diagonal_;  // lm_diagonal_ = diagonal_ / radius_;
82};
83
84}  // namespace internal
85}  // namespace ceres
86
87#endif  // CERES_INTERNAL_LEVENBERG_MARQUARDT_STRATEGY_H_
88