// Ceres Solver - A fast non-linear least squares minimizer // Copyright 2015 Google Inc. All rights reserved. // http://ceres-solver.org/ // // 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/schur_complement_solver.h" #include #include #include #include #include "Eigen/Dense" #include "Eigen/SparseCore" #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/conjugate_gradients_solver.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/sparse_cholesky.h" #include "ceres/triplet_sparse_matrix.h" #include "ceres/types.h" #include "ceres/wall_time.h" namespace ceres { namespace internal { using std::make_pair; using std::pair; using std::set; using std::vector; namespace { class BlockRandomAccessSparseMatrixAdapter : public LinearOperator { public: explicit BlockRandomAccessSparseMatrixAdapter( const BlockRandomAccessSparseMatrix& m) : m_(m) { } virtual ~BlockRandomAccessSparseMatrixAdapter() {} // y = y + Ax; virtual void RightMultiply(const double* x, double* y) const { m_.SymmetricRightMultiply(x, y); } // y = y + A'x; virtual void LeftMultiply(const double* x, double* y) const { m_.SymmetricRightMultiply(x, y); } virtual int num_rows() const { return m_.num_rows(); } virtual int num_cols() const { return m_.num_rows(); } private: const BlockRandomAccessSparseMatrix& m_; }; class BlockRandomAccessDiagonalMatrixAdapter : public LinearOperator { public: explicit BlockRandomAccessDiagonalMatrixAdapter( const BlockRandomAccessDiagonalMatrix& m) : m_(m) { } virtual ~BlockRandomAccessDiagonalMatrixAdapter() {} // y = y + Ax; virtual void RightMultiply(const double* x, double* y) const { m_.RightMultiply(x, y); } // y = y + A'x; virtual void LeftMultiply(const double* x, double* y) const { m_.RightMultiply(x, y); } virtual int num_rows() const { return m_.num_rows(); } virtual int num_cols() const { return m_.num_rows(); } private: const BlockRandomAccessDiagonalMatrix& m_; }; } // namespace 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_))); const bool kFullRankETE = true; eliminator_->Init( options_.elimination_groups[0], kFullRankETE, A->block_structure()); }; std::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(per_solve_options, 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 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( const LinearSolver::PerSolveOptions& per_solve_options, double* solution) { LinearSolver::Summary summary; summary.num_iterations = 0; summary.termination_type = LINEAR_SOLVER_SUCCESS; summary.message = "Success."; const BlockRandomAccessDenseMatrix* m = down_cast(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 llt = ConstMatrixRef(m->values(), num_rows, num_rows) .selfadjointView() .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) { if (options.type != ITERATIVE_SCHUR) { sparse_cholesky_.reset( SparseCholesky::Create(options.sparse_linear_algebra_library_type, options.use_postordering ? AMD : NATURAL)); } } SparseSchurComplementSolver::~SparseSchurComplementSolver() { } // 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 > 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 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( const LinearSolver::PerSolveOptions& per_solve_options, double* solution) { if (options().type == ITERATIVE_SCHUR) { return SolveReducedLinearSystemUsingConjugateGradients(per_solve_options, solution); } LinearSolver::Summary summary; summary.num_iterations = 0; summary.termination_type = LINEAR_SOLVER_SUCCESS; summary.message = "Success."; const TripletSparseMatrix* tsm = down_cast(lhs())->matrix(); if (tsm->num_rows() == 0) { return summary; } scoped_ptr lhs; const CompressedRowSparseMatrix::StorageType storage_type = sparse_cholesky_->StorageType(); if (storage_type == CompressedRowSparseMatrix::UPPER_TRIANGULAR) { lhs.reset(CompressedRowSparseMatrix::FromTripletSparseMatrix(*tsm)); lhs->set_storage_type(CompressedRowSparseMatrix::UPPER_TRIANGULAR); } else { lhs.reset( CompressedRowSparseMatrix::FromTripletSparseMatrixTransposed(*tsm)); lhs->set_storage_type(CompressedRowSparseMatrix::LOWER_TRIANGULAR); } *lhs->mutable_col_blocks() = blocks_; *lhs->mutable_row_blocks() = blocks_; summary.num_iterations = 1; summary.termination_type = sparse_cholesky_->FactorAndSolve( lhs.get(), rhs(), solution, &summary.message); return summary; } LinearSolver::Summary SparseSchurComplementSolver::SolveReducedLinearSystemUsingConjugateGradients( const LinearSolver::PerSolveOptions& per_solve_options, double* solution) { CHECK(options().use_explicit_schur_complement); const int num_rows = lhs()->num_rows(); // The case where there are no f blocks, and the system is block // diagonal. if (num_rows == 0) { LinearSolver::Summary summary; summary.num_iterations = 0; summary.termination_type = LINEAR_SOLVER_SUCCESS; summary.message = "Success."; return summary; } // Only SCHUR_JACOBI is supported over here right now. CHECK_EQ(options().preconditioner_type, SCHUR_JACOBI); if (preconditioner_.get() == NULL) { preconditioner_.reset(new BlockRandomAccessDiagonalMatrix(blocks_)); } BlockRandomAccessSparseMatrix* sc = down_cast( const_cast(lhs())); // Extract block diagonal from the Schur complement to construct the // schur_jacobi preconditioner. for (int i = 0; i < blocks_.size(); ++i) { const int block_size = blocks_[i]; int sc_r, sc_c, sc_row_stride, sc_col_stride; CellInfo* sc_cell_info = CHECK_NOTNULL(sc->GetCell(i, i, &sc_r, &sc_c, &sc_row_stride, &sc_col_stride)); MatrixRef sc_m(sc_cell_info->values, sc_row_stride, sc_col_stride); int pre_r, pre_c, pre_row_stride, pre_col_stride; CellInfo* pre_cell_info = CHECK_NOTNULL( preconditioner_->GetCell(i, i, &pre_r, &pre_c, &pre_row_stride, &pre_col_stride)); MatrixRef pre_m(pre_cell_info->values, pre_row_stride, pre_col_stride); pre_m.block(pre_r, pre_c, block_size, block_size) = sc_m.block(sc_r, sc_c, block_size, block_size); } preconditioner_->Invert(); VectorRef(solution, num_rows).setZero(); scoped_ptr lhs_adapter( new BlockRandomAccessSparseMatrixAdapter(*sc)); scoped_ptr preconditioner_adapter( new BlockRandomAccessDiagonalMatrixAdapter(*preconditioner_)); LinearSolver::Options cg_options; cg_options.min_num_iterations = options().min_num_iterations; cg_options.max_num_iterations = options().max_num_iterations; ConjugateGradientsSolver cg_solver(cg_options); LinearSolver::PerSolveOptions cg_per_solve_options; cg_per_solve_options.r_tolerance = per_solve_options.r_tolerance; cg_per_solve_options.q_tolerance = per_solve_options.q_tolerance; cg_per_solve_options.preconditioner = preconditioner_adapter.get(); return cg_solver.Solve(lhs_adapter.get(), rhs(), cg_per_solve_options, solution); } } // namespace internal } // namespace ceres