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added measure of fit between original and linearized model in LM

release/4.3a0
Luca 2014-01-27 22:02:02 -05:00
parent 7656ce8b05
commit 2a3575fcbc
3 changed files with 241 additions and 215 deletions
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.cproject
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@ -1,19 +1,17 @@
<?xml version="1.0" encoding="UTF-8" standalone="no"?>
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@ -62,13 +60,13 @@
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@ -118,13 +116,13 @@
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@ -542,14 +540,6 @@
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@ -576,6 +566,7 @@
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@ -583,6 +574,7 @@
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<target name="testBinaryBayesNet.run" path="inference" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
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@ -630,6 +622,7 @@
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@ -637,6 +630,7 @@
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@ -644,6 +638,7 @@
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@ -659,11 +654,20 @@
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@ -760,22 +764,6 @@
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@ -792,6 +780,22 @@
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@ -816,46 +820,6 @@
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@ -920,6 +884,46 @@
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@ -1330,6 +1334,7 @@
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@ -1337,6 +1342,7 @@
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@ -1344,6 +1350,7 @@
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@ -1511,6 +1518,7 @@
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@ -1556,22 +1564,6 @@
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@ -1652,6 +1644,22 @@
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@ -2014,7 +2022,6 @@
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@ -2054,7 +2061,6 @@
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@ -2062,7 +2068,6 @@
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@ -2350,7 +2355,6 @@
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@ -2372,102 +2376,6 @@
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@ -2669,6 +2577,7 @@
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@ -2676,6 +2585,7 @@
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@ -2683,6 +2593,7 @@
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<stopOnError>true</stopOnError>
<useDefaultCommand>false</useDefaultCommand>
@ -2690,6 +2601,7 @@
</target>
<target name="Generate TGZ Source Package" path="" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>cpack</buildCommand>
<buildArguments/>
<buildTarget>--config CPackSourceConfig.cmake</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>false</useDefaultCommand>
@ -2855,34 +2767,98 @@
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="testSpirit.run" path="build/wrap" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<target name="testRot3.run" path="geometry" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j5</buildArguments>
<buildTarget>testSpirit.run</buildTarget>
<buildArguments>-j2</buildArguments>
<buildTarget>testRot3.run</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="testWrap.run" path="build/wrap" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<target name="testRot2.run" path="geometry" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j5</buildArguments>
<buildTarget>testWrap.run</buildTarget>
<buildArguments>-j2</buildArguments>
<buildTarget>testRot2.run</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="check.wrap" path="build/wrap" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<target name="testPose3.run" path="geometry" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j5</buildArguments>
<buildTarget>check.wrap</buildTarget>
<buildArguments>-j2</buildArguments>
<buildTarget>testPose3.run</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="wrap" path="build/wrap" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<target name="timeRot3.run" path="geometry" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j5</buildArguments>
<buildTarget>wrap</buildTarget>
<buildArguments>-j2</buildArguments>
<buildTarget>timeRot3.run</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="testPose2.run" path="geometry" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j2</buildArguments>
<buildTarget>testPose2.run</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="testCal3_S2.run" path="geometry" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j2</buildArguments>
<buildTarget>testCal3_S2.run</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="testSimpleCamera.run" path="geometry" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j2</buildArguments>
<buildTarget>testSimpleCamera.run</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="testHomography2.run" path="geometry" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j2</buildArguments>
<buildTarget>testHomography2.run</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="testCalibratedCamera.run" path="geometry" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j2</buildArguments>
<buildTarget>testCalibratedCamera.run</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="check" path="geometry" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j2</buildArguments>
<buildTarget>check</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="clean" path="geometry" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j2</buildArguments>
<buildTarget>clean</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="testPoint2.run" path="geometry" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j2</buildArguments>
<buildTarget>testPoint2.run</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
@ -2926,6 +2902,38 @@
<useDefaultCommand>false</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="testSpirit.run" path="build/wrap" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j5</buildArguments>
<buildTarget>testSpirit.run</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="testWrap.run" path="build/wrap" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j5</buildArguments>
<buildTarget>testWrap.run</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="check.wrap" path="build/wrap" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j5</buildArguments>
<buildTarget>check.wrap</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
<target name="wrap" path="build/wrap" targetID="org.eclipse.cdt.build.MakeTargetBuilder">
<buildCommand>make</buildCommand>
<buildArguments>-j5</buildArguments>
<buildTarget>wrap</buildTarget>
<stopOnError>true</stopOnError>
<useDefaultCommand>true</useDefaultCommand>
<runAllBuilders>true</runAllBuilders>
</target>
</buildTargets>
</storageModule>
</cproject>

28
gtsam/nonlinear/LevenbergMarquardtOptimizer.cpp
View File

@ -20,6 +20,7 @@
#include <gtsam/linear/linearExceptions.h>
#include <gtsam/linear/GaussianFactorGraph.h>
#include <gtsam/linear/VectorValues.h>
#include <gtsam/linear/Errors.h>
#include <boost/algorithm/string.hpp>
#include <string>
@ -75,12 +76,12 @@ GaussianFactorGraph::shared_ptr LevenbergMarquardtOptimizer::linearize() const {
}
/* ************************************************************************* */
void LevenbergMarquardtOptimizer::increaseLambda(){
void LevenbergMarquardtOptimizer::increaseLambda(double stepQuality){
state_.lambda *= params_.lambdaFactor;
}
/* ************************************************************************* */
void LevenbergMarquardtOptimizer::decreaseLambda(){
void LevenbergMarquardtOptimizer::decreaseLambda(double stepQuality){
state_.lambda /= params_.lambdaFactor;
}
@ -98,6 +99,8 @@ void LevenbergMarquardtOptimizer::iterate() {
cout << "linearizing = " << endl;
GaussianFactorGraph::shared_ptr linear = linearize();
double modelMismatch = std::numeric_limits<size_t>::max();
// Keep increasing lambda until we make make progress
while (true) {
++state_.totalNumberInnerIterations;
@ -153,10 +156,25 @@ void LevenbergMarquardtOptimizer::iterate() {
if (lmVerbosity >= LevenbergMarquardtParams::TRYLAMBDA) cout << "next error = " << error << endl;
// oldCost - newCost
double costChange = state_.error - error;
// newLinearizedCost (scalar) = 1/2 [f + J * step]^2 = 1/2 [ f'f + 2f'J * step + step' * J' * J * step ]
// linearizedCostChange = oldCost - newLinearizedCost = f'f/2 - 1/2 [ f'f + 2f'J * step + step' * J' * J * step]
// = -f'J * step - step' * J' * J * step / 2 = -(f' + modelResidual') * (modelResidual)
// (with modelResidual = J * step)
Errors modelResidualList = (*linear) * delta; // modelResidual = A * delta
Vector modelResidual = concatVectors(modelResidualList); // TODO: is this an ordered list?
Vector residuals = - linear->jacobian().second; // TODO: optimize this computation, TODO: is there a minus sign?
double linearizedCostChange = dot(- modelResidual, (residuals + modelResidual / 2.0) );
// Measure of mismatch between original (usually nonlinear) system and its linearized version
modelMismatch = costChange / linearizedCostChange;
if (error <= state_.error) {
state_.values.swap(newValues);
state_.error = error;
decreaseLambda();
decreaseLambda(modelMismatch);
break;
} else {
// Either we're not cautious, or the same lambda was worse than the current error.
@ -170,7 +188,7 @@ void LevenbergMarquardtOptimizer::iterate() {
if (lmVerbosity >= LevenbergMarquardtParams::TRYLAMBDA)
cout << "increasing lambda: old error (" << state_.error << ") new error (" << error << ")" << endl;
increaseLambda();
increaseLambda(modelMismatch);
}
}
} catch (IndeterminantLinearSystemException& e) {
@ -185,7 +203,7 @@ void LevenbergMarquardtOptimizer::iterate() {
cout << "Warning: Levenberg-Marquardt giving up because cannot decrease error with maximum lambda" << endl;
break;
} else {
increaseLambda();
increaseLambda(modelMismatch);
}
}
// Frank asks: why would we do that?

8
gtsam/nonlinear/LevenbergMarquardtOptimizer.h
View File

@ -181,11 +181,11 @@ public:
return state_.lambda;
}
// Apply policy to increase lambda if the current update was successful
virtual void increaseLambda();
// Apply policy to increase lambda if the current update was successful (stepQuality not used in the naive policy)
virtual void increaseLambda(double stepQuality);
// Apply policy to decrease lambda if the current update was NOT successful
virtual void decreaseLambda();
// Apply policy to decrease lambda if the current update was NOT successful (stepQuality not used in the naive policy)
virtual void decreaseLambda(double stepQuality);
/// Access the current number of inner iterations
int getInnerIterations() const {