/** * NonlinearOptimizer-inl.h * This is a template definition file, include it where needed (only!) * so that the appropriate code is generated and link errors avoided. * @brief: Encapsulates nonlinear optimization state * @Author: Frank Dellaert * Created on: Sep 7, 2009 */ #pragma once #include #include #include "NonlinearOptimizer.h" #define INSTANTIATE_NONLINEAR_OPTIMIZER(G,C) \ template class NonlinearOptimizer; using namespace std; namespace gtsam { /* ************************************************************************* */ inline bool check_convergence(double relativeErrorTreshold, double absoluteErrorTreshold, double currentError, double newError, int verbosity) { // check if diverges double absoluteDecrease = currentError - newError; if (verbosity >= 2) { if (absoluteDecrease < absoluteErrorTreshold) cout << "absoluteDecrease: " << absoluteDecrease << " < " << absoluteErrorTreshold << endl; else cout << "absoluteDecrease: " << absoluteDecrease << " >= " << absoluteErrorTreshold << endl; } // calculate relative error decrease and update currentError double relativeDecrease = absoluteDecrease / currentError; if (verbosity >= 2) { if (relativeDecrease < relativeErrorTreshold) cout << "relativeDecrease: " << relativeDecrease << " < " << relativeErrorTreshold << endl; else cout << "relativeDecrease: " << relativeDecrease << " >= " << relativeErrorTreshold << endl; } bool converged = (relativeDecrease < relativeErrorTreshold) || (absoluteDecrease < absoluteErrorTreshold); if (verbosity >= 1 && converged) cout << "converged" << endl; return converged; } /* ************************************************************************* */ template NonlinearOptimizer::NonlinearOptimizer(shared_graph graph, shared_config config, shared_solver solver, double lambda) : graph_(graph), config_(config), lambda_(lambda), solver_(solver) { if (!graph) throw std::invalid_argument( "NonlinearOptimizer constructor: graph = NULL"); if (!config) throw std::invalid_argument( "NonlinearOptimizer constructor: config = NULL"); if (!solver) throw std::invalid_argument( "NonlinearOptimizer constructor: solver = NULL"); error_ = graph->error(*config); } /* ************************************************************************* */ // linearize and optimize /* ************************************************************************* */ template VectorConfig NonlinearOptimizer::linearizeAndOptimizeForDelta() const { boost::shared_ptr linearized = solver_->linearize(*graph_, *config_); NonlinearOptimizer prepared(graph_, config_, solver_->prepareLinear(*linearized), error_, lambda_); return prepared.solver_->optimize(*linearized); } /* ************************************************************************* */ // One iteration of Gauss Newton /* ************************************************************************* */ template NonlinearOptimizer NonlinearOptimizer::iterate( verbosityLevel verbosity) const { // linearize and optimize VectorConfig delta = linearizeAndOptimizeForDelta(); // maybe show output if (verbosity >= DELTA) delta.print("delta"); // take old config and update it shared_config newConfig(new C(expmap(*config_,delta))); // maybe show output if (verbosity >= CONFIG) newConfig->print("newConfig"); NonlinearOptimizer newOptimizer = NonlinearOptimizer(graph_, newConfig, solver_, lambda_); if (verbosity >= ERROR) cout << "error: " << newOptimizer.error_ << endl; return newOptimizer; } /* ************************************************************************* */ template NonlinearOptimizer NonlinearOptimizer::gaussNewton( double relativeThreshold, double absoluteThreshold, verbosityLevel verbosity, int maxIterations) const { static W writer(error_); // check if we're already close enough if (error_ < absoluteThreshold) { if (verbosity >= ERROR) cout << "Exiting, as error = " << error_ << " < absoluteThreshold (" << absoluteThreshold << ")" << endl; return *this; } // linearize, solve, update NonlinearOptimizer next = iterate(verbosity); writer.write(next.error_); // check convergence bool converged = gtsam::check_convergence(relativeThreshold, absoluteThreshold, error_, next.error_, verbosity); // return converged state or iterate if (converged) return next; else return next.gaussNewton(relativeThreshold, absoluteThreshold, verbosity); } /* ************************************************************************* */ // Recursively try to do tempered Gauss-Newton steps until we succeed. // Form damped system with given lambda, and return a new, more optimistic // optimizer if error decreased or recurse with a larger lambda if not. // TODO: in theory we can't infinitely recurse, but maybe we should put a max. /* ************************************************************************* */ template NonlinearOptimizer NonlinearOptimizer::try_lambda( const L& linear, verbosityLevel verbosity, double factor, LambdaMode lambdaMode) const { if (verbosity >= TRYLAMBDA) cout << "trying lambda = " << lambda_ << endl; // add prior-factors L damped = linear.add_priors(1.0/sqrt(lambda_)); if (verbosity >= DAMPED) damped.print("damped"); // solve VectorConfig delta = solver_->optimize(damped); if (verbosity >= TRYDELTA) delta.print("delta"); // update config shared_config newConfig(new C(expmap(*config_,delta))); // TODO: updateConfig // if (verbosity >= TRYCONFIG) // newConfig->print("config"); // create new optimization state with more adventurous lambda NonlinearOptimizer next(graph_, newConfig, solver_, lambda_ / factor); if (verbosity >= TRYLAMBDA) cout << "next error = " << next.error_ << endl; if(lambdaMode >= CAUTIOUS) { throw runtime_error("CAUTIOUS mode not working yet, please use BOUNDED."); } if(next.error_ <= error_) { // If we're cautious, see if the current lambda is better // todo: include stopping criterion here? if(lambdaMode == CAUTIOUS) { NonlinearOptimizer sameLambda(graph_, newConfig, solver_, lambda_); if(sameLambda.error_ <= next.error_) return sameLambda; } // Either we're not cautious, or we are but the adventerous lambda is better than the same one. return next; } else if (lambda_ > 1e+10) // if lambda gets too big, something is broken throw runtime_error("Lambda has grown too large!"); else { // A more adventerous lambda was worse. If we're cautious, try the same lambda. if(lambdaMode == CAUTIOUS) { NonlinearOptimizer sameLambda(graph_, newConfig, solver_, lambda_); if(sameLambda.error_ <= error_) return sameLambda; } // Either we're not cautious, or the same lambda was worse than the current error. // The more adventerous lambda was worse too, so make lambda more conservative // and keep the same config. // TODO: can we avoid copying the config ? if(lambdaMode >= BOUNDED && lambda_ >= 1.0e5) { return NonlinearOptimizer(graph_, newConfig, solver_, lambda_);; } else { NonlinearOptimizer cautious(graph_, config_, solver_, lambda_ * factor); return cautious.try_lambda(linear, verbosity, factor, lambdaMode); } } } /* ************************************************************************* */ // One iteration of Levenberg Marquardt /* ************************************************************************* */ template NonlinearOptimizer NonlinearOptimizer::iterateLM( verbosityLevel verbosity, double lambdaFactor, LambdaMode lambdaMode) const { // maybe show output if (verbosity >= CONFIG) config_->print("config"); if (verbosity >= ERROR) cout << "error: " << error_ << endl; if (verbosity >= LAMBDA) cout << "lambda = " << lambda_ << endl; // linearize all factors once boost::shared_ptr linear = solver_->linearize(*graph_, *config_); NonlinearOptimizer prepared(graph_, config_, solver_->prepareLinear(*linear), error_, lambda_); if (verbosity >= LINEAR) linear->print("linear"); // try lambda steps with successively larger lambda until we achieve descent if (verbosity >= LAMBDA) cout << "Trying Lambda for the first time" << endl; return prepared.try_lambda(*linear, verbosity, lambdaFactor, lambdaMode); } /* ************************************************************************* */ template NonlinearOptimizer NonlinearOptimizer::levenbergMarquardt( double relativeThreshold, double absoluteThreshold, verbosityLevel verbosity, int maxIterations, double lambdaFactor, LambdaMode lambdaMode) const { if (maxIterations <= 0) return *this; // check if we're already close enough if (error_ < absoluteThreshold) { if (verbosity >= ERROR) cout << "Exiting, as error = " << error_ << " < absoluteThreshold (" << absoluteThreshold << ")" << endl; return *this; } // do one iteration of LM NonlinearOptimizer next = iterateLM(verbosity, lambdaFactor, lambdaMode); // check convergence // TODO: move convergence checks here and incorporate in verbosity levels // TODO: build into iterations somehow as an instance variable bool converged = gtsam::check_convergence(relativeThreshold, absoluteThreshold, error_, next.error_, verbosity); // return converged state or iterate if (converged || maxIterations <= 1) { // maybe show output if (verbosity >= CONFIG) next.config_->print("final config"); if (verbosity >= ERROR) cout << "final error: " << next.error_ << endl; if (verbosity >= LAMBDA) cout << "final lambda = " << next.lambda_ << endl; return next; } else return next.levenbergMarquardt(relativeThreshold, absoluteThreshold, verbosity, maxIterations-1, lambdaFactor, lambdaMode); } /* ************************************************************************* */ }