/* ---------------------------------------------------------------------------- * GTSAM Copyright 2010, Georgia Tech Research Corporation, * Atlanta, Georgia 30332-0415 * All Rights Reserved * Authors: Frank Dellaert, et al. (see THANKS for the full author list) * See LICENSE for the license information * -------------------------------------------------------------------------- */ /** * @file ConcurrentBatchSmoother.cpp * @brief A Levenberg-Marquardt Batch Smoother that implements the * Concurrent Filtering and Smoothing interface. * @author Stephen Williams */ #include #include #include #include #include namespace gtsam { /* ************************************************************************* */ void ConcurrentBatchSmoother::print(const std::string& s, const KeyFormatter& keyFormatter) const { std::cout << s; std::cout << " Factors:" << std::endl; BOOST_FOREACH(const NonlinearFactor::shared_ptr& factor, factors_) { PrintNonlinearFactor(factor, " ", keyFormatter); } theta_.print("Values:\n"); } /* ************************************************************************* */ bool ConcurrentBatchSmoother::equals(const ConcurrentSmoother& rhs, double tol) const { const ConcurrentBatchSmoother* smoother = dynamic_cast(&rhs); return smoother && factors_.equals(smoother->factors_) && theta_.equals(smoother->theta_) && ordering_.equals(smoother->ordering_) && delta_.equals(smoother->delta_) && separatorValues_.equals(smoother->separatorValues_); } /* ************************************************************************* */ ConcurrentBatchSmoother::Result ConcurrentBatchSmoother::update(const NonlinearFactorGraph& newFactors, const Values& newTheta) { gttic(update); // Create the return result meta-data Result result; // Update all of the internal variables with the new information gttic(augment_system); { // Add the new variables to theta theta_.insert(newTheta); // Add new variables to the end of the ordering std::vector dims; dims.reserve(newTheta.size()); BOOST_FOREACH(const Values::ConstKeyValuePair& key_value, newTheta) { ordering_.push_back(key_value.key); dims.push_back(key_value.value.dim()); } // Augment Delta delta_.append(dims); for(size_t i = delta_.size() - dims.size(); i < delta_.size(); ++i) { delta_[i].setZero(); } // Add the new factors to the graph, updating the variable index insertFactors(newFactors); } gttoc(augment_system); if(factors_.size() > 0) { // Reorder the system to ensure efficient optimization (and marginalization) performance gttic(reorder); reorder(); gttoc(reorder); // Optimize the factors using a modified version of L-M gttic(optimize); result = optimize(); gttoc(optimize); } gttoc(update); return result; } /* ************************************************************************* */ void ConcurrentBatchSmoother::presync() { gttic(presync); // TODO: Don't let the length of this code fool you. There is considerable work being done here. // When we start multi-threading the filter and smoother, it would be ideal if the pre-sync stage // could happen before the filter is stopped. // Calculate the marginal on the separator from the smoother factors if(separatorValues_.size() > 0) { updateSmootherSummarization(); } gttoc(presync); } /* ************************************************************************* */ void ConcurrentBatchSmoother::getSummarizedFactors(NonlinearFactorGraph& summarizedFactors, Values& separatorValues) { gttic(get_summarized_factors); // Copy the previous calculated smoother summarization factors into the output summarizedFactors.push_back(smootherSummarization_); // Copy the separator values into the output separatorValues.insert(separatorValues_); gttoc(get_summarized_factors); } /* ************************************************************************* */ void ConcurrentBatchSmoother::synchronize(const NonlinearFactorGraph& smootherFactors, const Values& smootherValues, const NonlinearFactorGraph& summarizedFactors, const Values& separatorValues) { gttic(synchronize); // Remove the previous filter summarization from the graph removeFactors(filterSummarizationSlots_); // Insert new linpoints into the values, augment the ordering, and store new dims to augment delta std::vector dims; dims.reserve(smootherValues.size() + separatorValues.size()); BOOST_FOREACH(const Values::ConstKeyValuePair& key_value, smootherValues) { Values::iterator iter = theta_.find(key_value.key); if(iter == theta_.end()) { theta_.insert(key_value.key, key_value.value); ordering_.push_back(key_value.key); dims.push_back(key_value.value.dim()); } else { iter->value = key_value.value; } } BOOST_FOREACH(const Values::ConstKeyValuePair& key_value, separatorValues) { Values::iterator iter = theta_.find(key_value.key); if(iter == theta_.end()) { theta_.insert(key_value.key, key_value.value); ordering_.push_back(key_value.key); dims.push_back(key_value.value.dim()); } else { iter->value = key_value.value; } } // Augment Delta delta_.append(dims); for(size_t i = delta_.size() - dims.size(); i < delta_.size(); ++i) { delta_[i].setZero(); } // Insert the new smoother factors insertFactors(smootherFactors); // Insert the new filter summarized factors filterSummarizationSlots_ = insertFactors(summarizedFactors); // Update the list of root keys separatorValues_ = separatorValues; gttoc(synchronize); } /* ************************************************************************* */ void ConcurrentBatchSmoother::postsync() { gttic(postsync); gttoc(postsync); } /* ************************************************************************* */ std::vector ConcurrentBatchSmoother::insertFactors(const NonlinearFactorGraph& factors) { gttic(insert_factors); // create the output vector std::vector slots; slots.reserve(factors.size()); // Insert the factor into an existing hole in the factor graph, if possible BOOST_FOREACH(const NonlinearFactor::shared_ptr& factor, factors) { size_t slot; if(availableSlots_.size() > 0) { slot = availableSlots_.front(); availableSlots_.pop(); factors_.replace(slot, factor); } else { slot = factors_.size(); factors_.push_back(factor); } slots.push_back(slot); } gttoc(insert_factors); return slots; } /* ************************************************************************* */ void ConcurrentBatchSmoother::removeFactors(const std::vector& slots) { gttic(remove_factors); // For each factor slot to delete... SymbolicFactorGraph factors; BOOST_FOREACH(size_t slot, slots) { // Create a symbolic version for the variable index factors.push_back(factors_.at(slot)->symbolic(ordering_)); // Remove the factor from the graph factors_.remove(slot); // Mark the factor slot as available availableSlots_.push(slot); } gttoc(remove_factors); } /* ************************************************************************* */ void ConcurrentBatchSmoother::reorder() { // Recalculate the variable index variableIndex_ = VariableIndex(*factors_.symbolic(ordering_)); // Initialize all variables to group0 std::vector cmember(variableIndex_.size(), 0); // Set all of the separator keys to Group1 if(separatorValues_.size() > 0) { BOOST_FOREACH(const Values::ConstKeyValuePair& key_value, separatorValues_) { cmember[ordering_.at(key_value.key)] = 1; } } // Generate the permutation Permutation forwardPermutation = *inference::PermutationCOLAMD_(variableIndex_, cmember); // Permute the ordering, variable index, and deltas ordering_.permuteInPlace(forwardPermutation); variableIndex_.permuteInPlace(forwardPermutation); delta_.permuteInPlace(forwardPermutation); } /* ************************************************************************* */ ConcurrentBatchSmoother::Result ConcurrentBatchSmoother::optimize() { // Create output result structure Result result; result.nonlinearVariables = theta_.size() - separatorValues_.size(); result.linearVariables = separatorValues_.size(); // Set optimization parameters double lambda = parameters_.lambdaInitial; double lambdaFactor = parameters_.lambdaFactor; double lambdaUpperBound = parameters_.lambdaUpperBound; double lambdaLowerBound = 0.5 / parameters_.lambdaUpperBound; size_t maxIterations = parameters_.maxIterations; double relativeErrorTol = parameters_.relativeErrorTol; double absoluteErrorTol = parameters_.absoluteErrorTol; double errorTol = parameters_.errorTol; // Create a Values that holds the current evaluation point Values evalpoint = theta_.retract(delta_, ordering_); result.error = factors_.error(evalpoint); // Use a custom optimization loop so the linearization points can be controlled double previousError; VectorValues newDelta; do { previousError = result.error; // Do next iteration gttic(optimizer_iteration); { // Linearize graph around the linearization point GaussianFactorGraph linearFactorGraph = *factors_.linearize(theta_, ordering_); // Keep increasing lambda until we make make progress while(true) { // Add prior factors at the current solution gttic(damp); GaussianFactorGraph dampedFactorGraph(linearFactorGraph); dampedFactorGraph.reserve(linearFactorGraph.size() + delta_.size()); { // for each of the variables, add a prior at the current solution for(size_t j=0; j 0) { theta_.update(separatorValues_); BOOST_FOREACH(const Values::ConstKeyValuePair& key_value, separatorValues_) { Index index = ordering_.at(key_value.key); delta_.at(index) = newDelta.at(index); } } // Decrease lambda for next time lambda /= lambdaFactor; if(lambda < lambdaLowerBound) { lambda = lambdaLowerBound; } // End this lambda search iteration break; } else { // Reject this change // Increase lambda and continue searching lambda *= lambdaFactor; if(lambda > lambdaUpperBound) { // The maximum lambda has been used. Print a warning and end the search. std::cout << "Warning: Levenberg-Marquardt giving up because cannot decrease error with maximum lambda" << std::endl; break; } } } // end while } gttoc(optimizer_iteration); result.iterations++; } while(result.iterations < maxIterations && !checkConvergence(relativeErrorTol, absoluteErrorTol, errorTol, previousError, result.error, NonlinearOptimizerParams::SILENT)); return result; } /* ************************************************************************* */ void ConcurrentBatchSmoother::updateSmootherSummarization() { // The smoother summarization factors are the resulting marginal factors on the separator // variables that result from marginalizing out all of the other variables // These marginal factors will be cached for later transmission to the filter using // linear container factors // Clear out any existing smoother summarized factors smootherSummarization_.resize(0); // Reorder the system so that the separator keys are eliminated last // TODO: This is currently being done twice: here and in 'update'. Fix it. reorder(); // Create the linear factor graph GaussianFactorGraph linearFactorGraph = *factors_.linearize(theta_, ordering_); // Construct an elimination tree to perform sparse elimination std::vector forest( EliminationForest::Create(linearFactorGraph, variableIndex_) ); // This is a forest. Only the top-most node/index of each tree needs to be eliminated; all of the children will be eliminated automatically // Find the subset of nodes/keys that must be eliminated std::set indicesToEliminate; BOOST_FOREACH(const Values::ConstKeyValuePair& key_value, theta_) { indicesToEliminate.insert(ordering_.at(key_value.key)); } BOOST_FOREACH(const Values::ConstKeyValuePair& key_value, separatorValues_) { indicesToEliminate.erase(ordering_.at(key_value.key)); } std::vector indices(indicesToEliminate.begin(), indicesToEliminate.end()); BOOST_FOREACH(Index index, indices) { EliminationForest::removeChildrenIndices(indicesToEliminate, forest.at(index)); } // Eliminate each top-most key, returning a Gaussian Factor on some of the remaining variables // Convert the marginal factors into Linear Container Factors and store BOOST_FOREACH(Index index, indicesToEliminate) { GaussianFactor::shared_ptr gaussianFactor = forest.at(index)->eliminateRecursive(parameters_.getEliminationFunction()); if(gaussianFactor->size() > 0) { LinearContainerFactor::shared_ptr marginalFactor(new LinearContainerFactor(gaussianFactor, ordering_, theta_)); smootherSummarization_.push_back(marginalFactor); } } } /* ************************************************************************* */ void ConcurrentBatchSmoother::PrintNonlinearFactor(const NonlinearFactor::shared_ptr& factor, const std::string& indent, const KeyFormatter& keyFormatter) { std::cout << indent; if(factor) { if(boost::dynamic_pointer_cast(factor)) { std::cout << "l( "; } else { std::cout << "f( "; } BOOST_FOREACH(Key key, *factor) { std::cout << keyFormatter(key) << " "; } std::cout << ")" << std::endl; } else { std::cout << "{ NULL }" << std::endl; } } /* ************************************************************************* */ void ConcurrentBatchSmoother::PrintLinearFactor(const GaussianFactor::shared_ptr& factor, const Ordering& ordering, const std::string& indent, const KeyFormatter& keyFormatter) { std::cout << indent; if(factor) { std::cout << "g( "; BOOST_FOREACH(Index index, *factor) { std::cout << keyFormatter(ordering.key(index)) << " "; } std::cout << ")" << std::endl; } else { std::cout << "{ NULL }" << std::endl; } } /* ************************************************************************* */ std::vector ConcurrentBatchSmoother::EliminationForest::ComputeParents(const VariableIndex& structure) { // Number of factors and variables const size_t m = structure.nFactors(); const size_t n = structure.size(); static const Index none = std::numeric_limits::max(); // Allocate result parent vector and vector of last factor columns std::vector parents(n, none); std::vector prevCol(m, none); // for column j \in 1 to n do for (Index j = 0; j < n; j++) { // for row i \in Struct[A*j] do BOOST_FOREACH(const size_t i, structure[j]) { if (prevCol[i] != none) { Index k = prevCol[i]; // find root r of the current tree that contains k Index r = k; while (parents[r] != none) r = parents[r]; if (r != j) parents[r] = j; } prevCol[i] = j; } } return parents; } /* ************************************************************************* */ std::vector ConcurrentBatchSmoother::EliminationForest::Create(const GaussianFactorGraph& factorGraph, const VariableIndex& structure) { // Compute the tree structure std::vector parents(ComputeParents(structure)); // Number of variables const size_t n = structure.size(); static const Index none = std::numeric_limits::max(); // Create tree structure std::vector trees(n); for (Index k = 1; k <= n; k++) { Index j = n - k; // Start at the last variable and loop down to 0 trees[j].reset(new EliminationForest(j)); // Create a new node on this variable if (parents[j] != none) // If this node has a parent, add it to the parent's children trees[parents[j]]->add(trees[j]); } // Hang factors in right places BOOST_FOREACH(const GaussianFactor::shared_ptr& factor, factorGraph) { if(factor && factor->size() > 0) { Index j = *std::min_element(factor->begin(), factor->end()); if(j < structure.size()) trees[j]->add(factor); } } return trees; } /* ************************************************************************* */ GaussianFactor::shared_ptr ConcurrentBatchSmoother::EliminationForest::eliminateRecursive(GaussianFactorGraph::Eliminate function) { // Create the list of factors to be eliminated, initially empty, and reserve space GaussianFactorGraph factors; factors.reserve(this->factors_.size() + this->subTrees_.size()); // Add all factors associated with the current node factors.push_back(this->factors_.begin(), this->factors_.end()); // for all subtrees, eliminate into Bayes net and a separator factor, added to [factors] BOOST_FOREACH(const shared_ptr& child, subTrees_) factors.push_back(child->eliminateRecursive(function)); // Combine all factors (from this node and from subtrees) into a joint factor GaussianFactorGraph::EliminationResult eliminated(function(factors, 1)); return eliminated.second; } /* ************************************************************************* */ void ConcurrentBatchSmoother::EliminationForest::removeChildrenIndices(std::set& indices, const ConcurrentBatchSmoother::EliminationForest::shared_ptr& tree) { BOOST_FOREACH(const EliminationForest::shared_ptr& child, tree->children()) { indices.erase(child->key()); removeChildrenIndices(indices, child); } } /* ************************************************************************* */ }/// namespace gtsam