/** * @file GaussianBayesNet.cpp * @brief Chordal Bayes Net, the result of eliminating a factor graph * @author Frank Dellaert */ #include #include #include #include "GaussianBayesNet.h" #include "VectorConfig.h" using namespace std; using namespace gtsam; // Explicitly instantiate so we don't have to include everywhere #include "BayesNet-inl.h" template class BayesNet; // trick from some reading group #define FOREACH_PAIR( KEY, VAL, COL) BOOST_FOREACH (boost::tie(KEY,VAL),COL) #define REVERSE_FOREACH_PAIR( KEY, VAL, COL) BOOST_REVERSE_FOREACH (boost::tie(KEY,VAL),COL) namespace gtsam { /* ************************************************************************* */ GaussianBayesNet scalarGaussian(const Symbol& key, double mu, double sigma) { GaussianBayesNet bn; GaussianConditional::shared_ptr conditional(new GaussianConditional(key, Vector_(1,mu), eye(1), Vector_(1,sigma))); bn.push_back(conditional); return bn; } /* ************************************************************************* */ GaussianBayesNet simpleGaussian(const Symbol& key, const Vector& mu, double sigma) { GaussianBayesNet bn; size_t n = mu.size(); GaussianConditional::shared_ptr conditional(new GaussianConditional(key, mu, eye(n), repeat(n,sigma))); bn.push_back(conditional); return bn; } /* ************************************************************************* */ void push_front(GaussianBayesNet& bn, const Symbol& key, Vector d, Matrix R, const Symbol& name1, Matrix S, Vector sigmas) { GaussianConditional::shared_ptr cg(new GaussianConditional(key, d, R, name1, S, sigmas)); bn.push_front(cg); } /* ************************************************************************* */ void push_front(GaussianBayesNet& bn, const Symbol& key, Vector d, Matrix R, const Symbol& name1, Matrix S, const Symbol& name2, Matrix T, Vector sigmas) { GaussianConditional::shared_ptr cg(new GaussianConditional(key, d, R, name1, S, name2, T, sigmas)); bn.push_front(cg); } /* ************************************************************************* */ VectorConfig optimize(const GaussianBayesNet& bn) { return *optimize_(bn); } /* ************************************************************************* */ boost::shared_ptr optimize_(const GaussianBayesNet& bn) { boost::shared_ptr result(new VectorConfig); /** solve each node in turn in topological sort order (parents first)*/ BOOST_REVERSE_FOREACH(GaussianConditional::shared_ptr cg, bn) { Vector x = cg->solve(*result); // Solve for that variable result->insert(cg->key(),x); // store result in partial solution } return result; } /* ************************************************************************* */ // (R*x)./sigmas = y by solving x=inv(R)*(y.*sigmas) VectorConfig backSubstitute(const GaussianBayesNet& bn, const VectorConfig& y) { VectorConfig x; /** solve each node in turn in topological sort order (parents first)*/ BOOST_REVERSE_FOREACH(GaussianConditional::shared_ptr cg, bn) { // i^th part of R*x=y, x=inv(R)*y // (Rii*xi + R_i*x(i+1:))./si = yi <-> xi = inv(Rii)*(yi.*si - R_i*x(i+1:)) const Symbol& i = cg->key(); Vector zi = emul(y[i],cg->get_sigmas()); GaussianConditional::const_iterator it; for (it = cg->parentsBegin(); it!= cg->parentsEnd(); it++) { const Symbol& j = it->first; const Matrix& Rij = it->second; zi -= Rij * x[j]; } Vector xi = gtsam::backSubstituteUpper(cg->get_R(), zi); x.insert(i,xi); // store result in partial solution } return x; } /* ************************************************************************* */ // gy=inv(L)*gx by solving L*gy=gx. // gy=inv(R'*inv(Sigma))*gx // gz'*R'=gx', gy = gz.*sigmas VectorConfig backSubstituteTranspose(const GaussianBayesNet& bn, const VectorConfig& gx) { // Initialize gy from gx VectorConfig gy; BOOST_FOREACH(GaussianConditional::shared_ptr cg, bn) { const Symbol& j = cg->key(); Vector gyj = gx.contains(j) ? gx[j] : zero(cg->dim()); gy.insert(j,gyj); // initialize result } // we loop from first-eliminated to last-eliminated // i^th part of L*gy=gx is done block-column by block-column of L BOOST_FOREACH(GaussianConditional::shared_ptr cg, bn) { const Symbol& j = cg->key(); Vector& gyj = gy.getReference(j); // should never fail gyj = gtsam::backSubstituteUpper(gyj,cg->get_R()); GaussianConditional::const_iterator it; for (it = cg->parentsBegin(); it!= cg->parentsEnd(); it++) { const Symbol& i = it->first; const Matrix& Rij = it->second; Vector& gyi = gy.getReference(i); // should never fail Matrix Lji = trans(Rij); // TODO avoid transpose of matrix ? gyi -= Lji * gyj; } } // Scale gy BOOST_FOREACH(GaussianConditional::shared_ptr cg, bn) { const Symbol& j = cg->key(); Vector& gyj = gy.getReference(j); // should never fail gyj = emul(gyj,cg->get_sigmas()); } return gy; } /* ************************************************************************* */ pair matrix(const GaussianBayesNet& bn) { // add the dimensions of all variables to get matrix dimension // and at the same time create a mapping from keys to indices size_t N=0; map mapping; BOOST_FOREACH(GaussianConditional::shared_ptr cg,bn) { mapping.insert(make_pair(cg->key(),N)); N += cg->dim(); } // create matrix and copy in values Matrix R = zeros(N,N); Vector d(N); Symbol key; size_t I; FOREACH_PAIR(key,I,mapping) { // find corresponding conditional GaussianConditional::shared_ptr cg = bn[key]; // get sigmas Vector sigmas = cg->get_sigmas(); // get RHS and copy to d const Vector& d_ = cg->get_d(); const size_t n = d_.size(); for (size_t i=0;iget_R(); for (size_t i=0;iparentsBegin(); for (; keyS!=cg->parentsEnd(); keyS++) { Matrix S = keyS->second; // get S matrix const size_t m = S.size1(), n = S.size2(); // find S size const size_t J = mapping[keyS->first]; // find column index for (size_t i=0;i