216 lines
7.3 KiB
C++
216 lines
7.3 KiB
C++
/**
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* @file GaussianBayesNet.cpp
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* @brief Chordal Bayes Net, the result of eliminating a factor graph
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* @author Frank Dellaert
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*/
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#include <stdarg.h>
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#include <boost/foreach.hpp>
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#include <boost/tuple/tuple.hpp>
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#include <gtsam/base/Matrix-inl.h>
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#include <gtsam/linear/GaussianBayesNet.h>
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#include <gtsam/linear/VectorValues.h>
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using namespace std;
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using namespace gtsam;
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// Explicitly instantiate so we don't have to include everywhere
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#include <gtsam/inference/BayesNet-inl.h>
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template class BayesNet<GaussianConditional>;
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// trick from some reading group
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#define FOREACH_PAIR( KEY, VAL, COL) BOOST_FOREACH (boost::tie(KEY,VAL),COL)
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#define REVERSE_FOREACH_PAIR( KEY, VAL, COL) BOOST_REVERSE_FOREACH (boost::tie(KEY,VAL),COL)
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namespace gtsam {
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/* ************************************************************************* */
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GaussianBayesNet scalarGaussian(Index key, double mu, double sigma) {
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GaussianBayesNet bn;
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GaussianConditional::shared_ptr
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conditional(new GaussianConditional(key, Vector_(1,mu)/sigma, eye(1)/sigma, ones(1)));
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bn.push_back(conditional);
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return bn;
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}
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/* ************************************************************************* */
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GaussianBayesNet simpleGaussian(Index key, const Vector& mu, double sigma) {
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GaussianBayesNet bn;
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size_t n = mu.size();
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GaussianConditional::shared_ptr
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conditional(new GaussianConditional(key, mu/sigma, eye(n)/sigma, ones(n)));
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bn.push_back(conditional);
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return bn;
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}
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/* ************************************************************************* */
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void push_front(GaussianBayesNet& bn, Index key, Vector d, Matrix R,
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Index name1, Matrix S, Vector sigmas) {
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GaussianConditional::shared_ptr cg(new GaussianConditional(key, d, R, name1, S, sigmas));
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bn.push_front(cg);
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}
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/* ************************************************************************* */
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void push_front(GaussianBayesNet& bn, Index key, Vector d, Matrix R,
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Index name1, Matrix S, Index name2, Matrix T, Vector sigmas) {
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GaussianConditional::shared_ptr cg(new GaussianConditional(key, d, R, name1, S, name2, T, sigmas));
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bn.push_front(cg);
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}
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/* ************************************************************************* */
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boost::shared_ptr<VectorValues> allocateVectorValues(const GaussianBayesNet& bn) {
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vector<size_t> dimensions(bn.size());
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Index var = 0;
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BOOST_FOREACH(const boost::shared_ptr<const GaussianConditional> conditional, bn) {
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dimensions[var++] = conditional->get_R().size1();
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}
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return boost::shared_ptr<VectorValues>(new VectorValues(dimensions));
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}
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/* ************************************************************************* */
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VectorValues optimize(const GaussianBayesNet& bn)
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{
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return *optimize_(bn);
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}
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/* ************************************************************************* */
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boost::shared_ptr<VectorValues> optimize_(const GaussianBayesNet& bn)
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{
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boost::shared_ptr<VectorValues> result(allocateVectorValues(bn));
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/** solve each node in turn in topological sort order (parents first)*/
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BOOST_REVERSE_FOREACH(GaussianConditional::shared_ptr cg, bn) {
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Vector x = cg->solve(*result); // Solve for that variable
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(*result)[cg->key()] = x; // store result in partial solution
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}
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return result;
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}
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/* ************************************************************************* */
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VectorValues backSubstitute(const GaussianBayesNet& bn, const VectorValues& y) {
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VectorValues x(y);
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backSubstituteInPlace(bn,x);
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return x;
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}
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/* ************************************************************************* */
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// (R*x)./sigmas = y by solving x=inv(R)*(y.*sigmas)
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void backSubstituteInPlace(const GaussianBayesNet& bn, VectorValues& y) {
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VectorValues& x = y;
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/** solve each node in turn in topological sort order (parents first)*/
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BOOST_REVERSE_FOREACH(const boost::shared_ptr<const GaussianConditional> cg, bn) {
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// i^th part of R*x=y, x=inv(R)*y
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// (Rii*xi + R_i*x(i+1:))./si = yi <-> xi = inv(Rii)*(yi.*si - R_i*x(i+1:))
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Index i = cg->key();
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Vector zi = emul(y[i],cg->get_sigmas());
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GaussianConditional::const_iterator it;
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for (it = cg->beginParents(); it!= cg->endParents(); it++) {
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multiplyAdd(-1.0,cg->get_S(it),x[*it],zi);
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}
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x[i] = gtsam::backSubstituteUpper(cg->get_R(), zi);
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}
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}
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/* ************************************************************************* */
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// gy=inv(L)*gx by solving L*gy=gx.
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// gy=inv(R'*inv(Sigma))*gx
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// gz'*R'=gx', gy = gz.*sigmas
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VectorValues backSubstituteTranspose(const GaussianBayesNet& bn,
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const VectorValues& gx) {
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// Initialize gy from gx
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// TODO: used to insert zeros if gx did not have an entry for a variable in bn
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VectorValues gy = gx;
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// we loop from first-eliminated to last-eliminated
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// i^th part of L*gy=gx is done block-column by block-column of L
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BOOST_FOREACH(const boost::shared_ptr<const GaussianConditional> cg, bn) {
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Index j = cg->key();
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gy[j] = gtsam::backSubstituteUpper(gy[j],cg->get_R());
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GaussianConditional::const_iterator it;
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for (it = cg->beginParents(); it!= cg->endParents(); it++) {
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const Index i = *it;
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transposeMultiplyAdd(-1.0,cg->get_S(it),gy[j],gy[i]);
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}
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}
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// Scale gy
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BOOST_FOREACH(GaussianConditional::shared_ptr cg, bn) {
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Index j = cg->key();
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gy[j] = emul(gy[j],cg->get_sigmas());
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}
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return gy;
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}
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/* ************************************************************************* */
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pair<Matrix,Vector> matrix(const GaussianBayesNet& bn) {
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// add the dimensions of all variables to get matrix dimension
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// and at the same time create a mapping from keys to indices
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size_t N=0; map<Index,size_t> mapping;
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BOOST_FOREACH(GaussianConditional::shared_ptr cg,bn) {
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mapping.insert(make_pair(cg->key(),N));
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N += cg->dim();
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}
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// create matrix and copy in values
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Matrix R = zeros(N,N);
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Vector d(N);
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Index key; size_t I;
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FOREACH_PAIR(key,I,mapping) {
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// find corresponding conditional
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boost::shared_ptr<const GaussianConditional> cg = bn[key];
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// get sigmas
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Vector sigmas = cg->get_sigmas();
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// get RHS and copy to d
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GaussianConditional::const_d_type d_ = cg->get_d();
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const size_t n = d_.size();
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for (size_t i=0;i<n;i++)
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d(I+i) = d_(i)/sigmas(i);
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// get leading R matrix and copy to R
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GaussianConditional::const_r_type R_ = cg->get_R();
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for (size_t i=0;i<n;i++)
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for(size_t j=0;j<n;j++)
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R(I+i,I+j) = R_(i,j)/sigmas(i);
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// loop over S matrices and copy them into R
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GaussianConditional::const_iterator keyS = cg->beginParents();
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for (; keyS!=cg->endParents(); keyS++) {
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Matrix S = cg->get_S(keyS); // get S matrix
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const size_t m = S.size1(), n = S.size2(); // find S size
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const size_t J = mapping[*keyS]; // find column index
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for (size_t i=0;i<m;i++)
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for(size_t j=0;j<n;j++)
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R(I+i,J+j) = S(i,j)/sigmas(i);
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} // keyS
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} // keyI
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return make_pair(R,d);
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}
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/* ************************************************************************* */
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VectorValues rhs(const GaussianBayesNet& bn) {
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boost::shared_ptr<VectorValues> result(allocateVectorValues(bn));
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BOOST_FOREACH(boost::shared_ptr<const GaussianConditional> cg,bn) {
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Index key = cg->key();
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// get sigmas
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const Vector& sigmas = cg->get_sigmas();
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// get RHS and copy to d
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GaussianConditional::const_d_type d = cg->get_d();
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(*result)[key] = ediv_(d,sigmas); // TODO ediv_? I think not
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}
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return *result;
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}
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/* ************************************************************************* */
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} // namespace gtsam
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