68 lines
1.7 KiB
C++
68 lines
1.7 KiB
C++
/*
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* iterative-inl.h
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* @brief Iterative methods, template implementation
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* @author Frank Dellaert
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* Created on: Dec 28, 2009
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*/
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#include "GaussianFactorGraph.h"
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#include "iterative.h"
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using namespace std;
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namespace gtsam {
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/* ************************************************************************* */
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template<class S, class V, class E>
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V conjugateGradients(const S& Ab, V x, bool verbose, double epsilon,
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size_t maxIterations, bool steepest = false) {
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if (maxIterations == 0) maxIterations = dim(x) * (steepest ? 10 : 1);
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// Start with g0 = A'*(A*x0-b), d0 = - g0
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// i.e., first step is in direction of negative gradient
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V g = Ab.gradient(x);
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V d = -g;
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double dotg0 = dot(g, g), prev_dotg = dotg0;
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double threshold = epsilon * epsilon * dotg0;
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if (verbose) cout << "CG: epsilon = " << epsilon << ", maxIterations = "
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<< maxIterations << ", ||g0||^2 = " << dotg0 << ", threshold = "
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<< threshold << endl;
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// loop maxIterations times
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for (size_t k = 1;; k++) {
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// calculate optimal step-size
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E Ad = Ab * d;
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double alpha = -dot(d, g) / dot(Ad, Ad);
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// do step in new search direction
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x = x + alpha * d;
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if (k==maxIterations) break;
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// update gradient
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g = g + alpha * (Ab ^ Ad);
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// check for convergence
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double dotg = dot(g, g);
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if (verbose) cout << "iteration " << k << ": alpha = " << alpha
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<< ", dotg = " << dotg << endl;
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if (dotg < threshold) break;
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// calculate new search direction
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if (steepest)
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d = -g;
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else {
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double beta = dotg / prev_dotg;
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prev_dotg = dotg;
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d = -g + beta * d;
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}
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}
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return x;
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}
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/* ************************************************************************* */
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} // namespace gtsam
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