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gtsam/gtsam_unstable/nonlinear/NonlinearConstraint.h

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/* ----------------------------------------------------------------------------
* 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 NonlinearConstraint.h
* @brief
* @author Duy-Nguyen Ta
* @date Sep 30, 2013
*/
#pragma once
#include <gtsam/base/Manifold.h>
#include <gtsam/base/numericalDerivative.h>
#include <gtsam/linear/HessianFactor.h>
#include <gtsam/linear/GaussianFactorGraph.h>
#include <gtsam/linear/VectorValues.h>
#include <gtsam/nonlinear/NonlinearFactor.h>
#include <gtsam_unstable/nonlinear/ConstrainedFactor.h>
namespace gtsam {
/* ************************************************************************* */
/** A convenient base class for creating a nonlinear equality constraint with 1
* variables. To derive from this class, implement evaluateError(). */
template<class VALUE>
class NonlinearConstraint1: public NoiseModelFactor1<VALUE>, public ConstrainedFactor {
public:
// typedefs for value types pulled from keys
typedef VALUE X;
protected:
typedef NoiseModelFactor1<VALUE> Base;
typedef NonlinearConstraint1<VALUE> This;
private:
static const int X1Dim = traits<VALUE>::dimension;
public:
/**
* Default Constructor for I/O
*/
NonlinearConstraint1() {
}
/**
* Constructor
* @param j key of the variable
* @param constraintDim number of dimensions of the constraint error function
*/
NonlinearConstraint1(Key key, Key dualKey, size_t constraintDim = 1) :
Base(noiseModel::Constrained::All(constraintDim), key), ConstrainedFactor(dualKey) {
}
virtual ~NonlinearConstraint1() {
}
/**
* Override this method to finish implementing a binary factor.
* If any of the optional Matrix reference arguments are specified, it should compute
* both the function evaluation and its derivative(s) in X1 (and/or X2).
*/
virtual Vector
evaluateError(const X&, boost::optional<Matrix&> H1 = boost::none) const = 0;
/** produce a Gaussian factor graph containing all Hessian Factors, scaled by lambda,
* corresponding to this constraint */
virtual GaussianFactor::shared_ptr multipliedHessian(const Values& x,
const VectorValues& duals) const {
if (!this->active(x)) {
return GaussianFactor::shared_ptr();
}
const X& x1 = x.at < X > (Base::key());
const Vector& lambda = duals.at(this->dualKey());
std::vector<Matrix> G11;
evaluateHessians(x1, G11);
if (lambda.size() != G11.size()) {
throw std::runtime_error(
"Error in evaluateHessians: the number of returned Gij matrices must be the same as the constraint dimension!");
}
// Combine the Lagrange-multiplier part into this constraint factor
Matrix lG11sum = Matrix::Zero(G11[0].rows(), G11[0].cols());
for (size_t i = 0; i < lambda.rows(); ++i) {
lG11sum += -lambda[i] * G11[i];
}
HessianFactor::shared_ptr hf(new HessianFactor(Base::key(), lG11sum,
Vector::Zero(X1Dim), 100.0));
return hf;
}
/** evaluate Hessians for lambda factors */
virtual void evaluateHessians(const X& x1, std::vector<Matrix>& G11) const {
static const bool debug = false;
typedef Eigen::Matrix<double, X1Dim, 1> actual_size;
boost::function<actual_size(const X&)> vecH1(
boost::bind(&This::vectorizeH1t, this, _1));
Matrix G11all = numericalDerivative11(vecH1, x1, 1e-5);
if (debug) {
gtsam::print(G11all, "G11all: ");
std::cout << "x1dim: " << X1Dim << std::endl;
}
for (size_t i = 0; i < Base::get_noiseModel()->dim(); ++i) {
G11.push_back(G11all.block(i * X1Dim, 0, X1Dim, X1Dim));
if (debug)
gtsam::print(G11[i], "G11: ");
}
}
private:
/** Vectorize the transpose of Jacobian H1 to compute the Hessian numerically */
Vector vectorizeH1t(const X& x1) const {
Matrix H1;
evaluateError(x1, H1);
Matrix H1t = H1.transpose();
H1t.resize(H1t.size(), 1);
return Vector(H1t);
}
/** Serialization function */
friend class boost::serialization::access;
template<class ARCHIVE>
void serialize(ARCHIVE & ar, const unsigned int version) {
ar
& boost::serialization::make_nvp("NoiseModelFactor",
boost::serialization::base_object<Base>(*this));
}
};
// \class NonlinearConstraint1
/* ************************************************************************* */
/** A convenient base class for creating your own ConstrainedFactor with 2
* variables. To derive from this class, implement evaluateError(). */
template<class VALUE1, class VALUE2>
class NonlinearConstraint2: public NoiseModelFactor2<VALUE1, VALUE2>, public ConstrainedFactor {
public:
// typedefs for value types pulled from keys
typedef VALUE1 X1;
typedef VALUE2 X2;
protected:
typedef NoiseModelFactor2<VALUE1, VALUE2> Base;
typedef NonlinearConstraint2<VALUE1, VALUE2> This;
private:
static const int X1Dim = traits<VALUE1>::dimension;
static const int X2Dim = traits<VALUE2>::dimension;
public:
/**
* Default Constructor for I/O
*/
NonlinearConstraint2() {
}
/**
* Constructor
* @param j1 key of the first variable
* @param j2 key of the second variable
* @param constraintDim number of dimensions of the constraint error function
*/
NonlinearConstraint2(Key j1, Key j2, Key dualKey, size_t constraintDim = 1) :
Base(noiseModel::Constrained::All(constraintDim), j1, j2), ConstrainedFactor(dualKey) {
}
virtual ~NonlinearConstraint2() {
}
/**
* Override this method to finish implementing a binary factor.
* If any of the optional Matrix reference arguments are specified, it should compute
* both the function evaluation and its derivative(s) in X1 (and/or X2).
*/
virtual Vector
evaluateError(const X1&, const X2&, boost::optional<Matrix&> H1 = boost::none,
boost::optional<Matrix&> H2 = boost::none) const = 0;
/** produce a Gaussian factor graph containing all Hessian Factors, scaled by lambda,
* corresponding to this constraint */
virtual GaussianFactor::shared_ptr multipliedHessian(const Values& x,
const VectorValues& duals) const {
if (!this->active(x)) {
return GaussianFactor::shared_ptr();
}
const X1& x1 = x.at < X1 > (Base::keys_[0]);
const X2& x2 = x.at < X2 > (Base::keys_[1]);
const Vector& lambda = duals.at(this->dualKey());
std::vector<Matrix> G11, G12, G22;
evaluateHessians(x1, x2, G11, G12, G22);
if (lambda.size() != G11.size() || lambda.size() != G12.size()
|| lambda.size() != G22.size()) {
throw std::runtime_error(
"Error in evaluateHessians: the number of returned Gij matrices must be the same as the constraint dimension!");
}
// Combine the Lagrange-multiplier part into this constraint factor
Matrix lG11sum = Matrix::Zero(G11[0].rows(), G11[0].cols()), lG12sum =
Matrix::Zero(G12[0].rows(), G12[0].cols()), lG22sum = Matrix::Zero(
G22[0].rows(),
G22[0].cols());
for (size_t i = 0; i < lambda.rows(); ++i) {
lG11sum += -lambda[i] * G11[i];
lG12sum += -lambda[i] * G12[i];
lG22sum += -lambda[i] * G22[i];
}
return boost::make_shared<HessianFactor>(Base::keys_[0], Base::keys_[1],
lG11sum, lG12sum, Vector::Zero(
X1Dim), lG22sum, Vector::Zero(X2Dim), 0.0);
}
/** evaluate Hessians for lambda factors */
virtual void evaluateHessians(const X1& x1, const X2& x2,
std::vector<Matrix>& G11, std::vector<Matrix>& G12,
std::vector<Matrix>& G22) const {
static const bool debug = false;
boost::function<Vector(const X1&, const X2&)> vecH1(
boost::bind(&This::vectorizeH1t, this, _1, _2)), vecH2(
boost::bind(&This::vectorizeH2t, this, _1, _2));
Matrix G11all = numericalDerivative21(vecH1, x1, x2, 1e-5);
Matrix G12all = numericalDerivative22(vecH1, x1, x2, 1e-5);
Matrix G22all = numericalDerivative22(vecH2, x1, x2, 1e-5);
if (debug) {
gtsam::print(G11all, "G11all: ");
gtsam::print(G12all, "G12all: ");
gtsam::print(G22all, "G22all: ");
std::cout << "x1dim: " << traits<VALUE1>::dimension << std::endl;
std::cout << "x2dim: " << traits<VALUE2>::dimension << std::endl;
}
for (size_t i = 0; i < Base::get_noiseModel()->dim(); ++i) {
G11.push_back(G11all.block(i * X1Dim, 0, X1Dim, X1Dim));
if (debug)
gtsam::print(G11[i], "G11: ");
G12.push_back(G12all.block(i * X1Dim, 0, X1Dim, X2Dim));
if (debug)
gtsam::print(G12[i], "G12: ");
G22.push_back(G22all.block(i * X2Dim, 0, X2Dim, X2Dim));
if (debug)
gtsam::print(G22[i], "G22: ");
}
}
private:
/** Vectorize the transpose of Jacobian H1 to compute the Hessian numerically */
Vector vectorizeH1t(const X1& x1, const X2& x2) const {
Matrix H1;
Vector err = evaluateError(x1, x2, H1);
Matrix H1t = H1.transpose();
H1t.resize(H1t.size(), 1);
return Vector(H1t);
}
/** Vectorize the transpose of Jacobian H2 to compute the Hessian numerically */
Vector vectorizeH2t(const X1& x1, const X2& x2) const {
Matrix H2;
Vector err = evaluateError(x1, x2, boost::none, H2);
Matrix H2t = H2.transpose();
H2t.resize(H2t.size(), 1);
return Vector(H2t);
}
/** Serialization function */
friend class boost::serialization::access;
template<class ARCHIVE>
void serialize(ARCHIVE & ar, const unsigned int version) {
ar
& boost::serialization::make_nvp("NoiseModelFactor",
boost::serialization::base_object<Base>(*this));
}
};
// \class NonlinearConstraint2
/* ************************************************************************* */
/** A convenient base class for creating your own ConstrainedFactor with 3
* variables. To derive from this class, implement evaluateError(). */
template<class VALUE1, class VALUE2, class VALUE3>
class NonlinearConstraint3: public NoiseModelFactor3<VALUE1, VALUE2, VALUE3>, public ConstrainedFactor {
public:
// typedefs for value types pulled from keys
typedef VALUE1 X1;
typedef VALUE2 X2;
typedef VALUE3 X3;
protected:
typedef NoiseModelFactor3<VALUE1, VALUE2, VALUE3> Base;
typedef NonlinearConstraint3<VALUE1, VALUE2, VALUE3> This;
private:
static const int X1Dim = traits<VALUE1>::dimension;
static const int X2Dim = traits<VALUE2>::dimension;
static const int X3Dim = traits<VALUE3>::dimension;
public:
/**
* Default Constructor for I/O
*/
NonlinearConstraint3(){
}
/**
* Constructor
* @param j1 key of the first variable
* @param j2 key of the second variable
* @param constraintDim number of dimensions of the constraint error function
*/
NonlinearConstraint3(Key j1, Key j2, Key j3, Key dualKey, size_t constraintDim = 1) :
Base(noiseModel::Constrained::All(constraintDim), j1, j2, j3), ConstrainedFactor(dualKey) {
}
virtual ~NonlinearConstraint3() {
}
/**
* Override this method to finish implementing a binary factor.
* If any of the optional Matrix reference arguments are specified, it should compute
* both the function evaluation and its derivative(s) in X1 (and/or X2).
*/
virtual Vector
evaluateError(const X1&, const X2&, const X3&, boost::optional<Matrix&> H1 =
boost::none, boost::optional<Matrix&> H2 = boost::none,
boost::optional<Matrix&> H3 = boost::none) const = 0;
/** produce a Gaussian factor graph containing all Hessian Factors, scaled by lambda,
* corresponding to this constraint */
virtual GaussianFactor::shared_ptr multipliedHessian(
const Values& x, const VectorValues& duals) const {
if (!this->active(x)) {
return GaussianFactor::shared_ptr();
}
const X1& x1 = x.at < X1 > (Base::keys_[0]);
const X2& x2 = x.at < X2 > (Base::keys_[1]);
const X3& x3 = x.at < X3 > (Base::keys_[2]);
const Vector& lambda = duals.at(this->dualKey());
std::vector<Matrix> G11, G12, G13, G22, G23, G33;
evaluateHessians(x1, x2, x3, G11, G12, G13, G22, G23, G33);
if (lambda.size() != G11.size() || lambda.size() != G12.size()
|| lambda.size() != G13.size() || lambda.size() != G22.size()
|| lambda.size() != G23.size() || lambda.size() != G33.size()) {
throw std::runtime_error(
"Error in evaluateHessians: the number of returned Gij matrices must be the same as the constraint dimension!");
}
// Combine the Lagrange-multiplier part into this constraint factor
Matrix lG11sum = Matrix::Zero(G11[0].rows(), G11[0].cols()), lG12sum =
Matrix::Zero(G12[0].rows(), G12[0].cols()), lG13sum = Matrix::Zero(
G13[0].rows(), G13[0].cols()), lG22sum = Matrix::Zero(G22[0].rows(),
G22[0].cols()), lG23sum = Matrix::Zero(G23[0].rows(), G23[0].cols()),
lG33sum = Matrix::Zero(G33[0].rows(),
G33[0].cols());
for (size_t i = 0; i < lambda.rows(); ++i) {
lG11sum += -lambda[i] * G11[i];
lG12sum += -lambda[i] * G12[i];
lG13sum += -lambda[i] * G13[i];
lG22sum += -lambda[i] * G22[i];
lG23sum += -lambda[i] * G23[i];
lG33sum += -lambda[i] * G33[i];
}
return boost::shared_ptr<HessianFactor>(
new HessianFactor(Base::keys_[0], Base::keys_[1], Base::keys_[2],
lG11sum, lG12sum, lG13sum, Vector::Zero(X1Dim), lG22sum, lG23sum,
Vector::Zero(X2Dim), lG33sum, Vector::Zero(X3Dim), 0.0));
}
/**
* Default Hessian computation using numerical derivatives
*
* As an example, assuming we have f(x1,x2,x3) where dim(f) = 2, dim(x1) = 3, dim(x2) = 2, dim(x3) = 1
*
* The Jacobian is:
* f1x1 f1x1 f1x1 | f1x2 f1x2 | f1x3
* f2x1 f2x1 f2x1 | f2x2 f2x2 | f2x3
*
* We transpose it to have the gradients:
* f1x1 f2x1
* f1x1 f2x1
* f1x1 f2x1
* f1x2 f2x2
* f1x2 f2x2
* f1x3 f2x3
* Then we vectorize this gradient to have:
* [f1x1
* f1x1
* f1x1
* f1x2
* f1x2
* f1x3
* f2x1
* f2x1
* f2x1
* f2x2
* f2x2
* f2x3]
*
* The Derivative of this gradient is then:
* [f1x1x1 f1x1x1 f1x1x1 | f1x1x2 f1x1x2 | f1x1x3
* f1x1x1 f1x1x1 f1x1x1 | f1x1x2 f1x1x2 | f1x1x3
* f1x1x1 f1x1x1 f1x1x1 | f1x1x2 f1x1x2 | f1x1x3
* ---------------------|---------------|-------
* f1x2x1 f1x2x1 f1x2x1 | f1x2x2 f1x2x2 | f1x2x3
* f1x2x1 f1x2x1 f1x2x1 | f1x2x2 f1x2x2 | f1x2x3
* ---------------------|---------------|-------
* f1x3x1 f1x3x1 f1x3x1 | f1x3x2 f1x3x2 | f1x3x3
* =============================================
* f2x1x1 f2x1x1 f2x1x1 | f2x1x2 f2x1x2 | f2x1x3
* f2x1x1 f2x1x1 f2x1x1 | f2x1x2 f2x1x2 | f2x1x3
* f2x1x1 f2x1x1 f2x1x1 | f2x1x2 f2x1x2 | f2x1x3
* ---------------------|---------------|-------
* f2x2x1 f2x2x1 f2x2x1 | f2x2x2 f2x2x2 | f2x2x3
* f2x2x1 f2x2x1 f2x2x1 | f2x2x2 f2x2x2 | f2x2x3
* ---------------------|---------------|-------
* f2x3x1 f2x3x1 f2x3x1 | f2x3x2 f2x3x2 | f2x3x3 ]
*
* It is the combination of the Hessian of each component of f
* stacking on top of each other.
*
* */
virtual void evaluateHessians(const X1& x1, const X2& x2, const X3& x3,
std::vector<Matrix>& G11, std::vector<Matrix>& G12,
std::vector<Matrix>& G13, std::vector<Matrix>& G22,
std::vector<Matrix>& G23, std::vector<Matrix>& G33) const {
static const bool debug = false;
boost::function<Vector(const X1&, const X2&, const X3&)> vecH1(
boost::bind(&This::vectorizeH1t, this, _1, _2, _3)), vecH2(
boost::bind(&This::vectorizeH2t, this, _1, _2, _3)), vecH3(
boost::bind(&This::vectorizeH3t, this, _1, _2, _3));
Matrix G11all = numericalDerivative31(vecH1, x1, x2, x3, 1e-5);
Matrix G12all = numericalDerivative32(vecH1, x1, x2, x3, 1e-5);
Matrix G13all = numericalDerivative33(vecH1, x1, x2, x3, 1e-5);
Matrix G22all = numericalDerivative32(vecH2, x1, x2, x3, 1e-5);
Matrix G23all = numericalDerivative33(vecH2, x1, x2, x3, 1e-5);
Matrix G33all = numericalDerivative33(vecH3, x1, x2, x3, 1e-5);
if (debug) {
gtsam::print(G11all, "G11all: ");
gtsam::print(G12all, "G12all: ");
gtsam::print(G13all, "G13all: ");
gtsam::print(G22all, "G22all: ");
gtsam::print(G23all, "G23all: ");
gtsam::print(G33all, "G33all: ");
std::cout << "x1dim: " << X1Dim << std::endl;
std::cout << "x2dim: " << X2Dim << std::endl;
std::cout << "x3dim: " << X3Dim << std::endl;
}
for (size_t i = 0; i < Base::get_noiseModel()->dim(); ++i) {
G11.push_back(G11all.block(i * X1Dim, 0, X1Dim, X1Dim));
if (debug)
gtsam::print(G11[i], "G11: ");
G12.push_back(G12all.block(i * X1Dim, 0, X1Dim, X2Dim));
if (debug)
gtsam::print(G12[i], "G12: ");
G13.push_back(G13all.block(i * X1Dim, 0, X1Dim, X3Dim));
if (debug)
gtsam::print(G13[i], "G13: ");
G22.push_back(G22all.block(i * X2Dim, 0, X2Dim, X2Dim));
if (debug)
gtsam::print(G22[i], "G22: ");
G23.push_back(G23all.block(i * X2Dim, 0, X2Dim, X3Dim));
if (debug)
gtsam::print(G23[i], "G23: ");
G33.push_back(G33all.block(i * X3Dim, 0, X3Dim, X3Dim));
if (debug)
gtsam::print(G33[i], "G33: ");
}
}
private:
/** Vectorize the transpose of Jacobian H1 to compute the Hessian numerically */
Vector vectorizeH1t(const X1& x1, const X2& x2, const X3& x3) const {
Matrix H1;
Vector err = evaluateError(x1, x2, x3, H1);
Matrix H1t = H1.transpose();
H1t.resize(H1t.size(), 1);
return Vector(H1t);
}
/** Vectorize the transpose of Jacobian H2 to compute the Hessian numerically */
Vector vectorizeH2t(const X1& x1, const X2& x2, const X3& x3) const {
Matrix H2;
Vector err = evaluateError(x1, x2, x3, boost::none, H2);
Matrix H2t = H2.transpose();
H2t.resize(H2t.size(), 1);
return Vector(H2t);
}
/** Vectorize the transpose of Jacobian H3 to compute the Hessian numerically */
Vector vectorizeH3t(const X1& x1, const X2& x2, const X3& x3) const {
Matrix H3;
Vector err = evaluateError(x1, x2, x3, boost::none, boost::none, H3);
Matrix H3t = H3.transpose();
H3t.resize(H3t.size(), 1);
return Vector(H3t);
}
/** Serialization function */
friend class boost::serialization::access;
template<class ARCHIVE>
void serialize(ARCHIVE & ar, const unsigned int version) {
ar
& boost::serialization::make_nvp("NoiseModelFactor",
boost::serialization::base_object<Base>(*this));
}
};
// \class NonlinearConstraint3
} /* namespace gtsam */
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