// Ceres Solver - A fast non-linear least squares minimizer // Copyright 2010, 2011, 2012 Google Inc. All rights reserved. // http://code.google.com/p/ceres-solver/ // // Redistribution and use in source and binary forms, with or without // modification, are permitted provided that the following conditions are met: // // * Redistributions of source code must retain the above copyright notice, // this list of conditions and the following disclaimer. // * Redistributions in binary form must reproduce the above copyright notice, // this list of conditions and the following disclaimer in the documentation // and/or other materials provided with the distribution. // * Neither the name of Google Inc. nor the names of its contributors may be // used to endorse or promote products derived from this software without // specific prior written permission. // // THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" // AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE // IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE // ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE // LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR // CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF // SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS // INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN // CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) // ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE // POSSIBILITY OF SUCH DAMAGE. // // Author: sameeragarwal@google.com (Sameer Agarwal) // This include must come before any #ifndef check on Ceres compile options. #include "ceres/internal/port.h" #include "ceres/sparse_normal_cholesky_solver.h" #include #include #include #include "ceres/compressed_row_sparse_matrix.h" #include "ceres/cxsparse.h" #include "ceres/internal/eigen.h" #include "ceres/internal/scoped_ptr.h" #include "ceres/linear_solver.h" #include "ceres/suitesparse.h" #include "ceres/triplet_sparse_matrix.h" #include "ceres/types.h" #include "ceres/wall_time.h" #include "Eigen/SparseCore" namespace ceres { namespace internal { SparseNormalCholeskySolver::SparseNormalCholeskySolver( const LinearSolver::Options& options) : factor_(NULL), cxsparse_factor_(NULL), options_(options){ } void SparseNormalCholeskySolver::FreeFactorization() { if (factor_ != NULL) { ss_.Free(factor_); factor_ = NULL; } if (cxsparse_factor_ != NULL) { cxsparse_.Free(cxsparse_factor_); cxsparse_factor_ = NULL; } } SparseNormalCholeskySolver::~SparseNormalCholeskySolver() { FreeFactorization(); } LinearSolver::Summary SparseNormalCholeskySolver::SolveImpl( CompressedRowSparseMatrix* A, const double* b, const LinearSolver::PerSolveOptions& per_solve_options, double * x) { const int num_cols = A->num_cols(); VectorRef(x, num_cols).setZero(); A->LeftMultiply(b, x); if (per_solve_options.D != NULL) { // Temporarily append a diagonal block to the A matrix, but undo // it before returning the matrix to the user. scoped_ptr regularizer; if (A->col_blocks().size() > 0) { regularizer.reset(CompressedRowSparseMatrix::CreateBlockDiagonalMatrix( per_solve_options.D, A->col_blocks())); } else { regularizer.reset(new CompressedRowSparseMatrix( per_solve_options.D, num_cols)); } A->AppendRows(*regularizer); } LinearSolver::Summary summary; switch (options_.sparse_linear_algebra_library_type) { case SUITE_SPARSE: summary = SolveImplUsingSuiteSparse(A, per_solve_options, x); break; case CX_SPARSE: summary = SolveImplUsingCXSparse(A, per_solve_options, x); break; case EIGEN_SPARSE: summary = SolveImplUsingEigen(A, per_solve_options, x); break; default: LOG(FATAL) << "Unknown sparse linear algebra library : " << options_.sparse_linear_algebra_library_type; } if (per_solve_options.D != NULL) { A->DeleteRows(num_cols); } return summary; } LinearSolver::Summary SparseNormalCholeskySolver::SolveImplUsingEigen( CompressedRowSparseMatrix* A, const LinearSolver::PerSolveOptions& per_solve_options, double * rhs_and_solution) { #ifndef CERES_USE_EIGEN_SPARSE LinearSolver::Summary summary; summary.num_iterations = 0; summary.termination_type = LINEAR_SOLVER_FATAL_ERROR; summary.message = "SPARSE_NORMAL_CHOLESKY cannot be used with EIGEN_SPARSE " "because Ceres was not built with support for " "Eigen's SimplicialLDLT decomposition. " "This requires enabling building with -DEIGENSPARSE=ON."; return summary; #else EventLogger event_logger("SparseNormalCholeskySolver::Eigen::Solve"); LinearSolver::Summary summary; summary.num_iterations = 1; summary.termination_type = LINEAR_SOLVER_SUCCESS; summary.message = "Success."; // Compute the normal equations. J'J delta = J'f and solve them // using a sparse Cholesky factorization. Notice that when compared // to SuiteSparse we have to explicitly compute the normal equations // before they can be factorized. CHOLMOD/SuiteSparse on the other // hand can just work off of Jt to compute the Cholesky // factorization of the normal equations. // // TODO(sameeragarwal): See note about how this maybe a bad idea for // dynamic sparsity. if (outer_product_.get() == NULL) { outer_product_.reset( CompressedRowSparseMatrix::CreateOuterProductMatrixAndProgram( *A, &pattern_)); } CompressedRowSparseMatrix::ComputeOuterProduct( *A, pattern_, outer_product_.get()); // Map to an upper triangular column major matrix. // // outer_product_ is a compressed row sparse matrix and in lower // triangular form, when mapped to a compressed column sparse // matrix, it becomes an upper triangular matrix. Eigen::MappedSparseMatrix AtA( outer_product_->num_rows(), outer_product_->num_rows(), outer_product_->num_nonzeros(), outer_product_->mutable_rows(), outer_product_->mutable_cols(), outer_product_->mutable_values()); const Vector b = VectorRef(rhs_and_solution, outer_product_->num_rows()); if (simplicial_ldlt_.get() == NULL || options_.dynamic_sparsity) { simplicial_ldlt_.reset(new SimplicialLDLT); // This is a crappy way to be doing this. But right now Eigen does // not expose a way to do symbolic analysis with a given // permutation pattern, so we cannot use a block analysis of the // Jacobian. simplicial_ldlt_->analyzePattern(AtA); if (simplicial_ldlt_->info() != Eigen::Success) { summary.termination_type = LINEAR_SOLVER_FATAL_ERROR; summary.message = "Eigen failure. Unable to find symbolic factorization."; return summary; } } event_logger.AddEvent("Analysis"); simplicial_ldlt_->factorize(AtA); if(simplicial_ldlt_->info() != Eigen::Success) { summary.termination_type = LINEAR_SOLVER_FAILURE; summary.message = "Eigen failure. Unable to find numeric factorization."; return summary; } VectorRef(rhs_and_solution, outer_product_->num_rows()) = simplicial_ldlt_->solve(b); if(simplicial_ldlt_->info() != Eigen::Success) { summary.termination_type = LINEAR_SOLVER_FAILURE; summary.message = "Eigen failure. Unable to do triangular solve."; return summary; } event_logger.AddEvent("Solve"); return summary; #endif // EIGEN_USE_EIGEN_SPARSE } LinearSolver::Summary SparseNormalCholeskySolver::SolveImplUsingCXSparse( CompressedRowSparseMatrix* A, const LinearSolver::PerSolveOptions& per_solve_options, double * rhs_and_solution) { #ifdef CERES_NO_CXSPARSE LinearSolver::Summary summary; summary.num_iterations = 0; summary.termination_type = LINEAR_SOLVER_FATAL_ERROR; summary.message = "SPARSE_NORMAL_CHOLESKY cannot be used with CX_SPARSE " "because Ceres was not built with support for CXSparse. " "This requires enabling building with -DCXSPARSE=ON."; return summary; #else EventLogger event_logger("SparseNormalCholeskySolver::CXSparse::Solve"); LinearSolver::Summary summary; summary.num_iterations = 1; summary.termination_type = LINEAR_SOLVER_SUCCESS; summary.message = "Success."; // Compute the normal equations. J'J delta = J'f and solve them // using a sparse Cholesky factorization. Notice that when compared // to SuiteSparse we have to explicitly compute the normal equations // before they can be factorized. CHOLMOD/SuiteSparse on the other // hand can just work off of Jt to compute the Cholesky // factorization of the normal equations. // // TODO(sameeragarwal): If dynamic sparsity is enabled, then this is // not a good idea performance wise, since the jacobian has far too // many entries and the program will go crazy with memory. if (outer_product_.get() == NULL) { outer_product_.reset( CompressedRowSparseMatrix::CreateOuterProductMatrixAndProgram( *A, &pattern_)); } CompressedRowSparseMatrix::ComputeOuterProduct( *A, pattern_, outer_product_.get()); cs_di AtA_view = cxsparse_.CreateSparseMatrixTransposeView(outer_product_.get()); cs_di* AtA = &AtA_view; event_logger.AddEvent("Setup"); // Compute symbolic factorization if not available. if (options_.dynamic_sparsity) { FreeFactorization(); } if (cxsparse_factor_ == NULL) { if (options_.use_postordering) { cxsparse_factor_ = cxsparse_.BlockAnalyzeCholesky(AtA, A->col_blocks(), A->col_blocks()); } else { if (options_.dynamic_sparsity) { cxsparse_factor_ = cxsparse_.AnalyzeCholesky(AtA); } else { cxsparse_factor_ = cxsparse_.AnalyzeCholeskyWithNaturalOrdering(AtA); } } } event_logger.AddEvent("Analysis"); if (cxsparse_factor_ == NULL) { summary.termination_type = LINEAR_SOLVER_FATAL_ERROR; summary.message = "CXSparse failure. Unable to find symbolic factorization."; } else if (!cxsparse_.SolveCholesky(AtA, cxsparse_factor_, rhs_and_solution)) { summary.termination_type = LINEAR_SOLVER_FAILURE; summary.message = "CXSparse::SolveCholesky failed."; } event_logger.AddEvent("Solve"); return summary; #endif } LinearSolver::Summary SparseNormalCholeskySolver::SolveImplUsingSuiteSparse( CompressedRowSparseMatrix* A, const LinearSolver::PerSolveOptions& per_solve_options, double * rhs_and_solution) { #ifdef CERES_NO_SUITESPARSE LinearSolver::Summary summary; summary.num_iterations = 0; summary.termination_type = LINEAR_SOLVER_FATAL_ERROR; summary.message = "SPARSE_NORMAL_CHOLESKY cannot be used with SUITE_SPARSE " "because Ceres was not built with support for SuiteSparse. " "This requires enabling building with -DSUITESPARSE=ON."; return summary; #else EventLogger event_logger("SparseNormalCholeskySolver::SuiteSparse::Solve"); LinearSolver::Summary summary; summary.termination_type = LINEAR_SOLVER_SUCCESS; summary.num_iterations = 1; summary.message = "Success."; const int num_cols = A->num_cols(); cholmod_sparse lhs = ss_.CreateSparseMatrixTransposeView(A); event_logger.AddEvent("Setup"); if (options_.dynamic_sparsity) { FreeFactorization(); } if (factor_ == NULL) { if (options_.use_postordering) { factor_ = ss_.BlockAnalyzeCholesky(&lhs, A->col_blocks(), A->row_blocks(), &summary.message); } else { if (options_.dynamic_sparsity) { factor_ = ss_.AnalyzeCholesky(&lhs, &summary.message); } else { factor_ = ss_.AnalyzeCholeskyWithNaturalOrdering(&lhs, &summary.message); } } } event_logger.AddEvent("Analysis"); if (factor_ == NULL) { summary.termination_type = LINEAR_SOLVER_FATAL_ERROR; // No need to set message as it has already been set by the // symbolic analysis routines above. return summary; } summary.termination_type = ss_.Cholesky(&lhs, factor_, &summary.message); if (summary.termination_type != LINEAR_SOLVER_SUCCESS) { return summary; } cholmod_dense* rhs = ss_.CreateDenseVector(rhs_and_solution, num_cols, num_cols); cholmod_dense* solution = ss_.Solve(factor_, rhs, &summary.message); event_logger.AddEvent("Solve"); ss_.Free(rhs); if (solution != NULL) { memcpy(rhs_and_solution, solution->x, num_cols * sizeof(*rhs_and_solution)); ss_.Free(solution); } else { // No need to set message as it has already been set by the // numeric factorization routine above. summary.termination_type = LINEAR_SOLVER_FAILURE; } event_logger.AddEvent("Teardown"); return summary; #endif } } // namespace internal } // namespace ceres