CLevenbergMarquardt.h

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/* +------------------------------------------------------------------------+
   |                     Mobile Robot Programming Toolkit (MRPT)            |
   |                          http://www.mrpt.org/                          |
   |                                                                        |
   | Copyright (c) 2005-2018, Individual contributors, see AUTHORS file     |
   | See: http://www.mrpt.org/Authors - All rights reserved.                |
   | Released under BSD License. See details in http://www.mrpt.org/License |
   +------------------------------------------------------------------------+ */
#ifndef CLevenbergMarquardt_H
#define CLevenbergMarquardt_H

#include <mrpt/system/COutputLogger.h>
#include <mrpt/math/types_math.h>
#include <mrpt/math/num_jacobian.h>
#include <mrpt/containers/printf_vector.h>
#include <mrpt/math/ops_containers.h>
#include <functional>

namespace mrpt::math
{
/** An implementation of the Levenberg-Marquardt algorithm for least-square
 * minimization.
 *
 *  Refer to this <a
 * href="http://www.mrpt.org/Levenberg%E2%80%93Marquardt_algorithm" >page</a>
 * for more details on the algorithm and its usage.
 *
 * \tparam NUMTYPE The numeric type for all the operations (float, double, or
 * long double)
 * \tparam USERPARAM The type of the "y" input to the user supplied evaluation
 * functor. Default type is a vector of NUMTYPE.
 * \ingroup mrpt_math_grp
 */
template <typename VECTORTYPE = Eigen::VectorXd, class USERPARAM = VECTORTYPE>
class CLevenbergMarquardtTempl : public mrpt::system::COutputLogger
{
   public:
    using NUMTYPE = typename VECTORTYPE::Scalar;
    using matrix_t = Eigen::Matrix<NUMTYPE, Eigen::Dynamic, Eigen::Dynamic>;
    using vector_t = VECTORTYPE;

    CLevenbergMarquardtTempl()
        : mrpt::system::COutputLogger("CLevenbergMarquardt")
    {
    }

    /** The type of the function passed to execute. The user must supply a
     * function which evaluates the error of a given point in the solution
     * space.
     *  \param x The state point under examination.
     *  \param y The same object passed to "execute" as the parameter
     * "userParam".
     *  \param out The vector of (non-squared) errors, of the average square
     * root error, for the given "x". The functor code must set the size of this
     * vector.
     */
    using TFunctorEval = std::function<void(
        const VECTORTYPE& x, const USERPARAM& y, VECTORTYPE& out)>;

    /** The type of an optional functor passed to \a execute to replace the
     * Euclidean addition "x_new = x_old + x_incr" by any other operation.
     */
    using TFunctorIncrement = std::function<void(
        VECTORTYPE& x_new, const VECTORTYPE& x_old, const VECTORTYPE& x_incr,
        const USERPARAM& user_param)>;

    struct TResultInfo
    {
        NUMTYPE final_sqr_err;
        size_t iterations_executed;
        /** The last error vector returned by the user-provided functor. */
        VECTORTYPE last_err_vector;
        /** Each row is the optimized value at each iteration. */
        matrix_t path;

        /** This matrix can be used to obtain an estimate of the optimal
         * parameters covariance matrix:
         *  \f[ COV = H M H^\top \f]
         *  With COV the covariance matrix of the optimal parameters, H this
         * matrix, and M the covariance of the input (observations).
         */
        matrix_t H;
    };

    /** Executes the LM-method, with derivatives estimated from
     *  \a functor is a user-provided function which takes as input two
     *vectors, in this order:
     *      - x: The parameters to be optimized.
     *      - userParam: The vector passed to the LM algorithm, unmodified.
     *    and must return the "error vector", or the error (not squared) in each
     *measured dimension, so the sum of the square of that output is the
     *overall square error.
     *
     * \a x_increment_adder Is an optional functor which may replace the
     *Euclidean "x_new = x + x_increment" at the core of the incremental
     *optimizer by
     *     any other operation. It can be used for example, in on-manifold
     *optimizations.
     */
    void execute(
        VECTORTYPE& out_optimal_x, const VECTORTYPE& x0, TFunctorEval functor,
        const VECTORTYPE& increments, const USERPARAM& userParam,
        TResultInfo& out_info,
        mrpt::system::VerbosityLevel verbosity = mrpt::system::LVL_INFO,
        const size_t maxIter = 200, const NUMTYPE tau = 1e-3,
        const NUMTYPE e1 = 1e-8, const NUMTYPE e2 = 1e-8,
        bool returnPath = true, TFunctorIncrement x_increment_adder = nullptr)
    {
        using namespace mrpt;
        using namespace mrpt::math;
        using namespace std;

        MRPT_START

        this->setMinLoggingLevel(verbosity);

        VECTORTYPE& x = out_optimal_x;  // Var rename

        // Asserts:
        ASSERT_(increments.size() == x0.size());

        x = x0;  // Start with the starting point
        VECTORTYPE f_x;  // The vector error from the user function
        matrix_t AUX;
        matrix_t J;  // The Jacobian of "f"
        VECTORTYPE g;  // The gradient

        // Compute the jacobian and the Hessian:
        mrpt::math::estimateJacobian(x, functor, increments, userParam, J);
        out_info.H.multiply_AtA(J);

        const size_t H_len = out_info.H.cols();

        // Compute the gradient:
        functor(x, userParam, f_x);
        J.multiply_Atb(f_x, g);

        // Start iterations:
        bool found = math::norm_inf(g) <= e1;
        if (found)
            logFmt(
                mrpt::system::LVL_INFO,
                "End condition: math::norm_inf(g)<=e1 :%f\n",
                math::norm_inf(g));

        NUMTYPE lambda = tau * out_info.H.maximumDiagonal();
        size_t iter = 0;
        NUMTYPE v = 2;

        VECTORTYPE h_lm;
        VECTORTYPE xnew, f_xnew;
        NUMTYPE F_x = pow(math::norm(f_x), 2);

        const size_t N = x.size();

        if (returnPath)
        {
            out_info.path.setSize(maxIter, N + 1);
            out_info.path.block(iter, 0, 1, N) = x.transpose();
        }
        else
            out_info.path = Eigen::Matrix<NUMTYPE, Eigen::Dynamic,
                                          Eigen::Dynamic>();  // Empty matrix

        while (!found && ++iter < maxIter)
        {
            // H_lm = -( H + \lambda I ) ^-1 * g
            matrix_t H = out_info.H;
            for (size_t k = 0; k < H_len; k++) H(k, k) += lambda;

            H.inv_fast(AUX);
            AUX.multiply_Ab(g, h_lm);
            h_lm *= NUMTYPE(-1.0);

            double h_lm_n2 = math::norm(h_lm);
            double x_n2 = math::norm(x);

            logFmt(
                mrpt::system::LVL_DEBUG, "Iter:%u x=%s\n", (unsigned)iter,
                mrpt::containers::sprintf_vector(" %f", x).c_str());

            if (h_lm_n2 < e2 * (x_n2 + e2))
            {
                // Done:
                found = true;
                logFmt(
                    mrpt::system::LVL_INFO, "End condition: %e < %e\n", h_lm_n2,
                    e2 * (x_n2 + e2));
            }
            else
            {
                // Improvement: xnew = x + h_lm;
                if (!x_increment_adder)
                    xnew = x + h_lm;  // Normal Euclidean space addition.
                else
                    x_increment_adder(xnew, x, h_lm, userParam);

                functor(xnew, userParam, f_xnew);
                const double F_xnew = pow(math::norm(f_xnew), 2);

                // denom = h_lm^t * ( \lambda * h_lm - g )
                VECTORTYPE tmp(h_lm);
                tmp *= lambda;
                tmp -= g;
                tmp.array() *= h_lm.array();
                double denom = tmp.sum();
                double l = (F_x - F_xnew) / denom;

                if (l > 0)  // There is an improvement:
                {
                    // Accept new point:
                    x = xnew;
                    f_x = f_xnew;
                    F_x = F_xnew;

                    math::estimateJacobian(
                        x, functor, increments, userParam, J);
                    out_info.H.multiply_AtA(J);
                    J.multiply_Atb(f_x, g);

                    found = math::norm_inf(g) <= e1;
                    if (found)
                        logFmt(
                            mrpt::system::LVL_INFO,
                            "End condition: math::norm_inf(g)<=e1 : %e\n",
                            math::norm_inf(g));

                    lambda *= max(0.33, 1 - pow(2 * l - 1, 3));
                    v = 2;
                }
                else
                {
                    // Nope...
                    lambda *= v;
                    v *= 2;
                }

                if (returnPath)
                {
                    out_info.path.block(iter, 0, 1, x.size()) = x.transpose();
                    out_info.path(iter, x.size()) = F_x;
                }
            }
        }  // end while

        // Output info:
        out_info.final_sqr_err = F_x;
        out_info.iterations_executed = iter;
        out_info.last_err_vector = f_x;
        if (returnPath) out_info.path.setSize(iter, N + 1);

        MRPT_END
    }

};  // End of class def.

/** The default name for the LM class is an instantiation for "double" */
using CLevenbergMarquardt = CLevenbergMarquardtTempl<mrpt::math::CVectorDouble>;

}
#endif