// Ceres Solver - A fast non-linear least squares minimizer // Copyright 2023 Google Inc. All rights reserved. // http://ceres-solver.org/ // // 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) #include "ceres/implicit_schur_complement.h" #include #include #include "Eigen/Dense" #include "ceres/block_random_access_dense_matrix.h" #include "ceres/block_sparse_matrix.h" #include "ceres/casts.h" #include "ceres/context_impl.h" #include "ceres/internal/eigen.h" #include "ceres/linear_least_squares_problems.h" #include "ceres/linear_solver.h" #include "ceres/schur_eliminator.h" #include "ceres/triplet_sparse_matrix.h" #include "ceres/types.h" #include "glog/logging.h" #include "gtest/gtest.h" namespace ceres::internal { using testing::AssertionResult; const double kEpsilon = 1e-14; class ImplicitSchurComplementTest : public ::testing::Test { protected: void SetUp() final { auto problem = CreateLinearLeastSquaresProblemFromId(2); CHECK(problem != nullptr); A_.reset(down_cast(problem->A.release())); b_ = std::move(problem->b); D_ = std::move(problem->D); num_cols_ = A_->num_cols(); num_rows_ = A_->num_rows(); num_eliminate_blocks_ = problem->num_eliminate_blocks; } void ReducedLinearSystemAndSolution(double* D, Matrix* lhs, Vector* rhs, Vector* solution) { const CompressedRowBlockStructure* bs = A_->block_structure(); const int num_col_blocks = bs->cols.size(); auto blocks = Tail(bs->cols, num_col_blocks - num_eliminate_blocks_); BlockRandomAccessDenseMatrix blhs(blocks, &context_, 1); const int num_schur_rows = blhs.num_rows(); LinearSolver::Options options; options.elimination_groups.push_back(num_eliminate_blocks_); options.type = DENSE_SCHUR; ContextImpl context; options.context = &context; std::unique_ptr eliminator = SchurEliminatorBase::Create(options); CHECK(eliminator != nullptr); const bool kFullRankETE = true; eliminator->Init(num_eliminate_blocks_, kFullRankETE, bs); lhs->resize(num_schur_rows, num_schur_rows); rhs->resize(num_schur_rows); eliminator->Eliminate( BlockSparseMatrixData(*A_), b_.get(), D, &blhs, rhs->data()); MatrixRef lhs_ref(blhs.mutable_values(), num_schur_rows, num_schur_rows); // lhs_ref is an upper triangular matrix. Construct a full version // of lhs_ref in lhs by transposing lhs_ref, choosing the strictly // lower triangular part of the matrix and adding it to lhs_ref. *lhs = lhs_ref; lhs->triangularView() = lhs_ref.triangularView().transpose(); solution->resize(num_cols_); solution->setZero(); VectorRef schur_solution(solution->data() + num_cols_ - num_schur_rows, num_schur_rows); schur_solution = lhs->selfadjointView().llt().solve(*rhs); eliminator->BackSubstitute(BlockSparseMatrixData(*A_), b_.get(), D, schur_solution.data(), solution->data()); } AssertionResult TestImplicitSchurComplement(double* D) { Matrix lhs; Vector rhs; Vector reference_solution; ReducedLinearSystemAndSolution(D, &lhs, &rhs, &reference_solution); LinearSolver::Options options; options.elimination_groups.push_back(num_eliminate_blocks_); options.preconditioner_type = JACOBI; ContextImpl context; options.context = &context; ImplicitSchurComplement isc(options); isc.Init(*A_, D, b_.get()); const int num_f_cols = lhs.cols(); const int num_e_cols = num_cols_ - num_f_cols; Matrix A_dense, E, F, DE, DF; A_->ToDenseMatrix(&A_dense); E = A_dense.leftCols(A_->num_cols() - num_f_cols); F = A_dense.rightCols(num_f_cols); if (D) { DE = VectorRef(D, num_e_cols).asDiagonal(); DF = VectorRef(D + num_e_cols, num_f_cols).asDiagonal(); } else { DE = Matrix::Zero(num_e_cols, num_e_cols); DF = Matrix::Zero(num_f_cols, num_f_cols); } // Z = (block_diagonal(F'F))^-1 F'E (E'E)^-1 E'F // Here, assuming that block_diagonal(F'F) == diagonal(F'F) Matrix Z_reference = (F.transpose() * F + DF).diagonal().asDiagonal().inverse() * F.transpose() * E * (E.transpose() * E + DE).inverse() * E.transpose() * F; for (int i = 0; i < num_f_cols; ++i) { Vector x(num_f_cols); x.setZero(); x(i) = 1.0; Vector y(num_f_cols); y = lhs * x; Vector z(num_f_cols); isc.RightMultiplyAndAccumulate(x.data(), z.data()); // The i^th column of the implicit schur complement is the same as // the explicit schur complement. if ((y - z).norm() > kEpsilon) { return testing::AssertionFailure() << "Explicit and Implicit SchurComplements differ in " << "column " << i << ". explicit: " << y.transpose() << " implicit: " << z.transpose(); } y.setZero(); y = Z_reference * x; z.setZero(); isc.InversePowerSeriesOperatorRightMultiplyAccumulate(x.data(), z.data()); // The i^th column of operator Z stored implicitly is the same as its // explicit version. if ((y - z).norm() > kEpsilon) { return testing::AssertionFailure() << "Explicit and Implicit operators used to approximate the " "inversion of schur complement via power series expansion " "differ in column " << i << ". explicit: " << y.transpose() << " implicit: " << z.transpose(); } } // Compare the rhs of the reduced linear system if ((isc.rhs() - rhs).norm() > kEpsilon) { return testing::AssertionFailure() << "Explicit and Implicit SchurComplements differ in " << "rhs. explicit: " << rhs.transpose() << " implicit: " << isc.rhs().transpose(); } // Reference solution to the f_block. const Vector reference_f_sol = lhs.selfadjointView().llt().solve(rhs); // Backsubstituted solution from the implicit schur solver using the // reference solution to the f_block. Vector sol(num_cols_); isc.BackSubstitute(reference_f_sol.data(), sol.data()); if ((sol - reference_solution).norm() > kEpsilon) { return testing::AssertionFailure() << "Explicit and Implicit SchurComplements solutions differ. " << "explicit: " << reference_solution.transpose() << " implicit: " << sol.transpose(); } return testing::AssertionSuccess(); } ContextImpl context_; int num_rows_; int num_cols_; int num_eliminate_blocks_; std::unique_ptr A_; std::unique_ptr b_; std::unique_ptr D_; }; // Verify that the Schur Complement matrix implied by the // ImplicitSchurComplement class matches the one explicitly computed // by the SchurComplement solver. // // We do this with and without regularization to check that the // support for the LM diagonal is correct. TEST_F(ImplicitSchurComplementTest, SchurMatrixValuesTest) { EXPECT_TRUE(TestImplicitSchurComplement(nullptr)); EXPECT_TRUE(TestImplicitSchurComplement(D_.get())); } } // namespace ceres::internal