// 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/line_search.h" #include #include #include #include #include #include // NOLINT #include #include #include "ceres/evaluator.h" #include "ceres/function_sample.h" #include "ceres/internal/eigen.h" #include "ceres/map_util.h" #include "ceres/polynomial.h" #include "ceres/stringprintf.h" #include "ceres/wall_time.h" #include "glog/logging.h" namespace ceres::internal { namespace { // Precision used for floating point values in error message output. const int kErrorMessageNumericPrecision = 8; } // namespace std::ostream& operator<<(std::ostream& os, const FunctionSample& sample); // Convenience stream operator for pushing FunctionSamples into log messages. std::ostream& operator<<(std::ostream& os, const FunctionSample& sample) { os << sample.ToDebugString(); return os; } LineSearch::~LineSearch() = default; LineSearch::LineSearch(const LineSearch::Options& options) : options_(options) {} std::unique_ptr LineSearch::Create( const LineSearchType line_search_type, const LineSearch::Options& options, std::string* error) { switch (line_search_type) { case ceres::ARMIJO: return std::make_unique(options); case ceres::WOLFE: return std::make_unique(options); default: *error = std::string("Invalid line search algorithm type: ") + LineSearchTypeToString(line_search_type) + std::string(", unable to create line search."); } return nullptr; } LineSearchFunction::LineSearchFunction(Evaluator* evaluator) : evaluator_(evaluator), position_(evaluator->NumParameters()), direction_(evaluator->NumEffectiveParameters()), scaled_direction_(evaluator->NumEffectiveParameters()), initial_evaluator_residual_time_in_seconds(0.0), initial_evaluator_jacobian_time_in_seconds(0.0) {} void LineSearchFunction::Init(const Vector& position, const Vector& direction) { position_ = position; direction_ = direction; } void LineSearchFunction::Evaluate(const double x, const bool evaluate_gradient, FunctionSample* output) { output->x = x; output->vector_x_is_valid = false; output->value_is_valid = false; output->gradient_is_valid = false; output->vector_gradient_is_valid = false; scaled_direction_ = output->x * direction_; output->vector_x.resize(position_.rows(), 1); if (!evaluator_->Plus(position_.data(), scaled_direction_.data(), output->vector_x.data())) { return; } output->vector_x_is_valid = true; double* gradient = nullptr; if (evaluate_gradient) { output->vector_gradient.resize(direction_.rows(), 1); gradient = output->vector_gradient.data(); } const bool eval_status = evaluator_->Evaluate( output->vector_x.data(), &(output->value), nullptr, gradient, nullptr); if (!eval_status || !std::isfinite(output->value)) { return; } output->value_is_valid = true; if (!evaluate_gradient) { return; } output->gradient = direction_.dot(output->vector_gradient); if (!std::isfinite(output->gradient)) { return; } output->gradient_is_valid = true; output->vector_gradient_is_valid = true; } double LineSearchFunction::DirectionInfinityNorm() const { return direction_.lpNorm(); } void LineSearchFunction::ResetTimeStatistics() { const std::map evaluator_statistics = evaluator_->Statistics(); initial_evaluator_residual_time_in_seconds = FindWithDefault( evaluator_statistics, "Evaluator::Residual", CallStatistics()) .time; initial_evaluator_jacobian_time_in_seconds = FindWithDefault( evaluator_statistics, "Evaluator::Jacobian", CallStatistics()) .time; } void LineSearchFunction::TimeStatistics( double* cost_evaluation_time_in_seconds, double* gradient_evaluation_time_in_seconds) const { const std::map evaluator_time_statistics = evaluator_->Statistics(); *cost_evaluation_time_in_seconds = FindWithDefault( evaluator_time_statistics, "Evaluator::Residual", CallStatistics()) .time - initial_evaluator_residual_time_in_seconds; // Strictly speaking this will slightly underestimate the time spent // evaluating the gradient of the line search univariate cost function as it // does not count the time spent performing the dot product with the direction // vector. However, this will typically be small by comparison, and also // allows direct subtraction of the timing information from the totals for // the evaluator returned in the solver summary. *gradient_evaluation_time_in_seconds = FindWithDefault( evaluator_time_statistics, "Evaluator::Jacobian", CallStatistics()) .time - initial_evaluator_jacobian_time_in_seconds; } void LineSearch::Search(double step_size_estimate, double initial_cost, double initial_gradient, Summary* summary) const { const double start_time = WallTimeInSeconds(); CHECK(summary != nullptr); *summary = LineSearch::Summary(); summary->cost_evaluation_time_in_seconds = 0.0; summary->gradient_evaluation_time_in_seconds = 0.0; summary->polynomial_minimization_time_in_seconds = 0.0; options().function->ResetTimeStatistics(); this->DoSearch(step_size_estimate, initial_cost, initial_gradient, summary); options().function->TimeStatistics( &summary->cost_evaluation_time_in_seconds, &summary->gradient_evaluation_time_in_seconds); summary->total_time_in_seconds = WallTimeInSeconds() - start_time; } // Returns step_size \in [min_step_size, max_step_size] which minimizes the // polynomial of degree defined by interpolation_type which interpolates all // of the provided samples with valid values. double LineSearch::InterpolatingPolynomialMinimizingStepSize( const LineSearchInterpolationType& interpolation_type, const FunctionSample& lowerbound, const FunctionSample& previous, const FunctionSample& current, const double min_step_size, const double max_step_size) const { if (!current.value_is_valid || (interpolation_type == BISECTION && max_step_size <= current.x)) { // Either: sample is invalid; or we are using BISECTION and contracting // the step size. return std::min(std::max(current.x * 0.5, min_step_size), max_step_size); } else if (interpolation_type == BISECTION) { CHECK_GT(max_step_size, current.x); // We are expanding the search (during a Wolfe bracketing phase) using // BISECTION interpolation. Using BISECTION when trying to expand is // strictly speaking an oxymoron, but we define this to mean always taking // the maximum step size so that the Armijo & Wolfe implementations are // agnostic to the interpolation type. return max_step_size; } // Only check if lower-bound is valid here, where it is required // to avoid replicating current.value_is_valid == false // behaviour in WolfeLineSearch. CHECK(lowerbound.value_is_valid) << std::scientific << std::setprecision(kErrorMessageNumericPrecision) << "Ceres bug: lower-bound sample for interpolation is invalid, " << "please contact the developers!, interpolation_type: " << LineSearchInterpolationTypeToString(interpolation_type) << ", lowerbound: " << lowerbound << ", previous: " << previous << ", current: " << current; // Select step size by interpolating the function and gradient values // and minimizing the corresponding polynomial. std::vector samples; samples.push_back(lowerbound); if (interpolation_type == QUADRATIC) { // Two point interpolation using function values and the // gradient at the lower bound. samples.emplace_back(current.x, current.value); if (previous.value_is_valid) { // Three point interpolation, using function values and the // gradient at the lower bound. samples.emplace_back(previous.x, previous.value); } } else if (interpolation_type == CUBIC) { // Two point interpolation using the function values and the gradients. samples.push_back(current); if (previous.value_is_valid) { // Three point interpolation using the function values and // the gradients. samples.push_back(previous); } } else { LOG(FATAL) << "Ceres bug: No handler for interpolation_type: " << LineSearchInterpolationTypeToString(interpolation_type) << ", please contact the developers!"; } double step_size = 0.0, unused_min_value = 0.0; MinimizeInterpolatingPolynomial( samples, min_step_size, max_step_size, &step_size, &unused_min_value); return step_size; } ArmijoLineSearch::ArmijoLineSearch(const LineSearch::Options& options) : LineSearch(options) {} void ArmijoLineSearch::DoSearch(const double step_size_estimate, const double initial_cost, const double initial_gradient, Summary* summary) const { CHECK_GE(step_size_estimate, 0.0); CHECK_GT(options().sufficient_decrease, 0.0); CHECK_LT(options().sufficient_decrease, 1.0); CHECK_GT(options().max_num_iterations, 0); LineSearchFunction* function = options().function; // Note initial_cost & initial_gradient are evaluated at step_size = 0, // not step_size_estimate, which is our starting guess. FunctionSample initial_position(0.0, initial_cost, initial_gradient); initial_position.vector_x = function->position(); initial_position.vector_x_is_valid = true; const double descent_direction_max_norm = function->DirectionInfinityNorm(); FunctionSample previous; FunctionSample current; // As the Armijo line search algorithm always uses the initial point, for // which both the function value and derivative are known, when fitting a // minimizing polynomial, we can fit up to a quadratic without requiring the // gradient at the current query point. const bool kEvaluateGradient = options().interpolation_type == CUBIC; ++summary->num_function_evaluations; if (kEvaluateGradient) { ++summary->num_gradient_evaluations; } function->Evaluate(step_size_estimate, kEvaluateGradient, ¤t); while (!current.value_is_valid || current.value > (initial_cost + options().sufficient_decrease * initial_gradient * current.x)) { // If current.value_is_valid is false, we treat it as if the cost at that // point is not large enough to satisfy the sufficient decrease condition. ++summary->num_iterations; if (summary->num_iterations >= options().max_num_iterations) { summary->error = StringPrintf( "Line search failed: Armijo failed to find a point " "satisfying the sufficient decrease condition within " "specified max_num_iterations: %d.", options().max_num_iterations); if (!options().is_silent) { LOG(WARNING) << summary->error; } return; } const double polynomial_minimization_start_time = WallTimeInSeconds(); const double step_size = this->InterpolatingPolynomialMinimizingStepSize( options().interpolation_type, initial_position, previous, current, (options().max_step_contraction * current.x), (options().min_step_contraction * current.x)); summary->polynomial_minimization_time_in_seconds += (WallTimeInSeconds() - polynomial_minimization_start_time); if (step_size * descent_direction_max_norm < options().min_step_size) { summary->error = StringPrintf( "Line search failed: step_size too small: %.5e " "with descent_direction_max_norm: %.5e.", step_size, descent_direction_max_norm); if (!options().is_silent) { LOG(WARNING) << summary->error; } return; } previous = current; ++summary->num_function_evaluations; if (kEvaluateGradient) { ++summary->num_gradient_evaluations; } function->Evaluate(step_size, kEvaluateGradient, ¤t); } summary->optimal_point = current; summary->success = true; } WolfeLineSearch::WolfeLineSearch(const LineSearch::Options& options) : LineSearch(options) {} void WolfeLineSearch::DoSearch(const double step_size_estimate, const double initial_cost, const double initial_gradient, Summary* summary) const { // All parameters should have been validated by the Solver, but as // invalid values would produce crazy nonsense, hard check them here. CHECK_GE(step_size_estimate, 0.0); CHECK_GT(options().sufficient_decrease, 0.0); CHECK_GT(options().sufficient_curvature_decrease, options().sufficient_decrease); CHECK_LT(options().sufficient_curvature_decrease, 1.0); CHECK_GT(options().max_step_expansion, 1.0); // Note initial_cost & initial_gradient are evaluated at step_size = 0, // not step_size_estimate, which is our starting guess. FunctionSample initial_position(0.0, initial_cost, initial_gradient); initial_position.vector_x = options().function->position(); initial_position.vector_x_is_valid = true; bool do_zoom_search = false; // Important: The high/low in bracket_high & bracket_low refer to their // _function_ values, not their step sizes i.e. it is _not_ required that // bracket_low.x < bracket_high.x. FunctionSample solution, bracket_low, bracket_high; // Wolfe bracketing phase: Increases step_size until either it finds a point // that satisfies the (strong) Wolfe conditions, or an interval that brackets // step sizes which satisfy the conditions. From Nocedal & Wright [1] p61 the // interval: (step_size_{k-1}, step_size_{k}) contains step lengths satisfying // the strong Wolfe conditions if one of the following conditions are met: // // 1. step_size_{k} violates the sufficient decrease (Armijo) condition. // 2. f(step_size_{k}) >= f(step_size_{k-1}). // 3. f'(step_size_{k}) >= 0. // // Caveat: If f(step_size_{k}) is invalid, then step_size is reduced, ignoring // this special case, step_size monotonically increases during bracketing. if (!this->BracketingPhase(initial_position, step_size_estimate, &bracket_low, &bracket_high, &do_zoom_search, summary)) { // Failed to find either a valid point, a valid bracket satisfying the Wolfe // conditions, or even a step size > minimum tolerance satisfying the Armijo // condition. return; } if (!do_zoom_search) { // Either: Bracketing phase already found a point satisfying the strong // Wolfe conditions, thus no Zoom required. // // Or: Bracketing failed to find a valid bracket or a point satisfying the // strong Wolfe conditions within max_num_iterations, or whilst searching // shrank the bracket width until it was below our minimum tolerance. // As these are 'artificial' constraints, and we would otherwise fail to // produce a valid point when ArmijoLineSearch would succeed, we return the // point with the lowest cost found thus far which satisfies the Armijo // condition (but not the Wolfe conditions). summary->optimal_point = bracket_low; summary->success = true; return; } VLOG(3) << std::scientific << std::setprecision(kErrorMessageNumericPrecision) << "Starting line search zoom phase with bracket_low: " << bracket_low << ", bracket_high: " << bracket_high << ", bracket width: " << fabs(bracket_low.x - bracket_high.x) << ", bracket abs delta cost: " << fabs(bracket_low.value - bracket_high.value); // Wolfe Zoom phase: Called when the Bracketing phase finds an interval of // non-zero, finite width that should bracket step sizes which satisfy the // (strong) Wolfe conditions (before finding a step size that satisfies the // conditions). Zoom successively decreases the size of the interval until a // step size which satisfies the Wolfe conditions is found. The interval is // defined by bracket_low & bracket_high, which satisfy: // // 1. The interval bounded by step sizes: bracket_low.x & bracket_high.x // contains step sizes that satisfy the strong Wolfe conditions. // 2. bracket_low.x is of all the step sizes evaluated *which satisfied the // Armijo sufficient decrease condition*, the one which generated the // smallest function value, i.e. bracket_low.value < // f(all other steps satisfying Armijo). // - Note that this does _not_ (necessarily) mean that initially // bracket_low.value < bracket_high.value (although this is typical) // e.g. when bracket_low = initial_position, and bracket_high is the // first sample, and which does not satisfy the Armijo condition, // but still has bracket_high.value < initial_position.value. // 3. bracket_high is chosen after bracket_low, s.t. // bracket_low.gradient * (bracket_high.x - bracket_low.x) < 0. if (!this->ZoomPhase( initial_position, bracket_low, bracket_high, &solution, summary) && !solution.value_is_valid) { // Failed to find a valid point (given the specified decrease parameters) // within the specified bracket. return; } // Ensure that if we ran out of iterations whilst zooming the bracket, or // shrank the bracket width to < tolerance and failed to find a point which // satisfies the strong Wolfe curvature condition, that we return the point // amongst those found thus far, which minimizes f() and satisfies the Armijo // condition. if (!solution.value_is_valid || solution.value > bracket_low.value) { summary->optimal_point = bracket_low; } else { summary->optimal_point = solution; } summary->success = true; } // Returns true if either: // // A termination condition satisfying the (strong) Wolfe bracketing conditions // is found: // // - A valid point, defined as a bracket of zero width [zoom not required]. // - A valid bracket (of width > tolerance), [zoom required]. // // Or, searching was stopped due to an 'artificial' constraint, i.e. not // a condition imposed / required by the underlying algorithm, but instead an // engineering / implementation consideration. But a step which exceeds the // minimum step size, and satisfies the Armijo condition was still found, // and should thus be used [zoom not required]. // // Returns false if no step size > minimum step size was found which // satisfies at least the Armijo condition. bool WolfeLineSearch::BracketingPhase(const FunctionSample& initial_position, const double step_size_estimate, FunctionSample* bracket_low, FunctionSample* bracket_high, bool* do_zoom_search, Summary* summary) const { LineSearchFunction* function = options().function; FunctionSample previous = initial_position; FunctionSample current; const double descent_direction_max_norm = function->DirectionInfinityNorm(); *do_zoom_search = false; *bracket_low = initial_position; // As we require the gradient to evaluate the Wolfe condition, we always // calculate it together with the value, irrespective of the interpolation // type. As opposed to only calculating the gradient after the Armijo // condition is satisfied, as the computational saving from this approach // would be slight (perhaps even negative due to the extra call). Also, // always calculating the value & gradient together protects against us // reporting invalid solutions if the cost function returns slightly different // function values when evaluated with / without gradients (due to numerical // issues). ++summary->num_function_evaluations; ++summary->num_gradient_evaluations; const bool kEvaluateGradient = true; function->Evaluate(step_size_estimate, kEvaluateGradient, ¤t); while (true) { ++summary->num_iterations; if (current.value_is_valid && (current.value > (initial_position.value + options().sufficient_decrease * initial_position.gradient * current.x) || (previous.value_is_valid && current.value > previous.value))) { // Bracket found: current step size violates Armijo sufficient decrease // condition, or has stepped past an inflection point of f() relative to // previous step size. *do_zoom_search = true; *bracket_low = previous; *bracket_high = current; VLOG(3) << std::scientific << std::setprecision(kErrorMessageNumericPrecision) << "Bracket found: current step (" << current.x << ") violates Armijo sufficient condition, or has passed an " << "inflection point of f() based on value."; break; } if (current.value_is_valid && fabs(current.gradient) <= -options().sufficient_curvature_decrease * initial_position.gradient) { // Current step size satisfies the strong Wolfe conditions, and is thus a // valid termination point, therefore a Zoom not required. *bracket_low = current; *bracket_high = current; VLOG(3) << std::scientific << std::setprecision(kErrorMessageNumericPrecision) << "Bracketing phase found step size: " << current.x << ", satisfying strong Wolfe conditions, initial_position: " << initial_position << ", current: " << current; break; } else if (current.value_is_valid && current.gradient >= 0) { // Bracket found: current step size has stepped past an inflection point // of f(), but Armijo sufficient decrease is still satisfied and // f(current) is our best minimum thus far. Remember step size // monotonically increases, thus previous_step_size < current_step_size // even though f(previous) > f(current). *do_zoom_search = true; // Note inverse ordering from first bracket case. *bracket_low = current; *bracket_high = previous; VLOG(3) << "Bracket found: current step (" << current.x << ") satisfies Armijo, but has gradient >= 0, thus have passed " << "an inflection point of f()."; break; } else if (current.value_is_valid && fabs(current.x - previous.x) * descent_direction_max_norm < options().min_step_size) { // We have shrunk the search bracket to a width less than our tolerance, // and still not found either a point satisfying the strong Wolfe // conditions, or a valid bracket containing such a point. Stop searching // and set bracket_low to the size size amongst all those tested which // minimizes f() and satisfies the Armijo condition. if (!options().is_silent) { LOG(WARNING) << "Line search failed: Wolfe bracketing phase shrank " << "bracket width: " << fabs(current.x - previous.x) << ", to < tolerance: " << options().min_step_size << ", with descent_direction_max_norm: " << descent_direction_max_norm << ", and failed to find " << "a point satisfying the strong Wolfe conditions or a " << "bracketing containing such a point. Accepting " << "point found satisfying Armijo condition only, to " << "allow continuation."; } *bracket_low = current; break; } else if (summary->num_iterations >= options().max_num_iterations) { // Check num iterations bound here so that we always evaluate the // max_num_iterations-th iteration against all conditions, and // then perform no additional (unused) evaluations. summary->error = StringPrintf( "Line search failed: Wolfe bracketing phase failed to " "find a point satisfying strong Wolfe conditions, or a " "bracket containing such a point within specified " "max_num_iterations: %d", options().max_num_iterations); if (!options().is_silent) { LOG(WARNING) << summary->error; } // Ensure that bracket_low is always set to the step size amongst all // those tested which minimizes f() and satisfies the Armijo condition // when we terminate due to the 'artificial' max_num_iterations condition. *bracket_low = current.value_is_valid && current.value < bracket_low->value ? current : *bracket_low; break; } // Either: f(current) is invalid; or, f(current) is valid, but does not // satisfy the strong Wolfe conditions itself, or the conditions for // being a boundary of a bracket. // If f(current) is valid, (but meets no criteria) expand the search by // increasing the step size. If f(current) is invalid, contract the step // size. // // In Nocedal & Wright [1] (p60), the step-size can only increase in the // bracketing phase: step_size_{k+1} \in [step_size_k, step_size_k * // factor]. However this does not account for the function returning invalid // values which we support, in which case we need to contract the step size // whilst ensuring that we do not invert the bracket, i.e, we require that: // step_size_{k-1} <= step_size_{k+1} < step_size_k. const double min_step_size = current.value_is_valid ? current.x : previous.x; const double max_step_size = current.value_is_valid ? (current.x * options().max_step_expansion) : current.x; // We are performing 2-point interpolation only here, but the API of // InterpolatingPolynomialMinimizingStepSize() allows for up to // 3-point interpolation, so pad call with a sample with an invalid // value that will therefore be ignored. const FunctionSample unused_previous; DCHECK(!unused_previous.value_is_valid); // Contracts step size if f(current) is not valid. const double polynomial_minimization_start_time = WallTimeInSeconds(); const double step_size = this->InterpolatingPolynomialMinimizingStepSize( options().interpolation_type, previous, unused_previous, current, min_step_size, max_step_size); summary->polynomial_minimization_time_in_seconds += (WallTimeInSeconds() - polynomial_minimization_start_time); if (step_size * descent_direction_max_norm < options().min_step_size) { summary->error = StringPrintf( "Line search failed: step_size too small: %.5e " "with descent_direction_max_norm: %.5e", step_size, descent_direction_max_norm); if (!options().is_silent) { LOG(WARNING) << summary->error; } return false; } // Only advance the lower boundary (in x) of the bracket if f(current) // is valid such that we can support contracting the step size when // f(current) is invalid without risking inverting the bracket in x, i.e. // prevent previous.x > current.x. previous = current.value_is_valid ? current : previous; ++summary->num_function_evaluations; ++summary->num_gradient_evaluations; function->Evaluate(step_size, kEvaluateGradient, ¤t); } // Ensure that even if a valid bracket was found, we will only mark a zoom // as required if the bracket's width is greater than our minimum tolerance. if (*do_zoom_search && fabs(bracket_high->x - bracket_low->x) * descent_direction_max_norm < options().min_step_size) { *do_zoom_search = false; } return true; } // Returns true iff solution satisfies the strong Wolfe conditions. Otherwise, // on return false, if we stopped searching due to the 'artificial' condition of // reaching max_num_iterations, solution is the step size amongst all those // tested, which satisfied the Armijo decrease condition and minimized f(). bool WolfeLineSearch::ZoomPhase(const FunctionSample& initial_position, FunctionSample bracket_low, FunctionSample bracket_high, FunctionSample* solution, Summary* summary) const { LineSearchFunction* function = options().function; CHECK(bracket_low.value_is_valid && bracket_low.gradient_is_valid) << std::scientific << std::setprecision(kErrorMessageNumericPrecision) << "Ceres bug: f_low input to Wolfe Zoom invalid, please contact " << "the developers!, initial_position: " << initial_position << ", bracket_low: " << bracket_low << ", bracket_high: " << bracket_high; // We do not require bracket_high.gradient_is_valid as the gradient condition // for a valid bracket is only dependent upon bracket_low.gradient, and // in order to minimize jacobian evaluations, bracket_high.gradient may // not have been calculated (if bracket_high.value does not satisfy the // Armijo sufficient decrease condition and interpolation method does not // require it). // // We also do not require that: bracket_low.value < bracket_high.value, // although this is typical. This is to deal with the case when // bracket_low = initial_position, bracket_high is the first sample, // and bracket_high does not satisfy the Armijo condition, but still has // bracket_high.value < initial_position.value. CHECK(bracket_high.value_is_valid) << std::scientific << std::setprecision(kErrorMessageNumericPrecision) << "Ceres bug: f_high input to Wolfe Zoom invalid, please " << "contact the developers!, initial_position: " << initial_position << ", bracket_low: " << bracket_low << ", bracket_high: " << bracket_high; if (bracket_low.gradient * (bracket_high.x - bracket_low.x) >= 0) { // The third condition for a valid initial bracket: // // 3. bracket_high is chosen after bracket_low, s.t. // bracket_low.gradient * (bracket_high.x - bracket_low.x) < 0. // // is not satisfied. As this can happen when the users' cost function // returns inconsistent gradient values relative to the function values, // we do not CHECK_LT(), but we do stop processing and return an invalid // value. summary->error = StringPrintf( "Line search failed: Wolfe zoom phase passed a bracket " "which does not satisfy: bracket_low.gradient * " "(bracket_high.x - bracket_low.x) < 0 [%.8e !< 0] " "with initial_position: %s, bracket_low: %s, bracket_high:" " %s, the most likely cause of which is the cost function " "returning inconsistent gradient & function values.", bracket_low.gradient * (bracket_high.x - bracket_low.x), initial_position.ToDebugString().c_str(), bracket_low.ToDebugString().c_str(), bracket_high.ToDebugString().c_str()); if (!options().is_silent) { LOG(WARNING) << summary->error; } solution->value_is_valid = false; return false; } const int num_bracketing_iterations = summary->num_iterations; const double descent_direction_max_norm = function->DirectionInfinityNorm(); while (true) { // Set solution to bracket_low, as it is our best step size (smallest f()) // found thus far and satisfies the Armijo condition, even though it does // not satisfy the Wolfe condition. *solution = bracket_low; if (summary->num_iterations >= options().max_num_iterations) { summary->error = StringPrintf( "Line search failed: Wolfe zoom phase failed to " "find a point satisfying strong Wolfe conditions " "within specified max_num_iterations: %d, " "(num iterations taken for bracketing: %d).", options().max_num_iterations, num_bracketing_iterations); if (!options().is_silent) { LOG(WARNING) << summary->error; } return false; } if (fabs(bracket_high.x - bracket_low.x) * descent_direction_max_norm < options().min_step_size) { // Bracket width has been reduced below tolerance, and no point satisfying // the strong Wolfe conditions has been found. summary->error = StringPrintf( "Line search failed: Wolfe zoom bracket width: %.5e " "too small with descent_direction_max_norm: %.5e.", fabs(bracket_high.x - bracket_low.x), descent_direction_max_norm); if (!options().is_silent) { LOG(WARNING) << summary->error; } return false; } ++summary->num_iterations; // Polynomial interpolation requires inputs ordered according to step size, // not f(step size). const FunctionSample& lower_bound_step = bracket_low.x < bracket_high.x ? bracket_low : bracket_high; const FunctionSample& upper_bound_step = bracket_low.x < bracket_high.x ? bracket_high : bracket_low; // We are performing 2-point interpolation only here, but the API of // InterpolatingPolynomialMinimizingStepSize() allows for up to // 3-point interpolation, so pad call with a sample with an invalid // value that will therefore be ignored. const FunctionSample unused_previous; DCHECK(!unused_previous.value_is_valid); const double polynomial_minimization_start_time = WallTimeInSeconds(); const double step_size = this->InterpolatingPolynomialMinimizingStepSize( options().interpolation_type, lower_bound_step, unused_previous, upper_bound_step, lower_bound_step.x, upper_bound_step.x); summary->polynomial_minimization_time_in_seconds += (WallTimeInSeconds() - polynomial_minimization_start_time); // No check on magnitude of step size being too small here as it is // lower-bounded by the initial bracket start point, which was valid. // // As we require the gradient to evaluate the Wolfe condition, we always // calculate it together with the value, irrespective of the interpolation // type. As opposed to only calculating the gradient after the Armijo // condition is satisfied, as the computational saving from this approach // would be slight (perhaps even negative due to the extra call). Also, // always calculating the value & gradient together protects against us // reporting invalid solutions if the cost function returns slightly // different function values when evaluated with / without gradients (due // to numerical issues). ++summary->num_function_evaluations; ++summary->num_gradient_evaluations; const bool kEvaluateGradient = true; function->Evaluate(step_size, kEvaluateGradient, solution); if (!solution->value_is_valid || !solution->gradient_is_valid) { summary->error = StringPrintf( "Line search failed: Wolfe Zoom phase found " "step_size: %.5e, for which function is invalid, " "between low_step: %.5e and high_step: %.5e " "at which function is valid.", solution->x, bracket_low.x, bracket_high.x); if (!options().is_silent) { LOG(WARNING) << summary->error; } return false; } VLOG(3) << "Zoom iteration: " << summary->num_iterations - num_bracketing_iterations << ", bracket_low: " << bracket_low << ", bracket_high: " << bracket_high << ", minimizing solution: " << *solution; if ((solution->value > (initial_position.value + options().sufficient_decrease * initial_position.gradient * solution->x)) || (solution->value >= bracket_low.value)) { // Armijo sufficient decrease not satisfied, or not better // than current lowest sample, use as new upper bound. bracket_high = *solution; continue; } // Armijo sufficient decrease satisfied, check strong Wolfe condition. if (fabs(solution->gradient) <= -options().sufficient_curvature_decrease * initial_position.gradient) { // Found a valid termination point satisfying strong Wolfe conditions. VLOG(3) << std::scientific << std::setprecision(kErrorMessageNumericPrecision) << "Zoom phase found step size: " << solution->x << ", satisfying strong Wolfe conditions."; break; } else if (solution->gradient * (bracket_high.x - bracket_low.x) >= 0) { bracket_high = bracket_low; } bracket_low = *solution; } // Solution contains a valid point which satisfies the strong Wolfe // conditions. return true; } } // namespace ceres::internal