// 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) // // Abstract interface for objects solving linear systems of various // kinds. #ifndef CERES_INTERNAL_LINEAR_SOLVER_H_ #define CERES_INTERNAL_LINEAR_SOLVER_H_ #include #include #include #include #include #include "ceres/block_sparse_matrix.h" #include "ceres/casts.h" #include "ceres/compressed_row_sparse_matrix.h" #include "ceres/context_impl.h" #include "ceres/dense_sparse_matrix.h" #include "ceres/execution_summary.h" #include "ceres/internal/disable_warnings.h" #include "ceres/internal/export.h" #include "ceres/triplet_sparse_matrix.h" #include "ceres/types.h" #include "glog/logging.h" namespace ceres::internal { enum class LinearSolverTerminationType { // Termination criterion was met. SUCCESS, // Solver ran for max_num_iterations and terminated before the // termination tolerance could be satisfied. NO_CONVERGENCE, // Solver was terminated due to numerical problems, generally due to // the linear system being poorly conditioned. FAILURE, // Solver failed with a fatal error that cannot be recovered from, // e.g. CHOLMOD ran out of memory when computing the symbolic or // numeric factorization or an underlying library was called with // the wrong arguments. FATAL_ERROR }; inline std::ostream& operator<<(std::ostream& s, LinearSolverTerminationType type) { switch (type) { case LinearSolverTerminationType::SUCCESS: s << "LINEAR_SOLVER_SUCCESS"; break; case LinearSolverTerminationType::NO_CONVERGENCE: s << "LINEAR_SOLVER_NO_CONVERGENCE"; break; case LinearSolverTerminationType::FAILURE: s << "LINEAR_SOLVER_FAILURE"; break; case LinearSolverTerminationType::FATAL_ERROR: s << "LINEAR_SOLVER_FATAL_ERROR"; break; default: s << "UNKNOWN LinearSolverTerminationType"; } return s; } // This enum controls the fill-reducing ordering a sparse linear // algebra library should use before computing a sparse factorization // (usually Cholesky). // // TODO(sameeragarwal): Add support for nested dissection enum class OrderingType { NATURAL, // Do not re-order the matrix. This is useful when the // matrix has been ordered using a fill-reducing ordering // already. AMD, // Use the Approximate Minimum Degree algorithm to re-order // the matrix. NESDIS, // Use the Nested Dissection algorithm to re-order the matrix. }; inline std::ostream& operator<<(std::ostream& s, OrderingType type) { switch (type) { case OrderingType::NATURAL: s << "NATURAL"; break; case OrderingType::AMD: s << "AMD"; break; case OrderingType::NESDIS: s << "NESDIS"; break; default: s << "UNKNOWN OrderingType"; } return s; } class LinearOperator; // Abstract base class for objects that implement algorithms for // solving linear systems // // Ax = b // // It is expected that a single instance of a LinearSolver object // maybe used multiple times for solving multiple linear systems with // the same sparsity structure. This allows them to cache and reuse // information across solves. This means that calling Solve on the // same LinearSolver instance with two different linear systems will // result in undefined behaviour. // // Subclasses of LinearSolver use two structs to configure themselves. // The Options struct configures the LinearSolver object for its // lifetime. The PerSolveOptions struct is used to specify options for // a particular Solve call. class CERES_NO_EXPORT LinearSolver { public: struct Options { LinearSolverType type = SPARSE_NORMAL_CHOLESKY; PreconditionerType preconditioner_type = JACOBI; VisibilityClusteringType visibility_clustering_type = CANONICAL_VIEWS; DenseLinearAlgebraLibraryType dense_linear_algebra_library_type = EIGEN; SparseLinearAlgebraLibraryType sparse_linear_algebra_library_type = SUITE_SPARSE; OrderingType ordering_type = OrderingType::NATURAL; // See solver.h for information about these flags. bool dynamic_sparsity = false; bool use_explicit_schur_complement = false; // Number of internal iterations that the solver uses. This // parameter only makes sense for iterative solvers like CG. int min_num_iterations = 1; int max_num_iterations = 1; // Maximum number of iterations performed by SCHUR_POWER_SERIES_EXPANSION. // This value controls the maximum number of iterations whether it is used // as a preconditioner or just to initialize the solution for // ITERATIVE_SCHUR. int max_num_spse_iterations = 5; // Use SCHUR_POWER_SERIES_EXPANSION to initialize the solution for // ITERATIVE_SCHUR. This option can be set true regardless of what // preconditioner is being used. bool use_spse_initialization = false; // When use_spse_initialization is true, this parameter along with // max_num_spse_iterations controls the number of // SCHUR_POWER_SERIES_EXPANSION iterations performed for initialization. It // is not used to control the preconditioner. double spse_tolerance = 0.1; // If possible, how many threads can the solver use. int num_threads = 1; // Hints about the order in which the parameter blocks should be // eliminated by the linear solver. // // For example if elimination_groups is a vector of size k, then // the linear solver is informed that it should eliminate the // parameter blocks 0 ... elimination_groups[0] - 1 first, and // then elimination_groups[0] ... elimination_groups[1] - 1 and so // on. Within each elimination group, the linear solver is free to // choose how the parameter blocks are ordered. Different linear // solvers have differing requirements on elimination_groups. // // The most common use is for Schur type solvers, where there // should be at least two elimination groups and the first // elimination group must form an independent set in the normal // equations. The first elimination group corresponds to the // num_eliminate_blocks in the Schur type solvers. std::vector elimination_groups; // Iterative solvers, e.g. Preconditioned Conjugate Gradients // maintain a cheap estimate of the residual which may become // inaccurate over time. Thus for non-zero values of this // parameter, the solver can be told to recalculate the value of // the residual using a |b - Ax| evaluation. int residual_reset_period = 10; // If the block sizes in a BlockSparseMatrix are fixed, then in // some cases the Schur complement based solvers can detect and // specialize on them. // // It is expected that these parameters are set programmatically // rather than manually. // // Please see schur_complement_solver.h and schur_eliminator.h for // more details. int row_block_size = Eigen::Dynamic; int e_block_size = Eigen::Dynamic; int f_block_size = Eigen::Dynamic; bool use_mixed_precision_solves = false; int max_num_refinement_iterations = 0; int subset_preconditioner_start_row_block = -1; ContextImpl* context = nullptr; }; // Options for the Solve method. struct PerSolveOptions { // This option only makes sense for unsymmetric linear solvers // that can solve rectangular linear systems. // // Given a matrix A, an optional diagonal matrix D as a vector, // and a vector b, the linear solver will solve for // // | A | x = | b | // | D | | 0 | // // If D is null, then it is treated as zero, and the solver returns // the solution to // // A x = b // // In either case, x is the vector that solves the following // optimization problem. // // arg min_x ||Ax - b||^2 + ||Dx||^2 // // Here A is a matrix of size m x n, with full column rank. If A // does not have full column rank, the results returned by the // solver cannot be relied on. D, if it is not null is an array of // size n. b is an array of size m and x is an array of size n. double* D = nullptr; // This option only makes sense for iterative solvers. // // In general the performance of an iterative linear solver // depends on the condition number of the matrix A. For example // the convergence rate of the conjugate gradients algorithm // is proportional to the square root of the condition number. // // One particularly useful technique for improving the // conditioning of a linear system is to precondition it. In its // simplest form a preconditioner is a matrix M such that instead // of solving Ax = b, we solve the linear system AM^{-1} y = b // instead, where M is such that the condition number k(AM^{-1}) // is smaller than the conditioner k(A). Given the solution to // this system, x = M^{-1} y. The iterative solver takes care of // the mechanics of solving the preconditioned system and // returning the corrected solution x. The user only needs to // supply a linear operator. // // A null preconditioner is equivalent to an identity matrix being // used a preconditioner. LinearOperator* preconditioner = nullptr; // The following tolerance related options only makes sense for // iterative solvers. Direct solvers ignore them. // Solver terminates when // // |Ax - b| <= r_tolerance * |b|. // // This is the most commonly used termination criterion for // iterative solvers. double r_tolerance = 0.0; // For PSD matrices A, let // // Q(x) = x'Ax - 2b'x // // be the cost of the quadratic function defined by A and b. Then, // the solver terminates at iteration i if // // i * (Q(x_i) - Q(x_i-1)) / Q(x_i) < q_tolerance. // // This termination criterion is more useful when using CG to // solve the Newton step. This particular convergence test comes // from Stephen Nash's work on truncated Newton // methods. References: // // 1. Stephen G. Nash & Ariela Sofer, Assessing A Search // Direction Within A Truncated Newton Method, Operation // Research Letters 9(1990) 219-221. // // 2. Stephen G. Nash, A Survey of Truncated Newton Methods, // Journal of Computational and Applied Mathematics, // 124(1-2), 45-59, 2000. // double q_tolerance = 0.0; }; // Summary of a call to the Solve method. We should move away from // the true/false method for determining solver success. We should // let the summary object do the talking. struct Summary { double residual_norm = -1.0; int num_iterations = -1; LinearSolverTerminationType termination_type = LinearSolverTerminationType::FAILURE; std::string message; }; // If the optimization problem is such that there are no remaining // e-blocks, a Schur type linear solver cannot be used. If the // linear solver is of Schur type, this function implements a policy // to select an alternate nearest linear solver to the one selected // by the user. The input linear_solver_type is returned otherwise. static LinearSolverType LinearSolverForZeroEBlocks( LinearSolverType linear_solver_type); virtual ~LinearSolver(); // Solve Ax = b. virtual Summary Solve(LinearOperator* A, const double* b, const PerSolveOptions& per_solve_options, double* x) = 0; // This method returns copies instead of references so that the base // class implementation does not have to worry about life time // issues. Further, this calls are not expected to be frequent or // performance sensitive. virtual std::map Statistics() const { return {}; } // Factory static std::unique_ptr Create(const Options& options); }; // This templated subclass of LinearSolver serves as a base class for // other linear solvers that depend on the particular matrix layout of // the underlying linear operator. For example some linear solvers // need low level access to the TripletSparseMatrix implementing the // LinearOperator interface. This class hides those implementation // details behind a private virtual method, and has the Solve method // perform the necessary upcasting. template class TypedLinearSolver : public LinearSolver { public: LinearSolver::Summary Solve( LinearOperator* A, const double* b, const LinearSolver::PerSolveOptions& per_solve_options, double* x) override { ScopedExecutionTimer total_time("LinearSolver::Solve", &execution_summary_); CHECK(A != nullptr); CHECK(b != nullptr); CHECK(x != nullptr); return SolveImpl(down_cast(A), b, per_solve_options, x); } std::map Statistics() const override { return execution_summary_.statistics(); } private: virtual LinearSolver::Summary SolveImpl( MatrixType* A, const double* b, const LinearSolver::PerSolveOptions& per_solve_options, double* x) = 0; ExecutionSummary execution_summary_; }; // Linear solvers that depend on access to the low level structure of // a SparseMatrix. // clang-format off using BlockSparseMatrixSolver = TypedLinearSolver; // NOLINT using CompressedRowSparseMatrixSolver = TypedLinearSolver; // NOLINT using DenseSparseMatrixSolver = TypedLinearSolver; // NOLINT using TripletSparseMatrixSolver = TypedLinearSolver; // NOLINT // clang-format on } // namespace ceres::internal #include "ceres/internal/reenable_warnings.h" #endif // CERES_INTERNAL_LINEAR_SOLVER_H_