Point Cloud Library (PCL) 1.12.1
bfgs.h
1#pragma once
2#include <pcl/pcl_macros.h>
3
4#if defined __GNUC__
5#pragma GCC system_header
6#endif
7
8#include <unsupported/Eigen/Polynomials> // for PolynomialSolver, PolynomialSolverBase
9
10namespace Eigen {
11template <typename _Scalar>
12class PolynomialSolver<_Scalar, 2> : public PolynomialSolverBase<_Scalar, 2> {
13public:
14 using PS_Base = PolynomialSolverBase<_Scalar, 2>;
15 EIGEN_POLYNOMIAL_SOLVER_BASE_INHERITED_TYPES(PS_Base)
16
17public:
18 virtual ~PolynomialSolver() {}
19
20 template <typename OtherPolynomial>
21 inline PolynomialSolver(const OtherPolynomial& poly, bool& hasRealRoot)
22 {
23 compute(poly, hasRealRoot);
24 }
25
26 /** Computes the complex roots of a new polynomial. */
27 template <typename OtherPolynomial>
28 void
29 compute(const OtherPolynomial& poly, bool& hasRealRoot)
30 {
31 const Scalar ZERO(0);
32 Scalar a2(2 * poly[2]);
33 assert(ZERO != poly[poly.size() - 1]);
34 Scalar discriminant((poly[1] * poly[1]) - (4 * poly[0] * poly[2]));
35 if (ZERO < discriminant) {
36 Scalar discriminant_root(std::sqrt(discriminant));
37 m_roots[0] = (-poly[1] - discriminant_root) / (a2);
38 m_roots[1] = (-poly[1] + discriminant_root) / (a2);
39 hasRealRoot = true;
40 }
41 else {
42 if (ZERO == discriminant) {
43 m_roots.resize(1);
44 m_roots[0] = -poly[1] / a2;
45 hasRealRoot = true;
46 }
47 else {
48 Scalar discriminant_root(std::sqrt(-discriminant));
49 m_roots[0] = RootType(-poly[1] / a2, -discriminant_root / a2);
50 m_roots[1] = RootType(-poly[1] / a2, discriminant_root / a2);
51 hasRealRoot = false;
52 }
53 }
54 }
55
56 template <typename OtherPolynomial>
57 void
58 compute(const OtherPolynomial& poly)
59 {
60 bool hasRealRoot;
61 compute(poly, hasRealRoot);
62 }
63
64protected:
65 using PS_Base::m_roots;
66};
67} // namespace Eigen
68
69namespace BFGSSpace {
70enum Status {
73 Running = -1,
75 NoProgress = 1
76};
77}
78
79template <typename _Scalar, int NX = Eigen::Dynamic>
81 using Scalar = _Scalar;
82 enum { InputsAtCompileTime = NX };
83 using VectorType = Eigen::Matrix<Scalar, InputsAtCompileTime, 1>;
84
85 const int m_inputs;
86
89
90 virtual ~BFGSDummyFunctor() {}
91 int
92 inputs() const
93 {
94 return m_inputs;
95 }
96
97 virtual double
98 operator()(const VectorType& x) = 0;
99 virtual void
100 df(const VectorType& x, VectorType& df) = 0;
101 virtual void
102 fdf(const VectorType& x, Scalar& f, VectorType& df) = 0;
103 virtual BFGSSpace::Status
105 {
107 };
108};
109
110/**
111 * BFGS stands for Broyden–Fletcher–Goldfarb–Shanno (BFGS) method for solving
112 * unconstrained nonlinear optimization problems.
113 * For further details please visit: http://en.wikipedia.org/wiki/BFGS_method
114 * The method provided here is almost similar to the one provided by GSL.
115 * It reproduces Fletcher's original algorithm in Practical Methods of Optimization
116 * algorithms : 2.6.2 and 2.6.4 and uses the same politics in GSL with cubic
117 * interpolation whenever it is possible else falls to quadratic interpolation for
118 * alpha parameter.
119 */
120template <typename FunctorType>
121class BFGS {
122public:
123 using Scalar = typename FunctorType::Scalar;
124 using FVectorType = typename FunctorType::VectorType;
125
126 BFGS(FunctorType& _functor) : pnorm(0), g0norm(0), iter(-1), functor(_functor) {}
127
128 using Index = Eigen::DenseIndex;
129
130 struct Parameters {
132 : max_iters(400)
133 , bracket_iters(100)
134 , section_iters(100)
135 , rho(0.01)
136 , sigma(0.01)
137 , tau1(9)
138 , tau2(0.05)
139 , tau3(0.5)
140 , step_size(1)
141 , order(3)
142 {}
143 Index max_iters; // maximum number of function evaluation
153 };
154
162 testGradient();
163 PCL_DEPRECATED(1, 13, "Use `testGradient()` instead")
165 void
167 {
169 }
170
174
175private:
176 BFGS&
177 operator=(const BFGS&);
179 lineSearch(Scalar rho,
180 Scalar sigma,
181 Scalar tau1,
182 Scalar tau2,
183 Scalar tau3,
184 int order,
185 Scalar alpha1,
186 Scalar& alpha_new);
187 Scalar
188 interpolate(Scalar a,
189 Scalar fa,
190 Scalar fpa,
191 Scalar b,
192 Scalar fb,
193 Scalar fpb,
194 Scalar xmin,
195 Scalar xmax,
196 int order);
197 void
198 checkExtremum(const Eigen::Matrix<Scalar, 4, 1>& coefficients,
199 Scalar x,
200 Scalar& xmin,
201 Scalar& fmin);
202 void
203 moveTo(Scalar alpha);
204 Scalar
205 slope();
206 Scalar
207 applyF(Scalar alpha);
208 Scalar
209 applyDF(Scalar alpha);
210 void
211 applyFDF(Scalar alpha, Scalar& f, Scalar& df);
212 void
213 updatePosition(Scalar alpha, FVectorType& x, Scalar& f, FVectorType& g);
214 void
215 changeDirection();
216
217 Scalar delta_f, fp0;
218 FVectorType x0, dx0, dg0, g0, dx, p;
219 Scalar pnorm, g0norm;
220
221 Scalar f_alpha;
222 Scalar df_alpha;
223 FVectorType x_alpha;
224 FVectorType g_alpha;
225
226 // cache "keys"
227 Scalar f_cache_key;
228 Scalar df_cache_key;
229 Scalar x_cache_key;
230 Scalar g_cache_key;
231
232 Index iter;
233 FunctorType& functor;
234};
235
236template <typename FunctorType>
237void
238BFGS<FunctorType>::checkExtremum(const Eigen::Matrix<Scalar, 4, 1>& coefficients,
239 Scalar x,
240 Scalar& xmin,
241 Scalar& fmin)
242{
243 Scalar y = Eigen::poly_eval(coefficients, x);
244 if (y < fmin) {
245 xmin = x;
246 fmin = y;
247 }
248}
249
250template <typename FunctorType>
251void
252BFGS<FunctorType>::moveTo(Scalar alpha)
253{
254 x_alpha = x0 + alpha * p;
255 x_cache_key = alpha;
256}
257
258template <typename FunctorType>
261{
262 return (g_alpha.dot(p));
263}
264
265template <typename FunctorType>
267BFGS<FunctorType>::applyF(Scalar alpha)
268{
269 if (alpha == f_cache_key)
270 return f_alpha;
271 moveTo(alpha);
272 f_alpha = functor(x_alpha);
273 f_cache_key = alpha;
274 return (f_alpha);
275}
276
277template <typename FunctorType>
279BFGS<FunctorType>::applyDF(Scalar alpha)
280{
281 if (alpha == df_cache_key)
282 return df_alpha;
283 moveTo(alpha);
284 if (alpha != g_cache_key) {
285 functor.df(x_alpha, g_alpha);
286 g_cache_key = alpha;
287 }
288 df_alpha = slope();
289 df_cache_key = alpha;
290 return (df_alpha);
291}
292
293template <typename FunctorType>
294void
295BFGS<FunctorType>::applyFDF(Scalar alpha, Scalar& f, Scalar& df)
296{
297 if (alpha == f_cache_key && alpha == df_cache_key) {
298 f = f_alpha;
299 df = df_alpha;
300 return;
301 }
302
303 if (alpha == f_cache_key || alpha == df_cache_key) {
304 f = applyF(alpha);
305 df = applyDF(alpha);
306 return;
307 }
308
309 moveTo(alpha);
310 functor.fdf(x_alpha, f_alpha, g_alpha);
311 f_cache_key = alpha;
312 g_cache_key = alpha;
313 df_alpha = slope();
314 df_cache_key = alpha;
315 f = f_alpha;
316 df = df_alpha;
317}
318
319template <typename FunctorType>
320void
322 FVectorType& x,
323 Scalar& f,
324 FVectorType& g)
325{
326 {
327 Scalar f_alpha, df_alpha;
328 applyFDF(alpha, f_alpha, df_alpha);
329 };
330
331 f = f_alpha;
332 x = x_alpha;
333 g = g_alpha;
334}
335
336template <typename FunctorType>
337void
339{
340 x_alpha = x0;
341 x_cache_key = 0.0;
342 f_cache_key = 0.0;
343 g_alpha = g0;
344 g_cache_key = 0.0;
345 df_alpha = slope();
346 df_cache_key = 0.0;
347}
348
349template <typename FunctorType>
352{
353 BFGSSpace::Status status = minimizeInit(x);
354 do {
355 status = minimizeOneStep(x);
356 iter++;
357 } while (status == BFGSSpace::Success && iter < parameters.max_iters);
358 return status;
359}
360
361template <typename FunctorType>
364{
365 iter = 0;
366 delta_f = 0;
367 dx.setZero();
368 functor.fdf(x, f, gradient);
369 x0 = x;
370 g0 = gradient;
371 g0norm = g0.norm();
372 p = gradient * -1 / g0norm;
373 pnorm = p.norm();
374 fp0 = -g0norm;
375
376 {
377 x_alpha = x0;
378 x_cache_key = 0;
379
380 f_alpha = f;
381 f_cache_key = 0;
382
383 g_alpha = g0;
384 g_cache_key = 0;
385
386 df_alpha = slope();
387 df_cache_key = 0;
388 }
389
391}
392
393template <typename FunctorType>
396{
397 Scalar alpha = 0.0, alpha1;
398 Scalar f0 = f;
399 if (pnorm == 0.0 || g0norm == 0.0 || fp0 == 0) {
400 dx.setZero();
402 }
403
404 if (delta_f < 0) {
405 Scalar del =
406 std::max(-delta_f, 10 * std::numeric_limits<Scalar>::epsilon() * std::abs(f0));
407 alpha1 = std::min(1.0, 2.0 * del / (-fp0));
408 }
409 else
410 alpha1 = std::abs(parameters.step_size);
411
412 BFGSSpace::Status status = lineSearch(parameters.rho,
413 parameters.sigma,
414 parameters.tau1,
415 parameters.tau2,
416 parameters.tau3,
417 parameters.order,
418 alpha1,
419 alpha);
420
421 if (status != BFGSSpace::Success)
422 return status;
423
424 updatePosition(alpha, x, f, gradient);
425
426 delta_f = f - f0;
427
428 /* Choose a new direction for the next step */
429 {
430 /* This is the BFGS update: */
431 /* p' = g1 - A dx - B dg */
432 /* A = - (1+ dg.dg/dx.dg) B + dg.g/dx.dg */
433 /* B = dx.g/dx.dg */
434
435 Scalar dxg, dgg, dxdg, dgnorm, A, B;
436
437 /* dx0 = x - x0 */
438 dx0 = x - x0;
439 dx = dx0; /* keep a copy */
440
441 /* dg0 = g - g0 */
442 dg0 = gradient - g0;
443 dxg = dx0.dot(gradient);
444 dgg = dg0.dot(gradient);
445 dxdg = dx0.dot(dg0);
446 dgnorm = dg0.norm();
447
448 if (dxdg != 0) {
449 B = dxg / dxdg;
450 A = -(1.0 + dgnorm * dgnorm / dxdg) * B + dgg / dxdg;
451 }
452 else {
453 B = 0;
454 A = 0;
455 }
456
457 p = -A * dx0;
458 p += gradient;
459 p += -B * dg0;
460 }
461
462 g0 = gradient;
463 x0 = x;
464 g0norm = g0.norm();
465 pnorm = p.norm();
466
467 Scalar dir = ((p.dot(gradient)) > 0) ? -1.0 : 1.0;
468 p *= dir / pnorm;
469 pnorm = p.norm();
470 fp0 = p.dot(g0);
471
472 changeDirection();
473 return BFGSSpace::Success;
474}
475
476template <typename FunctorType>
477typename BFGSSpace::Status
479{
480 return functor.checkGradient(gradient);
481}
482
483template <typename FunctorType>
486 Scalar fa,
487 Scalar fpa,
488 Scalar b,
489 Scalar fb,
490 Scalar fpb,
491 Scalar xmin,
492 Scalar xmax,
493 int order)
494{
495 /* Map [a,b] to [0,1] */
496 Scalar y, alpha, ymin, ymax, fmin;
497
498 ymin = (xmin - a) / (b - a);
499 ymax = (xmax - a) / (b - a);
500
501 // Ensure ymin <= ymax
502 if (ymin > ymax) {
503 Scalar tmp = ymin;
504 ymin = ymax;
505 ymax = tmp;
506 };
507
508 if (order > 2 && !(fpb != fpa) && fpb != std::numeric_limits<Scalar>::infinity()) {
509 fpa = fpa * (b - a);
510 fpb = fpb * (b - a);
511
512 Scalar eta = 3 * (fb - fa) - 2 * fpa - fpb;
513 Scalar xi = fpa + fpb - 2 * (fb - fa);
514 Scalar c0 = fa, c1 = fpa, c2 = eta, c3 = xi;
515 Scalar y0, y1;
516 Eigen::Matrix<Scalar, 4, 1> coefficients;
517 coefficients << c0, c1, c2, c3;
518
519 y = ymin;
520 // Evaluate the cubic polyinomial at ymin;
521 fmin = Eigen::poly_eval(coefficients, ymin);
522 checkExtremum(coefficients, ymax, y, fmin);
523 {
524 // Solve quadratic polynomial for the derivate
525 Eigen::Matrix<Scalar, 3, 1> coefficients2;
526 coefficients2 << c1, 2 * c2, 3 * c3;
527 bool real_roots;
528 Eigen::PolynomialSolver<Scalar, 2> solver(coefficients2, real_roots);
529 if (real_roots) {
530 if ((solver.roots()).size() == 2) /* found 2 roots */
531 {
532 y0 = std::real(solver.roots()[0]);
533 y1 = std::real(solver.roots()[1]);
534 if (y0 > y1) {
535 Scalar tmp(y0);
536 y0 = y1;
537 y1 = tmp;
538 }
539 if (y0 > ymin && y0 < ymax)
540 checkExtremum(coefficients, y0, y, fmin);
541 if (y1 > ymin && y1 < ymax)
542 checkExtremum(coefficients, y1, y, fmin);
543 }
544 else if ((solver.roots()).size() == 1) /* found 1 root */
545 {
546 y0 = std::real(solver.roots()[0]);
547 if (y0 > ymin && y0 < ymax)
548 checkExtremum(coefficients, y0, y, fmin);
549 }
550 }
551 }
552 }
553 else {
554 fpa = fpa * (b - a);
555 Scalar fl = fa + ymin * (fpa + ymin * (fb - fa - fpa));
556 Scalar fh = fa + ymax * (fpa + ymax * (fb - fa - fpa));
557 Scalar c = 2 * (fb - fa - fpa); /* curvature */
558 y = ymin;
559 fmin = fl;
560
561 if (fh < fmin) {
562 y = ymax;
563 fmin = fh;
564 }
565
566 if (c > a) /* positive curvature required for a minimum */
567 {
568 Scalar z = -fpa / c; /* location of minimum */
569 if (z > ymin && z < ymax) {
570 Scalar f = fa + z * (fpa + z * (fb - fa - fpa));
571 if (f < fmin) {
572 y = z;
573 fmin = f;
574 };
575 }
576 }
577 }
578
579 alpha = a + y * (b - a);
580 return alpha;
581}
582
583template <typename FunctorType>
586 Scalar sigma,
587 Scalar tau1,
588 Scalar tau2,
589 Scalar tau3,
590 int order,
591 Scalar alpha1,
592 Scalar& alpha_new)
593{
594 Scalar f0, fp0, falpha, falpha_prev, fpalpha, fpalpha_prev, delta, alpha_next;
595 Scalar alpha = alpha1, alpha_prev = 0.0;
596 Scalar a, b, fa, fb, fpa, fpb;
597 Index i = 0;
598
599 applyFDF(0.0, f0, fp0);
600
601 falpha_prev = f0;
602 fpalpha_prev = fp0;
603
604 /* Avoid uninitialized variables morning */
605 a = 0.0;
606 b = alpha;
607 fa = f0;
608 fb = 0.0;
609 fpa = fp0;
610 fpb = 0.0;
611
612 /* Begin bracketing */
613
614 while (i++ < parameters.bracket_iters) {
615 falpha = applyF(alpha);
616
617 if (falpha > f0 + alpha * rho * fp0 || falpha >= falpha_prev) {
618 a = alpha_prev;
619 fa = falpha_prev;
620 fpa = fpalpha_prev;
621 b = alpha;
622 fb = falpha;
623 fpb = std::numeric_limits<Scalar>::quiet_NaN();
624 break;
625 }
626
627 fpalpha = applyDF(alpha);
628
629 /* Fletcher's sigma test */
630 if (std::abs(fpalpha) <= -sigma * fp0) {
631 alpha_new = alpha;
632 return BFGSSpace::Success;
633 }
634
635 if (fpalpha >= 0) {
636 a = alpha;
637 fa = falpha;
638 fpa = fpalpha;
639 b = alpha_prev;
640 fb = falpha_prev;
641 fpb = fpalpha_prev;
642 break; /* goto sectioning */
643 }
644
645 delta = alpha - alpha_prev;
646
647 {
648 Scalar lower = alpha + delta;
649 Scalar upper = alpha + tau1 * delta;
650
651 alpha_next = interpolate(alpha_prev,
652 falpha_prev,
653 fpalpha_prev,
654 alpha,
655 falpha,
656 fpalpha,
657 lower,
658 upper,
659 order);
660 }
661
662 alpha_prev = alpha;
663 falpha_prev = falpha;
664 fpalpha_prev = fpalpha;
665 alpha = alpha_next;
666 }
667 /* Sectioning of bracket [a,b] */
668 while (i++ < parameters.section_iters) {
669 delta = b - a;
670
671 {
672 Scalar lower = a + tau2 * delta;
673 Scalar upper = b - tau3 * delta;
674
675 alpha = interpolate(a, fa, fpa, b, fb, fpb, lower, upper, order);
676 }
677 falpha = applyF(alpha);
678 if ((a - alpha) * fpa <= std::numeric_limits<Scalar>::epsilon()) {
679 /* roundoff prevents progress */
681 };
682
683 if (falpha > f0 + rho * alpha * fp0 || falpha >= fa) {
684 /* a_next = a; */
685 b = alpha;
686 fb = falpha;
687 fpb = std::numeric_limits<Scalar>::quiet_NaN();
688 }
689 else {
690 fpalpha = applyDF(alpha);
691
692 if (std::abs(fpalpha) <= -sigma * fp0) {
693 alpha_new = alpha;
694 return BFGSSpace::Success; /* terminate */
695 }
696
697 if (((b - a) >= 0 && fpalpha >= 0) || ((b - a) <= 0 && fpalpha <= 0)) {
698 b = a;
699 fb = fa;
700 fpb = fpa;
701 a = alpha;
702 fa = falpha;
703 fpa = fpalpha;
704 }
705 else {
706 a = alpha;
707 fa = falpha;
708 fpa = fpalpha;
709 }
710 }
711 }
712 return BFGSSpace::Success;
713}
BFGS stands for Broyden–Fletcher–Goldfarb–Shanno (BFGS) method for solving unconstrained nonlinear op...
Definition: bfgs.h:121
Scalar f
Definition: bfgs.h:172
BFGSSpace::Status minimize(FVectorType &x)
Definition: bfgs.h:351
BFGSSpace::Status testGradient()
Definition: bfgs.h:478
typename FunctorType::Scalar Scalar
Definition: bfgs.h:123
Eigen::DenseIndex Index
Definition: bfgs.h:128
BFGSSpace::Status minimizeInit(FVectorType &x)
Definition: bfgs.h:363
BFGSSpace::Status minimizeOneStep(FVectorType &x)
Definition: bfgs.h:395
BFGSSpace::Status testGradient(Scalar)
Definition: bfgs.h:164
FVectorType gradient
Definition: bfgs.h:173
Parameters parameters
Definition: bfgs.h:171
typename FunctorType::VectorType FVectorType
Definition: bfgs.h:124
void resetParameters(void)
Definition: bfgs.h:166
BFGS(FunctorType &_functor)
Definition: bfgs.h:126
void compute(const OtherPolynomial &poly)
Definition: bfgs.h:58
void compute(const OtherPolynomial &poly, bool &hasRealRoot)
Computes the complex roots of a new polynomial.
Definition: bfgs.h:29
PolynomialSolverBase< _Scalar, 2 > PS_Base
Definition: bfgs.h:14
PolynomialSolver(const OtherPolynomial &poly, bool &hasRealRoot)
Definition: bfgs.h:21
@ B
Definition: norms.h:54
Definition: bfgs.h:69
Status
Definition: bfgs.h:70
@ NoProgress
Definition: bfgs.h:75
@ NotStarted
Definition: bfgs.h:72
@ Running
Definition: bfgs.h:73
@ Success
Definition: bfgs.h:74
@ NegativeGradientEpsilon
Definition: bfgs.h:71
Definition: bfgs.h:10
Defines all the PCL and non-PCL macros used.
#define PCL_DEPRECATED(Major, Minor, Message)
macro for compatibility across compilers and help remove old deprecated items for the Major....
Definition: pcl_macros.h:156
Index max_iters
Definition: bfgs.h:143
Scalar sigma
Definition: bfgs.h:147
Index section_iters
Definition: bfgs.h:145
Scalar tau2
Definition: bfgs.h:149
Scalar rho
Definition: bfgs.h:146
Scalar step_size
Definition: bfgs.h:151
Index bracket_iters
Definition: bfgs.h:144
Scalar tau1
Definition: bfgs.h:148
Scalar tau3
Definition: bfgs.h:150
Index order
Definition: bfgs.h:152
int inputs() const
Definition: bfgs.h:92
virtual void fdf(const VectorType &x, Scalar &f, VectorType &df)=0
BFGSDummyFunctor()
Definition: bfgs.h:87
virtual ~BFGSDummyFunctor()
Definition: bfgs.h:90
@ InputsAtCompileTime
Definition: bfgs.h:82
const int m_inputs
Definition: bfgs.h:85
_Scalar Scalar
Definition: bfgs.h:81
BFGSDummyFunctor(int inputs)
Definition: bfgs.h:88
virtual BFGSSpace::Status checkGradient(const VectorType &g)
Definition: bfgs.h:104
virtual void df(const VectorType &x, VectorType &df)=0
Eigen::Matrix< Scalar, InputsAtCompileTime, 1 > VectorType
Definition: bfgs.h:83
virtual double operator()(const VectorType &x)=0