dlib C++ Library - optimization_least_squares.h

    // Copyright (C) 2010  Davis E. King (davis@dlib.net)
    // License: Boost Software License   See LICENSE.txt for the full license.
    #ifndef DLIB_OPTIMIZATION_LEAST_SQuARES_H_h_
    #define DLIB_OPTIMIZATION_LEAST_SQuARES_H_h_

    #include "../matrix.h"
    #include "optimization_trust_region.h"
    #include "optimization_least_squares_abstract.h"

    namespace dlib
    {

    // ----------------------------------------------------------------------------------------

        template <
            typename column_vector_type,
            typename funct_type,
            typename funct_der_type,
            typename vector_type
            >
        class least_squares_function_model
        {
        public:
            least_squares_function_model (
                const funct_type& f_,
                const funct_der_type& der_,
                const vector_type& list_
            ) : f(f_), der(der_), list(list_)
            {
                S = 0;
                last_f = 0;
                last_f2 = 0;

                r.set_size(list.size(),1);
            }

            const funct_type& f;
            const funct_der_type& der;
            const vector_type& list;

            typedef typename column_vector_type::type type;
            typedef typename column_vector_type::mem_manager_type mem_manager_type;
            typedef typename column_vector_type::layout_type layout_type;
            const static long NR = column_vector_type::NR;

            typedef column_vector_type column_vector;
            typedef matrix<type,NR,NR,mem_manager_type,layout_type> general_matrix;

            type operator() (
                const column_vector& x
            ) const
            {
                type result = 0;
                for (long i = 0; i < list.size(); ++i)
                {
                    const type temp = f(list(i), x);
                    // save the residual for later
                    r(i) = temp;
                    result += temp*temp;
                }

                last_f = 0.5*result;
                return 0.5*result;
            }

            void get_derivative_and_hessian (
                const column_vector& x,
                column_vector& d,
                general_matrix& h
            ) const
            {
                J.set_size(list.size(), x.size());

                // compute the Jacobian
                for (long i = 0; i < list.size(); ++i)
                {
                    set_rowm(J,i) = trans(der(list(i), x));
                }

                // Compute the Levenberg-Marquardt gradient and hessian
                d = trans(J)*r;
                h = trans(J)*J;

                if (S.size() == 0)
                {
                    S.set_size(x.size(), x.size());
                    S = 0;
                }

                // If this isn't the first iteration then check if using
                // a quasi-newton update helps things.
                if (last_r.size() != 0)
                {

                    s = x - last_x;
                    y = d - last_d;
                    yy = d - trans(last_J)*r;

                    const type ys = trans(y)*s;
                    vtemp = yy - S*s;
                    const type temp2 = std::abs(trans(s)*S*s);
                    type scale = (temp2 != 0) ? std::min<type>(1, std::abs(dot(s,yy))/temp2)  :  1;

                    if (ys != 0)
                        S = scale*S + (vtemp*trans(y) + y*trans(vtemp))/(ys) - dot(vtemp,s)/ys/ys*y*trans(y);
                    else
                        S *= scale;

                    // check how well both the models fit the last change we saw in f()
                    const type measured_delta = last_f2 - last_f;
                    s = -s;
                    const type h_predicted_delta = 0.5*trans(s)*h*s + trans(d)*s;
                    const type s_predicted_delta = 0.5*trans(s)*(h+S)*s + trans(d)*s;

                    const type h_error = std::abs((h_predicted_delta/measured_delta) - 1);
                    const type s_error = std::abs((s_predicted_delta/measured_delta) - 1);

                    if (s_error < h_error && h_error > 0.01)
                    {
                        h += make_symmetric(S);
                    }
                    else if (s_error > 10)
                    {
                        S = 0;
                    }

                    // put r into last_r
                    r.swap(last_r);
                }
                else
                {
                    // put r into last_r
                    last_r = r;
                }

                J.swap(last_J);
                last_x = x;
                last_d = d;

                last_f2 = last_f;
            }

            mutable type last_f;   // value of function we saw in last operator()
            mutable type last_f2;  // value of last_f we saw in get_derivative_and_hessian()
            mutable matrix<type,0,1,mem_manager_type,layout_type> r;
            mutable column_vector vtemp;
            mutable column_vector s, y, yy;

            mutable general_matrix S;
            mutable column_vector last_x;
            mutable column_vector last_d;
            mutable matrix<type,0,1,mem_manager_type,layout_type> last_r;
            mutable matrix<type,0,NR,mem_manager_type,layout_type> last_J;
            mutable matrix<type,0,NR,mem_manager_type,layout_type> J;
        };

    // ----------------------------------------------------------------------------------------

        template <
            typename column_vector_type,
            typename funct_type,
            typename funct_der_type,
            typename vector_type
            >
        least_squares_function_model<column_vector_type,funct_type,funct_der_type,vector_type> least_squares_model (
            const funct_type& f,
            const funct_der_type& der,
            const vector_type& list
        )
        {
            return least_squares_function_model<column_vector_type,funct_type,funct_der_type,vector_type>(f,der,list);
        }

    // ----------------------------------------------------------------------------------------

        template <
            typename stop_strategy_type,
            typename funct_type,
            typename funct_der_type,
            typename vector_type,
            typename T
            >
        double solve_least_squares (
            stop_strategy_type stop_strategy,
            const funct_type& f,
            const funct_der_type& der,
            const vector_type& list,
            T& x,
            double radius = 1
        )
        {
            // The starting point (i.e. x) must be a column vector.
            COMPILE_TIME_ASSERT(T::NC <= 1);

            // make sure requires clause is not broken
            DLIB_ASSERT(is_vector(mat(list)) && list.size() > 0 &&
                        is_col_vector(x) && radius > 0,
                "\t double solve_least_squares()"
                << "\n\t invalid arguments were given to this function"
                << "\n\t is_vector(list):  " << is_vector(mat(list))
                << "\n\t list.size():      " << list.size()
                << "\n\t is_col_vector(x): " << is_col_vector(x)
                << "\n\t radius:           " << radius
                );

            return find_min_trust_region(stop_strategy,
                                         least_squares_model<T>(f, der, mat(list)),
                                         x,
                                         radius);
        }

    // ----------------------------------------------------------------------------------------
    // ----------------------------------------------------------------------------------------
    // ----------------------------------------------------------------------------------------

        template <
            typename column_vector_type,
            typename funct_type,
            typename funct_der_type,
            typename vector_type
            >
        class least_squares_lm_function_model
        {
        public:
            least_squares_lm_function_model (
                const funct_type& f_,
                const funct_der_type& der_,
                const vector_type& list_
            ) : f(f_), der(der_), list(list_)
            {
                r.set_size(list.size(),1);
            }

            const funct_type& f;
            const funct_der_type& der;
            const vector_type& list;

            typedef typename column_vector_type::type type;
            typedef typename column_vector_type::mem_manager_type mem_manager_type;
            typedef typename column_vector_type::layout_type layout_type;
            const static long NR = column_vector_type::NR;

            typedef column_vector_type column_vector;
            typedef matrix<type,NR,NR,mem_manager_type,layout_type> general_matrix;

            mutable matrix<type,0,1,mem_manager_type,layout_type> r;
            mutable column_vector vtemp;

            type operator() (
                const column_vector& x
            ) const
            {
                type result = 0;
                for (long i = 0; i < list.size(); ++i)
                {
                    const type temp = f(list(i), x);
                    // save the residual for later
                    r(i) = temp;
                    result += temp*temp;
                }

                return 0.5*result;
            }

            void get_derivative_and_hessian (
                const column_vector& x,
                column_vector& d,
                general_matrix& h
            ) const
            {
                d = 0;
                h = 0;
                for (long i = 0; i < list.size(); ++i)
                {
                    vtemp = der(list(i), x);
                    d += r(i)*vtemp;
                    h += vtemp*trans(vtemp);
                }
            }

        };

    // ----------------------------------------------------------------------------------------

        template <
            typename column_vector_type,
            typename funct_type,
            typename funct_der_type,
            typename vector_type
            >
        least_squares_lm_function_model<column_vector_type,funct_type,funct_der_type,vector_type> least_squares_lm_model (
            const funct_type& f,
            const funct_der_type& der,
            const vector_type& list
        )
        {
            return least_squares_lm_function_model<column_vector_type,funct_type,funct_der_type,vector_type>(f,der,list);
        }

    // ----------------------------------------------------------------------------------------

        template <
            typename stop_strategy_type,
            typename funct_type,
            typename funct_der_type,
            typename vector_type,
            typename T
            >
        double solve_least_squares_lm (
            stop_strategy_type stop_strategy,
            const funct_type& f,
            const funct_der_type& der,
            const vector_type& list,
            T& x,
            double radius = 1
        )
        {
            // The starting point (i.e. x) must be a column vector.
            COMPILE_TIME_ASSERT(T::NC <= 1);

            // make sure requires clause is not broken
            DLIB_ASSERT(is_vector(mat(list)) && list.size() > 0 &&
                        is_col_vector(x) && radius > 0,
                "\t double solve_least_squares_lm()"
                << "\n\t invalid arguments were given to this function"
                << "\n\t is_vector(list):  " << is_vector(mat(list))
                << "\n\t list.size():      " << list.size()
                << "\n\t is_col_vector(x): " << is_col_vector(x)
                << "\n\t radius:           " << radius
                );

            return find_min_trust_region(stop_strategy,
                                         least_squares_lm_model<T>(f, der, mat(list)),
                                         x,
                                         radius);
        }

    // ----------------------------------------------------------------------------------------

    }

    #endif // DLIB_OPTIMIZATION_LEAST_SQuARES_H_h_