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Adaptive numeric differentiation using Ridders' method.

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This method numerically computes function derivatives in different
scales, extrapolating between intermediate results to conserve function
evaluations. Adaptive differentiation is essential to produce accurate
results for functions with noisy derivatives.

Full changelist:
-Created a new type of NumericDiffMethod (RIDDERS).
-Implemented EvaluateRiddersJacobianColumn in NumericDiff.
-Created unit tests with f(x) = x^2 + [random noise] and
 f(x) = exp(x).

Change-Id: I2d6e924d7ff686650272f29a8c981351e6f72091
This commit is contained in:
Tal Ben-Nun
2015-05-13 15:43:51 +03:00
parent 070bba4b43
commit 4f049db7c2
14 changed files with 871 additions and 106 deletions
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include/ceres/numeric_diff_cost_function.h
+36 -11
View File
@@ -132,7 +132,7 @@
//
// ALTERNATE INTERFACE
//
// For a variety of reason, including compatibility with legacy code,
// For a variety of reasons, including compatibility with legacy code,
// NumericDiffCostFunction can also take CostFunction objects as
// input. The following describes how.
//
@@ -165,6 +165,7 @@
#include "ceres/cost_function.h"
#include "ceres/internal/numeric_diff.h"
#include "ceres/internal/scoped_ptr.h"
#include "ceres/numeric_diff_options.h"
#include "ceres/sized_cost_function.h"
#include "ceres/types.h"
#include "glog/logging.h"
@@ -172,7 +173,7 @@
namespace ceres {
template <typename CostFunctor,
NumericDiffMethod method = CENTRAL,
NumericDiffMethodType method = CENTRAL,
int kNumResiduals = 0, // Number of residuals, or ceres::DYNAMIC
int N0 = 0, // Number of parameters in block 0.
int N1 = 0, // Number of parameters in block 1.
@@ -189,13 +190,14 @@ class NumericDiffCostFunction
N0, N1, N2, N3, N4,
N5, N6, N7, N8, N9> {
public:
NumericDiffCostFunction(CostFunctor* functor,
Ownership ownership = TAKE_OWNERSHIP,
int num_residuals = kNumResiduals,
const double relative_step_size = 1e-6)
:functor_(functor),
ownership_(ownership),
relative_step_size_(relative_step_size) {
NumericDiffCostFunction(
CostFunctor* functor,
Ownership ownership = TAKE_OWNERSHIP,
int num_residuals = kNumResiduals,
const NumericDiffOptions& options = NumericDiffOptions())
: functor_(functor),
ownership_(ownership),
options_(options) {
if (kNumResiduals == DYNAMIC) {
SizedCostFunction<kNumResiduals,
N0, N1, N2, N3, N4,
@@ -204,6 +206,29 @@ class NumericDiffCostFunction
}
}
// Deprecated. New users should avoid using this constructor. Instead, use the
// constructor with NumericDiffOptions.
NumericDiffCostFunction(CostFunctor* functor,
Ownership ownership,
int num_residuals,
const double relative_step_size)
:functor_(functor),
ownership_(ownership),
options_() {
LOG(WARNING) << "This constructor is deprecated and will be removed in "
"a future version. Please use the NumericDiffOptions "
"constructor instead.";
if (kNumResiduals == DYNAMIC) {
SizedCostFunction<kNumResiduals,
N0, N1, N2, N3, N4,
N5, N6, N7, N8, N9>
::set_num_residuals(num_residuals);
}
options_.relative_step_size = relative_step_size;
}
~NumericDiffCostFunction() {
if (ownership_ != TAKE_OWNERSHIP) {
functor_.release();
@@ -278,7 +303,7 @@ class NumericDiffCostFunction
N ## block >::EvaluateJacobianForParameterBlock( \
functor_.get(), \
residuals, \
relative_step_size_, \
options_, \
SizedCostFunction<kNumResiduals, \
N0, N1, N2, N3, N4, \
N5, N6, N7, N8, N9>::num_residuals(), \
@@ -309,7 +334,7 @@ class NumericDiffCostFunction
private:
internal::scoped_ptr<CostFunctor> functor_;
Ownership ownership_;
const double relative_step_size_;
NumericDiffOptions options_;
};
} // namespace ceres