ceres-solver/internal/ceres/conjugate_gradients_solver.h

// Ceres Solver - A fast non-linear least squares minimizer
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// http://ceres-solver.org/
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// Author: sameeragarwal@google.com (Sameer Agarwal)
//
// Preconditioned Conjugate Gradients based solver for positive
// semidefinite linear systems.

#ifndef CERES_INTERNAL_CONJUGATE_GRADIENTS_SOLVER_H_
#define CERES_INTERNAL_CONJUGATE_GRADIENTS_SOLVER_H_

#include <cmath>
#include <cstddef>
#include <utility>

#include "ceres/eigen_vector_ops.h"
#include "ceres/internal/disable_warnings.h"
#include "ceres/internal/eigen.h"
#include "ceres/internal/export.h"
#include "ceres/linear_operator.h"
#include "ceres/linear_solver.h"
#include "ceres/stringprintf.h"
#include "ceres/types.h"
#include "glog/logging.h"

namespace ceres::internal {

// Interface for the linear operator used by ConjugateGradientsSolver.
template <typename DenseVectorType>
class ConjugateGradientsLinearOperator {
 public:
  ~ConjugateGradientsLinearOperator() = default;
  virtual void RightMultiplyAndAccumulate(const DenseVectorType& x,
                                          DenseVectorType& y) = 0;
};

// Adapter class that makes LinearOperator appear like an instance of
// ConjugateGradientsLinearOperator.
class LinearOperatorAdapter : public ConjugateGradientsLinearOperator<Vector> {
 public:
  LinearOperatorAdapter(LinearOperator& linear_operator)
      : linear_operator_(linear_operator) {}

  void RightMultiplyAndAccumulate(const Vector& x, Vector& y) final {
    linear_operator_.RightMultiplyAndAccumulate(x, y);
  }

 private:
  LinearOperator& linear_operator_;
};

// Options to control the ConjugateGradientsSolver. For detailed documentation
// for each of these options see linear_solver.h
struct ConjugateGradientsSolverOptions {
  int min_num_iterations = 1;
  int max_num_iterations = 1;
  int residual_reset_period = 10;
  double r_tolerance = 0.0;
  double q_tolerance = 0.0;
  ContextImpl* context = nullptr;
  int num_threads = 1;
};

// This function implements the now classical Conjugate Gradients algorithm of
// Hestenes & Stiefel for solving positive semidefinite linear systems.
// Optionally it can use a preconditioner also to reduce the condition number of
// the linear system and improve the convergence rate. Modern references for
// Conjugate Gradients are the books by Yousef Saad and Trefethen & Bau. This
// implementation of CG has been augmented with additional termination tests
// that are needed for forcing early termination when used as part of an inexact
// Newton solver.
//
// This implementation is templated over DenseVectorType and then in turn on
// ConjugateGradientsLinearOperator, which allows us to write an abstract
// implementaion of the Conjugate Gradients algorithm without worrying about how
// these objects are implemented or where they are stored. In particular it
// allows us to have a single implementation that works on CPU and GPU based
// matrices and vectors.
//
// scratch must contain pointers to four DenseVector objects of the same size as
// rhs and solution. By asking the user for scratch space, we guarantee that we
// will not perform any allocations inside this function.
template <typename DenseVectorType>
LinearSolver::Summary ConjugateGradientsSolver(
    const ConjugateGradientsSolverOptions options,
    ConjugateGradientsLinearOperator<DenseVectorType>& lhs,
    const DenseVectorType& rhs,
    ConjugateGradientsLinearOperator<DenseVectorType>& preconditioner,
    DenseVectorType* scratch[4],
    DenseVectorType& solution) {
  auto IsZeroOrInfinity = [](double x) {
    return ((x == 0.0) || std::isinf(x));
  };

  DenseVectorType& p = *scratch[0];
  DenseVectorType& r = *scratch[1];
  DenseVectorType& z = *scratch[2];
  DenseVectorType& tmp = *scratch[3];

  LinearSolver::Summary summary;
  summary.termination_type = LinearSolverTerminationType::NO_CONVERGENCE;
  summary.message = "Maximum number of iterations reached.";
  summary.num_iterations = 0;

  const double norm_rhs = Norm(rhs, options.context, options.num_threads);
  if (norm_rhs == 0.0) {
    SetZero(solution, options.context, options.num_threads);
    summary.termination_type = LinearSolverTerminationType::SUCCESS;
    summary.message = "Convergence. |b| = 0.";
    return summary;
  }

  const double tol_r = options.r_tolerance * norm_rhs;

  SetZero(tmp, options.context, options.num_threads);
  lhs.RightMultiplyAndAccumulate(solution, tmp);

  // r = rhs - tmp
  Axpby(1.0, rhs, -1.0, tmp, r, options.context, options.num_threads);

  double norm_r = Norm(r, options.context, options.num_threads);
  if (options.min_num_iterations == 0 && norm_r <= tol_r) {
    summary.termination_type = LinearSolverTerminationType::SUCCESS;
    summary.message =
        StringPrintf("Convergence. |r| = %e <= %e.", norm_r, tol_r);
    return summary;
  }

  double rho = 1.0;

  // Initial value of the quadratic model Q = x'Ax - 2 * b'x.
  // double Q0 = -1.0 * solution.dot(rhs + r);
  Axpby(1.0, rhs, 1.0, r, tmp, options.context, options.num_threads);
  double Q0 = -Dot(solution, tmp, options.context, options.num_threads);

  for (summary.num_iterations = 1;; ++summary.num_iterations) {
    SetZero(z, options.context, options.num_threads);
    preconditioner.RightMultiplyAndAccumulate(r, z);

    const double last_rho = rho;
    // rho = r.dot(z);
    rho = Dot(r, z, options.context, options.num_threads);
    if (IsZeroOrInfinity(rho)) {
      summary.termination_type = LinearSolverTerminationType::FAILURE;
      summary.message = StringPrintf("Numerical failure. rho = r'z = %e.", rho);
      break;
    }

    if (summary.num_iterations == 1) {
      Copy(z, p, options.context, options.num_threads);
    } else {
      const double beta = rho / last_rho;
      if (IsZeroOrInfinity(beta)) {
        summary.termination_type = LinearSolverTerminationType::FAILURE;
        summary.message = StringPrintf(
            "Numerical failure. beta = rho_n / rho_{n-1} = %e, "
            "rho_n = %e, rho_{n-1} = %e",
            beta,
            rho,
            last_rho);
        break;
      }
      // p = z + beta * p;
      Axpby(1.0, z, beta, p, p, options.context, options.num_threads);
    }

    DenseVectorType& q = z;
    SetZero(q, options.context, options.num_threads);
    lhs.RightMultiplyAndAccumulate(p, q);
    const double pq = Dot(p, q, options.context, options.num_threads);
    if ((pq <= 0) || std::isinf(pq)) {
      summary.termination_type = LinearSolverTerminationType::NO_CONVERGENCE;
      summary.message = StringPrintf(
          "Matrix is indefinite, no more progress can be made. "
          "p'q = %e. |p| = %e, |q| = %e",
          pq,
          Norm(p, options.context, options.num_threads),
          Norm(q, options.context, options.num_threads));
      break;
    }

    const double alpha = rho / pq;
    if (std::isinf(alpha)) {
      summary.termination_type = LinearSolverTerminationType::FAILURE;
      summary.message = StringPrintf(
          "Numerical failure. alpha = rho / pq = %e, rho = %e, pq = %e.",
          alpha,
          rho,
          pq);
      break;
    }

    // solution = solution + alpha * p;
    Axpby(1.0,
          solution,
          alpha,
          p,
          solution,
          options.context,
          options.num_threads);

    // Ideally we would just use the update r = r - alpha*q to keep
    // track of the residual vector. However this estimate tends to
    // drift over time due to round off errors. Thus every
    // residual_reset_period iterations, we calculate the residual as
    // r = b - Ax. We do not do this every iteration because this
    // requires an additional matrix vector multiply which would
    // double the complexity of the CG algorithm.
    if (summary.num_iterations % options.residual_reset_period == 0) {
      SetZero(tmp, options.context, options.num_threads);
      lhs.RightMultiplyAndAccumulate(solution, tmp);
      Axpby(1.0, rhs, -1.0, tmp, r, options.context, options.num_threads);
      // r = rhs - tmp;
    } else {
      Axpby(1.0, r, -alpha, q, r, options.context, options.num_threads);
      // r = r - alpha * q;
    }

    // Quadratic model based termination.
    //   Q1 = x'Ax - 2 * b' x.
    // const double Q1 = -1.0 * solution.dot(rhs + r);
    Axpby(1.0, rhs, 1.0, r, tmp, options.context, options.num_threads);
    const double Q1 = -Dot(solution, tmp, options.context, options.num_threads);

    // 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.
    //
    const double zeta = summary.num_iterations * (Q1 - Q0) / Q1;
    if (zeta < options.q_tolerance &&
        summary.num_iterations >= options.min_num_iterations) {
      summary.termination_type = LinearSolverTerminationType::SUCCESS;
      summary.message =
          StringPrintf("Iteration: %d Convergence: zeta = %e < %e. |r| = %e",
                       summary.num_iterations,
                       zeta,
                       options.q_tolerance,
                       Norm(r, options.context, options.num_threads));
      break;
    }
    Q0 = Q1;

    // Residual based termination.
    norm_r = Norm(r, options.context, options.num_threads);
    if (norm_r <= tol_r &&
        summary.num_iterations >= options.min_num_iterations) {
      summary.termination_type = LinearSolverTerminationType::SUCCESS;
      summary.message =
          StringPrintf("Iteration: %d Convergence. |r| = %e <= %e.",
                       summary.num_iterations,
                       norm_r,
                       tol_r);
      break;
    }

    if (summary.num_iterations >= options.max_num_iterations) {
      break;
    }
  }

  return summary;
}

}  // namespace ceres::internal

#include "ceres/internal/reenable_warnings.h"

#endif  // CERES_INTERNAL_CONJUGATE_GRADIENTS_SOLVER_H_