householder_vector.h 3.6 KB

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  1. // Ceres Solver - A fast non-linear least squares minimizer
  2. // Copyright 2023 Google Inc. All rights reserved.
  3. // http://code.google.com/p/ceres-solver/
  4. //
  5. // Redistribution and use in source and binary forms, with or without
  6. // modification, are permitted provided that the following conditions are met:
  7. //
  8. // * Redistributions of source code must retain the above copyright notice,
  9. // this list of conditions and the following disclaimer.
  10. // * Redistributions in binary form must reproduce the above copyright notice,
  11. // this list of conditions and the following disclaimer in the documentation
  12. // and/or other materials provided with the distribution.
  13. // * Neither the name of Google Inc. nor the names of its contributors may be
  14. // used to endorse or promote products derived from this software without
  15. // specific prior written permission.
  16. //
  17. // THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
  18. // AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
  19. // IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE
  20. // ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE
  21. // LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR
  22. // CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF
  23. // SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
  24. // INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN
  25. // CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE)
  26. // ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE
  27. // POSSIBILITY OF SUCH DAMAGE.
  28. //
  29. // Author: vitus@google.com (Michael Vitus)
  30. #ifndef CERES_PUBLIC_INTERNAL_HOUSEHOLDER_VECTOR_H_
  31. #define CERES_PUBLIC_INTERNAL_HOUSEHOLDER_VECTOR_H_
  32. #include "Eigen/Core"
  33. #include "glog/logging.h"
  34. namespace ceres::internal {
  35. // Algorithm 5.1.1 from 'Matrix Computations' by Golub et al. (Johns Hopkins
  36. // Studies in Mathematical Sciences) but using the nth element of the input
  37. // vector as pivot instead of first. This computes the vector v with v(n) = 1
  38. // and beta such that H = I - beta * v * v^T is orthogonal and
  39. // H * x = ||x||_2 * e_n.
  40. //
  41. // NOTE: Some versions of MSVC have trouble deducing the type of v if
  42. // you do not specify all the template arguments explicitly.
  43. template <typename XVectorType, typename Scalar, int N>
  44. void ComputeHouseholderVector(const XVectorType& x,
  45. Eigen::Matrix<Scalar, N, 1>* v,
  46. Scalar* beta) {
  47. CHECK(beta != nullptr);
  48. CHECK(v != nullptr);
  49. CHECK_GT(x.rows(), 1);
  50. CHECK_EQ(x.rows(), v->rows());
  51. Scalar sigma = x.head(x.rows() - 1).squaredNorm();
  52. *v = x;
  53. (*v)(v->rows() - 1) = Scalar(1.0);
  54. *beta = Scalar(0.0);
  55. const Scalar& x_pivot = x(x.rows() - 1);
  56. if (sigma <= Scalar(std::numeric_limits<double>::epsilon())) {
  57. if (x_pivot < Scalar(0.0)) {
  58. *beta = Scalar(2.0);
  59. }
  60. return;
  61. }
  62. const Scalar mu = sqrt(x_pivot * x_pivot + sigma);
  63. Scalar v_pivot = Scalar(1.0);
  64. if (x_pivot <= Scalar(0.0)) {
  65. v_pivot = x_pivot - mu;
  66. } else {
  67. v_pivot = -sigma / (x_pivot + mu);
  68. }
  69. *beta = Scalar(2.0) * v_pivot * v_pivot / (sigma + v_pivot * v_pivot);
  70. v->head(v->rows() - 1) /= v_pivot;
  71. }
  72. template <typename XVectorType, typename Derived>
  73. typename Derived::PlainObject ApplyHouseholderVector(
  74. const XVectorType& y,
  75. const Eigen::MatrixBase<Derived>& v,
  76. const typename Derived::Scalar& beta) {
  77. return (y - v * (beta * (v.transpose() * y)));
  78. }
  79. } // namespace ceres::internal
  80. #endif // CERES_PUBLIC_INTERNAL_HOUSEHOLDER_VECTOR_H_