iterative.h

Go to the documentation of this file.

/* ----------------------------------------------------------------------------

 * GTSAM Copyright 2010, Georgia Tech Research Corporation,
 * Atlanta, Georgia 30332-0415
 * All Rights Reserved
 * Authors: Frank Dellaert, et al. (see THANKS for the full author list)

 * See LICENSE for the license information

 * -------------------------------------------------------------------------- */

#pragma once

#include <gtsam/base/Matrix.h>
#include <gtsam/linear/VectorValues.h>
#include <gtsam/linear/ConjugateGradientSolver.h>

namespace gtsam {

  template<class S, class V, class E>
  V conjugateGradients(const S& Ab, V x,
      const ConjugateGradientParameters &parameters, bool steepest = false);

  class GTSAM_EXPORT System {

  private:
    const Matrix& A_;
    const Vector& b_;

  public:

    System(const Matrix& A, const Vector& b) :
      A_(A), b_(b) {
    }

    const Matrix& A() const { return A_; }

    const Vector& b() const { return b_; }

    Vector operator^(const Vector& e) const {
      return A_ ^ e;
    }

    void print (const std::string& s = "System") const;

    Vector gradient(const Vector& x) const {
      return A() ^ (A() * x - b());
    }

    Vector operator*(const Vector& x) const {
      return A() * x;
    }

    void multiplyInPlace(const Vector& x, Vector& e) const {
      e = A() * x;
    }

    void transposeMultiplyAdd(double alpha, const Vector& e, Vector& x) const {
      x += alpha * A().transpose() * e;
    }
  };

  GTSAM_EXPORT Vector steepestDescent(
      const System& Ab,
      const Vector& x,
      const IterativeOptimizationParameters & parameters);

  GTSAM_EXPORT Vector conjugateGradientDescent(
      const System& Ab,
      const Vector& x,
      const ConjugateGradientParameters & parameters);

  GTSAM_EXPORT Vector steepestDescent(
      const Matrix& A,
      const Vector& b,
      const Vector& x,
      const ConjugateGradientParameters & parameters);

  GTSAM_EXPORT Vector conjugateGradientDescent(
      const Matrix& A,
      const Vector& b,
      const Vector& x,
      const ConjugateGradientParameters & parameters);

  GTSAM_EXPORT VectorValues steepestDescent(
      const GaussianFactorGraph& fg,
      const VectorValues& x,
      const ConjugateGradientParameters & parameters);

  GTSAM_EXPORT VectorValues conjugateGradientDescent(
      const GaussianFactorGraph& fg,
      const VectorValues& x,
      const ConjugateGradientParameters & parameters);


} // namespace gtsam

#include <gtsam/linear/iterative-inl.h>