ScalarFactorGraph.cpp

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/* +------------------------------------------------------------------------+
   |                     Mobile Robot Programming Toolkit (MRPT)            |
   |                          http://www.mrpt.org/                          |
   |                                                                        |
   | Copyright (c) 2005-2018, Individual contributors, see AUTHORS file     |
   | See: http://www.mrpt.org/Authors - All rights reserved.                |
   | Released under BSD License. See details in http://www.mrpt.org/License |
   +------------------------------------------------------------------------+ */

#include "graphs-precomp.h"  // Precompiled headers

#include <mrpt/graphs/ScalarFactorGraph.h>
#include <mrpt/system/CTicTac.h>

using namespace mrpt;
using namespace mrpt::graphs;
using namespace std;

#if EIGEN_VERSION_AT_LEAST(3, 1, 0)  // Requires Eigen>=3.1
#include <Eigen/SparseCore>
#include <Eigen/SparseQR>
#endif

ScalarFactorGraph::FactorBase::~FactorBase() {}
ScalarFactorGraph::ScalarFactorGraph()
    : COutputLogger("GMRF"), m_enable_profiler(false)
{
}

void ScalarFactorGraph::clear()
{
    MRPT_LOG_DEBUG("clear() called");

    m_numNodes = 0;
    m_factors_unary.clear();
    m_factors_binary.clear();
}

void ScalarFactorGraph::initialize(const size_t nodeCount)
{
    MRPT_LOG_DEBUG_STREAM("initialize() called, nodeCount=" << nodeCount);

    m_numNodes = nodeCount;
}

void ScalarFactorGraph::addConstraint(const UnaryFactorVirtualBase& c)
{
    m_factors_unary.push_back(&c);
}
void ScalarFactorGraph::addConstraint(const BinaryFactorVirtualBase& c)
{
    m_factors_binary.push_back(&c);
}

bool ScalarFactorGraph::eraseConstraint(const FactorBase& c)
{
    {
        auto it = std::find(m_factors_unary.begin(), m_factors_unary.end(), &c);
        if (it != m_factors_unary.end())
        {
            m_factors_unary.erase(it);
            return true;
        }
    }
    {
        auto it =
            std::find(m_factors_binary.begin(), m_factors_binary.end(), &c);
        if (it != m_factors_binary.end())
        {
            m_factors_binary.erase(it);
            return true;
        }
    }
    return false;
}

/* Method:
  (\Sigma)^{-1/2) *  d( h(x) )/d( x )  * x_incr = - (\Sigma)^{-1/2) * r(x)
  ===================================            ========================
              =A                                           =b

   A * x_incr = b         --> SparseQR.
*/
void ScalarFactorGraph::updateEstimation(
    /** Output increment of the current estimate. Caller must add this
       vector to current state vector to obtain the optimal estimation. */
    Eigen::VectorXd& solved_x_inc,
    /** If !=nullptr, the covariance of the estimate will be stored here. */
    Eigen::VectorXd* solved_variances)
{
    ASSERTMSG_(m_numNodes > 0, "numNodes=0. Have you called initialize()?");

    m_timelogger.enable(m_enable_profiler);

#if EIGEN_VERSION_AT_LEAST(3, 1, 0)

    // Number of vertices:
    const size_t n = m_numNodes;
    solved_x_inc.setZero(n);

    // Number of edges:
    const size_t m1 = m_factors_unary.size(), m2 = m_factors_binary.size();
    const size_t m = m1 + m2;

    // Build Ax=b
    // -----------------------
    m_timelogger.enter("GMRF.build_A_tri");

    std::vector<Eigen::Triplet<double>> A_tri;
    A_tri.reserve(m1 + 2 * m2);

    Eigen::VectorXd g;  // Error vector

    g.setZero(m);
    int edge_counter = 0;
    for (const auto& e : m_factors_unary)
    {
        ASSERT_(e != nullptr);
        // Jacob:
        const double w = std::sqrt(e->getInformation());
        double dr_dx;
        e->evalJacobian(dr_dx);
        const int node_id = e->node_id;
        A_tri.push_back(
            Eigen::Triplet<double>(edge_counter, node_id, w * dr_dx));
        // gradient:
        g[edge_counter] -= w * e->evaluateResidual();

        ++edge_counter;
    }
    for (const auto& e : m_factors_binary)
    {
        ASSERT_(e != nullptr);
        // Jacob:
        const double w = std::sqrt(e->getInformation());
        double dr_dxi, dr_dxj;
        e->evalJacobian(dr_dxi, dr_dxj);
        const int node_id_i = e->node_id_i, node_id_j = e->node_id_j;
        A_tri.push_back(
            Eigen::Triplet<double>(edge_counter, node_id_i, w * dr_dxi));
        A_tri.push_back(
            Eigen::Triplet<double>(edge_counter, node_id_j, w * dr_dxj));
        // gradient:
        g[edge_counter] -= w * e->evaluateResidual();

        ++edge_counter;
    }
    m_timelogger.leave("GMRF.build_A_tri");

    // Compress sparse
    // -----------------------
    Eigen::SparseMatrix<double> A(m, n);
    {
        mrpt::system::CTimeLoggerEntry tle(
            m_timelogger, "GMRF.build_A_compress");

        A.setFromTriplets(A_tri.begin(), A_tri.end());
        A.makeCompressed();
    }

    // Solve increment
    // -----------------------
    Eigen::SparseQR<Eigen::SparseMatrix<double>, Eigen::COLAMDOrdering<int>>
        solver;
    {
        mrpt::system::CTimeLoggerEntry tle(m_timelogger, "GMRF.solve");

        solver.compute(A);
        solved_x_inc = solver.solve(g);
    }

    // Recover covariance
    // -----------------------
    if (solved_variances)
    {
        mrpt::system::CTimeLoggerEntry tle(m_timelogger, "GMRF.variance");

        solved_variances->resize(n);

        // VARIANCE SIGMA = inv(P) * inv( P*H*inv(P) ) * P
        // Get triangular supperior P*H*inv(P) = UT' * UT = P * R'*R * inv(P)
        // (QR factor: Use UT=R)

        MRPT_TODO("Use compressed access instead of coeff() below");

        Eigen::SparseMatrix<double> UT = solver.matrixR();
        Eigen::SparseMatrix<double> solved_covariance(n, n);
        solved_covariance.reserve(UT.nonZeros());

        // Apply custom equations to obtain the inverse -> inv( P*H*inv(P) )
        const int show_progress_steps = std::max(int(20), int(n / 20));
        for (int l = n - 1; l >= 0; l--)
        {
            if (!(l % show_progress_steps))
                MRPT_LOG_DEBUG_FMT(
                    "Computing variance %6.02f%%... \r",
                    (100.0 * (n - l - 1)) / n);

            // Computes variances in the inferior submatrix of "l"
            double subSigmas = 0.0;
            for (size_t j = l + 1; j < n; j++)
            {
                if (UT.coeff(l, j) != 0)
                {
                    // Compute off-diagonal variances Sigma(j,l) = Sigma(l,j);

                    // SUM 1
                    double sum = 0.0;
                    for (size_t i = l + 1; i <= j; i++)
                    {
                        if (UT.coeff(l, i) != 0)
                        {
                            sum +=
                                UT.coeff(l, i) * solved_covariance.coeff(i, j);
                        }
                    }
                    // SUM 2
                    for (size_t i = j + 1; i < n; ++i)
                    {
                        if (UT.coeff(l, i) != 0)
                        {
                            sum +=
                                UT.coeff(l, i) * solved_covariance.coeff(j, i);
                        }
                    }
                    // Save off-diagonal variance (only Upper triangular)
                    solved_covariance.insert(l, j) = (-sum / UT.coeff(l, l));
                    subSigmas += UT.coeff(l, j) * solved_covariance.coeff(l, j);
                }
            }

            solved_covariance.insert(l, l) =
                (1 / UT.coeff(l, l)) * (1 / UT.coeff(l, l) - subSigmas);
        }

        MRPT_LOG_DEBUG_FMT("Computing variance %6.02f%%... \r", 100.0);

        for (unsigned int i = 0; i < n; i++)
        {
            const int idx = (int)solver.colsPermutation().indices().coeff(i);
            const double variance = solved_covariance.coeff(i, i);
            (*solved_variances)[idx] = variance;
        }

    }  // end calc variances

#else
    THROW_EXCEPTION("This method requires Eigen 3.1.0 or above");
#endif
}