ceres-solver/docs/source/gradient_tutorial.rst

.. highlight:: c++

.. default-domain:: cpp

.. _chapter-gradient_tutorial:

==================================
General Unconstrained Minimization
==================================

While much of Ceres Solver is devoted to solving non-linear least
squares problems, internally it contains a solver that can solve
general unconstrained optimization problems using just their objective
function value and gradients. The ``GradientProblem`` and
``GradientProblemSolver`` objects give the user access to this solver.

So without much further ado, let us look at how one goes about using
them.

Rosenbrock's Function
=====================

We consider the minimization of the famous `Rosenbrock's function
<http://en.wikipedia.org/wiki/Rosenbrock_function>`_ [#f1]_.

We begin by defining an instance of the ``FirstOrderFunction``
interface. This is the object that is responsible for computing the
objective function value and the gradient (if required). This is the
analog of the :class:`CostFunction` when defining non-linear least
squares problems in Ceres.

.. code::

  class Rosenbrock : public ceres::FirstOrderFunction {
   public:
    virtual bool Evaluate(const double* parameters,
                          double* cost,
                          double* gradient) const {
      const double x = parameters[0];
      const double y = parameters[1];

      cost[0] = (1.0 - x) * (1.0 - x) + 100.0 * (y - x * x) * (y - x * x);
      if (gradient != NULL) {
        gradient[0] = -2.0 * (1.0 - x) - 200.0 * (y - x * x) * 2.0 * x;
        gradient[1] = 200.0 * (y - x * x);
      }
      return true;
    }

    virtual int NumParameters() const { return 2; }
  };


Minimizing it then is a straightforward matter of constructing a
:class:`GradientProblem` object and calling :func:`Solve` on it.

.. code::

    double parameters[2] = {-1.2, 1.0};

    ceres::GradientProblem problem(new Rosenbrock());

    ceres::GradientProblemSolver::Options options;
    options.minimizer_progress_to_stdout = true;
    ceres::GradientProblemSolver::Summary summary;
    ceres::Solve(options, problem, parameters, &summary);

    std::cout << summary.FullReport() << "\n";

Executing this code results, solve the problem using limited memory
`BFGS
<http://en.wikipedia.org/wiki/Broyden%E2%80%93Fletcher%E2%80%93Goldfarb%E2%80%93Shanno_algorithm>`_
algorithm.

.. code-block:: bash

     0: f: 2.420000e+01 d: 0.00e+00 g: 2.16e+02 h: 0.00e+00 s: 0.00e+00 e:  0 it: 2.00e-05 tt: 2.00e-05
     1: f: 4.280493e+00 d: 1.99e+01 g: 1.52e+01 h: 2.01e-01 s: 8.62e-04 e:  2 it: 7.32e-05 tt: 2.19e-04
     2: f: 3.571154e+00 d: 7.09e-01 g: 1.35e+01 h: 3.78e-01 s: 1.34e-01 e:  3 it: 2.50e-05 tt: 2.68e-04
     3: f: 3.440869e+00 d: 1.30e-01 g: 1.73e+01 h: 1.36e-01 s: 1.00e+00 e:  1 it: 4.05e-06 tt: 2.92e-04
     4: f: 3.213597e+00 d: 2.27e-01 g: 1.55e+01 h: 1.06e-01 s: 4.59e-01 e:  1 it: 2.86e-06 tt: 3.14e-04
     5: f: 2.839723e+00 d: 3.74e-01 g: 1.05e+01 h: 1.34e-01 s: 5.24e-01 e:  1 it: 2.86e-06 tt: 3.36e-04
     6: f: 2.448490e+00 d: 3.91e-01 g: 1.29e+01 h: 3.04e-01 s: 1.00e+00 e:  1 it: 4.05e-06 tt: 3.58e-04
     7: f: 1.943019e+00 d: 5.05e-01 g: 4.00e+00 h: 8.81e-02 s: 7.43e-01 e:  1 it: 4.05e-06 tt: 3.79e-04
     8: f: 1.731469e+00 d: 2.12e-01 g: 7.36e+00 h: 1.71e-01 s: 4.60e-01 e:  2 it: 9.06e-06 tt: 4.06e-04
     9: f: 1.503267e+00 d: 2.28e-01 g: 6.47e+00 h: 8.66e-02 s: 1.00e+00 e:  1 it: 3.81e-06 tt: 4.33e-04
    10: f: 1.228331e+00 d: 2.75e-01 g: 2.00e+00 h: 7.70e-02 s: 7.90e-01 e:  1 it: 3.81e-06 tt: 4.54e-04
    11: f: 1.016523e+00 d: 2.12e-01 g: 5.15e+00 h: 1.39e-01 s: 3.76e-01 e:  2 it: 1.00e-05 tt: 4.82e-04
    12: f: 9.145773e-01 d: 1.02e-01 g: 6.74e+00 h: 7.98e-02 s: 1.00e+00 e:  1 it: 3.10e-06 tt: 5.03e-04
    13: f: 7.508302e-01 d: 1.64e-01 g: 3.88e+00 h: 5.76e-02 s: 4.93e-01 e:  1 it: 2.86e-06 tt: 5.25e-04
    14: f: 5.832378e-01 d: 1.68e-01 g: 5.56e+00 h: 1.42e-01 s: 1.00e+00 e:  1 it: 3.81e-06 tt: 5.47e-04
    15: f: 3.969581e-01 d: 1.86e-01 g: 1.64e+00 h: 1.17e-01 s: 1.00e+00 e:  1 it: 4.05e-06 tt: 5.68e-04
    16: f: 3.171557e-01 d: 7.98e-02 g: 3.84e+00 h: 1.18e-01 s: 3.97e-01 e:  2 it: 9.06e-06 tt: 5.94e-04
    17: f: 2.641257e-01 d: 5.30e-02 g: 3.27e+00 h: 6.14e-02 s: 1.00e+00 e:  1 it: 3.10e-06 tt: 6.16e-04
    18: f: 1.909730e-01 d: 7.32e-02 g: 5.29e-01 h: 8.55e-02 s: 6.82e-01 e:  1 it: 4.05e-06 tt: 6.42e-04
    19: f: 1.472012e-01 d: 4.38e-02 g: 3.11e+00 h: 1.20e-01 s: 3.47e-01 e:  2 it: 1.00e-05 tt: 6.69e-04
    20: f: 1.093558e-01 d: 3.78e-02 g: 2.97e+00 h: 8.43e-02 s: 1.00e+00 e:  1 it: 3.81e-06 tt: 6.91e-04
    21: f: 6.710346e-02 d: 4.23e-02 g: 1.42e+00 h: 9.64e-02 s: 8.85e-01 e:  1 it: 3.81e-06 tt: 7.12e-04
    22: f: 3.993377e-02 d: 2.72e-02 g: 2.30e+00 h: 1.29e-01 s: 4.63e-01 e:  2 it: 9.06e-06 tt: 7.39e-04
    23: f: 2.911794e-02 d: 1.08e-02 g: 2.55e+00 h: 6.55e-02 s: 1.00e+00 e:  1 it: 4.05e-06 tt: 7.62e-04
    24: f: 1.457683e-02 d: 1.45e-02 g: 2.77e-01 h: 6.37e-02 s: 6.14e-01 e:  1 it: 3.81e-06 tt: 7.84e-04
    25: f: 8.577515e-03 d: 6.00e-03 g: 2.86e+00 h: 1.40e-01 s: 1.00e+00 e:  1 it: 4.05e-06 tt: 8.05e-04
    26: f: 3.486574e-03 d: 5.09e-03 g: 1.76e-01 h: 1.23e-02 s: 1.00e+00 e:  1 it: 4.05e-06 tt: 8.27e-04
    27: f: 1.257570e-03 d: 2.23e-03 g: 1.39e-01 h: 5.08e-02 s: 1.00e+00 e:  1 it: 4.05e-06 tt: 8.48e-04
    28: f: 2.783568e-04 d: 9.79e-04 g: 6.20e-01 h: 6.47e-02 s: 1.00e+00 e:  1 it: 4.05e-06 tt: 8.69e-04
    29: f: 2.533399e-05 d: 2.53e-04 g: 1.68e-02 h: 1.98e-03 s: 1.00e+00 e:  1 it: 3.81e-06 tt: 8.91e-04
    30: f: 7.591572e-07 d: 2.46e-05 g: 5.40e-03 h: 9.27e-03 s: 1.00e+00 e:  1 it: 3.81e-06 tt: 9.12e-04
    31: f: 1.902460e-09 d: 7.57e-07 g: 1.62e-03 h: 1.89e-03 s: 1.00e+00 e:  1 it: 2.86e-06 tt: 9.33e-04
    32: f: 1.003030e-12 d: 1.90e-09 g: 3.50e-05 h: 3.52e-05 s: 1.00e+00 e:  1 it: 3.10e-06 tt: 9.54e-04
    33: f: 4.835994e-17 d: 1.00e-12 g: 1.05e-07 h: 1.13e-06 s: 1.00e+00 e:  1 it: 4.05e-06 tt: 9.81e-04
    34: f: 1.885250e-22 d: 4.84e-17 g: 2.69e-10 h: 1.45e-08 s: 1.00e+00 e:  1 it: 4.05e-06 tt: 1.00e-03

  Solver Summary (v 1.12.0-lapack-suitesparse-cxsparse-no_openmp)

  Parameters                                  2
  Line search direction              LBFGS (20)
  Line search type                  CUBIC WOLFE


  Cost:
  Initial                          2.420000e+01
  Final                            1.885250e-22
  Change                           2.420000e+01

  Minimizer iterations                       35

  Time (in seconds):

    Cost evaluation                       0.000
    Gradient evaluation                   0.000
  Total                                   0.003

  Termination:                      CONVERGENCE (Gradient tolerance reached. Gradient max norm: 9.032775e-13 <= 1.000000e-10)

.. rubric:: Footnotes

.. [#f1] `examples/rosenbrock.cc
   <https://ceres-solver.googlesource.com/ceres-solver/+/master/examples/rosenbrock.cc>`_