fixed size matrices for numerical derivatives
Mike Bosse
parent
a8bd7281f3
commit
30b21503b3
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@ -147,11 +147,7 @@ T expm(const Vector& x, int K=7) {
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* the gtsam namespace to be more easily enforced as testable
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*/
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#define GTSAM_CONCEPT_LIE_INST(T) \
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template class gtsam::ManifoldConcept<T>; \
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template class gtsam::GroupConcept<T>; \
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template class gtsam::LieConcept<T>;
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template class gtsam::IsLieGroup<T>;
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#define GTSAM_CONCEPT_LIE_TYPE(T) \
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typedef gtsam::ManifoldConcept<T> _gtsam_ManifoldConcept_##T; \
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typedef gtsam::GroupConcept<T> _gtsam_GroupConcept_##T; \
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typedef gtsam::LieConcept<T> _gtsam_LieConcept_##T;
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typedef gtsam::IsLieGroup<T> _gtsam_LieConcept_##T;
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@ -59,13 +59,22 @@ namespace gtsam {
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* http://www.boost.org/doc/libs/release/libs/bind/bind.html
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*/
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// a quick helper struct to get the appropriate fixed sized matrix from two value types
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namespace internal {
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template<class Y, class X=double>
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struct FixedSizeMatrix {
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typedef Eigen::Matrix<double,traits_x<Y>::dimension, traits_x<X>::dimension> type;
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};
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}
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/**
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* Numerically compute gradient of scalar function
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* Class X is the input argument
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* The class X needs to have dim, expmap, logmap
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*/
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template<class X>
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Vector numericalGradient(boost::function<double(const X&)> h, const X& x,
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typename internal::FixedSizeMatrix<X>::type numericalGradient(boost::function<double(const X&)> h, const X& x,
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double delta = 1e-5) {
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double factor = 1.0 / (2.0 * delta);
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@ -103,12 +112,15 @@ Vector numericalGradient(boost::function<double(const X&)> h, const X& x,
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* Class X is the input argument
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* @return m*n Jacobian computed via central differencing
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*/
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template<class Y, class X>
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// TODO Should compute fixed-size matrix
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Matrix numericalDerivative11(boost::function<Y(const X&)> h, const X& x,
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typename internal::FixedSizeMatrix<Y,X>::type numericalDerivative11(boost::function<Y(const X&)> h, const X& x,
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double delta = 1e-5) {
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using namespace traits;
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typedef typename internal::FixedSizeMatrix<Y,X>::type Matrix;
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BOOST_STATIC_ASSERT_MSG( (boost::is_base_of<gtsam::manifold_tag, typename traits_x<Y>::structure_category>::value),
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"Template argument Y must be a manifold type.");
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typedef traits_x<Y> TraitsY;
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@ -148,7 +160,7 @@ Matrix numericalDerivative11(boost::function<Y(const X&)> h, const X& x,
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/** use a raw C++ function pointer */
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template<class Y, class X>
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Matrix numericalDerivative11(Y (*h)(const X&), const X& x,
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typename internal::FixedSizeMatrix<Y,X>::type numericalDerivative11(Y (*h)(const X&), const X& x,
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double delta = 1e-5) {
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return numericalDerivative11<Y, X>(boost::bind(h, _1), x, delta);
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}
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@ -162,7 +174,7 @@ Matrix numericalDerivative11(Y (*h)(const X&), const X& x,
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* @return m*n Jacobian computed via central differencing
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*/
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template<class Y, class X1, class X2>
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Matrix numericalDerivative21(const boost::function<Y(const X1&, const X2&)>& h,
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typename internal::FixedSizeMatrix<Y,X1>::type numericalDerivative21(const boost::function<Y(const X1&, const X2&)>& h,
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const X1& x1, const X2& x2, double delta = 1e-5) {
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BOOST_STATIC_ASSERT_MSG( (boost::is_base_of<gtsam::manifold_tag, typename traits_x<Y>::structure_category>::value),
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"Template argument Y must be a manifold type.");
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@ -173,7 +185,7 @@ Matrix numericalDerivative21(const boost::function<Y(const X1&, const X2&)>& h,
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/** use a raw C++ function pointer */
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template<class Y, class X1, class X2>
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inline Matrix numericalDerivative21(Y (*h)(const X1&, const X2&), const X1& x1,
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typename internal::FixedSizeMatrix<Y,X1>::type numericalDerivative21(Y (*h)(const X1&, const X2&), const X1& x1,
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const X2& x2, double delta = 1e-5) {
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return numericalDerivative21<Y, X1, X2>(boost::bind(h, _1, _2), x1, x2, delta);
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}
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@ -187,7 +199,7 @@ inline Matrix numericalDerivative21(Y (*h)(const X1&, const X2&), const X1& x1,
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* @return m*n Jacobian computed via central differencing
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*/
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template<class Y, class X1, class X2>
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Matrix numericalDerivative22(boost::function<Y(const X1&, const X2&)> h,
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typename internal::FixedSizeMatrix<Y,X2>::type numericalDerivative22(boost::function<Y(const X1&, const X2&)> h,
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const X1& x1, const X2& x2, double delta = 1e-5) {
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BOOST_STATIC_ASSERT_MSG( (boost::is_base_of<gtsam::manifold_tag, typename traits_x<X1>::structure_category>::value),
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"Template argument X1 must be a manifold type.");
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@ -198,7 +210,7 @@ Matrix numericalDerivative22(boost::function<Y(const X1&, const X2&)> h,
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/** use a raw C++ function pointer */
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template<class Y, class X1, class X2>
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inline Matrix numericalDerivative22(Y (*h)(const X1&, const X2&), const X1& x1,
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typename internal::FixedSizeMatrix<Y,X2>::type numericalDerivative22(Y (*h)(const X1&, const X2&), const X1& x1,
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const X2& x2, double delta = 1e-5) {
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return numericalDerivative22<Y, X1, X2>(boost::bind(h, _1, _2), x1, x2, delta);
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}
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@ -214,7 +226,7 @@ inline Matrix numericalDerivative22(Y (*h)(const X1&, const X2&), const X1& x1,
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* All classes Y,X1,X2,X3 need dim, expmap, logmap
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*/
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template<class Y, class X1, class X2, class X3>
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Matrix numericalDerivative31(
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typename internal::FixedSizeMatrix<Y,X1>::type numericalDerivative31(
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boost::function<Y(const X1&, const X2&, const X3&)> h, const X1& x1,
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const X2& x2, const X3& x3, double delta = 1e-5) {
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BOOST_STATIC_ASSERT_MSG( (boost::is_base_of<gtsam::manifold_tag, typename traits_x<Y>::structure_category>::value),
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@ -225,7 +237,7 @@ Matrix numericalDerivative31(
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}
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template<class Y, class X1, class X2, class X3>
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inline Matrix numericalDerivative31(Y (*h)(const X1&, const X2&, const X3&),
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typename internal::FixedSizeMatrix<Y,X1>::type numericalDerivative31(Y (*h)(const X1&, const X2&, const X3&),
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const X1& x1, const X2& x2, const X3& x3, double delta = 1e-5) {
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return numericalDerivative31<Y, X1, X2, X3>(boost::bind(h, _1, _2, _3), x1,
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x2, x3, delta);
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@ -242,7 +254,7 @@ inline Matrix numericalDerivative31(Y (*h)(const X1&, const X2&, const X3&),
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* All classes Y,X1,X2,X3 need dim, expmap, logmap
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*/
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template<class Y, class X1, class X2, class X3>
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Matrix numericalDerivative32(
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typename internal::FixedSizeMatrix<Y,X2>::type numericalDerivative32(
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boost::function<Y(const X1&, const X2&, const X3&)> h, const X1& x1,
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const X2& x2, const X3& x3, double delta = 1e-5) {
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BOOST_STATIC_ASSERT_MSG( (boost::is_base_of<gtsam::manifold_tag, typename traits_x<Y>::structure_category>::value),
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@ -253,7 +265,7 @@ Matrix numericalDerivative32(
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}
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template<class Y, class X1, class X2, class X3>
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inline Matrix numericalDerivative32(Y (*h)(const X1&, const X2&, const X3&),
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inline typename internal::FixedSizeMatrix<Y,X2>::type numericalDerivative32(Y (*h)(const X1&, const X2&, const X3&),
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const X1& x1, const X2& x2, const X3& x3, double delta = 1e-5) {
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return numericalDerivative32<Y, X1, X2, X3>(boost::bind(h, _1, _2, _3), x1,
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x2, x3, delta);
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@ -270,7 +282,7 @@ inline Matrix numericalDerivative32(Y (*h)(const X1&, const X2&, const X3&),
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* All classes Y,X1,X2,X3 need dim, expmap, logmap
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*/
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template<class Y, class X1, class X2, class X3>
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Matrix numericalDerivative33(
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typename internal::FixedSizeMatrix<Y,X3>::type numericalDerivative33(
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boost::function<Y(const X1&, const X2&, const X3&)> h, const X1& x1,
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const X2& x2, const X3& x3, double delta = 1e-5) {
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BOOST_STATIC_ASSERT_MSG( (boost::is_base_of<gtsam::manifold_tag, typename traits_x<Y>::structure_category>::value),
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@ -281,7 +293,7 @@ Matrix numericalDerivative33(
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}
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template<class Y, class X1, class X2, class X3>
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inline Matrix numericalDerivative33(Y (*h)(const X1&, const X2&, const X3&),
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inline typename internal::FixedSizeMatrix<Y,X3>::type numericalDerivative33(Y (*h)(const X1&, const X2&, const X3&),
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const X1& x1, const X2& x2, const X3& x3, double delta = 1e-5) {
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return numericalDerivative33<Y, X1, X2, X3>(boost::bind(h, _1, _2, _3), x1,
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x2, x3, delta);
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@ -296,7 +308,7 @@ inline Matrix numericalDerivative33(Y (*h)(const X1&, const X2&, const X3&),
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* @return n*n Hessian matrix computed via central differencing
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*/
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template<class X>
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inline Matrix numericalHessian(boost::function<double(const X&)> f, const X& x,
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inline typename internal::FixedSizeMatrix<X,X>::type numericalHessian(boost::function<double(const X&)> f, const X& x,
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double delta = 1e-5) {
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BOOST_STATIC_ASSERT_MSG( (boost::is_base_of<gtsam::manifold_tag, typename traits_x<X>::structure_category>::value),
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"Template argument X must be a manifold type.");
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@ -309,7 +321,7 @@ inline Matrix numericalHessian(boost::function<double(const X&)> f, const X& x,
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}
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template<class X>
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inline Matrix numericalHessian(double (*f)(const X&), const X& x, double delta =
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inline typename internal::FixedSizeMatrix<X,X>::type numericalHessian(double (*f)(const X&), const X& x, double delta =
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1e-5) {
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return numericalHessian(boost::function<double(const X&)>(f), x, delta);
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}
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@ -323,6 +335,8 @@ class G_x1 {
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X1 x1_;
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double delta_;
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public:
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typedef typename internal::FixedSizeMatrix<X1>::type Vector;
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G_x1(const boost::function<double(const X1&, const X2&)>& f, const X1& x1,
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double delta) :
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f_(f), x1_(x1), delta_(delta) {
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@ -333,9 +347,10 @@ public:
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};
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template<class X1, class X2>
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inline Matrix numericalHessian212(
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inline typename internal::FixedSizeMatrix<X1,X2>::type numericalHessian212(
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boost::function<double(const X1&, const X2&)> f, const X1& x1, const X2& x2,
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double delta = 1e-5) {
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typedef typename internal::FixedSizeMatrix<X1>::type Vector;
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G_x1<X1, X2> g_x1(f, x1, delta);
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return numericalDerivative11<Vector, X2>(
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boost::function<Vector(const X2&)>(
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@ -343,17 +358,19 @@ inline Matrix numericalHessian212(
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}
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template<class X1, class X2>
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inline Matrix numericalHessian212(double (*f)(const X1&, const X2&),
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inline typename internal::FixedSizeMatrix<X1,X2>::type numericalHessian212(double (*f)(const X1&, const X2&),
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const X1& x1, const X2& x2, double delta = 1e-5) {
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return numericalHessian212(boost::function<double(const X1&, const X2&)>(f),
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x1, x2, delta);
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}
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template<class X1, class X2>
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inline Matrix numericalHessian211(
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inline typename internal::FixedSizeMatrix<X1,X1>::type numericalHessian211(
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boost::function<double(const X1&, const X2&)> f, const X1& x1, const X2& x2,
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double delta = 1e-5) {
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typedef typename internal::FixedSizeMatrix<X1>::type Vector;
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Vector (*numGrad)(boost::function<double(const X1&)>, const X1&,
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double) = &numericalGradient<X1>;
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boost::function<double(const X1&)> f2(boost::bind(f, _1, x2));
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@ -364,17 +381,17 @@ inline Matrix numericalHessian211(
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}
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template<class X1, class X2>
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inline Matrix numericalHessian211(double (*f)(const X1&, const X2&),
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inline typename internal::FixedSizeMatrix<X1,X1>::type numericalHessian211(double (*f)(const X1&, const X2&),
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const X1& x1, const X2& x2, double delta = 1e-5) {
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return numericalHessian211(boost::function<double(const X1&, const X2&)>(f),
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x1, x2, delta);
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}
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template<class X1, class X2>
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inline Matrix numericalHessian222(
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inline typename internal::FixedSizeMatrix<X2,X2>::type numericalHessian222(
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boost::function<double(const X1&, const X2&)> f, const X1& x1, const X2& x2,
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double delta = 1e-5) {
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typedef typename internal::FixedSizeMatrix<X2>::type Vector;
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Vector (*numGrad)(boost::function<double(const X2&)>, const X2&,
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double) = &numericalGradient<X2>;
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boost::function<double(const X2&)> f2(boost::bind(f, x1, _1));
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@ -385,7 +402,7 @@ inline Matrix numericalHessian222(
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}
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template<class X1, class X2>
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inline Matrix numericalHessian222(double (*f)(const X1&, const X2&),
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inline typename internal::FixedSizeMatrix<X2,X2>::type numericalHessian222(double (*f)(const X1&, const X2&),
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const X1& x1, const X2& x2, double delta = 1e-5) {
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return numericalHessian222(boost::function<double(const X1&, const X2&)>(f),
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x1, x2, delta);
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@ -396,10 +413,10 @@ inline Matrix numericalHessian222(double (*f)(const X1&, const X2&),
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*/
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/* **************************************************************** */
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template<class X1, class X2, class X3>
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inline Matrix numericalHessian311(
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inline typename internal::FixedSizeMatrix<X1,X1>::type numericalHessian311(
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boost::function<double(const X1&, const X2&, const X3&)> f, const X1& x1,
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const X2& x2, const X3& x3, double delta = 1e-5) {
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typedef typename internal::FixedSizeMatrix<X1>::type Vector;
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Vector (*numGrad)(boost::function<double(const X1&)>, const X1&,
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double) = &numericalGradient<X1>;
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boost::function<double(const X1&)> f2(boost::bind(f, _1, x2, x3));
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@ -410,7 +427,7 @@ inline Matrix numericalHessian311(
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}
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template<class X1, class X2, class X3>
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inline Matrix numericalHessian311(double (*f)(const X1&, const X2&, const X3&),
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inline typename internal::FixedSizeMatrix<X1,X1>::type numericalHessian311(double (*f)(const X1&, const X2&, const X3&),
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const X1& x1, const X2& x2, const X3& x3, double delta = 1e-5) {
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return numericalHessian311(
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boost::function<double(const X1&, const X2&, const X3&)>(f), x1, x2, x3,
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@ -419,10 +436,10 @@ inline Matrix numericalHessian311(double (*f)(const X1&, const X2&, const X3&),
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/* **************************************************************** */
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template<class X1, class X2, class X3>
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inline Matrix numericalHessian322(
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inline typename internal::FixedSizeMatrix<X2,X2>::type numericalHessian322(
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boost::function<double(const X1&, const X2&, const X3&)> f, const X1& x1,
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const X2& x2, const X3& x3, double delta = 1e-5) {
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typedef typename internal::FixedSizeMatrix<X2>::type Vector;
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Vector (*numGrad)(boost::function<double(const X2&)>, const X2&,
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double) = &numericalGradient<X2>;
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boost::function<double(const X2&)> f2(boost::bind(f, x1, _1, x3));
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@ -433,7 +450,7 @@ inline Matrix numericalHessian322(
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}
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template<class X1, class X2, class X3>
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inline Matrix numericalHessian322(double (*f)(const X1&, const X2&, const X3&),
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inline typename internal::FixedSizeMatrix<X2,X2>::type numericalHessian322(double (*f)(const X1&, const X2&, const X3&),
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const X1& x1, const X2& x2, const X3& x3, double delta = 1e-5) {
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return numericalHessian322(
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boost::function<double(const X1&, const X2&, const X3&)>(f), x1, x2, x3,
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@ -442,10 +459,10 @@ inline Matrix numericalHessian322(double (*f)(const X1&, const X2&, const X3&),
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/* **************************************************************** */
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template<class X1, class X2, class X3>
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inline Matrix numericalHessian333(
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inline typename internal::FixedSizeMatrix<X3,X3>::type numericalHessian333(
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boost::function<double(const X1&, const X2&, const X3&)> f, const X1& x1,
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const X2& x2, const X3& x3, double delta = 1e-5) {
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typedef typename internal::FixedSizeMatrix<X3>::type Vector;
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Vector (*numGrad)(boost::function<double(const X3&)>, const X3&,
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double) = &numericalGradient<X3>;
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boost::function<double(const X3&)> f2(boost::bind(f, x1, x2, _1));
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@ -456,7 +473,7 @@ inline Matrix numericalHessian333(
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}
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template<class X1, class X2, class X3>
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inline Matrix numericalHessian333(double (*f)(const X1&, const X2&, const X3&),
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inline typename internal::FixedSizeMatrix<X3,X3>::type numericalHessian333(double (*f)(const X1&, const X2&, const X3&),
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const X1& x1, const X2& x2, const X3& x3, double delta = 1e-5) {
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return numericalHessian333(
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boost::function<double(const X1&, const X2&, const X3&)>(f), x1, x2, x3,
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@ -465,7 +482,7 @@ inline Matrix numericalHessian333(double (*f)(const X1&, const X2&, const X3&),
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/* **************************************************************** */
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template<class X1, class X2, class X3>
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inline Matrix numericalHessian312(
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inline typename internal::FixedSizeMatrix<X1,X2>::type numericalHessian312(
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boost::function<double(const X1&, const X2&, const X3&)> f, const X1& x1,
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const X2& x2, const X3& x3, double delta = 1e-5) {
|
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return numericalHessian212<X1, X2>(
|
||||
|
|
@ -474,7 +491,7 @@ inline Matrix numericalHessian312(
|
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}
|
||||
|
||||
template<class X1, class X2, class X3>
|
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inline Matrix numericalHessian313(
|
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inline typename internal::FixedSizeMatrix<X1,X3>::type numericalHessian313(
|
||||
boost::function<double(const X1&, const X2&, const X3&)> f, const X1& x1,
|
||||
const X2& x2, const X3& x3, double delta = 1e-5) {
|
||||
return numericalHessian212<X1, X3>(
|
||||
|
|
@ -483,7 +500,7 @@ inline Matrix numericalHessian313(
|
|||
}
|
||||
|
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template<class X1, class X2, class X3>
|
||||
inline Matrix numericalHessian323(
|
||||
inline typename internal::FixedSizeMatrix<X2,X3>::type numericalHessian323(
|
||||
boost::function<double(const X1&, const X2&, const X3&)> f, const X1& x1,
|
||||
const X2& x2, const X3& x3, double delta = 1e-5) {
|
||||
return numericalHessian212<X2, X3>(
|
||||
|
|
@ -493,7 +510,7 @@ inline Matrix numericalHessian323(
|
|||
|
||||
/* **************************************************************** */
|
||||
template<class X1, class X2, class X3>
|
||||
inline Matrix numericalHessian312(double (*f)(const X1&, const X2&, const X3&),
|
||||
inline typename internal::FixedSizeMatrix<X1,X2>::type numericalHessian312(double (*f)(const X1&, const X2&, const X3&),
|
||||
const X1& x1, const X2& x2, const X3& x3, double delta = 1e-5) {
|
||||
return numericalHessian312(
|
||||
boost::function<double(const X1&, const X2&, const X3&)>(f), x1, x2, x3,
|
||||
|
|
@ -501,7 +518,7 @@ inline Matrix numericalHessian312(double (*f)(const X1&, const X2&, const X3&),
|
|||
}
|
||||
|
||||
template<class X1, class X2, class X3>
|
||||
inline Matrix numericalHessian313(double (*f)(const X1&, const X2&, const X3&),
|
||||
inline typename internal::FixedSizeMatrix<X1,X3>::type numericalHessian313(double (*f)(const X1&, const X2&, const X3&),
|
||||
const X1& x1, const X2& x2, const X3& x3, double delta = 1e-5) {
|
||||
return numericalHessian313(
|
||||
boost::function<double(const X1&, const X2&, const X3&)>(f), x1, x2, x3,
|
||||
|
|
@ -509,7 +526,7 @@ inline Matrix numericalHessian313(double (*f)(const X1&, const X2&, const X3&),
|
|||
}
|
||||
|
||||
template<class X1, class X2, class X3>
|
||||
inline Matrix numericalHessian323(double (*f)(const X1&, const X2&, const X3&),
|
||||
inline typename internal::FixedSizeMatrix<X2,X3>::type numericalHessian323(double (*f)(const X1&, const X2&, const X3&),
|
||||
const X1& x1, const X2& x2, const X3& x3, double delta = 1e-5) {
|
||||
return numericalHessian323(
|
||||
boost::function<double(const X1&, const X2&, const X3&)>(f), x1, x2, x3,
|
||||
|
|
|
|||
Loading…
Reference in New Issue