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rm constrainedOptProblem

release/4.3a0
yetongumich 2024-08-26 16:36:32 -04:00
parent 7bb76f5356
commit 8b09ef1297
3 changed files with 93 additions and 306 deletions
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110
gtsam/constraint/ConstrainedOptProblem.cpp
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@ -1,110 +0,0 @@
/* ----------------------------------------------------------------------------
* 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
* -------------------------------------------------------------------------- */
/**
* @file ConstrainedOptProblem.h
* @brief Nonlinear constrained optimization problem.
* @author Yetong Zhang, Frank Dellaert
* @date Aug 3, 2024
*/
#include <gtsam/constraint/ConstrainedOptProblem.h>
#include <memory>
#include <stdexcept>
#include "gtsam/constraint/NonlinearEqualityConstraint.h"
#include "gtsam/nonlinear/NonlinearFactor.h"
namespace gtsam {
/* ********************************************************************************************* */
size_t GraphDimension(const NonlinearFactorGraph& graph) {
size_t total_dim = 0;
for (const auto& factor : graph) {
total_dim += factor->dim();
}
return total_dim;
}
/* ********************************************************************************************* */
bool CheckPureCost(const NonlinearFactorGraph& graph) {
for (const auto& factor : graph) {
if (NoiseModelFactor::shared_ptr f = std::dynamic_pointer_cast<NoiseModelFactor>(factor)) {
if (f->noiseModel()->isConstrained()) {
return false;
}
}
}
return true;
}
/* ********************************************************************************************* */
ConstrainedOptProblem::ConstrainedOptProblem(const NonlinearFactorGraph& costs,
const NonlinearEqualityConstraints& e_constraints,
const NonlinearInequalityConstraints& i_constraints,
const Values& values)
: costs_(costs), e_constraints_(e_constraints), i_constraints_(i_constraints), values_(values) {
if (!CheckPureCost(costs)) {
throw std::runtime_error(
"Cost contains factors with constrained noise model. They should be moved to constraints.");
}
}
/* ********************************************************************************************* */
std::tuple<size_t, size_t, size_t, size_t> ConstrainedOptProblem::dim() const {
return {
GraphDimension(costs()), eConstraints().dim(), iConstraints().dim(), initialValues().dim()};
}
/* ********************************************************************************************* */
std::tuple<double, double, double> ConstrainedOptProblem::evaluate(const Values& values) const {
return {costs().error(values),
eConstraints().violationNorm(values),
iConstraints().violationNorm(values)};
}
/* ********************************************************************************************* */
ConstrainedOptProblem ConstrainedOptProblem::auxiliaryProblem(
const AuxiliaryKeyGenerator& generator) const {
if (iConstraints().size() == 0) {
return *this;
}
NonlinearEqualityConstraints new_e_constraints = eConstraints();
Values new_values = initialValues();
size_t k = 0;
for (const auto& i_constraint : iConstraints()) {
if (ScalarExpressionInequalityConstraint::shared_ptr p =
std::dynamic_pointer_cast<ScalarExpressionInequalityConstraint>(i_constraint)) {
// Generate next available auxiliary key.
Key aux_key = generator.generate(k, new_values);
// Construct auxiliary equality constraint.
Double_ aux_expr(aux_key);
Double_ equality_expr = p->expression() + aux_expr * aux_expr;
new_e_constraints.emplace_shared<ExpressionEqualityConstraint<double>>(
equality_expr, 0.0, p->noiseModel()->sigmas());
// Compute initial value for auxiliary key.
if (!i_constraint->feasible(initialValues())) {
new_values.insert(aux_key, 0.0);
} else {
Vector gap = i_constraint->unwhitenedExpr(initialValues());
new_values.insert(aux_key, sqrt(-gap(0)));
}
}
}
return ConstrainedOptProblem::EqConstrainedOptProblem(costs_, new_e_constraints, new_values);
}
/* ********************************************************************************************* */
} // namespace gtsam

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gtsam/constraint/ConstrainedOptProblem.h
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@ -1,103 +0,0 @@
/* ----------------------------------------------------------------------------
* 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
* -------------------------------------------------------------------------- */
/**
* @file ConstrainedOptProblem.h
* @brief Nonlinear constrained optimization problem.
* @author Yetong Zhang, Frank Dellaert
* @date Aug 3, 2024
*/
#pragma once
#include <gtsam/constraint/NonlinearEqualityConstraint.h>
#include <gtsam/constraint/NonlinearInequalityConstraint.h>
namespace gtsam {
/** Constrained optimization problem, in the form of
* argmin_x 0.5||f(X)||^2
* s.t. h(X) = 0
* g(X) <= 0
* where X represents the variables, 0.5||f(X)||^2 represents the quadratic cost
* functions, h(X)=0 represents the nonlinear equality constraints, g(x)<=0 represents the
* inequality constraints.
*/
class GTSAM_EXPORT ConstrainedOptProblem {
public:
typedef ConstrainedOptProblem This;
typedef std::shared_ptr<This> shared_ptr;
protected:
NonlinearFactorGraph costs_; // cost function, ||f(X)||^2
NonlinearEqualityConstraints e_constraints_; // equality constraints, h(X)=0
NonlinearInequalityConstraints i_constraints_; // inequality constraints, g(X)<=0
Values values_; // initial value estimates of X
public:
/** Constructor with both equality and inequality constraints. */
ConstrainedOptProblem(const NonlinearFactorGraph& costs,
const NonlinearEqualityConstraints& e_constraints,
const NonlinearInequalityConstraints& i_constraints,
const Values& values = Values());
/** Constructor with equality constraints only. */
static ConstrainedOptProblem EqConstrainedOptProblem(
const NonlinearFactorGraph& costs,
const NonlinearEqualityConstraints& e_constraints,
const Values& values = Values()) {
return ConstrainedOptProblem(costs, e_constraints, NonlinearInequalityConstraints(), values);
}
/** Member variable access functions. */
const NonlinearFactorGraph& costs() const { return costs_; }
const NonlinearEqualityConstraints& eConstraints() const { return e_constraints_; }
const NonlinearInequalityConstraints& iConstraints() const { return i_constraints_; }
const Values& initialValues() const { return values_; }
/** Evaluate cost and constraint violations.
* Return a tuple representing (cost, e-constraint violation, i-constraint violation).
*/
std::tuple<double, double, double> evaluate(const Values& values) const;
/** Return the dimension of the problem, as a tuple of
* total dimension of cost factors,
* total dimension of equality constraints,
* total dimension of inequality constraints,
* total dimension of variables.
*/
std::tuple<size_t, size_t, size_t, size_t> dim() const;
/** Base class to generate keys for auxiliary variables. */
class GTSAM_EXPORT AuxiliaryKeyGenerator {
public:
AuxiliaryKeyGenerator() {}
virtual ~AuxiliaryKeyGenerator() {}
virtual Key generate(const size_t k) const { return Symbol('u', k); }
/** generate the next available auxiliary key that is not in values. */
Key generate(size_t& k, const Values& values) const {
Key key = generate(k++);
while (values.exists(key)) {
key = generate(k++);
}
return key;
}
};
/// Equivalent equality-constrained optimization probelm with auxiliary
/// variables z. Inequality constraints g(x)<=0 are transformed into equality
/// constraints g(x)+z^2=0.
ConstrainedOptProblem auxiliaryProblem(const AuxiliaryKeyGenerator& generator) const;
};
} // namespace gtsam

186
gtsam/constraint/tests/constrainedExample.h
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@ -18,11 +18,11 @@
#pragma once #pragma once
#include <gtsam/constraint/ConstrainedOptProblem.h> // #include <gtsam/constraint/ConstrainedOptProblem.h>
#include <gtsam/nonlinear/expressions.h> #include <gtsam/nonlinear/expressions.h>
#include <gtsam/slam/BetweenFactor.h> #include <gtsam/slam/BetweenFactor.h>
#include "gtsam/constraint/NonlinearEqualityConstraint.h" #include <gtsam/constraint/NonlinearEqualityConstraint.h>
#include "gtsam/constraint/NonlinearInequalityConstraint.h" #include <gtsam/constraint/NonlinearInequalityConstraint.h>
namespace constrained_example { namespace constrained_example {
@ -78,104 +78,104 @@ Double_ x1(x1_key), x2(x2_key);
* f(x) = 0.5*||x1 + e^(-x2)||^2 + 0.5*||x1^2 + 2*x2 + 1||^2 * f(x) = 0.5*||x1 + e^(-x2)||^2 + 0.5*||x1^2 + 2*x2 + 1||^2
* h(x) = x1 + x1^3 + x2 + x2^2 = 0 * h(x) = x1 + x1^3 + x2 + x2^2 = 0
*/ */
namespace constrained_example1 { // namespace constrained_example1 {
using namespace constrained_example; // using namespace constrained_example;
NonlinearFactorGraph Cost() { // NonlinearFactorGraph Cost() {
NonlinearFactorGraph graph; // NonlinearFactorGraph graph;
auto f1 = x1 + exp(-x2); // auto f1 = x1 + exp(-x2);
auto f2 = pow(x1, 2.0) + 2.0 * x2 + 1.0; // auto f2 = pow(x1, 2.0) + 2.0 * x2 + 1.0;
auto cost_noise = gtsam::noiseModel::Isotropic::Sigma(1, 1.0); // auto cost_noise = gtsam::noiseModel::Isotropic::Sigma(1, 1.0);
graph.add(ExpressionFactor<double>(cost_noise, 0., f1)); // graph.add(ExpressionFactor<double>(cost_noise, 0., f1));
graph.add(ExpressionFactor<double>(cost_noise, 0., f2)); // graph.add(ExpressionFactor<double>(cost_noise, 0., f2));
return graph; // return graph;
} // }
NonlinearEqualityConstraints EqConstraints() { // NonlinearEqualityConstraints EqConstraints() {
NonlinearEqualityConstraints constraints; // NonlinearEqualityConstraints constraints;
Vector sigmas = Vector1(1.0); // Vector sigmas = Vector1(1.0);
auto h1 = x1 + pow(x1, 3) + x2 + pow(x2, 2); // auto h1 = x1 + pow(x1, 3) + x2 + pow(x2, 2);
constraints.push_back(NonlinearEqualityConstraint::shared_ptr( // constraints.push_back(NonlinearEqualityConstraint::shared_ptr(
new ExpressionEqualityConstraint<double>(h1, 0.0, sigmas))); // new ExpressionEqualityConstraint<double>(h1, 0.0, sigmas)));
return constraints; // return constraints;
} // }
Values InitValues() { // Values InitValues() {
Values values; // Values values;
values.insert(x1_key, -0.2); // values.insert(x1_key, -0.2);
values.insert(x2_key, -0.2); // values.insert(x2_key, -0.2);
return values; // return values;
} // }
Values OptimalValues() { // Values OptimalValues() {
Values values; // Values values;
values.insert(x1_key, 0.0); // values.insert(x1_key, 0.0);
values.insert(x2_key, 0.0); // values.insert(x2_key, 0.0);
return values; // return values;
} // }
NonlinearFactorGraph costs = Cost(); // NonlinearFactorGraph costs = Cost();
NonlinearEqualityConstraints e_constraints = EqConstraints(); // NonlinearEqualityConstraints e_constraints = EqConstraints();
NonlinearInequalityConstraints i_constraints; // NonlinearInequalityConstraints i_constraints;
Values init_values = InitValues(); // Values init_values = InitValues();
ConstrainedOptProblem::shared_ptr problem = // ConstrainedOptProblem::shared_ptr problem =
std::make_shared<ConstrainedOptProblem>(costs, e_constraints, i_constraints, init_values); // std::make_shared<ConstrainedOptProblem>(costs, e_constraints, i_constraints, init_values);
Values optimal_values = OptimalValues(); // Values optimal_values = OptimalValues();
} // namespace constrained_example1 // } // namespace constrained_example1
/* ************************************************************************* */ // /* ************************************************************************* */
/** // /**
* Constrained optimization example with inequality constraints // * Constrained optimization example with inequality constraints
* Approach a point while staying on unit circle, and within an ellipse. // * Approach a point while staying on unit circle, and within an ellipse.
* f(x) = 0.5 * ||x1-1||^2 + 0.5 * ||x2-1||^2 // * f(x) = 0.5 * ||x1-1||^2 + 0.5 * ||x2-1||^2
* h(x) = x1^2 + x2^2 - 1 = 0 // * h(x) = x1^2 + x2^2 - 1 = 0
* g(x) = 4*x1^2 + 0.25*x2^2 - 1 <= 0 // * g(x) = 4*x1^2 + 0.25*x2^2 - 1 <= 0
*/ // */
namespace constrained_example2 { // namespace constrained_example2 {
using namespace constrained_example; // using namespace constrained_example;
NonlinearFactorGraph Cost() { // NonlinearFactorGraph Cost() {
NonlinearFactorGraph graph; // NonlinearFactorGraph graph;
auto cost_noise = gtsam::noiseModel::Isotropic::Sigma(1, 1.0); // auto cost_noise = gtsam::noiseModel::Isotropic::Sigma(1, 1.0);
graph.addPrior(x1_key, 1.0, cost_noise); // graph.addPrior(x1_key, 1.0, cost_noise);
graph.addPrior(x2_key, 1.0, cost_noise); // graph.addPrior(x2_key, 1.0, cost_noise);
return graph; // return graph;
} // }
NonlinearEqualityConstraints EqConstraints() { // NonlinearEqualityConstraints EqConstraints() {
NonlinearEqualityConstraints constraints; // NonlinearEqualityConstraints constraints;
Vector1 sigmas(1.0); // Vector1 sigmas(1.0);
Double_ h1 = x1 * x1 + x2 * x2; // Double_ h1 = x1 * x1 + x2 * x2;
constraints.emplace_shared<ExpressionEqualityConstraint<double>>(h1, 1.0, sigmas); // constraints.emplace_shared<ExpressionEqualityConstraint<double>>(h1, 1.0, sigmas);
return constraints; // return constraints;
} // }
NonlinearInequalityConstraints IneqConstraints() { // NonlinearInequalityConstraints IneqConstraints() {
NonlinearInequalityConstraints constraints; // NonlinearInequalityConstraints constraints;
Double_ g1 = 4 * x1 * x1 + 0.25 * x2 * x2 - Double_(1.0); // Double_ g1 = 4 * x1 * x1 + 0.25 * x2 * x2 - Double_(1.0);
double sigma = 1; // double sigma = 1;
constraints.emplace_shared<ScalarExpressionInequalityConstraint>(g1, sigma); // constraints.emplace_shared<ScalarExpressionInequalityConstraint>(g1, sigma);
return constraints; // return constraints;
} // }
Values InitValues() { // Values InitValues() {
Values values; // Values values;
values.insert(x1_key, -1.0); // values.insert(x1_key, -1.0);
values.insert(x2_key, 2.0); // values.insert(x2_key, 2.0);
return values; // return values;
} // }
Values OptimalValues() { // Values OptimalValues() {
Values values; // Values values;
values.insert(x1_key, 1.0 / sqrt(5)); // values.insert(x1_key, 1.0 / sqrt(5));
values.insert(x2_key, 2.0 / sqrt(5)); // values.insert(x2_key, 2.0 / sqrt(5));
return values; // return values;
} // }
NonlinearFactorGraph costs = Cost(); // NonlinearFactorGraph costs = Cost();
NonlinearEqualityConstraints e_constraints = EqConstraints(); // NonlinearEqualityConstraints e_constraints = EqConstraints();
NonlinearInequalityConstraints i_constraints = IneqConstraints(); // NonlinearInequalityConstraints i_constraints = IneqConstraints();
Values init_values = InitValues(); // Values init_values = InitValues();
ConstrainedOptProblem::shared_ptr problem = // ConstrainedOptProblem::shared_ptr problem =
std::make_shared<ConstrainedOptProblem>(costs, e_constraints, i_constraints, init_values); // std::make_shared<ConstrainedOptProblem>(costs, e_constraints, i_constraints, init_values);
Values optimal_values = OptimalValues(); // Values optimal_values = OptimalValues();
} // namespace constrained_example2 // } // namespace constrained_example2