NoiseModel.h

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/* ----------------------------------------------------------------------------
 
 * 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/Testable.h>
#include <gtsam/base/Matrix.h>
#include <gtsam/dllexport.h>
#include <gtsam/linear/LossFunctions.h>
 
#include <boost/serialization/nvp.hpp>
#include <boost/serialization/extended_type_info.hpp>
#include <boost/serialization/singleton.hpp>
#include <boost/serialization/shared_ptr.hpp>
#include <boost/serialization/optional.hpp>
 
namespace gtsam {
 
  namespace noiseModel {
 
    // Forward declaration
    class Gaussian;
    class Diagonal;
    class Constrained;
    class Isotropic;
    class Unit;
    class RobustModel;
 
    //---------------------------------------------------------------------------------------
 
    class GTSAM_EXPORT Base {
 
    public:
      typedef boost::shared_ptr<Base> shared_ptr;
 
    protected:
 
      size_t dim_;
 
    public:
 
      Base(size_t dim = 1):dim_(dim) {}
      virtual ~Base() {}
 
      virtual bool isConstrained() const { return false; } // default false
 
      virtual bool isUnit() const { return false; }  // default false
 
      inline size_t dim() const { return dim_;}
 
      virtual void print(const std::string& name = "") const = 0;
 
      virtual bool equals(const Base& expected, double tol=1e-9) const = 0;
 
      virtual Vector sigmas() const;
 
      virtual Vector whiten(const Vector& v) const = 0;
 
      virtual Matrix Whiten(const Matrix& H) const = 0;
 
      virtual Vector unwhiten(const Vector& v) const = 0;
 
      virtual double squaredMahalanobisDistance(const Vector& v) const;
 
      virtual double mahalanobisDistance(const Vector& v) const {
        return std::sqrt(squaredMahalanobisDistance(v));
      }
 
      virtual double loss(const double squared_distance) const {
        return 0.5 * squared_distance;
      }
 
      virtual void WhitenSystem(std::vector<Matrix>& A, Vector& b) const = 0;
      virtual void WhitenSystem(Matrix& A, Vector& b) const = 0;
      virtual void WhitenSystem(Matrix& A1, Matrix& A2, Vector& b) const = 0;
      virtual void WhitenSystem(Matrix& A1, Matrix& A2, Matrix& A3, Vector& b) const = 0;
 
      virtual void whitenInPlace(Vector& v) const {
        v = whiten(v);
      }
 
      virtual void unwhitenInPlace(Vector& v) const {
        v = unwhiten(v);
      }
 
      virtual void whitenInPlace(Eigen::Block<Vector>& v) const {
        v = whiten(v);
      }
 
      virtual void unwhitenInPlace(Eigen::Block<Vector>& v) const {
        v = unwhiten(v);
      }
 
      virtual Vector unweightedWhiten(const Vector& v) const {
        return whiten(v);
      }
 
      virtual double weight(const Vector& v) const { return 1.0; }
 
    private:
      friend class boost::serialization::access;
      template<class ARCHIVE>
      void serialize(ARCHIVE & ar, const unsigned int /*version*/) {
        ar & BOOST_SERIALIZATION_NVP(dim_);
      }
    };
 
    //---------------------------------------------------------------------------------------
 
    class GTSAM_EXPORT Gaussian: public Base {
 
    protected:
 
      boost::optional<Matrix> sqrt_information_;
 
    private:
 
      const Matrix& thisR() const {
        // should never happen
        if (!sqrt_information_) throw std::runtime_error("Gaussian: has no R matrix");
        return *sqrt_information_;
      }
 
 
    public:
 
      typedef boost::shared_ptr<Gaussian> shared_ptr;
 
      Gaussian(size_t dim = 1,
               const boost::optional<Matrix>& sqrt_information = boost::none)
          : Base(dim), sqrt_information_(sqrt_information) {}
 
      ~Gaussian() override {}
 
      static shared_ptr SqrtInformation(const Matrix& R, bool smart = true);
 
      static shared_ptr Information(const Matrix& M, bool smart = true);
 
      static shared_ptr Covariance(const Matrix& covariance, bool smart = true);
 
      void print(const std::string& name) const override;
      bool equals(const Base& expected, double tol=1e-9) const override;
      Vector sigmas() const override;
      Vector whiten(const Vector& v) const override;
      Vector unwhiten(const Vector& v) const override;
 
      Matrix Whiten(const Matrix& H) const override;
 
      virtual void WhitenInPlace(Matrix& H) const;
 
      virtual void WhitenInPlace(Eigen::Block<Matrix> H) const;
 
      void WhitenSystem(std::vector<Matrix>& A, Vector& b) const override;
      void WhitenSystem(Matrix& A, Vector& b) const override;
      void WhitenSystem(Matrix& A1, Matrix& A2, Vector& b) const override;
      void WhitenSystem(Matrix& A1, Matrix& A2, Matrix& A3, Vector& b) const override;
 
      virtual boost::shared_ptr<Diagonal> QR(Matrix& Ab) const;
 
      virtual Matrix R() const { return thisR();}
 
      virtual Matrix information() const { return R().transpose() * R(); }
 
      virtual Matrix covariance() const;
 
    private:
      friend class boost::serialization::access;
      template<class ARCHIVE>
      void serialize(ARCHIVE & ar, const unsigned int /*version*/) {
        ar & BOOST_SERIALIZATION_BASE_OBJECT_NVP(Base);
        ar & BOOST_SERIALIZATION_NVP(sqrt_information_);
      }
 
    }; // Gaussian
 
    //---------------------------------------------------------------------------------------
 
    class GTSAM_EXPORT Diagonal : public Gaussian {
    protected:
 
      Vector sigmas_, invsigmas_, precisions_;
 
    protected:
 
      Diagonal(const Vector& sigmas);
 
    public:
      Diagonal();
 
      typedef boost::shared_ptr<Diagonal> shared_ptr;
 
      ~Diagonal() override {}
 
      static shared_ptr Sigmas(const Vector& sigmas, bool smart = true);
 
      static shared_ptr Variances(const Vector& variances, bool smart = true);
 
      static shared_ptr Precisions(const Vector& precisions, bool smart = true) {
        return Variances(precisions.array().inverse(), smart);
      }
 
      void print(const std::string& name) const override;
      Vector sigmas() const override { return sigmas_; }
      Vector whiten(const Vector& v) const override;
      Vector unwhiten(const Vector& v) const override;
      Matrix Whiten(const Matrix& H) const override;
      void WhitenInPlace(Matrix& H) const override;
      void WhitenInPlace(Eigen::Block<Matrix> H) const override;
 
      inline double sigma(size_t i) const { return sigmas_(i); }
 
      inline const Vector& invsigmas() const { return invsigmas_; }
      inline double invsigma(size_t i) const {return invsigmas_(i);}
 
      inline const Vector& precisions() const { return precisions_; }
      inline double precision(size_t i) const {return precisions_(i);}
 
      Matrix R() const override {
        return invsigmas().asDiagonal();
      }
 
    private:
      friend class boost::serialization::access;
      template<class ARCHIVE>
      void serialize(ARCHIVE & ar, const unsigned int /*version*/) {
        ar & BOOST_SERIALIZATION_BASE_OBJECT_NVP(Gaussian);
        ar & BOOST_SERIALIZATION_NVP(sigmas_);
        ar & BOOST_SERIALIZATION_NVP(invsigmas_);
      }
    }; // Diagonal
 
    //---------------------------------------------------------------------------------------
 
    class GTSAM_EXPORT Constrained : public Diagonal {
    protected:
 
      // Sigmas are contained in the base class
      Vector mu_; 
 
      Constrained(const Vector& mu, const Vector& sigmas);
 
    public:
 
      typedef boost::shared_ptr<Constrained> shared_ptr;
 
      Constrained(const Vector& sigmas = Z_1x1);
 
      ~Constrained() override {}
 
      bool isConstrained() const override { return true; }
 
      bool constrained(size_t i) const;
 
      const Vector& mu() const { return mu_; }
 
      static shared_ptr MixedSigmas(const Vector& mu, const Vector& sigmas);
 
      static shared_ptr MixedSigmas(const Vector& sigmas) {
        return MixedSigmas(Vector::Constant(sigmas.size(), 1000.0), sigmas);
      }
 
      static shared_ptr MixedSigmas(double m, const Vector& sigmas) {
        return MixedSigmas(Vector::Constant(sigmas.size(), m), sigmas);
      }
 
      static shared_ptr MixedVariances(const Vector& mu, const Vector& variances) {
        return shared_ptr(new Constrained(mu, variances.cwiseSqrt()));
      }
      static shared_ptr MixedVariances(const Vector& variances) {
        return shared_ptr(new Constrained(variances.cwiseSqrt()));
      }
 
      static shared_ptr MixedPrecisions(const Vector& mu, const Vector& precisions) {
        return MixedVariances(mu, precisions.array().inverse());
      }
      static shared_ptr MixedPrecisions(const Vector& precisions) {
        return MixedVariances(precisions.array().inverse());
      }
 
      double squaredMahalanobisDistance(const Vector& v) const override;
 
      static shared_ptr All(size_t dim) {
        return shared_ptr(new Constrained(Vector::Constant(dim, 1000.0), Vector::Constant(dim,0)));
      }
 
      static shared_ptr All(size_t dim, const Vector& mu) {
        return shared_ptr(new Constrained(mu, Vector::Constant(dim,0)));
      }
 
      static shared_ptr All(size_t dim, double mu) {
        return shared_ptr(new Constrained(Vector::Constant(dim, mu), Vector::Constant(dim,0)));
      }
 
      void print(const std::string& name) const override;
 
      Vector whiten(const Vector& v) const override;
 
      Matrix Whiten(const Matrix& H) const override;
      void WhitenInPlace(Matrix& H) const override;
      void WhitenInPlace(Eigen::Block<Matrix> H) const override;
 
      Diagonal::shared_ptr QR(Matrix& Ab) const override;
 
      shared_ptr unit() const;
 
    private:
      friend class boost::serialization::access;
      template<class ARCHIVE>
      void serialize(ARCHIVE & ar, const unsigned int /*version*/) {
        ar & BOOST_SERIALIZATION_BASE_OBJECT_NVP(Diagonal);
        ar & BOOST_SERIALIZATION_NVP(mu_);
      }
 
    }; // Constrained
 
    //---------------------------------------------------------------------------------------
 
    class GTSAM_EXPORT Isotropic : public Diagonal {
    protected:
      double sigma_, invsigma_;
 
      Isotropic(size_t dim, double sigma) :
        Diagonal(Vector::Constant(dim, sigma)),sigma_(sigma),invsigma_(1.0/sigma) {}
 
    public:
 
      /* dummy constructor to allow for serialization */
      Isotropic() : Diagonal(Vector1::Constant(1.0)),sigma_(1.0),invsigma_(1.0) {}
 
      ~Isotropic() override {}
 
      typedef boost::shared_ptr<Isotropic> shared_ptr;
 
      static shared_ptr Sigma(size_t dim, double sigma, bool smart = true);
 
      static shared_ptr Variance(size_t dim, double variance, bool smart = true);
 
      static shared_ptr Precision(size_t dim, double precision, bool smart = true)  {
        return Variance(dim, 1.0/precision, smart);
      }
 
      void print(const std::string& name) const override;
      double squaredMahalanobisDistance(const Vector& v) const override;
      Vector whiten(const Vector& v) const override;
      Vector unwhiten(const Vector& v) const override;
      Matrix Whiten(const Matrix& H) const override;
      void WhitenInPlace(Matrix& H) const override;
      void whitenInPlace(Vector& v) const override;
      void WhitenInPlace(Eigen::Block<Matrix> H) const override;
 
      inline double sigma() const { return sigma_; }
 
    private:
      friend class boost::serialization::access;
      template<class ARCHIVE>
      void serialize(ARCHIVE & ar, const unsigned int /*version*/) {
        ar & BOOST_SERIALIZATION_BASE_OBJECT_NVP(Diagonal);
        ar & BOOST_SERIALIZATION_NVP(sigma_);
        ar & BOOST_SERIALIZATION_NVP(invsigma_);
      }
 
    };
 
    //---------------------------------------------------------------------------------------
 
    class GTSAM_EXPORT Unit : public Isotropic {
    public:
 
      typedef boost::shared_ptr<Unit> shared_ptr;
 
      Unit(size_t dim=1): Isotropic(dim,1.0) {}
 
      ~Unit() override {}
 
      static shared_ptr Create(size_t dim) {
        return shared_ptr(new Unit(dim));
      }
 
      bool isUnit() const override { return true; }
 
      void print(const std::string& name) const override;
      double squaredMahalanobisDistance(const Vector& v) const override {return v.dot(v); }
      Vector whiten(const Vector& v) const override { return v; }
      Vector unwhiten(const Vector& v) const override { return v; }
      Matrix Whiten(const Matrix& H) const override { return H; }
      void WhitenInPlace(Matrix& /*H*/) const override {}
      void WhitenInPlace(Eigen::Block<Matrix> /*H*/) const override {}
      void whitenInPlace(Vector& /*v*/) const override {}
      void unwhitenInPlace(Vector& /*v*/) const override {}
      void whitenInPlace(Eigen::Block<Vector>& /*v*/) const override {}
      void unwhitenInPlace(Eigen::Block<Vector>& /*v*/) const override {}
 
    private:
      friend class boost::serialization::access;
      template<class ARCHIVE>
      void serialize(ARCHIVE & ar, const unsigned int /*version*/) {
        ar & BOOST_SERIALIZATION_BASE_OBJECT_NVP(Isotropic);
      }
    };
 
    class GTSAM_EXPORT Robust : public Base {
    public:
      typedef boost::shared_ptr<Robust> shared_ptr;
 
    protected:
      typedef mEstimator::Base RobustModel;
      typedef noiseModel::Base NoiseModel;
 
      const RobustModel::shared_ptr robust_; 
      const NoiseModel::shared_ptr noise_;   
 
    public:
 
      Robust() {};
 
      Robust(const RobustModel::shared_ptr robust, const NoiseModel::shared_ptr noise)
      : Base(noise->dim()), robust_(robust), noise_(noise) {}
 
      ~Robust() override {}
 
      void print(const std::string& name) const override;
      bool equals(const Base& expected, double tol=1e-9) const override;
 
      const RobustModel::shared_ptr& robust() const { return robust_; }
 
      const NoiseModel::shared_ptr& noise() const { return noise_; }
 
      // Functions below are dummy but necessary for the noiseModel::Base
      inline Vector whiten(const Vector& v) const override
      { Vector r = v; this->WhitenSystem(r); return r; }
      inline Matrix Whiten(const Matrix& A) const override
      { Vector b; Matrix B=A; this->WhitenSystem(B,b); return B; }
      inline Vector unwhiten(const Vector& /*v*/) const override
      { throw std::invalid_argument("unwhiten is not currently supported for robust noise models."); }
      double loss(const double squared_distance) const override {
        return robust_->loss(std::sqrt(squared_distance));
      }
 
      // These are really robust iterated re-weighting support functions
      virtual void WhitenSystem(Vector& b) const;
      void WhitenSystem(std::vector<Matrix>& A, Vector& b) const override;
      void WhitenSystem(Matrix& A, Vector& b) const override;
      void WhitenSystem(Matrix& A1, Matrix& A2, Vector& b) const override;
      void WhitenSystem(Matrix& A1, Matrix& A2, Matrix& A3, Vector& b) const override;
 
      Vector unweightedWhiten(const Vector& v) const override {
        return noise_->unweightedWhiten(v);
      }
      double weight(const Vector& v) const override {
        return robust_->weight(v.norm());
      }
 
      static shared_ptr Create(
        const RobustModel::shared_ptr &robust, const NoiseModel::shared_ptr noise);
 
    private:
      friend class boost::serialization::access;
      template<class ARCHIVE>
      void serialize(ARCHIVE & ar, const unsigned int /*version*/) {
        ar & BOOST_SERIALIZATION_BASE_OBJECT_NVP(Base);
        ar & boost::serialization::make_nvp("robust_", const_cast<RobustModel::shared_ptr&>(robust_));
        ar & boost::serialization::make_nvp("noise_", const_cast<NoiseModel::shared_ptr&>(noise_));
      }
    };
 
    // Helper function
    GTSAM_EXPORT boost::optional<Vector> checkIfDiagonal(const Matrix M);
 
  } // namespace noiseModel
 
  typedef noiseModel::Base::shared_ptr SharedNoiseModel;
  typedef noiseModel::Gaussian::shared_ptr SharedGaussian;
  typedef noiseModel::Diagonal::shared_ptr SharedDiagonal;
  typedef noiseModel::Constrained::shared_ptr SharedConstrained;
  typedef noiseModel::Isotropic::shared_ptr SharedIsotropic;
 
  template<> struct traits<noiseModel::Gaussian> : public Testable<noiseModel::Gaussian> {};
  template<> struct traits<noiseModel::Diagonal> : public Testable<noiseModel::Diagonal> {};
  template<> struct traits<noiseModel::Constrained> : public Testable<noiseModel::Constrained> {};
  template<> struct traits<noiseModel::Isotropic> : public Testable<noiseModel::Isotropic> {};
  template<> struct traits<noiseModel::Unit> : public Testable<noiseModel::Unit> {};
 
} //\ namespace gtsam