iterative.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/Matrix.h>
#include <gtsam/linear/VectorValues.h>
#include <gtsam/linear/ConjugateGradientSolver.h>
 
namespace gtsam {
 
  template<class S, class V, class E>
  V conjugateGradients(const S& Ab, V x,
      const ConjugateGradientParameters &parameters, bool steepest = false);
 
  class GTSAM_EXPORT System {
 
  private:
    const Matrix& A_;
    const Vector& b_;
 
  public:
 
    System(const Matrix& A, const Vector& b) :
      A_(A), b_(b) {
    }
 
    const Matrix& A() const { return A_; }
 
    const Vector& b() const { return b_; }
 
    Vector operator^(const Vector& e) const {
      return A_ ^ e;
    }
 
    void print (const std::string& s = "System") const;
 
    Vector gradient(const Vector& x) const {
      return A() ^ (A() * x - b());
    }
 
    Vector operator*(const Vector& x) const {
      return A() * x;
    }
 
    void multiplyInPlace(const Vector& x, Vector& e) const {
      e = A() * x;
    }
 
    void transposeMultiplyAdd(double alpha, const Vector& e, Vector& x) const {
      x += alpha * A().transpose() * e;
    }
  };
 
  GTSAM_EXPORT Vector steepestDescent(
      const System& Ab,
      const Vector& x,
      const IterativeOptimizationParameters & parameters);
 
  GTSAM_EXPORT Vector conjugateGradientDescent(
      const System& Ab,
      const Vector& x,
      const ConjugateGradientParameters & parameters);
 
  GTSAM_EXPORT Vector steepestDescent(
      const Matrix& A,
      const Vector& b,
      const Vector& x,
      const ConjugateGradientParameters & parameters);
 
  GTSAM_EXPORT Vector conjugateGradientDescent(
      const Matrix& A,
      const Vector& b,
      const Vector& x,
      const ConjugateGradientParameters & parameters);
 
  GTSAM_EXPORT VectorValues steepestDescent(
      const GaussianFactorGraph& fg,
      const VectorValues& x,
      const ConjugateGradientParameters & parameters);
 
  GTSAM_EXPORT VectorValues conjugateGradientDescent(
      const GaussianFactorGraph& fg,
      const VectorValues& x,
      const ConjugateGradientParameters & parameters);
 
 
} // namespace gtsam
 
#include <gtsam/linear/iterative-inl.h>