GncOptimizer.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/nonlinear/GncParams.h>
#include <gtsam/nonlinear/NonlinearFactorGraph.h>
#include <boost/math/distributions/chi_squared.hpp>
 
namespace gtsam {
/*
 * Quantile of chi-squared distribution with given degrees of freedom at probability alpha.
 * Equivalent to chi2inv in Matlab.
 */
static double Chi2inv(const double alpha, const size_t dofs) {
  boost::math::chi_squared_distribution<double> chi2(dofs);
  return boost::math::quantile(chi2, alpha);
}
 
/* ************************************************************************* */
template<class GncParameters>
class GTSAM_EXPORT GncOptimizer {
 public:
  typedef typename GncParameters::OptimizerType BaseOptimizer;
 
 private:
  NonlinearFactorGraph nfg_; 
  Values state_; 
  GncParameters params_; 
  Vector weights_;  
  Vector barcSq_;  
 
 public:
  GncOptimizer(const NonlinearFactorGraph& graph, const Values& initialValues,
               const GncParameters& params = GncParameters())
      : state_(initialValues),
        params_(params) {
 
    // make sure all noiseModels are Gaussian or convert to Gaussian
    nfg_.resize(graph.size());
    for (size_t i = 0; i < graph.size(); i++) {
      if (graph[i]) {
        NoiseModelFactor::shared_ptr factor = boost::dynamic_pointer_cast<
            NoiseModelFactor>(graph[i]);
        auto robust = boost::dynamic_pointer_cast<
            noiseModel::Robust>(factor->noiseModel());
        // if the factor has a robust loss, we remove the robust loss
        nfg_[i] = robust ? factor-> cloneWithNewNoiseModel(robust->noise()) : factor;
      }
    }
 
    // check that known inliers and outliers make sense:
    std::vector<size_t> inconsistentlySpecifiedWeights; // measurements the user has incorrectly specified
    // to be BOTH known inliers and known outliers
    std::set_intersection(params.knownInliers.begin(),params.knownInliers.end(),
                        params.knownOutliers.begin(),params.knownOutliers.end(),
                        std::inserter(inconsistentlySpecifiedWeights, inconsistentlySpecifiedWeights.begin()));
    if(inconsistentlySpecifiedWeights.size() > 0){ // if we have inconsistently specified weights, we throw an exception
      params.print("params\n");
      throw std::runtime_error("GncOptimizer::constructor: the user has selected one or more measurements"
          " to be BOTH a known inlier and a known outlier.");
    }
    // check that known inliers are in the graph
    for (size_t i = 0; i < params.knownInliers.size(); i++){
      if( params.knownInliers[i] > nfg_.size()-1 ){ // outside graph
        throw std::runtime_error("GncOptimizer::constructor: the user has selected one or more measurements"
                  "that are not in the factor graph to be known inliers.");
      }
    }
    // check that known outliers are in the graph
    for (size_t i = 0; i < params.knownOutliers.size(); i++){
      if( params.knownOutliers[i] > nfg_.size()-1 ){ // outside graph
        throw std::runtime_error("GncOptimizer::constructor: the user has selected one or more measurements"
                  "that are not in the factor graph to be known outliers.");
      }
    }
    // initialize weights (if we don't have prior knowledge of inliers/outliers
    // the weights are all initialized to 1.
    weights_ = initializeWeightsFromKnownInliersAndOutliers();
 
    // set default barcSq_ (inlier threshold)
    double alpha = 0.99; // with this (default) probability, inlier residuals are smaller than barcSq_
    setInlierCostThresholdsAtProbability(alpha);
  }
 
  void setInlierCostThresholds(const double inth) {
    barcSq_ = inth * Vector::Ones(nfg_.size());
  }
 
  void setInlierCostThresholds(const Vector& inthVec) {
    barcSq_ = inthVec;
  }
 
  void setInlierCostThresholdsAtProbability(const double alpha) {
    barcSq_  = Vector::Ones(nfg_.size()); // initialize
    for (size_t k = 0; k < nfg_.size(); k++) {
      if (nfg_[k]) {
        barcSq_[k] = 0.5 * Chi2inv(alpha, nfg_[k]->dim()); // 0.5 derives from the error definition in gtsam
      }
    }
  }
 
  void setWeights(const Vector w) {
    if (size_t(w.size()) != nfg_.size()) {
      throw std::runtime_error(
          "GncOptimizer::setWeights: the number of specified weights"
          " does not match the size of the factor graph.");
    }
    weights_ = w;
  }
 
  const NonlinearFactorGraph& getFactors() const { return nfg_; }
 
  const Values& getState() const { return state_; }
 
  const GncParameters& getParams() const { return params_;}
 
  const Vector& getWeights() const { return weights_;}
 
  const Vector& getInlierCostThresholds() const {return barcSq_;}
 
  bool equals(const GncOptimizer& other, double tol = 1e-9) const {
    return nfg_.equals(other.getFactors())
        && equal(weights_, other.getWeights())
        && params_.equals(other.getParams())
        && equal(barcSq_, other.getInlierCostThresholds());
  }
 
  Vector initializeWeightsFromKnownInliersAndOutliers() const{
    Vector weights = Vector::Ones(nfg_.size());
    for (size_t i = 0; i < params_.knownOutliers.size(); i++){
      weights[ params_.knownOutliers[i] ] = 0.0; // known to be outliers
    }
    return weights;
  }
 
  Values optimize() {
    NonlinearFactorGraph graph_initial = this->makeWeightedGraph(weights_);
    BaseOptimizer baseOptimizer(graph_initial, state_);
    Values result = baseOptimizer.optimize();
    double mu = initializeMu();
    double prev_cost = graph_initial.error(result);
    double cost = 0.0;  // this will be updated in the main loop
 
    // handle the degenerate case that corresponds to small
    // maximum residual errors at initialization
    // For GM: if residual error is small, mu -> 0
    // For TLS: if residual error is small, mu -> -1
    int nrUnknownInOrOut = nfg_.size() - ( params_.knownInliers.size() + params_.knownOutliers.size() );
    // ^^ number of measurements that are not known to be inliers or outliers (GNC will need to figure them out)
    if (mu <= 0 || nrUnknownInOrOut == 0) { // no need to even call GNC in this case
      if (mu <= 0 && params_.verbosity >= GncParameters::Verbosity::SUMMARY) {
        std::cout << "GNC Optimizer stopped because maximum residual at "
                  "initialization is small."
                  << std::endl;
      }
      if (nrUnknownInOrOut==0 && params_.verbosity >= GncParameters::Verbosity::SUMMARY) {
        std::cout << "GNC Optimizer stopped because all measurements are already known to be inliers or outliers"
                  << std::endl;
      }
      if (params_.verbosity >= GncParameters::Verbosity::VALUES) {
        result.print("result\n");
        std::cout << "mu: " << mu << std::endl;
      }
      return result;
    }
 
    size_t iter;
    for (iter = 0; iter < params_.maxIterations; iter++) {
 
      // display info
      if (params_.verbosity >= GncParameters::Verbosity::VALUES) {
        std::cout << "iter: " << iter << std::endl;
        result.print("result\n");
        std::cout << "mu: " << mu << std::endl;
        std::cout << "weights: " << weights_ << std::endl;
      }
      // weights update
      weights_ = calculateWeights(result, mu);
 
      // variable/values update
      NonlinearFactorGraph graph_iter = this->makeWeightedGraph(weights_);
      BaseOptimizer baseOptimizer_iter(graph_iter, state_);
      result = baseOptimizer_iter.optimize();
 
      // stopping condition
      cost = graph_iter.error(result);
      if (checkConvergence(mu, weights_, cost, prev_cost)) {
        break;
      }
 
      // update mu
      mu = updateMu(mu);
 
      // get ready for next iteration
      prev_cost = cost;
 
      // display info
      if (params_.verbosity >= GncParameters::Verbosity::VALUES) {
        std::cout << "previous cost: " << prev_cost << std::endl;
        std::cout << "current cost: " << cost << std::endl;
      }
    }
    // display info
    if (params_.verbosity >= GncParameters::Verbosity::SUMMARY) {
      std::cout << "final iterations: " << iter << std::endl;
      std::cout << "final mu: " << mu << std::endl;
      std::cout << "final weights: " << weights_ << std::endl;
      std::cout << "previous cost: " << prev_cost << std::endl;
      std::cout << "current cost: " << cost << std::endl;
    }
    return result;
  }
 
  double initializeMu() const {
 
    double mu_init = 0.0;
    // initialize mu to the value specified in Remark 5 in GNC paper.
    switch (params_.lossType) {
      case GncLossType::GM:
        /* surrogate cost is convex for large mu. initialize as in remark 5 in GNC paper.
         Since barcSq_ can be different for each factor, we compute the max of the quantity in remark 5 in GNC paper
         */
        for (size_t k = 0; k < nfg_.size(); k++) {
          if (nfg_[k]) {
            mu_init = std::max(mu_init, 2 * nfg_[k]->error(state_) / barcSq_[k]);
          }
        }
        return mu_init;  // initial mu
      case GncLossType::TLS:
        /* surrogate cost is convex for mu close to zero. initialize as in remark 5 in GNC paper.
         degenerate case: 2 * rmax_sq - params_.barcSq < 0 (handled in the main loop)
         according to remark mu = params_.barcSq / (2 * rmax_sq - params_.barcSq) = params_.barcSq/ excessResidual
         however, if the denominator is 0 or negative, we return mu = -1 which leads to termination of the main GNC loop.
         Since barcSq_ can be different for each factor, we look for the minimimum (positive) quantity in remark 5 in GNC paper
         */
        mu_init = std::numeric_limits<double>::infinity();
        for (size_t k = 0; k < nfg_.size(); k++) {
          if (nfg_[k]) {
            double rk = nfg_[k]->error(state_);
            mu_init = (2 * rk - barcSq_[k]) > 0 ? // if positive, update mu, otherwise keep same
                std::min(mu_init, barcSq_[k] / (2 * rk - barcSq_[k]) ) : mu_init;
          }
        }
        return mu_init > 0 && !std::isinf(mu_init) ? mu_init : -1; // if mu <= 0 or mu = inf, return -1,
        // which leads to termination of the main gnc loop. In this case, all residuals are already below the threshold
        // and there is no need to robustify (TLS = least squares)
      default:
        throw std::runtime_error(
            "GncOptimizer::initializeMu: called with unknown loss type.");
    }
  }
 
  double updateMu(const double mu) const {
    switch (params_.lossType) {
      case GncLossType::GM:
        // reduce mu, but saturate at 1 (original cost is recovered for mu -> 1)
        return std::max(1.0, mu / params_.muStep);
      case GncLossType::TLS:
        // increases mu at each iteration (original cost is recovered for mu -> inf)
        return mu * params_.muStep;
      default:
        throw std::runtime_error(
            "GncOptimizer::updateMu: called with unknown loss type.");
    }
  }
 
  bool checkMuConvergence(const double mu) const {
    bool muConverged = false;
    switch (params_.lossType) {
      case GncLossType::GM:
        muConverged = std::fabs(mu - 1.0) < 1e-9;  // mu=1 recovers the original GM function
        break;
      case GncLossType::TLS:
        muConverged = false;  // for TLS there is no stopping condition on mu (it must tend to infinity)
        break;
      default:
        throw std::runtime_error(
            "GncOptimizer::checkMuConvergence: called with unknown loss type.");
    }
    if (muConverged && params_.verbosity >= GncParameters::Verbosity::SUMMARY)
      std::cout << "muConverged = true " << std::endl;
    return muConverged;
  }
 
  bool checkCostConvergence(const double cost, const double prev_cost) const {
    bool costConverged = std::fabs(cost - prev_cost) / std::max(prev_cost, 1e-7)
        < params_.relativeCostTol;
    if (costConverged && params_.verbosity >= GncParameters::Verbosity::SUMMARY)
      std::cout << "checkCostConvergence = true " << std::endl;
    return costConverged;
  }
 
  bool checkWeightsConvergence(const Vector& weights) const {
    bool weightsConverged = false;
    switch (params_.lossType) {
      case GncLossType::GM:
        weightsConverged = false;  // for GM, there is no clear binary convergence for the weights
        break;
      case GncLossType::TLS:
        weightsConverged = true;
        for (int i = 0; i < weights.size(); i++) {
          if (std::fabs(weights[i] - std::round(weights[i]))
              > params_.weightsTol) {
            weightsConverged = false;
            break;
          }
        }
        break;
      default:
        throw std::runtime_error(
            "GncOptimizer::checkWeightsConvergence: called with unknown loss type.");
    }
    if (weightsConverged
        && params_.verbosity >= GncParameters::Verbosity::SUMMARY)
      std::cout << "weightsConverged = true " << std::endl;
    return weightsConverged;
  }
 
  bool checkConvergence(const double mu, const Vector& weights,
                        const double cost, const double prev_cost) const {
    return checkCostConvergence(cost, prev_cost)
        || checkWeightsConvergence(weights) || checkMuConvergence(mu);
  }
 
  NonlinearFactorGraph makeWeightedGraph(const Vector& weights) const {
    // make sure all noiseModels are Gaussian or convert to Gaussian
    NonlinearFactorGraph newGraph;
    newGraph.resize(nfg_.size());
    for (size_t i = 0; i < nfg_.size(); i++) {
      if (nfg_[i]) {
        auto factor = boost::dynamic_pointer_cast<
            NoiseModelFactor>(nfg_[i]);
        auto noiseModel =
            boost::dynamic_pointer_cast<noiseModel::Gaussian>(
                factor->noiseModel());
        if (noiseModel) {
          Matrix newInfo = weights[i] * noiseModel->information();
          auto newNoiseModel = noiseModel::Gaussian::Information(newInfo);
          newGraph[i] = factor->cloneWithNewNoiseModel(newNoiseModel);
        } else {
          throw std::runtime_error(
              "GncOptimizer::makeWeightedGraph: unexpected non-Gaussian noise model.");
        }
      }
    }
    return newGraph;
  }
 
  Vector calculateWeights(const Values& currentEstimate, const double mu) {
    Vector weights = initializeWeightsFromKnownInliersAndOutliers();
 
    // do not update the weights that the user has decided are known inliers
    std::vector<size_t> allWeights;
    for (size_t k = 0; k < nfg_.size(); k++) {
      allWeights.push_back(k);
    }
    std::vector<size_t> knownWeights;
    std::set_union(params_.knownInliers.begin(), params_.knownInliers.end(),
                   params_.knownOutliers.begin(), params_.knownOutliers.end(),
                   std::inserter(knownWeights, knownWeights.begin()));
 
    std::vector<size_t> unknownWeights;
    std::set_difference(allWeights.begin(), allWeights.end(),
                        knownWeights.begin(), knownWeights.end(),
                        std::inserter(unknownWeights, unknownWeights.begin()));
 
    // update weights of known inlier/outlier measurements
    switch (params_.lossType) {
      case GncLossType::GM: {  // use eq (12) in GNC paper
        for (size_t k : unknownWeights) {
          if (nfg_[k]) {
            double u2_k = nfg_[k]->error(currentEstimate);  // squared (and whitened) residual
            weights[k] = std::pow(
                (mu * barcSq_[k]) / (u2_k + mu * barcSq_[k]), 2);
          }
        }
        return weights;
      }
      case GncLossType::TLS: {  // use eq (14) in GNC paper
        double upperbound = (mu + 1) / mu * barcSq_.maxCoeff();
        double lowerbound = mu / (mu + 1) * barcSq_.minCoeff();
        for (size_t k : unknownWeights) {
          if (nfg_[k]) {
            double u2_k = nfg_[k]->error(currentEstimate);  // squared (and whitened) residual
            if (u2_k >= upperbound) {
              weights[k] = 0;
            } else if (u2_k <= lowerbound) {
              weights[k] = 1;
            } else {
              weights[k] = std::sqrt(barcSq_[k] * mu * (mu + 1) / u2_k)
                  - mu;
            }
          }
        }
        return weights;
      }
      default:
        throw std::runtime_error(
            "GncOptimizer::calculateWeights: called with unknown loss type.");
    }
  }
};
 
}