add additional direction methods beyond Polak-Ribiere

borglab · Oct 15, 2024 · 8fd26a3 · 8fd26a3
1 parent 69729d6
commit 8fd26a3
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Showing 2 changed files with 69 additions and 8 deletions.
diff --git a/gtsam/nonlinear/NonlinearConjugateGradientOptimizer.cpp b/gtsam/nonlinear/NonlinearConjugateGradientOptimizer.cpp
@@ -28,6 +28,46 @@ namespace gtsam {
 
 typedef internal::NonlinearOptimizerState State;
 
+/// Fletcher-Reeves formula for computing β, the direction of steepest descent.
+static double FletcherReeves(const VectorValues& currentGradient,
+                             const VectorValues& prevGradient) {
+  // Fletcher-Reeves: beta = g_n'*g_n/g_n-1'*g_n-1
+  const double beta = std::max(0.0, currentGradient.dot(currentGradient) /
+                                        prevGradient.dot(prevGradient));
+  return beta;
+}
+
+/// Polak-Ribiere formula for computing β, the direction of steepest descent.
+static double PolakRibiere(const VectorValues& currentGradient,
+                           const VectorValues& prevGradient) {
+  // Polak-Ribiere: beta = g_n'*(g_n-g_n-1)/g_n-1'*g_n-1
+  const double beta =
+      std::max(0.0, currentGradient.dot(currentGradient - prevGradient) /
+                        prevGradient.dot(prevGradient));
+  return beta;
+}
+
+/// The Hestenes-Stiefel formula for computing β, the direction of steepest descent.
+static double HestenesStiefel(const VectorValues& currentGradient,
+                              const VectorValues& prevGradient,
+                              const VectorValues& direction) {
+  // Hestenes-Stiefel: beta = g_n'*(g_n-g_n-1)/(-s_n-1')*(g_n-g_n-1)
+  VectorValues d = currentGradient - prevGradient;
+  const double beta = std::max(0.0, currentGradient.dot(d) / -direction.dot(d));
+  return beta;
+}
+
+/// The Dai-Yuan formula for computing β, the direction of steepest descent.
+static double DaiYuan(const VectorValues& currentGradient,
+                      const VectorValues& prevGradient,
+                      const VectorValues& direction) {
+  // Dai-Yuan: beta = g_n'*g_n/(-s_n-1')*(g_n-g_n-1)
+  const double beta =
+      std::max(0.0, currentGradient.dot(currentGradient) /
+                        -direction.dot(currentGradient - prevGradient));
+  return beta;
+}
+
 /**
  * @brief Return the gradient vector of a nonlinear factor graph
  * @param nfg the graph
@@ -43,7 +83,7 @@ static VectorValues gradientInPlace(const NonlinearFactorGraph& nfg,
 
 NonlinearConjugateGradientOptimizer::NonlinearConjugateGradientOptimizer(
     const NonlinearFactorGraph& graph, const Values& initialValues,
-    const Parameters& params)
+    const Parameters& params, const DirectionMethod& directionMethod)
     : Base(graph, std::unique_ptr<State>(
                       new State(initialValues, graph.error(initialValues)))),
       params_(params) {}
@@ -169,10 +209,22 @@ NonlinearConjugateGradientOptimizer::nonlinearConjugateGradient(
     } else {
       prevGradient = currentGradient;
       currentGradient = gradient(currentValues);
-      // Polak-Ribiere: beta = g'*(g_n-g_n-1)/g_n-1'*g_n-1
-      const double beta =
-          std::max(0.0, currentGradient.dot(currentGradient - prevGradient) /
-                            prevGradient.dot(prevGradient));
+      double beta;
+
+      switch (directionMethod_) {
+        case DirectionMethod::FletcherReeves:
+          beta = FletcherReeves(currentGradient, prevGradient);
+          break;
+        case DirectionMethod::PolakRibiere:
+          beta = PolakRibiere(currentGradient, prevGradient);
+          break;
+        case DirectionMethod::HestenesStiefel:
+          beta = HestenesStiefel(currentGradient, prevGradient, direction);
+          break;
+        case DirectionMethod::DaiYuan:
+          beta = DaiYuan(currentGradient, prevGradient, direction);
+          break;
+      }
       direction = currentGradient + (beta * direction);
     }
 

diff --git a/gtsam/nonlinear/NonlinearConjugateGradientOptimizer.h b/gtsam/nonlinear/NonlinearConjugateGradientOptimizer.h
@@ -31,16 +31,25 @@ class GTSAM_EXPORT NonlinearConjugateGradientOptimizer
   typedef NonlinearOptimizerParams Parameters;
   typedef std::shared_ptr<NonlinearConjugateGradientOptimizer> shared_ptr;
 
+  enum class DirectionMethod {
+    FletcherReeves,
+    PolakRibiere,
+    HestenesStiefel,
+    DaiYuan
+  };
+
  protected:
   Parameters params_;
+  DirectionMethod directionMethod_;
 
   const NonlinearOptimizerParams &_params() const override { return params_; }
 
  public:
   /// Constructor
-  NonlinearConjugateGradientOptimizer(const NonlinearFactorGraph &graph,
-                                      const Values &initialValues,
-                                      const Parameters &params = Parameters());
+  NonlinearConjugateGradientOptimizer(
+      const NonlinearFactorGraph &graph, const Values &initialValues,
+      const Parameters &params = Parameters(),
+      const DirectionMethod &directionMethod = DirectionMethod::PolakRibiere);
 
   /// Destructor
   ~NonlinearConjugateGradientOptimizer() override {}