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+// Ceres Solver - A fast non-linear least squares minimizer
+// Copyright 2015 Google Inc. All rights reserved.
+// http://ceres-solver.org/
+//
+// Redistribution and use in source and binary forms, with or without
+// modification, are permitted provided that the following conditions are met:
+//
+// * Redistributions of source code must retain the above copyright notice,
+// this list of conditions and the following disclaimer.
+// * Redistributions in binary form must reproduce the above copyright notice,
+// this list of conditions and the following disclaimer in the documentation
+// and/or other materials provided with the distribution.
+// * Neither the name of Google Inc. nor the names of its contributors may be
+// used to endorse or promote products derived from this software without
+// specific prior written permission.
+//
+// THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
+// AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
+// IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE
+// ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE
+// LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR
+// CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF
+// SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
+// INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN
+// CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE)
+// ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE
+// POSSIBILITY OF SUCH DAMAGE.
+//
+// Author: sameeragarwal@google.com (Sameer Agarwal)
+//
+// Limited memory positive definite approximation to the inverse
+// Hessian, using the LBFGS algorithm
+
+#ifndef CERES_INTERNAL_LOW_RANK_INVERSE_HESSIAN_H_
+#define CERES_INTERNAL_LOW_RANK_INVERSE_HESSIAN_H_
+
+#include <list>
+
+#include "ceres/internal/eigen.h"
+#include "ceres/linear_operator.h"
+
+namespace ceres {
+namespace internal {
+
+// LowRankInverseHessian is a positive definite approximation to the
+// Hessian using the limited memory variant of the
+// Broyden-Fletcher-Goldfarb-Shanno (BFGS)secant formula for
+// approximating the Hessian.
+//
+// Other update rules like the Davidon-Fletcher-Powell (DFP) are
+// possible, but the BFGS rule is considered the best performing one.
+//
+// The limited memory variant was developed by Nocedal and further
+// enhanced with scaling rule by Byrd, Nocedal and Schanbel.
+//
+// Nocedal, J. (1980). "Updating Quasi-Newton Matrices with Limited
+// Storage". Mathematics of Computation 35 (151): 773–782.
+//
+// Byrd, R. H.; Nocedal, J.; Schnabel, R. B. (1994).
+// "Representations of Quasi-Newton Matrices and their use in
+// Limited Memory Methods". Mathematical Programming 63 (4):
+class LowRankInverseHessian : public LinearOperator {
+ public:
+ // num_parameters is the row/column size of the Hessian.
+ // max_num_corrections is the rank of the Hessian approximation.
+ // use_approximate_eigenvalue_scaling controls whether the initial
+ // inverse Hessian used during Right/LeftMultiply() is scaled by
+ // the approximate eigenvalue of the true inverse Hessian at the
+ // current operating point.
+ // The approximation uses:
+ // 2 * max_num_corrections * num_parameters + max_num_corrections
+ // doubles.
+ LowRankInverseHessian(int num_parameters,
+ int max_num_corrections,
+ bool use_approximate_eigenvalue_scaling);
+ virtual ~LowRankInverseHessian() {}
+
+ // Update the low rank approximation. delta_x is the change in the
+ // domain of Hessian, and delta_gradient is the change in the
+ // gradient. The update copies the delta_x and delta_gradient
+ // vectors, and gets rid of the oldest delta_x and delta_gradient
+ // vectors if the number of corrections is already equal to
+ // max_num_corrections.
+ bool Update(const Vector& delta_x, const Vector& delta_gradient);
+
+ // LinearOperator interface
+ virtual void RightMultiply(const double* x, double* y) const;
+ virtual void LeftMultiply(const double* x, double* y) const {
+ RightMultiply(x, y);
+ }
+ virtual int num_rows() const { return num_parameters_; }
+ virtual int num_cols() const { return num_parameters_; }
+
+ private:
+ const int num_parameters_;
+ const int max_num_corrections_;
+ const bool use_approximate_eigenvalue_scaling_;
+ double approximate_eigenvalue_scale_;
+ ColMajorMatrix delta_x_history_;
+ ColMajorMatrix delta_gradient_history_;
+ Vector delta_x_dot_delta_gradient_;
+ std::list<int> indices_;
+};
+
+} // namespace internal
+} // namespace ceres
+
+#endif // CERES_INTERNAL_LOW_RANK_INVERSE_HESSIAN_H_