mrpt::math::CLevenbergMarquardtTempl< NUMTYPE, USERPARAM > Class Template Reference

An implementation of the Levenberg-Marquardt algorithm for least-square minimization. More...

#include <mrpt/math/CLevenbergMarquardt.h>

Inheritance diagram for mrpt::math::CLevenbergMarquardtTempl< NUMTYPE, USERPARAM >:

List of all members.

Classes
struct	TResultInfo
Public Types
typedef void(*	TFunctor )(const std::vector< NUMTYPE > &x, const USERPARAM &y, std::vector< NUMTYPE > &out)
	The type of the function passed to execute.
Static Public Member Functions
static void	execute (std::vector< NUMTYPE > &out_optimal_x, const std::vector< NUMTYPE > &x0, TFunctor functor, const std::vector< NUMTYPE > &increments, const USERPARAM &userParam, TResultInfo &out_info, bool verbose=false, const size_t &maxIter=200, const NUMTYPE tau=1e-3, const NUMTYPE e1=1e-8, const NUMTYPE e2=1e-8)
	Executes the LM-method, with derivatives estimated from "functor" Is a user-provided function which takes as input two vectors, in this order: x: The parameters to be optimized.

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Detailed Description

template<typename NUMTYPE = double, class USERPARAM = std::vector<NUMTYPE>>
class mrpt::math::CLevenbergMarquardtTempl< NUMTYPE, USERPARAM >

An implementation of the Levenberg-Marquardt algorithm for least-square minimization.

Refer to the wiki page for more details on the algorithm and usage.

The parameters of the template are:

• NUMTYPE: The numeric type for all the operations (float, double, or long double)
• USERPARAM: The type of the "y" input to the user supplied evaluation functor. Default type is a vector of NUMTYPE.

Definition at line 51 of file CLevenbergMarquardt.h.

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Member Typedef Documentation

template<typename NUMTYPE = double, class USERPARAM = std::vector<NUMTYPE>>

typedef void(* mrpt::math::CLevenbergMarquardtTempl< NUMTYPE, USERPARAM >::TFunctor)(const std::vector< NUMTYPE > &x, const USERPARAM &y, std::vector< NUMTYPE > &out)

The type of the function passed to execute.

The user must supply a function which evaluates the error of a given point in the solution space.

Parameters:

	x	The state point under examination.
	y	The same object passed to "execute" as the parameter "userParam".
	out	The vector of (non-squared) errors, of the average square root error, for the given "x". The functor code must set the size of this vector.

Definition at line 60 of file CLevenbergMarquardt.h.

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Member Function Documentation

template<typename NUMTYPE = double, class USERPARAM = std::vector<NUMTYPE>>

static void mrpt::math::CLevenbergMarquardtTempl< NUMTYPE, USERPARAM >::execute	(	std::vector< NUMTYPE > &	out_optimal_x,
		const std::vector< NUMTYPE > &	x0,
		TFunctor	functor,
		const std::vector< NUMTYPE > &	increments,
		const USERPARAM &	userParam,
		TResultInfo &	out_info,
		bool	verbose = false,
		const size_t &	maxIter = 200,
		const NUMTYPE	tau = 1e-3,
		const NUMTYPE	e1 = 1e-8,
		const NUMTYPE	e2 = 1e-8
	)			[inline, static]

Executes the LM-method, with derivatives estimated from "functor" Is a user-provided function which takes as input two vectors, in this order:

• x: The parameters to be optimized.

• userParam: The vector passed to the LM algorithm, unmodified. and must return the "error vector", or the error (not squared) in each measured dimension, so the sum of the square of that output is the overall square error.

Definition at line 86 of file CLevenbergMarquardt.h.

References ASSERT_, mrpt::math::estimateJacobian(), mrpt::math::CLevenbergMarquardtTempl< NUMTYPE, USERPARAM >::TResultInfo::final_sqr_err, mrpt::math::CMatrixTemplate< T >::getColCount(), mrpt::math::CMatrixTemplate< T >::insertRow(), mrpt::math::CMatrixTemplateNumeric< T >::inv_fast(), mrpt::math::CLevenbergMarquardtTempl< NUMTYPE, USERPARAM >::TResultInfo::iterations_executed, mrpt::math::CMatrixTemplateNumeric< T >::maximumDiagonal(), MRPT_TRY_END, MRPT_TRY_START, mrpt::math::CMatrixTemplateNumeric< T >::multiply_Ab(), mrpt::math::CMatrixTemplateNumeric< T >::multiply_AtA(), mrpt::math::CMatrixTemplateNumeric< T >::multiply_Atb(), mrpt::math::norm(), mrpt::math::norm_inf(), mrpt::math::CLevenbergMarquardtTempl< NUMTYPE, USERPARAM >::TResultInfo::path, mrpt::math::CMatrixTemplateNumeric< T >::setSize(), and mrpt::math::sum().