本次是对Levenberg–Marquardt的学习总结,是为之后看懂sparse bundle ajdustment打基础。这篇笔记包含如下内容:
- 回顾高斯牛顿算法,引入LM算法
- 惩罚因子的计算(迭代步子的计算)
- 完整的算法流程及代码样例
假设我们研究如下形式的非线性最小二乘问题:
r(x)为某个问题的残差residual,是关于x的非线性函数。我们知道高斯牛顿法的迭代公式:
Levenberg–Marquardt算法是对高斯牛顿的改进,在迭代步长上略有不同:
最速下降法对初始点没有特别要求具有整体收敛性,但是相邻两次的搜索方向是相互垂直的,所以收敛并不一定快。总而言之就是:当目标函数的等值线接近于圆(球)时,下降较快;等值线类似于扁长的椭球时,一开始快,后来很慢。This is good if the current iterate is far from the solution.
c. 如果μ的值很小,那么hlm成了高斯牛顿法的方向(适合迭代的最后阶段,非常接近最优解,避免了最速下降的震荡)
由此可见,惩罚因子既下降的方向又影响下降步子的大小。
2. 惩罚因子的计算[迭代步长计算]
我们的目标是求f的最小值,我们希望迭代开始时,惩罚因子μ被设定为较小的值,若
信赖域方法与线搜索技术一样,也是优化算法中的一种保证全局收敛的重要技术. 它们的功能都是在优化算法中求出每次迭代的位移, 从而确定新的迭代点.所不同的是: 线搜索技术是先产生位移方向(亦称为搜索方向), 然后确定位移的长度(亦称为搜索步长)。而信赖域技术则是直接确定位移, 产生新的迭代点。
信赖域方法的基本思想是:首先给定一个所谓的“信赖域半径”作为位移长度的上界,并以当前迭代点为中心以此“上界”为半径确定一个称之为“信赖域”的闭球区域。然后,通过求解这个区域内的“信赖域子问题”(目标函数的二次近似模型) 的最优点来确定“候选位移”。若候选位移能使目标函数值有充分的下降量, 则接受该候选位移作为新的位移,并保持或扩大信赖域半径, 继续新的迭代。否则, 说明二次模型与目标函数的近似度不够理想,需要缩小信赖域半径,再通过求解新的信赖域内的子问题得到新的候选位移。如此重复下去,直到满足迭代终止条件。
现在用信赖域方法解决之前的无约束线性规划:
如果q很大,说明L(h)非常接近F(x+h),我们可以减少惩罚因子μ,以便于下次迭代此时算法更接近高斯牛顿算法。如果q很小或者是负的,说明是poor approximation,我们需要增大惩罚因子,减少步长,此时算法更接近最速下降法。具体来说,
a.当q大于0时,此次迭代有效:
b.当q小于等于0时,此次迭代无效:
3.完整的算法流程及代码距离
LM的算法流程和高斯牛顿几乎一样,只是迭代步长求法利用信赖域法
(1)给定初始点x(0),允许误差ε>0,置k=0
(2)当f(xk+1)-f(xk)小于阈值ε时,算法退出,否则(3)
(3)xk+1=xk+hlm,代入f,返回(1)
两个例子还是沿用之前的。
例子1,根据美国1815年至1885年数据,估计人口模型中的参数A和B。如下表所示,已知年份和人口总量,及人口模型方程,求方程中的参数。
-
-
- #include <cstdio>
- #include <vector>
- #include <opencv2/core/core.hpp>
-
- using namespace std;
- using namespace cv;
-
- const double DERIV_STEP = 1e-5;
- const int MAX_ITER = 100;
-
-
- void LM(double(*Func)(const Mat &input, const Mat ¶ms),
- const Mat &inputs, const Mat &outputs, Mat ¶ms);
-
- double Deriv(double(*Func)(const Mat &input, const Mat ¶ms),
- const Mat &input, const Mat ¶ms, int n);
-
-
- double Func(const Mat &input, const Mat ¶ms);
-
- int main()
- {
-
-
-
- int num_params = 2;
-
-
- int total_data = 8;
-
- Mat inputs(total_data, 1, CV_64F);
- Mat outputs(total_data, 1, CV_64F);
-
-
- for(int i=0; i < total_data; i++) {
- inputs.at<double>(i,0) = i+1;
- }
-
- outputs.at<double>(0,0)= 8.3;
- outputs.at<double>(1,0)= 11.0;
- outputs.at<double>(2,0)= 14.7;
- outputs.at<double>(3,0)= 19.7;
- outputs.at<double>(4,0)= 26.7;
- outputs.at<double>(5,0)= 35.2;
- outputs.at<double>(6,0)= 44.4;
- outputs.at<double>(7,0)= 55.9;
-
-
- Mat params(num_params, 1, CV_64F);
-
-
- params.at<double>(0,0) = 6;
- params.at<double>(1,0) = 0.3;
-
- LM(Func, inputs, outputs, params);
-
- printf("Parameters from GaussNewton: %lf %lf\n", params.at<double>(0,0), params.at<double>(1,0));
-
- return 0;
- }
-
- double Func(const Mat &input, const Mat ¶ms)
- {
-
-
-
- double A = params.at<double>(0,0);
- double B = params.at<double>(1,0);
-
- double x = input.at<double>(0,0);
-
- return A*exp(x*B);
- }
-
-
- double Deriv(double(*Func)(const Mat &input, const Mat ¶ms), const Mat &input, const Mat ¶ms, int n)
- {
-
-
-
- Mat params1 = params.clone();
- Mat params2 = params.clone();
-
-
- params1.at<double>(n,0) -= DERIV_STEP;
- params2.at<double>(n,0) += DERIV_STEP;
-
- double p1 = Func(input, params1);
- double p2 = Func(input, params2);
-
- double d = (p2 - p1) / (2*DERIV_STEP);
-
- return d;
- }
-
- void LM(double(*Func)(const Mat &input, const Mat ¶ms),
- const Mat &inputs, const Mat &outputs, Mat ¶ms)
- {
- int m = inputs.rows;
- int n = inputs.cols;
- int num_params = params.rows;
-
- Mat r(m, 1, CV_64F);
- Mat r_tmp(m, 1, CV_64F);
- Mat Jf(m, num_params, CV_64F);
- Mat input(1, n, CV_64F);
- Mat params_tmp = params.clone();
-
- double last_mse = 0;
- float u = 1, v = 2;
- Mat I = Mat::ones(num_params, num_params, CV_64F);
- int i =0;
- for(i=0; i < MAX_ITER; i++) {
- double mse = 0;
- double mse_temp = 0;
-
- for(int j=0; j < m; j++) {
- for(int k=0; k < n; k++) {
- input.at<double>(0,k) = inputs.at<double>(j,k);
- }
-
- r.at<double>(j,0) = outputs.at<double>(j,0) - Func(input, params);
-
- mse += r.at<double>(j,0)*r.at<double>(j,0);
-
- for(int k=0; k < num_params; k++) {
- Jf.at<double>(j,k) = Deriv(Func, input, params, k);
- }
- }
-
- mse /= m;
- params_tmp = params.clone();
-
- Mat hlm = (Jf.t()*Jf + u*I).inv()*Jf.t()*r;
- params_tmp += hlm;
- for(int j=0; j < m; j++) {
- r_tmp.at<double>(j,0) = outputs.at<double>(j,0) - Func(input, params_tmp);
- mse_temp += r_tmp.at<double>(j,0)*r_tmp.at<double>(j,0);
- }
-
- mse_temp /= m;
-
- Mat q(1,1,CV_64F);
- q = (mse - mse_temp)/(0.5*hlm.t()*(u*hlm-Jf.t()*r));
- double q_value = q.at<double>(0,0);
- if(q_value>0)
- {
- double s = 1.0/3.0;
- v = 2;
- mse = mse_temp;
- params = params_tmp;
- double temp = 1 - pow(2*q_value-1,3);
- if(s>temp)
- {
- u = u * s;
- }else
- {
- u = u * temp;
- }
- }else
- {
- u = u*v;
- v = 2*v;
- params = params_tmp;
- }
-
-
-
- if(fabs(mse - last_mse) < 1e-8) {
- break;
- }
-
-
- printf("%d %lf\n", i, mse);
- last_mse = mse;
- }
- }
A=7.0,B=0.26
(
初始值,
A=6,B=0.3),100次迭代到第7次收敛了。和之前差不多,但是LM对于初始的选择是非常敏感的,如果A=6,B=6,则拟合失败!
我调用了matlab的接口跑LM,结果也是一样错误的,图片上可以看到拟合失败
- clc;
- clear;
- a0=[6,6];
- options=optimset('Algorithm','Levenberg-Marquardt','Display','iter');
- data_1=[1 2 3 4 5 6 7 8];
- obs_1=[8.3 11.0 14.7 19.7 26.7 35.2 44.4 55.9];
- a=lsqnonlin(@myfun,a0,[],[],options,data_1,obs_1);
- plot(data_1,obs_1,'o');
- hold on
- plot(data_1,a(1)*exp(a(2)*data_1),'b');
- plot(data_1,7*exp(a(2)*data_1),'b');
- %hold off
- a(1)
- a(2)
-
-
-
-
- function E = myfun(a, x,y)
- %这是一个测试文件用于测试 lsqnonlin
- % Detailed explanation goes here
- x=x(:);
- y=y(:);
- Y=a(1)*exp(a(2)*x);
- E=y-Y;
- end
最后一个点拟合失败的,所以函数不对的
因此虽然莱文博格-马夸特迭代法能够自适应的在高斯牛顿和最速下降法之间调整,既可保证在收敛较慢时迭代过程总是下降的,又可保证迭代过程在解的邻域内迅速收敛。但是,LM对于初始点选择还是比较敏感的!
例子2:我想要拟合如下模型,
由于缺乏观测量,就自导自演,假设4个参数已知A=5,B=1,C=10,D=2,构造100个随机数作为x的观测值,计算相应的函数观测值。然后,利用这些观测值,反推4个参数。
-
-
- #include <cstdio>
- #include <vector>
- #include <opencv2/core/core.hpp>
-
- using namespace std;
- using namespace cv;
-
- const double DERIV_STEP = 1e-5;
- const int MAX_ITER = 100;
-
-
- void LM(double(*Func)(const Mat &input, const Mat ¶ms),
- const Mat &inputs, const Mat &outputs, Mat ¶ms);
-
- double Deriv(double(*Func)(const Mat &input, const Mat ¶ms),
- const Mat &input, const Mat ¶ms, int n);
-
-
- double Func(const Mat &input, const Mat ¶ms);
-
- int main()
- {
-
-
-
- int num_params = 4;
-
-
- int total_data = 100;
-
- double A = 5;
- double B = 1;
- double C = 10;
- double D = 2;
-
- Mat inputs(total_data, 1, CV_64F);
- Mat outputs(total_data, 1, CV_64F);
-
- for(int i=0; i < total_data; i++) {
- double x = -10.0 + 20.0* rand() / (1.0 + RAND_MAX);
- double y = A*sin(B*x) + C*cos(D*x);
-
-
-
-
- inputs.at<double>(i,0) = x;
- outputs.at<double>(i,0) = y;
- }
-
-
- Mat params(num_params, 1, CV_64F);
-
- params.at<double>(0,0) = 1;
- params.at<double>(1,0) = 1;
- params.at<double>(2,0) = 8;
- params.at<double>(3,0) = 1;
-
- LM(Func, inputs, outputs, params);
-
- printf("True parameters: %f %f %f %f\n", A, B, C, D);
- printf("Parameters from GaussNewton: %f %f %f %f\n", params.at<double>(0,0), params.at<double>(1,0),
- params.at<double>(2,0), params.at<double>(3,0));
-
- return 0;
- }
-
- double Func(const Mat &input, const Mat ¶ms)
- {
-
-
-
- double A = params.at<double>(0,0);
- double B = params.at<double>(1,0);
- double C = params.at<double>(2,0);
- double D = params.at<double>(3,0);
-
- double x = input.at<double>(0,0);
-
- return A*sin(B*x) + C*cos(D*x);
- }
-
-
- double Deriv(double(*Func)(const Mat &input, const Mat ¶ms), const Mat &input, const Mat ¶ms, int n)
- {
-
-
-
- Mat params1 = params.clone();
- Mat params2 = params.clone();
-
-
- params1.at<double>(n,0) -= DERIV_STEP;
- params2.at<double>(n,0) += DERIV_STEP;
-
- double p1 = Func(input, params1);
- double p2 = Func(input, params2);
-
- double d = (p2 - p1) / (2*DERIV_STEP);
-
- return d;
- }
-
- void LM(double(*Func)(const Mat &input, const Mat ¶ms),
- const Mat &inputs, const Mat &outputs, Mat ¶ms)
- {
- int m = inputs.rows;
- int n = inputs.cols;
- int num_params = params.rows;
-
- Mat r(m, 1, CV_64F);
- Mat r_tmp(m, 1, CV_64F);
- Mat Jf(m, num_params, CV_64F);
- Mat input(1, n, CV_64F);
- Mat params_tmp = params.clone();
-
- double last_mse = 0;
- float u = 1, v = 2;
- Mat I = Mat::ones(num_params, num_params, CV_64F);
- int i =0;
- for(i=0; i < MAX_ITER; i++) {
- double mse = 0;
- double mse_temp = 0;
-
- for(int j=0; j < m; j++) {
- for(int k=0; k < n; k++) {
- input.at<double>(0,k) = inputs.at<double>(j,k);
- }
-
- r.at<double>(j,0) = outputs.at<double>(j,0) - Func(input, params);
-
- mse += r.at<double>(j,0)*r.at<double>(j,0);
-
- for(int k=0; k < num_params; k++) {
- Jf.at<double>(j,k) = Deriv(Func, input, params, k);
- }
- }
-
- mse /= m;
- params_tmp = params.clone();
-
- Mat hlm = (Jf.t()*Jf + u*I).inv()*Jf.t()*r;
- params_tmp += hlm;
- for(int j=0; j < m; j++) {
- r_tmp.at<double>(j,0) = outputs.at<double>(j,0) - Func(input, params_tmp);
- mse_temp += r_tmp.at<double>(j,0)*r_tmp.at<double>(j,0);
- }
-
- mse_temp /= m;
-
- Mat q(1,1,CV_64F);
- q = (mse - mse_temp)/(0.5*hlm.t()*(u*hlm-Jf.t()*r));
- double q_value = q.at<double>(0,0);
- if(q_value>0)
- {
- double s = 1.0/3.0;
- v = 2;
- mse = mse_temp;
- params = params_tmp;
- double temp = 1 - pow(2*q_value-1,3);
- if(s>temp)
- {
- u = u * s;
- }else
- {
- u = u * temp;
- }
- }else
- {
- u = u*v;
- v = 2*v;
- params = params_tmp;
- }
-
-
-
- if(fabs(mse - last_mse) < 1e-8) {
- break;
- }
-
-
- printf("%d %lf\n", i, mse);
- last_mse = mse;
- }
- }
我们看到迭代了100次,结果几何和高斯牛顿算出来是一样的。我们绘制LM和高斯牛顿的残差函数收敛过程,发现LM一直是总体下降的,没有太多反复。
高斯牛顿:
LM: