// 利用Eigen 求解非线性最小二乘;
// 示例:<span style="font-family: Arial, Helvetica, sans-serif;">y = 10*(x0+3)^2 + (x1-5)^2</span><pre name="code" class="html"><span style="font-family: Arial, Helvetica, sans-serif;">#include "math.h"</span>
#include "iostream"
#include "vector"
#include "list"
using namespace std;
#include "Eigen/Dense"
#include "Eigen/Core"
#include <unsupported/Eigen/NonLinearOptimization>
#include <unsupported/Eigen/NumericalDiff>
using namespace Eigen;
// Generic functor
template<typename _Scalar, int NX = Eigen::Dynamic, int NY = Eigen::Dynamic>
struct Functor
{
typedef _Scalar Scalar;
enum {
InputsAtCompileTime = NX,
ValuesAtCompileTime = NY
};
typedef Eigen::Matrix<Scalar,InputsAtCompileTime,1> InputType;
typedef Eigen::Matrix<Scalar,ValuesAtCompileTime,1> ValueType;
typedef Eigen::Matrix<Scalar,ValuesAtCompileTime,InputsAtCompileTime> JacobianType;
int m_inputs, m_values;
Functor() : m_inputs(InputsAtCompileTime), m_values(ValuesAtCompileTime) {}
Functor(int inputs, int values) : m_inputs(inputs), m_values(values) {}
int inputs() const { return m_inputs; }
int values() const { return m_values; }
};
struct my_functor : Functor<double>
{
// 输出个数必须大于输入个数, 故用2不用1;
my_functor(void): Functor<double>(2, 2) {}
int operator()(const Eigen::VectorXd &x, Eigen::VectorXd &fvec) const
{
// Implement y = 10*(x0+3)^2 + (x1-5)^2
fvec(0) = 10.0*pow(x(0)+3.0,2) + pow(x(1)-5.0,2);
fvec(1) = 0;
return 0;
}
};
int main(int argc, char *argv[])
{
Eigen::VectorXd x(2);
x(0) = 1.0;
x(1) = 3.0;
my_functor functor;
Eigen::NumericalDiff<my_functor> numDiff(functor);
Eigen::LevenbergMarquardt<Eigen::NumericalDiff<my_functor>,double> lm(numDiff);
Eigen::VectorXd y(2);
functor.operator()(x, y);
std::cout << "x first input: \n" << x << std::endl;
std::cout<<"y first outpout: \n" << y << std::endl;
lm.parameters.maxfev = 1000;
lm.parameters.xtol = 1.0e-8;
int iRet = lm.minimize(x);
std::cout << "迭代次数:\n"<<lm.iter << std::endl;
std::cout << "计算标志:\n" << iRet << std::endl;
std::cout << "x finnal: \n" << x << std::endl;
functor.operator()(x, y);
std::cout<<"y outpout((minimized): \n" << y << std::endl;
return 0;
}
// 最终看到输出了x = [-3.0, 5.0]. 使得目标最小!