124 lines
6.2 KiB
C++
124 lines
6.2 KiB
C++
#pragma once
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#ifndef levenberg_marquardt_h
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#define levenberg_marquardt_h
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#include <Eigen/Dense>
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#include <iostream>
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class LevenbergMarquardt {
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public:
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LevenbergMarquardt(int L_, double* parma_, double (*Func_)(double, double*),
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double* (*Gunc_)(double, double*), int type_ = 0);
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~LevenbergMarquardt(){};
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public:
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double mu = 1., eps = 1e-6;
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double* parma;
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double (*Func)(double, double*);
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double* (*Gunc)(double, double*);
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int L, type_, maxIter = 300;
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std::vector<Eigen::Vector2d> data;
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private:
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Eigen::MatrixXd mJ; // 雅克比矩阵
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Eigen::MatrixXd mH; // H矩阵
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Eigen::VectorXd vF; // 误差向量
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Eigen::VectorXd vG; // 左侧
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public:
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void addData(double x, double y);
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double* solve();
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private:
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void calmJ_vF();
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void calmH_vG();
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double calMse(double* parma_);
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};
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LevenbergMarquardt::LevenbergMarquardt(int L_, double* parma_, double (*Func_)(double, double*),
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double* (*Gunc_)(double, double*), int type_) {
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L = L_;
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parma = parma_;
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Func = Func_;
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Gunc = Gunc_;
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this->type_ = type_;
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}
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void LevenbergMarquardt::addData(double x, double y) { data.push_back(Eigen::Vector2d(x, y)); }
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void LevenbergMarquardt::calmJ_vF() {
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double x, y;
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double* resJ;
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mJ.resize(data.size(), L);
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vF.resize(data.size());
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for (int i = 0; i < data.size(); i++) {
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Eigen::Vector2d& point = data.at(i);
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x = point(0), y = point(1);
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resJ = (*Gunc)(x, parma);
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for (int j = 0; j < L; j++) mJ(i, j) = resJ[j];
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vF(i) = y - (*Func)(x, parma);
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}
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}
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void LevenbergMarquardt::calmH_vG() {
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mH = mJ.transpose() * mJ;
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vG = -mJ.transpose() * vF;
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}
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double LevenbergMarquardt::calMse(double* parma_) {
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double x, y, mse = 0;
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for (int i = 0; i < data.size(); i++) {
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Eigen::Vector2d& point = data.at(i);
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x = point(0), y = point(1);
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mse += std::pow(y - (*Func)(x, parma_), 2);
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}
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return mse;
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}
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double* LevenbergMarquardt::solve() {
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double v = 2, cost;
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double* parmaNew = new double[L];
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Eigen::VectorXd vX(L);
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Eigen::MatrixXd mT, mD(L, L);
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for (int i = 0; i < L; i++) {
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for (int j = 0; j < L; j++) mD(i, j) = 0;
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mD(i, i) = 1;
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}
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for (int k = 0; k < maxIter; k++) {
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calmJ_vF();
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calmH_vG();
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if (type_ == 1) {
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mT = mJ * mJ.transpose();
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for (int i = 0; i < L; i++) mD(i, i) = sqrt(mT(i, i));
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}
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mH = mH + mu * mD;
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vX = mH.ldlt().solve(vG);
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if (vX.norm() <= eps) return parma;
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for (int i = 0; i < L; i++) parmaNew[i] = parma[i] + vX[i];
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cost = (calMse(parma) - calMse(parmaNew)) / (vX.transpose() * (mu * vX + vG));
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if (cost > 0) {
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for (int i = 0; i < L; i++) parma[i] = parmaNew[i];
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mu = mu * std::max(1. / 3, 1 - std::pow(2 * cost - 1, 3));
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v = 2;
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} else {
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mu *= v;
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v *= 2;
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}
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}
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return parma;
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}
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#endif
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