1. I would like to have autodiff ability, so I cannot use double for both A
and b. If I cast b: A.jacobiSVD().solve( b.cast<T>()) everything works
fine, but BinOp(T,T) is more expensive than BinOp(T, double). I would like
to keep b as a vector of doubles.
2. T=Jet is ceres solver autodiff implementation type. There is a trait
definition for Jet binary operations for type deduction such that
type(Jet*double) = Jet and so on. It works when I do direct
multiplication VS^-1U^T
* b. It works similar to complex scalar matrices and double rhs and there
is the same problem for complex scalar cases.
3. I think that the mixed type deduction rule should give the same
type for VS^-1U^T
* b and  for A.jcobianSVD().solve(b); where A = USV^T because both use the
same algorithm.
4. Unless there are serious reasons, deduction rules should be similar to
scalar type equations. complex<double> A; double b; x = A^-1 * b; type(x) =
complex<double>.

On Wed, Jun 3, 2020 at 11:16 PM Rasmus Munk Larsen <[email protected]>
wrote:

> Try to compile your code in debug mode with the type assertions on.
>
> On Wed, Jun 3, 2020 at 1:14 PM Rasmus Munk Larsen <[email protected]>
> wrote:
>
>> Are you saying that you compute the decomposition in one type and solve
>> with a RHS of a different type? Why do you say that VS^-1U^T * b should be
>> Matrix<T>? That makes an assumption about type coercion rules. In fact, you
>> cannot generally mix types in Eigen expressions without explicit casting,
>> and U.adjoint() * b should fail if the types are different.
>>
>> On Wed, Jun 3, 2020 at 11:33 AM Oleg Shirokobrod <
>> [email protected]> wrote:
>>
>>> Rasmuss, I do not quite understand this issue. Decomposition solve
>>> should propagate scalar type of a matrix but not scalar type of its
>>> argument. Example:
>>> template <typename T> Matrix<T> A;
>>> VectorXd b;
>>> A.jcobiSVD().solve(b) should be of type Matrix<T> but it is not. Type of
>>> result is Matrix<double>. If we make SVD decomposition of A = USV^T and
>>> express result as VS^-1U^T * b, than result will be of type Matrix<T>.
>>> Which is correct and differs from result of solve which uses the same
>>> algorithm but more complex result’s type deduction. This is the problem.
>>>
>>> On Wed 3. Jun 2020 at 20.19, Rasmus Munk Larsen <[email protected]>
>>> wrote:
>>>
>>>> OK, I opened https://gitlab.com/libeigen/eigen/-/issues/1909 for this.
>>>>
>>>> On Tue, Jun 2, 2020 at 11:06 PM Oleg Shirokobrod <
>>>> [email protected]> wrote:
>>>>
>>>>> Yes. At the time of computing only 1d observation (VectorXd) is known.
>>>>>
>>>>> On Tue, Jun 2, 2020 at 9:42 PM Rasmus Munk Larsen <[email protected]>
>>>>> wrote:
>>>>>
>>>>>> OK, so b is declared as VectorXf or some other type with
>>>>>> ColsAtCompileTime=1?
>>>>>>
>>>>>> On Tue, Jun 2, 2020 at 11:27 AM Oleg Shirokobrod <
>>>>>> [email protected]> wrote:
>>>>>>
>>>>>>>
>>>>>>> Yes, b is measured spectrum that is 1d array. I have to get x for 1d
>>>>>>> array at a time. I fit sum of peak models to 1d rhs. 1d array of peak 
>>>>>>> model
>>>>>>> values is one column of matrix A.
>>>>>>>
>>>>>>> On Tue 2. Jun 2020 at 20.06, Rasmus Munk Larsen <[email protected]>
>>>>>>> wrote:
>>>>>>>
>>>>>>>> Why do you say that? You could be solving for multiple
>>>>>>>> right-hand sides. Is b know to have 1 column at compile time?
>>>>>>>>
>>>>>>>> On Tue, Jun 2, 2020 at 1:31 AM Oleg Shirokobrod <
>>>>>>>> [email protected]> wrote:
>>>>>>>>
>>>>>>>>> Hi Rasmus,
>>>>>>>>>
>>>>>>>>> I have just tested COD decomposition in Eigen library. It arises
>>>>>>>>> the same problem. This is defect of Eigen decomposition module type
>>>>>>>>> reduction of result of solve method.  If
>>>>>>>>>  template <typename T> Matrix<T, Dynamic, Dynamic>  A; and ArraXd
>>>>>>>>> b;, than x = A.solve(b) should be of type  <typename T> Matrix<T, 
>>>>>>>>> Dynamic,
>>>>>>>>> 1.>.
>>>>>>>>>
>>>>>>>>> I like the idea to use COD as an alternative to QR or SVD and I
>>>>>>>>> added this option to my code.
>>>>>>>>>
>>>>>>>>>
>>>>>>>>> On Tue, Jun 2, 2020 at 10:36 AM Oleg Shirokobrod <
>>>>>>>>> [email protected]> wrote:
>>>>>>>>>
>>>>>>>>>> Rasmus, I wiil have a look at COD. Brad, I did not try CppAD.I
>>>>>>>>>> am working in given framework: ceres nonlinear least squares solver 
>>>>>>>>>> + ceres
>>>>>>>>>> autodiff + Eigen decomposition modules SVD or QR. The problem is not 
>>>>>>>>>> just
>>>>>>>>>> on autodiff side. The problem is that Eigen decomposition modul does 
>>>>>>>>>> not
>>>>>>>>>> work properly with autodiff type variable.
>>>>>>>>>>
>>>>>>>>>> Thank you everybody for advice.
>>>>>>>>>>
>>>>>>>>>> On Mon, Jun 1, 2020 at 8:41 PM Rasmus Munk Larsen <
>>>>>>>>>> [email protected]> wrote:
>>>>>>>>>>
>>>>>>>>>>>
>>>>>>>>>>>
>>>>>>>>>>> On Mon, Jun 1, 2020 at 10:33 AM Patrik Huber <
>>>>>>>>>>> [email protected]> wrote:
>>>>>>>>>>>
>>>>>>>>>>>> Hi Rasmus,
>>>>>>>>>>>>
>>>>>>>>>>>> This is slightly off-topic to this thread here, but it would be
>>>>>>>>>>>> great if you added your COD to the list/table of decompositions in 
>>>>>>>>>>>> Eigen:
>>>>>>>>>>>> https://eigen.tuxfamily.org/dox/group__TopicLinearAlgebraDecompositions.html
>>>>>>>>>>>>
>>>>>>>>>>>> First, it would make it easier for people to find, and second,
>>>>>>>>>>>> it would also help a lot to see on that page how the algorithm 
>>>>>>>>>>>> compares to
>>>>>>>>>>>> the others, to be able to choose it appropriately.
>>>>>>>>>>>>
>>>>>>>>>>>
>>>>>>>>>>> Good point. Will do.
>>>>>>>>>>>
>>>>>>>>>>>
>>>>>>>>>>>>
>>>>>>>>>>>>
>>>>>>>>>>>> Unrelated: @All/Maintainers: It seems like lots (all) of the
>>>>>>>>>>>> images on the documentation website are broken? At least for me. 
>>>>>>>>>>>> E.g.:
>>>>>>>>>>>>
>>>>>>>>>>>> [image: image.png]
>>>>>>>>>>>>
>>>>>>>>>>>>
>>>>>>>>>>>> Best wishes,
>>>>>>>>>>>> Patrik
>>>>>>>>>>>>
>>>>>>>>>>>> On Mon, 1 Jun 2020 at 17:59, Rasmus Munk Larsen <
>>>>>>>>>>>> [email protected]> wrote:
>>>>>>>>>>>>
>>>>>>>>>>>>> Hi Oleg and Sameer,
>>>>>>>>>>>>>
>>>>>>>>>>>>> A faster option than SVD, but more robust than QR (since it
>>>>>>>>>>>>> also handles the under-determined case) is the complete orthogonal
>>>>>>>>>>>>> decomposition that I implemented in Eigen a few years ago.
>>>>>>>>>>>>>
>>>>>>>>>>>>>
>>>>>>>>>>>>> https://eigen.tuxfamily.org/dox/classEigen_1_1CompleteOrthogonalDecomposition.html
>>>>>>>>>>>>>
>>>>>>>>>>>>> (Looks like the docstring is broken - oops!)
>>>>>>>>>>>>>
>>>>>>>>>>>>> It appears to also be available in the 3.3 branch:
>>>>>>>>>>>>> https://gitlab.com/libeigen/eigen/-/blob/3.3/Eigen/src/QR/CompleteOrthogonalDecomposition.h
>>>>>>>>>>>>>
>>>>>>>>>>>>> Rasmus
>>>>>>>>>>>>>
>>>>>>>>>>>>> On Mon, Jun 1, 2020 at 6:57 AM Sameer Agarwal <
>>>>>>>>>>>>> [email protected]> wrote:
>>>>>>>>>>>>>
>>>>>>>>>>>>>> Oleg,
>>>>>>>>>>>>>> Two ideas:
>>>>>>>>>>>>>>
>>>>>>>>>>>>>> 1. You may have an easier time using QR factorization instead
>>>>>>>>>>>>>> of SVD to solve your least squares problem.
>>>>>>>>>>>>>> 2.  But you can do better, instead of trying to solve linear
>>>>>>>>>>>>>> least squares problem involving a matrix of Jets, you are better 
>>>>>>>>>>>>>> off,
>>>>>>>>>>>>>> solving the linear least squares problem on the scalars, and 
>>>>>>>>>>>>>> then using the implicit
>>>>>>>>>>>>>> function theorem
>>>>>>>>>>>>>> <https://en.wikipedia.org/wiki/Implicit_function_theorem> to
>>>>>>>>>>>>>> compute the derivative w.r.t the parameters and then applying 
>>>>>>>>>>>>>> the chain
>>>>>>>>>>>>>> rule.
>>>>>>>>>>>>>>
>>>>>>>>>>>>>> i.e., start with min |A x = b|
>>>>>>>>>>>>>>
>>>>>>>>>>>>>> the solution satisfies the equation
>>>>>>>>>>>>>>
>>>>>>>>>>>>>> A'A x - A'b = 0.
>>>>>>>>>>>>>>
>>>>>>>>>>>>>> solve this equation to get the optimal value of x, and then
>>>>>>>>>>>>>> compute the jacobian of this equation w.r.t A, b and x. and 
>>>>>>>>>>>>>> apply the
>>>>>>>>>>>>>> implicit theorem.
>>>>>>>>>>>>>>
>>>>>>>>>>>>>> Sameer
>>>>>>>>>>>>>>
>>>>>>>>>>>>>>
>>>>>>>>>>>>>> On Mon, Jun 1, 2020 at 4:46 AM Oleg Shirokobrod <
>>>>>>>>>>>>>> [email protected]> wrote:
>>>>>>>>>>>>>>
>>>>>>>>>>>>>>> Hi list, I am using Eigen 3.3.7 release with ceres solver
>>>>>>>>>>>>>>> 1.14.0 with autodiff Jet data type and I have some problems. I 
>>>>>>>>>>>>>>> need to
>>>>>>>>>>>>>>> solve linear least square subproblem within variable projection 
>>>>>>>>>>>>>>> algorithm,
>>>>>>>>>>>>>>> namely I need to solve LLS equation
>>>>>>>>>>>>>>> A(p)*x = b
>>>>>>>>>>>>>>> Where matrix A(p) depends on nonlinear parameters p:
>>>>>>>>>>>>>>> x(p) = pseudo-inverse(A(p))*b;
>>>>>>>>>>>>>>> x(p) will be optimized in nonlinear least squares fitting,
>>>>>>>>>>>>>>> so I need Jcobian. Rhs b is measured vector of doubles, e.g. 
>>>>>>>>>>>>>>> VectorXd. In
>>>>>>>>>>>>>>> order to use ceres's autodiff p must be of Jet type. Ceres 
>>>>>>>>>>>>>>> provides
>>>>>>>>>>>>>>> corresponding traits for binary operations
>>>>>>>>>>>>>>>
>>>>>>>>>>>>>>> #if EIGEN_VERSION_AT_LEAST(3, 3, 0)
>>>>>>>>>>>>>>> // Specifying the return type of binary operations between
>>>>>>>>>>>>>>> Jets and scalar types
>>>>>>>>>>>>>>> // allows you to perform matrix/array operations with Eigen
>>>>>>>>>>>>>>> matrices and arrays
>>>>>>>>>>>>>>> // such as addition, subtraction, multiplication, and
>>>>>>>>>>>>>>> division where one Eigen
>>>>>>>>>>>>>>> // matrix/array is of type Jet and the other is a scalar
>>>>>>>>>>>>>>> type. This improves
>>>>>>>>>>>>>>> // performance by using the optimized scalar-to-Jet binary
>>>>>>>>>>>>>>> operations but
>>>>>>>>>>>>>>> // is only available on Eigen versions >= 3.3
>>>>>>>>>>>>>>> template <typename BinaryOp, typename T, int N>
>>>>>>>>>>>>>>> struct ScalarBinaryOpTraits<ceres::Jet<T, N>, T, BinaryOp> {
>>>>>>>>>>>>>>>   typedef ceres::Jet<T, N> ReturnType;
>>>>>>>>>>>>>>> };
>>>>>>>>>>>>>>> template <typename BinaryOp, typename T, int N>
>>>>>>>>>>>>>>> struct ScalarBinaryOpTraits<T, ceres::Jet<T, N>, BinaryOp> {
>>>>>>>>>>>>>>>   typedef ceres::Jet<T, N> ReturnType;
>>>>>>>>>>>>>>> };
>>>>>>>>>>>>>>> #endif  // EIGEN_VERSION_AT_LEAST(3, 3, 0)
>>>>>>>>>>>>>>>
>>>>>>>>>>>>>>> There two problems.
>>>>>>>>>>>>>>> 1. Small problem. In a function "RealScalar threshold()
>>>>>>>>>>>>>>> const" in SCDbase.h I have to replace "return 
>>>>>>>>>>>>>>> m_usePrescribedThreshold ?
>>>>>>>>>>>>>>> m_prescribedThreshold
>>>>>>>>>>>>>>>                                     : diagSize*
>>>>>>>>>>>>>>> NumTraits<Scalar>::epsilon();" with "return 
>>>>>>>>>>>>>>> m_usePrescribedThreshold ?
>>>>>>>>>>>>>>> m_prescribedThreshold
>>>>>>>>>>>>>>>                                     : Scalar(diagSize)*
>>>>>>>>>>>>>>> NumTraits<Scalar>::epsilon();"
>>>>>>>>>>>>>>> This fix is similar Gael's fix of Bug 1403
>>>>>>>>>>>>>>> <http://eigen.tuxfamily.org/bz/show_bug.cgi?id=1403>
>>>>>>>>>>>>>>> 2. It is less trivial. I expect that x(p) =
>>>>>>>>>>>>>>> pseudo-inverse(A(p))*b; is vector of Jet. And it is actually 
>>>>>>>>>>>>>>> true for e.g
>>>>>>>>>>>>>>> SVD decompoazition
>>>>>>>>>>>>>>> x(p) = VSU^T * b.
>>>>>>>>>>>>>>> But if I use
>>>>>>>>>>>>>>> JcobySVD<Matrix<Jet<double, 2>, Dynamic, Dynamic>> svd(A);
>>>>>>>>>>>>>>> x(p) = svd.solve(b),
>>>>>>>>>>>>>>> I got error message.
>>>>>>>>>>>>>>> Here code for reproducing the error
>>>>>>>>>>>>>>>
>>>>>>>>>>>>>>> // test_svd_jet.cpp
>>>>>>>>>>>>>>> #include <ceres/jet.h>
>>>>>>>>>>>>>>> using ceres::Jet;
>>>>>>>>>>>>>>>
>>>>>>>>>>>>>>> int test_svd_jet()
>>>>>>>>>>>>>>> {
>>>>>>>>>>>>>>>     typedef Matrix<Jet<double, 2>, Dynamic, Dynamic> Mat;
>>>>>>>>>>>>>>>     typedef Matrix<Jet<double, 2>, Dynamic, 1> Vec;
>>>>>>>>>>>>>>>      Mat A = MatrixXd::Random(3, 2).cast <Jet<double, 2>>();
>>>>>>>>>>>>>>>      VectorXd b = VectorXd::Random(3);
>>>>>>>>>>>>>>>      JacobiSVD<Mat> svd(A, ComputeThinU | ComputeThinV);
>>>>>>>>>>>>>>>      int l_rank = svd.rank();
>>>>>>>>>>>>>>>      Vec c = svd.matrixV().leftCols(l_rank)
>>>>>>>>>>>>>>>          *
>>>>>>>>>>>>>>> svd.singularValues().head(l_rank).asDiagonal().inverse()
>>>>>>>>>>>>>>>          * svd.matrixU().leftCols(l_rank).adjoint() * b; // *
>>>>>>>>>>>>>>>      Vec c1 = svd.solve(b.cast<Jet<double, 2>>()); // **
>>>>>>>>>>>>>>>      Vec c2 = svd.solve(b); // ***
>>>>>>>>>>>>>>>      return 0;
>>>>>>>>>>>>>>> }
>>>>>>>>>>>>>>> // End test_svd_jet.cpp
>>>>>>>>>>>>>>>
>>>>>>>>>>>>>>> // * and // ** work fine an give the same results. // ***
>>>>>>>>>>>>>>> fails with VS 2019 error message
>>>>>>>>>>>>>>> Eigen\src\Core\functors\AssignmentFunctors.h(24,1):
>>>>>>>>>>>>>>> error C2679: binary '=': no operator found which takes
>>>>>>>>>>>>>>> a right-hand operand of type 'const SrcScalar'
>>>>>>>>>>>>>>> (or there is no acceptable conversion)
>>>>>>>>>>>>>>> The error points to line //***. I thing that solution is of
>>>>>>>>>>>>>>> type VectorXd instead of Vec and there is problem with 
>>>>>>>>>>>>>>> assignment of double
>>>>>>>>>>>>>>> to Jet. Derivatives are lost either. It should work similar to 
>>>>>>>>>>>>>>> complex
>>>>>>>>>>>>>>> type. If A is complex matrix and b is real vector, x must be 
>>>>>>>>>>>>>>> complex. There
>>>>>>>>>>>>>>> is something wrong with Type deduction in SVD or QR 
>>>>>>>>>>>>>>> decomposition.
>>>>>>>>>>>>>>>
>>>>>>>>>>>>>>> Do you have any idea of how to fix it.
>>>>>>>>>>>>>>>
>>>>>>>>>>>>>>> Best regards,
>>>>>>>>>>>>>>>
>>>>>>>>>>>>>>> Oleg Shirokobrod
>>>>>>>>>>>>>>>
>>>>>>>>>>>>>>>

Reply via email to