Curve fitting often occurs in lot of situation. It is possible to simple linear fitting of the data. The most commonly used way is the linear least squares. However, it is quite sensitive to outliers. It is important to distinguish outliers from noise. Both have totally different effects on the quality of the solution.
It is also often the case to fit a complicated non-linear function to the data. ceres-solver is a fantastic library from google for non-linear least squares. It uses functional programming to elegantly let you specify your non-linear least squares problem. ceres-solver is a 2nd order solver, which means it is roughly based on the Gauss-Newton method as opposed to Gradient Descent methods. ceres-solver's main purpose is to use it for function optimization in SLAM community. The main feature that distinguish it from other general solvers is its ability to optimize on the manifold. For example, it is produce solution on the SO(3) manifold (ie. spaces of rotation matrix).
I am attempting to solve 2 problems. This data will have outliers in addition to noise:
- 1d linear fit (given a Nx2 matrix get equation of a line). 2 parameters.
- Quadratic fit. Given Nx2 matrix fit a quadratic equation. 3 parameters.
- SO(3) + R^3 fit. Given two point cloud to estimate the translation and rotation between them. 7 parameters (quaternion and 3 translations) but really 6 parameters.
I shall explore the following techniques to solve the above problem:
- Basic least squares
- Use of Robust norms (Huber Norm and Cauchy Norm)
- L1 norm and linear-programming
- Use of Switch Variables
- Use of Dynamic Covariance Scalling
- BigM trick. See luca carlone's paper on SLAM (L. Carlone and G. Calafiore. Convex Relaxations for Pose Graph Optimization with Outliers. IEEE Robotics and Automation Letters (RA-L), 3(2):1160–1167, 2018)
- Using the truncated least squares (
$f_c = min(x^2, c^2);$ , c is a constant. However often this is non-differentiable, there are 2 ways to deal with this- Use,
$f_c \approx \frac{x^2}{ (c^2 + x^2) }$ also called Geman-McClure cost function. - Use,
$f_c = \frac{1}{2} (1+\theta) x^2 + \frac{1}{2} (1-\theta) c^2 $ , c is a constant and theta is a descrete optimization variable taking the values${1;-1}$ . This paper, https://arxiv.org/pdf/1810.11692.pdf, uses this trick.
- Use,
I shall use the ceres-solver's C++ interface for this. Plotting tools are implemented
in Python and are in plotting directory. Methods using python are found in py directory.
You need to have Eigen (Linear Algebra Library) and ceres-solver installed.
mkdir build
cd build
cmake ..
make
Alignment of 2 pointclouds. No noise added.
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Have a look at this repo: https://github.com/superjax/ceres_sandbox for more practical and slam related examples with CERES-solver.
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This repo does more of SE(3) paramiterization: https://github.com/izhengfan/ba_demo_ceres. Also have a good companion blog post.