# A tour of mrcal: quantifying uncertainty

## Table of Contents

An overview follows; see the noise model and projection uncertainty pages for details.

## Previous

We just compared the calibrated models.

## Projection uncertainty

It would be *really* nice to be able to compute an *uncertainty* along with
every projection operation: given a camera-coordinate point \(\vec p\) we would
compute the projected pixel coordinate \(\vec q\), along with the covariance
\(\mathrm{Var} \left(\vec q\right)\) to represent the uncertainty. If this were
available we could

- Propagate this uncertainty downstream to whatever uses the projection operation, for example to get the uncertainty of ranges from a triangulation
- Evaluate how trustworthy a given calibration is, and to run studies about how to do better
- Quantify overfitting effects
- Quantify the baseline noise level for informed interpretation of model differences
- Intelligently select the region used to compute the implied transformation when computing differences

These are quite important. Since splined models can have 1000s of parameters, we
*will* overfit when using those models. This isn't a problem in itself, however.
"Overfitting" simply means the uncertainty is higher than it otherwise would be.
And if we can quantify that uncertainty, we can decide if we have too much.

### Derivation summary

It is a reasonable assumption that each \(x\) and \(y\) measurement in every detected chessboard corner contains independent, gaussian noise. This noise is hard to measure directly (there's an attempt in mrgingham), so we estimate it from the solve residuals. We then have the diagonal matrix representing the variance our input noise: \(\mathrm{Var}\left( \vec q_\mathrm{ref} \right)\).

We propagate this input noise through the optimization, to find out how this
noise would affect the calibration solution. Given some perturbation of the
inputs, we can derive the resulting perturbation in the optimization state:
\(\Delta \vec b = M \Delta \vec q_\mathrm{ref}\) for some matrix \(M\) we can
compute. The state vector \(\vec b\) contains *everything*: the intrinsics of all
the lenses, the geometry of all the cameras and chessboards, the chessboard
shape, etc. We have the variance of the input noise, so we can compute the
variance of the state vector:

\[ \mathrm{Var}(\vec b) = M \mathrm{Var}\left(\vec q_\mathrm{ref}\right) M^T \]

Now we need to propagate this uncertainty in the optimization state through a
projection. Let's say we have a point \(\vec p_\mathrm{fixed}\) defined in some
*fixed* coordinate system. We need to transform it to the camera coordinate system before we can project it:

\[ \vec q = \mathrm{project}\left( \mathrm{transform}\left( \vec p_\mathrm{fixed} \right)\right) \]

So \(\vec q\) is a function of the intrinsics and the transformation. Both of these are functions of the optimization state, so we can propagate our noise in the optimization state \(\vec b\):

\[ \mathrm{Var}\left( \vec q \right) = \frac{\partial \vec q}{\partial \vec b} \mathrm{Var}\left( \vec b \right) \frac{\partial \vec q}{\partial \vec b}^T \]

There lots and lots of details here, so please read the documentation if interested.

### Simulation

Let's run some synthetic-data analysis to validate this approach. This all comes directly from the mrcal test suite:

Let's place 4 cameras using an `LENSMODEL_OPENCV4`

lens model side by side, and
let's have them look at 50 chessboards, with randomized positions and
orientations.

test/test-projection-uncertainty.py \ --fixed cam0 \ --model opencv4 \ --do-sample \ --make-documentation-plots ''

The synthetic geometry looks like this:

The coordinate system of each camera is shown. Each observed chessboard is shown as a zigzag connecting all the corners in order. Each camera sees:

All the chessboards are roughly at the center of the scene, so the left camera sees objects on the right, and the right camera sees objects on the left.

We want to evaluate the uncertainty of a calibration made with these observations. So we run 100 randomized trials, where each time we

- add a bit of noise to the observations
- compute the calibration
- look at what happens to the projection of an arbitrary point \(\vec q\) on the imager: the marked \(\color{red}{\ast}\) in the plots above

A very confident calibration would have low \(\mathrm{Var}\left(\vec q\right)\), and projections would be insensitive to observation noise: the \(\color{red}{\ast}\) wouldn't move very much as we add input noise. By contrast, a poor calibration would have high uncertainty, and the \(\color{red}{\ast}\) would move significantly due to random observation noise.

The above command runs the trials, following the reprojection of
\(\color{red}{\ast}\). We plot the empirical 1-sigma ellipse computed from these
samples, and also the 1-sigma ellipse predicted by the
`mrcal.projection_uncertainty()`

routine. This is the routine that implements
the scheme described above, but does so analytically, without any sampling. It
is thus much faster than sampling would be.

Clearly the two ellipses (blue and green) line up very well, so there's very good agreement between the observed and predicted uncertainties. So from now on we will use the predictions only.

We see that the reprojection uncertainties of this point are very different for
each camera. This happens because the distribution of chessboard observations is
different in each camera. We're looking at a point in the top-left quadrant of
the imager. And as we saw before, this point was surrounded by chessboard
observations only in the first camera. In the second and third cameras, this
point was on the edge of region of chessboard observations. And in the last
camera, the observations were all quite far away from this query point. In
*that* camera, we have no data about the lens behavior in this area, and we're
extrapolating. We should expect to have the best uncertainty in the first
camera, worse uncertainties in the next two cameras, and very poor uncertainty
in the last camera. And this is exactly what we observe.

Now that we validated the relatively quick-to-compute
`mrcal.projection_uncertainty()`

estimates, let's use them to compute
uncertainty maps across the whole imager, not just at a single point:

As expected, we see that the sweet spot is different for each camera, and it tracks the location of the chessboard observations. And we can see that the \(\color{red}{\ast}\) is in the sweet spot only in the first camera.

Let's focus on the last camera. Here the chessboard observations were nowhere near the focus point, and we reported an expected reprojection error of ~0.8 pixels. This is significantly worse than the other cameras, but it's not terrible in absolute terms. If an error of 0.8 pixels is acceptable for our application, could we use that calibration result to project points around the \(\color{red}{\ast}\)?

No, we cannot. We didn't observe any chessboards there, so we don't know how the
lens behaves in that area. The optimistic result reported by the uncertainty
algorithm isn't wrong, but in this case it's not answering the question we
really want answered. We're computing how observation noise affects the whole
optimizer state, including the lens parameters (`LENSMODEL_OPENCV4`

in this
case). And then we compute how the noise in those lens parameters and geometry
affects projection. The `LENSMODEL_OPENCV4`

model is very lean (has very few
parameters). This give it stiffness, which prevents the projection \(\vec q\) from
moving very far in response to noise, which we then interpret as a
relatively-low uncertainty of 0.8 pixels. If we used a model with more
parameters, the extra flexibility would allow the projection to move much
further in response to noise, and we'd see a higher uncertainty. So here our
choice of lens model itself is giving us low uncertainties. If we knew for a
fact that the true lens is 100% representable by an `LENSMODEL_OPENCV4`

model,
then this would be be correct, but that never happens in reality. So **lean
models always produce overly-optimistic uncertainty estimates**.

This is yet another big advantage of splined models: they're very flexible, so
the model itself has very little effect on the reported uncertainty. And we get
the behavior we want: reported uncertainty is driven *only* by the data we have
gathered.

Let's re-run this analysis using a splined model, and let's look at the same
uncertainty plots as above (note: this is *slow*):

test/test-projection-uncertainty.py \ --fixed cam0 \ --model splined \ --do-sample \ --make-documentation-plots ''

As expected, the reported uncertainties are now far worse. In fact, we can see that only the first camera's projection is truly reliable at the \(\color{red}{\ast}\). This is representative of reality.

To further clarify where the uncertainty region comes from, let's overlay the chessboard observations onto it:

The connection between the usable-projection region and the observed-chessboards region is undisputable. This plot also sheds some light on the effects of spline density. If we had a denser spline, some of the gaps in-between the chessboard observations would show up as poor-uncertainty regions. This hasn't yet been studied on real-world data.

Given all this I will claim that we want to use splined models in most situations, even for long lenses which roughly follow the pinhole model. The basis of mrcal's splined models is the stereographic projection, which is identical to a pinhole projection when representing a long lens, so the splined models will also fit long lenses well. The only downside to using a splined model in general is the extra required computational cost. It isn't terrible today, and will get better with time. And for that low price we get the extra precision (no lens follows the lean models when you look closely enough) and we get truthful uncertainty reporting.

### Revisiting uncertainties from the earlier calibrations

We started this by calibrating a camera using an `LENSMODEL_OPENCV8`

model, and then again
with a splined model. Let's look at the uncertainty of those solves using the
handy `mrcal-show-projection-uncertainty`

tool.

First, the `LENSMODEL_OPENCV8`

solve:

mrcal-show-projection-uncertainty opencv8.cameramodel --cbmax 1 --unset key

And the splined solve:

mrcal-show-projection-uncertainty splined.cameramodel --cbmax 1 --unset key

As expected, the splined model produces less optimistic (but more realistic) uncertainty reports.

In the last section we compared our two calibrated models, and the difference looked like this:

Clearly the errors predicted by the projection uncertainty plots don't account
for the large differences we see here. The reason for this is model error,
*especially* in the `LENSMODEL_OPENCV8`

solve. The uncertainty quantification
method we just described *only* models the effect of observation error at
calibration time. Any model errors (such as an ill-fitting lens model, a
badly-shaped calibration board, motion blur, etc) will produce high differences
and low uncertainties. This is a *very* common effect, and is the main thing we
battle as we try to faithfully model the behavior of a lens.