Least squares

Non-negative least squares

In mathematical optimization, the problem of non-negative least squares (NNLS) is a type of constrained least squares problem where the coefficients are not allowed to become negative. That is, given a matrix A and a (column) vector of response variables y, the goal is to find subject to x ≥ 0. Here x ≥ 0 means that each component of the vector x should be non-negative, and ‖·‖2 denotes the Euclidean norm. Non-negative least squares problems turn up as subproblems in matrix decomposition, e.g. in algorithms for PARAFAC and non-negative matrix/tensor factorization. The latter can be considered a generalization of NNLS. Another generalization of NNLS is bounded-variable least squares (BVLS), with simultaneous upper and lower bounds αi ≤ xi ≤ βi. (Wikipedia).

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Related pages

Convex optimization | Active-set method | Landweber iteration | MATLAB | SciPy | Perron–Frobenius theorem | M-matrix | Mathematical optimization | Matrix decomposition | Pseudocode | Quadratic programming | Coordinate descent | Gradient descent | Non-negative matrix factorization | Constrained least squares