lsqnonneg

Solve nonnegative least-squares constraint problem

Equation

Solves nonnegative least-squares curve fitting problems of the form

$\min_{x} {‖ C \cdot x - d ‖}_{2}^{2}, where x \geq 0.$

Syntax

x = lsqnonneg(C,d) x = lsqnonneg(C,d,options) x = lsqnonneg(problem) [x,resnorm] = lsqnonneg(...) [x,resnorm,residual] = lsqnonneg(...) [x,resnorm,residual,exitflag] = lsqnonneg(...) [x,resnorm,residual,exitflag,output] = lsqnonneg(...) [x,resnorm,residual,exitflag,output,lambda] = lsqnonneg(...)

Description

x = lsqnonneg(C,d) returns the vector x that minimizes norm(C*x-d) subject to x ≥ 0. C and d must be real.

x = lsqnonneg(C,d,options) minimizes with the optimization options specified in the structure options. Use optimset to set these options.

x = lsqnonneg(problem) finds the minimum for problem, where problem is a structure described in Input Arguments.

Create the structure problem by exporting a problem from Optimization app, as described in Exporting Your Work.

[x,resnorm] = lsqnonneg(...) returns the value of the squared 2-norm of the residual, norm(C*x-d)^2.

[x,resnorm,residual] = lsqnonneg(...) returns the residual d-C*x.

[x,resnorm,residual,exitflag] = lsqnonneg(...) returns a value exitflag that describes the exit condition of lsqnonneg.

[x,resnorm,residual,exitflag,output] = lsqnonneg(...) returns a structure output that contains information about the optimization.

[x,resnorm,residual,exitflag,output,lambda] = lsqnonneg(...) returns the Lagrange multipliers in the vector lambda.

Input Arguments

Function Arguments contains general descriptions of arguments passed into lsqnonneg. This section provides function-specific details for options and problem:

`options`	Use `optimset` to set or change the values of these fields in the options structure, `options`. See Optimization Options Reference for detailed information.
	`Display`	Level of display: `'off'` or `'none'` displays no output. `'final'` displays just the final output. `'notify'` (default) displays output only if the function does not converge.
	`TolX`	Termination tolerance on `x`, a positive scalar. The default is `10epsnorm(C,1)*length(C)`. See Tolerances and Stopping Criteria.
`problem`	`C`	Matrix
	`d`	Vector
	`solver`	`'lsqnonneg'`
	`options`	Options structure created using `optimset`

Output Arguments

Function Arguments contains general descriptions of arguments returned by lsqnonneg. This section provides function-specific details for exitflag, lambda, and output:

`exitflag`	Integer identifying the reason the algorithm terminated. The following lists the values of `exitflag` and the corresponding reasons the algorithm terminated.
	`1`	Function converged to a solution `x`.
	`0`	Number of iterations exceeded `options.MaxIter`.
`lambda`	Vector containing the Lagrange multipliers: `lambda(i)≤0` when `x(i)` is (approximately) `0`, and `lambda(i)` is (approximately) `0` when `x(i)>0`.
`output`	Structure containing information about the optimization. The fields are
	`iterations`	Number of iterations taken
	`algorithm`	`'active-set'`
	`message`	Exit message

Examples

Compare the unconstrained least-squares solution to the lsqnonneg solution for a 4-by-2 problem.

C = [
     0.0372    0.2869
     0.6861    0.7071
     0.6233    0.6245
     0.6344    0.6170];
d = [
     0.8587
     0.1781
     0.0747
     0.8405];

[C\d, lsqnonneg(C,d)]
ans =
    -2.5627    0
     3.1108    0.6929

[norm(C*(C\d)-d), norm(C*lsqnonneg(C,d)-d)]
ans =
        0.6674 0.9118

The solution from lsqnonneg does not fit as well as the least-squares solution. However, the nonnegative least-squares solution has no negative components.

Notes

The nonnegative least-squares problem is a subset of the constrained linear least-squares problem. Thus, when C has more rows than columns (i.e., the system is overdetermined),

[x,resnorm,residual,exitflag,output,lambda] = ...
   lsqnonneg(C,d)

is equivalent to

[m,n] = size(C);
[x,resnorm,residual,exitflag,output,lambda_lsqlin] = ...
   lsqlin(C,d,-eye(n,n),zeros(n,1));

except that lambda = -lambda_lsqlin.ineqlin.

For problems greater than order 20, lsqlin might be faster than lsqnonneg; otherwise lsqnonneg is generally more efficient.

More About

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Algorithms

lsqnonneg uses the algorithm described in [1]. The algorithm starts with a set of possible basis vectors and computes the associated dual vector lambda. It then selects the basis vector corresponding to the maximum value in lambda in order to swap it out of the basis in exchange for another possible candidate. This continues until lambda ≤ 0.

References

[1] Lawson, C.L. and R.J. Hanson, Solving Least-Squares Problems, Prentice-Hall, Chapter 23, p. 161, 1974.

Documentation