NNLS

class NNLS(val maxIters: Int) extends SerializableLogging

NNLS solves nonnegative least squares problems using a modified projected gradient method.

Value parameters:
maxIters

user defined maximum iterations

Companion:
object
trait Serializable
class Object
trait Matchable
class Any

Type members

Classlikes

case class State

Value members

Concrete methods

Solve a least squares problem, possibly with nonnegativity constraints, by a modified projected gradient method. That is, find x minimising ||Ax - b||_2 given A^T A and A^T b.

Solve a least squares problem, possibly with nonnegativity constraints, by a modified projected gradient method. That is, find x minimising ||Ax - b||_2 given A^T A and A^T b.

We solve the problem min_x 1/2 x' ata x' - x'atb subject to x >= 0

The method used is similar to one described by Polyak (B. T. Polyak, The conjugate gradient method in extremal problems, Zh. Vychisl. Mat. Mat. Fiz. 9(4)(1969), pp. 94-112) for bound- constrained nonlinear programming. Polyak unconditionally uses a conjugate gradient direction, however, while this method only uses a conjugate gradient direction if the last iteration did not cause a previously-inactive constraint to become active.

def minimizeAndReturnState(ata: DenseMatrix[Double], atb: DenseVector[Double], initialState: State, resetState: Boolean): State

minimizeAndReturnState allows users to hot start the solver using initialState. If a initialState is provided and resetState is set to false, the optimizer will hot start using the previous state. By default resetState is true and every time reset will be called on the incoming state

minimizeAndReturnState allows users to hot start the solver using initialState. If a initialState is provided and resetState is set to false, the optimizer will hot start using the previous state. By default resetState is true and every time reset will be called on the incoming state

Value parameters:
ata

gram matrix

atb

linear term

initialState

initial state for calling the solver from inner loops

resetState

reset the state based on the flag

Returns:

converged state

def reset(ata: DenseMatrix[Double], atb: DenseVector[Double], state: State): State

Inherited methods

protected def logger: LazyLogger
Inherited from:
SerializableLogging

Concrete fields