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NNLS

Non-Negative Least Squares and Quadratic Program solver in Julia

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NNLS.jl: Non-Negative Least Squares in Julia

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This package implements the non-negative least squares solver from Lawson and Hanson [1]. Given a matrix A and vector b, nnls(A, b) computes:

min. || Ax - b ||_2
   x

 s.t. x[i] >= 0 forall i

The code contained here is a direct port of the original Fortran code to Julia.

Usage

A = randn(100, 200)
b = randn(100)
x = nnls(A, b)

Reducing memory allocation

The NNLS implementation (and the Fortran code on which it is based) have been implemented to allocate as little memory as possible. If you want direct control over the memory usage, you can pre-allocate an NNLSWorkspace which will hold all data used in the NNLS algorithm:

A = randn(100, 200)
b = randn(100)

work = NNLSWorkspace(A, b)
solve!(work)
@show work.x

The call to solve!(work) should allocate no memory. You can re-use the same workspace multiple times:

A2 = randn(100, 200)
b2 = randn(100)

load!(work, A2, b2)
solve!(work)
@show work.x

If A2 and b2 match the size of the arrays A and b used to create the workspace, then load!(work, A2, b2) will not allocate. If they do not match, then the workspace will be resized and some memory will be allocated.

Solving Quadratic Programs

The NNLS approach can also be used to solve Quadratic Programs, using the approach from section II of Bemporad, A quadratic programming algorithm based on nonnegative least squares with applications to embedded model predictive control, IEEE Transactions on Automatic Control, 2016.

The problem must be of the form:

Minimize 1/2 z' Q z + c' z
Subject to G z <= g

The QP struct holds all of the relevant matrices:

qp = QP(Q, c, G, g)

and a QPWorkspace allocates all of the scratch workspace necessary to solve the QP:

work = QPWorkspace(qp)

Solving a QP returns the primal solution z and dual solution \lambda:

z, λ = solve!(work)

You can check the solution status by looking at work.status:

@assert work.status == :Optimal

The function check_optimality_conditions checks violation of the KKT optimality conditions for a given problem and solution. It should return a value close to zero for a feasible & optimal solution:

@assert check_optimality_conditions(qp, z, λ) <= 1e-6

References

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

First Commit

03/26/2017

Last Touched

8 months ago

Commits

95 commits

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