nnls {nnls}R Documentation

The Lawson-Hanson NNLS algorithm for non-negative least squares

Description

An R interface to the Lawson-Hanson NNLS algorithm for non-negative least squares that solves A x = b with the constraint x >=q 0 under least squares criteria, where x in R^n, b in R^m and A is an m times n matrix.

Usage

nnls(A, b)

Arguments

A numeric matrix with m rows and n columns
b numeric vector of length m

Value

nnls returns an object of class "nnls".
The generic accessor functions coefficients, fitted.values, deviance and residuals extract various useful features of the value returned by nnls.
An object of class "nnls" is a list containing the following components:

x the parameter estimates.
deviance the residual sum-of-squares.
residuals the residuals, that is response minus fitted values.
fitted the fitted values.
mode a character vector containing a message regarding why termination occured.

Author(s)

Katharine M. Mullen <kate@nat.vu.nl>

Source

This is an R interface to the unmodified Fortran77 code distributed with the book referenced below by Lawson CL, Hanson RJ (1995), obtained from Netlib (file ‘lawson-hanson/all’).

References

Lawson CL, Hanson RJ (1974). Solving Least Squares Problems. Prentice Hall, Englewood Cliffs, NJ.

Lawson CL, Hanson RJ (1995). Solving Least Squares Problems. Classics in Applied Mathematics. SIAM, Philadelphia.

See Also

nnnpls, the method "L-BFGS-B" for optim, quadprog, bvls

Examples

## simulate a matrix A
## with 3 columns, each containing an exponential decay 
t <- seq(0, 2, by = .04)
k <- c(.5, .6, 1)
A <- matrix(nrow = 51, ncol = 3)
Acolfunc <- function(k, t) exp(-k*t)
for(i in 1:3) A[,i] <- Acolfunc(k[i],t)

## simulate a matrix X
## with 3 columns, each containing a Gaussian shape 
## the Gaussian shapes are non-negative
X <- matrix(nrow = 51, ncol = 3)
wavenum <- seq(18000,28000, by=200)
location <- c(25000, 22000, 20000) 
delta <- c(3000,3000,3000)
Xcolfunc <- function(wavenum, location, delta)
  exp( - log(2) * (2 * (wavenum - location)/delta)^2)
for(i in 1:3) X[,i] <- Xcolfunc(wavenum, location[i], delta[i])

## set seed for reproducibility
set.seed(3300)

## simulated data is the product of A and X with some
## spherical Gaussian noise added 
matdat <- A %*% t(X) + .01 * rnorm(nrow(A) * nrow(X))

## estimate the rows of X using NNLS criteria 
nnls_sol <- function(matdat, A) {
  X <- matrix(0, nrow = 51, ncol = 3)
  for(i in 1:ncol(matdat)) 
     X[i,] <- coef(nnls(A,matdat[,i]))
  X
}
X_nnls <- nnls_sol(matdat,A) 

## Not run: 
## can solve the same problem with L-BFGS-B algorithm
## but need starting values for x 
bfgs_sol <- function(matdat, A) {
  startval <- rep(0, ncol(A))
  fn1 <- function(par1, b, A) sum( ( b - A %*% par1)^2)
  X <- matrix(0, nrow = 51, ncol = 3)
  for(i in 1:ncol(matdat))  
    X[i,] <-  optim(startval, fn = fn1, b=matdat[,i], A=A,
                   lower = rep(0,3), method="L-BFGS-B")$par
    X
}
X_bfgs <- bfgs_sol(matdat,A) 

## the RMS deviation under NNLS is less than under L-BFGS-B 
sqrt(sum((X - X_nnls)^2)) < sqrt(sum((X - X_bfgs)^2))

## and L-BFGS-B is much slower 
system.time(nnls_sol(matdat,A))
system.time(bfgs_sol(matdat,A))

## can also solve the same problem by reformulating it as a
## quadratic program (this requires the quadprog package; if you
## have quadprog installed, uncomment lines below starting with
## only 1 "#" )

# library(quadprog)

# quadprog_sol <- function(matdat, A) {
#  X <- matrix(0, nrow = 51, ncol = 3)
#  bvec <- rep(0, ncol(A))
#  Dmat <- crossprod(A,A)
#  Amat <- diag(ncol(A))
#  for(i in 1:ncol(matdat)) { 
#    dvec <- crossprod(A,matdat[,i]) 
#    X[i,] <- solve.QP(dvec = dvec, bvec = bvec, Dmat=Dmat,
#                      Amat=Amat)$solution
#  }
#  X
# }
# X_quadprog <- quadprog_sol(matdat,A) 

## the RMS deviation under NNLS is about the same as under quadprog 
# sqrt(sum((X - X_nnls)^2))
# sqrt(sum((X - X_quadprog)^2))

## and quadprog requires about the same amount of time 
# system.time(nnls_sol(matdat,A))
# system.time(quadprog_sol(matdat,A))

## End(Not run)


[Package nnls version 1.1 Index]