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Bug 655 - Non-negative least squares
Summary: Non-negative least squares
Alias: None
Product: Eigen
Classification: Unclassified
Component: Unsupported modules (show other bugs)
Version: unspecified
Hardware: All All
: Normal Feature Request
Assignee: Nobody
Depends on:
Blocks: 3.x
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Reported: 2013-09-09 12:26 UTC by Hannes Matuschek
Modified: 2019-12-04 12:36 UTC (History)
3 users (show)

NNLS implementation (14.59 KB, text/plain)
2013-09-09 12:26 UTC, Hannes Matuschek
no flags Details

Description Hannes Matuschek 2013-09-09 12:26:20 UTC
Created attachment 380 [details]
NNLS implementation

I implemented the NNLS algorithm [1] for Eigen. It is not perfect yet but I think it could be included into the "unsupported" modules of Eigen. 

One think that is definitely missing is a check that the Scalar type of the system is real as the NNLS problem is only defined on R^N and I do not know how to do this. 

I have tested the code against some simple units test [2] so far and I used it for some larger problems where it produces reasonable results although I have not verified them against some other implementation.

Let me know if I can improve the implementation.


    Charles L. Lawson and Richard J. Hanson, Prentice-Hall, 1974

Comment 1 Christoph Hertzberg 2014-08-21 11:49:45 UTC
To check if a type is complex, use NumTraits<Scalar>::IsComplex.
You can use it in a static assertion like this:
Comment 2 Hannes Matuschek 2014-08-21 12:27:07 UTC
Thanks for this hint, I have included the assertion. To avoid tracking such changes as attachments her, I created a GIT repository for the code, including some unit tests: .
Comment 3 Jitse Niesen 2014-08-23 16:46:08 UTC
Thanks for your contribution. I haven't looked at it in detail, but NNLS is for me important enough and close enough to linear algebra that I'd like to have it included in Eigen. At a first look, the code looks well written and the algorithm is a standard one, so that is promising.

At the moment, the code is not structured as an unsupported module in Eigen. You can look at <root of Eigen tree>/unsupported/Eigen/AlignedVector3 for fairly simple example, or use any of the other unsupported modules as a template. 

I assume you know that development of Eigen is done using mercurial on bitbucket, but if you prefer to use github that should not be too much of a problem (though we will probably not be able to preserve the history of the GIT repository). I suggest that you structure your repository as a fork of which mirrors our mercurial repository.

The test should go in .../unsupported/tests and follow the framework described at section "Writing unit tests" (or use an existing test file as inspiration). I would also like to see one example of how to solve NNLS included in the documentation.

Any questions, please ask.
Comment 4 Nobody 2019-12-04 12:36:47 UTC
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