nnls

block principal pivoting algorithm

Description

solves the linear least squares problem with nonnegative variables using the block principal pivoting algorithm in:
Portugal, Judice and Vicente, A comparison of block pivoting and interior point algorithms for linear least squares problems with nonnegative variables, Mathematics of Computation, 63(1994), pp. 625-643

• Acknowledgements: This submission has inspired the following:; LBFGSB (L-BFGS-B) mex wrapper
• MATLAB release: MATLAB 7.0.4 (R14SP2)

[John D'Errico]

Faster than lsqonneg for some sizes of problems.

Interestingly, my tests show it is slower than lsqnonneg
when the number of unknowns to estimate is small, say 2 or 3 and there are few rows in A. Thus, for size(A) ==
[5,2], lsqnonneg is 3x faster. For size(A) == [100,10],
blocknnls is 3x faster.

[Greg Reynolds]

It works nicely for my matrices of about 1024x20 and is significantly faster than 'lsqnonneg'.

For 100 (random) trials, A is 1024x20, b is 1024x1:
'blocknnls' = 0.686167 seconds
'lsqnonneg' = 5.869711 seconds