Non-negative least squares

In mathematical optimization, the problem of non-negative least squares (NNLS) is a type of constrained least squares problem where the coefficients are not allowed to become negative. That is, given a matrix A and a (column) vector of response variables y, the goal is to find^[1]

${\displaystyle \operatorname {arg\,min} \limits _{\mathbf {x} }\|\mathbf {Ax} -\mathbf {y} \|_{2}^{2}}$ subject to x ≥ 0.

Here x ≥ 0 means that each component of the vector x should be non-negative, and ‖·‖₂ denotes the Euclidean norm.

Non-negative least squares problems turn up as subproblems in matrix decomposition, e.g. in algorithms for PARAFAC^[2] and non-negative matrix/tensor factorization.^[3][4] The latter can be considered a generalization of NNLS.^[1]

Another generalization of NNLS is bounded-variable least squares (BVLS), with simultaneous upper and lower bounds α_i ≤ x_i ≤ β_i.^{[5]: 291 [6]}