# Non-negative least squares

**R – Statistical Odds & Ends**, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)

Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

Imagine that one has a data matrix consisting of observations, each with features, as well as a response vector . We want to build a model for using the feature columns in . In * ordinary least squares (OLS)*, one seeks a vector of coefficients such that

In * non-negative least squares (NNLS)*, we seek a vector coefficients such that it minimizes subject to the additional requirement that each element of is non-negative.

There are a number of ways to perform NNLS in R. The first two methods come from Reference 1, while I came up with the third. (I’m not sharing the third way Reference 1 details because it claims that the method is buggy.)

Let’s generate some fake data that we will use for the rest of the post:

set.seed(1) n <- 100; p <- 10 x <- matrix(rnorm(n * p), nrow = n) y <- x %*% matrix(rep(c(1, -1), length.out = p), ncol = 1) + rnorm(n)

**Method 1: the nnls package**

library(nnls) mod1 <- nnls(x, y) mod1$x # [1] 0.9073423 0.0000000 1.2971069 0.0000000 0.9708051 # [6] 0.0000000 1.2002310 0.0000000 0.3947028 0.0000000

**Method 2: the glmnet package**

The `glmnet()`

function solves the minimization problem

where and are hyperparameters the user chooses. By setting (the default) and , `glmnet()`

ends up solving the OLS problem. By setting `lower.limits = 0`

, this forces the coefficients to be non-negative. We should also set `intercept = FALSE`

so that we don’t have an extraneous intercept term.

library(glmnet) mod2 <- glmnet(x, y, lambda = 0, lower.limits = 0, intercept = FALSE) coef(mod2) # 11 x 1 sparse Matrix of class "dgCMatrix" # s0 # (Intercept) . # V1 0.9073427 # V2 . # V3 1.2971070 # V4 . # V5 0.9708049 # V6 . # V7 1.2002310 # V8 . # V9 0.3947028 # V10 .

**Method 3: the bvls package**

NNLS is a special case of * bounded-variable least squares (BVLS)*, where instead of having constraints for each , one has constraints for each . BVLS is implemented in the

`bvls()`

function of the `bvls`

package:library(bvls) mod3 <- bvls(x, y, bl = rep(0, p), bu = rep(Inf, p)) mod3$x # [1] 0.9073423 0.0000000 1.2971069 0.0000000 0.9708051 # [6] 0.0000000 1.2002310 0.0000000 0.3947028 0.0000000

In the above, `bl`

contains the lower limits for the coefficients while `bu`

contains the upper limits for the coefficients.

References:

- Things I Thought At One Point. Three ways to do non-negative least squares in R.

**leave a comment**for the author, please follow the link and comment on their blog:

**R – Statistical Odds & Ends**.

R-bloggers.com offers

**daily e-mail updates**about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.

Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.