Fast Active-Set Thresholding Method for Nonnegative Least Squares

Nonnegative Least Squares (NNLS) is a fundamental constrained optimization problem encountered in many applications such as image deblurring, signal processing, nonnegative matrix factorization, magnetic microscopy, and hyperspectral imaging. Active-set based methods are a common class of algorithms for solving NNLS which identify the optimal variable set of the NNLS solution. They do so by iteratively solving a series of unconstrained least squares problems, identifying which variables violate the nonnegativity constraints, and then swapping variables in/out of consideration until the optimal set of variables is found. Several variations improving upon this method exist in the literature. In this work, we propose an active-set swap heuristic which further improves upon existing active-set based methods for NNLS. Our optimizations are based upon adding multiple variables to the passive set within a threshold of the smallest gradient value and removing variables within a similar threshold of the closest boundary constraint. We leverage these optimizations to yield a Fast Active-Set Thresholding NNLS (FAST-NNLS) algorithm which significantly outperforms the existing state-of-the-art NNLS algorithms for a wide range of problems. Rigorous convergence guarantees are proven for the proposed method. We demonstrate the effectiveness of our proposed method on multiple synthetic datasets and two real-world text analysis applications. In doing so, we present the most comprehensive NNLS solver comparison in the literature to date.