apache/spark — pull request #460 by tmyklebu (2014-04-21 02:13:59+00:00)
Title: Alternating nonnegative least-squares

This pull request includes a nonnegative least-squares solver (NNLS) tailored to the kinds of small-scale problems that come up when training matrix factorisation models by alternating nonnegative least-squares (ANNLS).

The method used for the NNLS subproblems is based on the classical method of projected gradients. There is a modification where, if the set of active constraints has not changed since the last iteration, a conjugate gradient step is considered and possibly rejected in favour of the gradient; this improves convergence once the optimal face has been located.

The NNLS solver is in `org.apache.spark.mllib.optimization.NNLSbyPCG`.