I would like x (a 100 x 1 matrix, each element must be non-negative) which minimizes the following;
$|| Mx-p ||^2 + λ xS x'$
where λ, M (a 10 x 100 matrix), p (a 10 x 1 matrix), and S (a 100 x 100 matrix) are specified.
I have already tried function "pcls" in a R package "mcgv", but I received an error message saying "Penalized model matrix must have no more columns than rows".
The implementation can be in R, C++, or anything else.
Any help/explanations would be very helpful, thank you very much!