""" The :mod:`sklearn.pls` module implements Partial Least Squares (PLS). """ # Author: Edouard Duchesnay # License: BSD Style. from .base import BaseEstimator, RegressorMixin, TransformerMixin from .utils import check_arrays import warnings import numpy as np from scipy import linalg __all__ = ['CCA', 'PLSCanonical', 'PLSRegression', 'PLSSVD'] def _nipals_twoblocks_inner_loop(X, Y, mode="A", max_iter=500, tol=1e-06, norm_y_weights=False): """Inner loop of the iterative NIPALS algorithm. Provides an alternative to the svd(X'Y); returns the first left and rigth singular vectors of X'Y. See PLS for the meaning of the parameters. It is similar to the Power method for determining the eigenvectors and eigenvalues of a X'Y. """ y_score = Y[:, [0]] x_weights_old = 0 ite = 1 X_pinv = Y_pinv = None # Inner loop of the Wold algo. while True: # 1.1 Update u: the X weights if mode == "B": if X_pinv is None: X_pinv = linalg.pinv(X) # compute once pinv(X) x_weights = np.dot(X_pinv, y_score) else: # mode A # Mode A regress each X column on y_score x_weights = np.dot(X.T, y_score) / np.dot(y_score.T, y_score) # 1.2 Normalize u x_weights /= np.sqrt(np.dot(x_weights.T, x_weights)) # 1.3 Update x_score: the X latent scores x_score = np.dot(X, x_weights) # 2.1 Update y_weights if mode == "B": if Y_pinv is None: Y_pinv = linalg.pinv(Y) # compute once pinv(Y) y_weights = np.dot(Y_pinv, x_score) else: # Mode A regress each Y column on x_score y_weights = np.dot(Y.T, x_score) / np.dot(x_score.T, x_score) ## 2.2 Normalize y_weights if norm_y_weights: y_weights /= np.sqrt(np.dot(y_weights.T, y_weights)) # 2.3 Update y_score: the Y latent scores y_score = np.dot(Y, y_weights) / np.dot(y_weights.T, y_weights) ## y_score = np.dot(Y, y_weights) / np.dot(y_score.T, y_score) ## BUG x_weights_diff = x_weights - x_weights_old if np.dot(x_weights_diff.T, x_weights_diff) < tol or Y.shape[1] == 1: break if ite == max_iter: warnings.warn('Maximum number of iterations reached') break x_weights_old = x_weights ite += 1 return x_weights, y_weights def _svd_cross_product(X, Y): C = np.dot(X.T, Y) U, s, Vh = linalg.svd(C, full_matrices=False) u = U[:, [0]] v = Vh.T[:, [0]] return u, v def _center_scale_xy(X, Y, scale=True): """ Center X, Y and scale if the scale parameter==True Returns ------- X, Y, x_mean, y_mean, x_std, y_std """ # center x_mean = X.mean(axis=0) X -= x_mean y_mean = Y.mean(axis=0) Y -= y_mean # scale if scale: x_std = X.std(axis=0, ddof=1) x_std[x_std == 0.0] = 1.0 X /= x_std y_std = Y.std(axis=0, ddof=1) y_std[y_std == 0.0] = 1.0 Y /= y_std else: x_std = np.ones(X.shape[1]) y_std = np.ones(Y.shape[1]) return X, Y, x_mean, y_mean, x_std, y_std class _PLS(BaseEstimator, TransformerMixin, RegressorMixin): """Partial Least Squares (PLS) This class implements the generic PLS algorithm, constructors' parameters allow to obtain a specific implementation such as: - PLS2 regression, i.e., PLS 2 blocks, mode A, with asymmetric deflation and unnormlized y weights such as defined by [Tenenhaus 1998] p. 132. With univariate response it implements PLS1. - PLS canonical, i.e., PLS 2 blocks, mode A, with symetric deflation and normlized y weights such as defined by [Tenenhaus 1998] (p. 132) and [Wegelin et al. 2000]. This parametrization implements the original Wold algorithm. We use the terminology defined by [Wegelin et al. 2000]. This implementation uses the PLS Wold 2 blocks algorithm based on two nested loops: (i) The outer loop iterate over components. (ii) The inner loop estimates the weights vectors. This can be done with two algo. (a) the inner loop of the original NIPALS algo. or (b) a SVD on residuals cross-covariance matrices. Parameters ---------- X : array-like of predictors, shape = [n_samples, p] Training vectors, where n_samples in the number of samples and p is the number of predictors. Y : array-like of response, shape = [n_samples, q] Training vectors, where n_samples in the number of samples and q is the number of response variables. n_components : int, number of components to keep. (default 2). scale : boolean, scale data? (default True) deflation_mode : str, "canonical" or "regression". See notes. mode : "A" classical PLS and "B" CCA. See notes. norm_y_weights: boolean, normalize Y weights to one? (default False) algorithm : string, "nipals" or "svd" The algorithm used to estimate the weights. It will be called n_components times, i.e. once for each iteration of the outer loop. max_iter : an integer, the maximum number of iterations (default 500) of the NIPALS inner loop (used only if algorithm="nipals") tol : non-negative real, default 1e-06 The tolerance used in the iterative algorithm. copy : boolean Whether the deflation should be done on a copy. Let the default value to True unless you don't care about side effects. Attributes ---------- `x_weights_` : array, [p, n_components] X block weights vectors. `y_weights_` : array, [q, n_components] Y block weights vectors. `x_loadings_` : array, [p, n_components] X block loadings vectors. `y_loadings_` : array, [q, n_components] Y block loadings vectors. `x_scores_` : array, [n_samples, n_components] X scores. `y_scores_` : array, [n_samples, n_components] Y scores. `x_rotations_` : array, [p, n_components] X block to latents rotations. `y_rotations_` : array, [q, n_components] Y block to latents rotations. coefs: array, [p, q] The coefficients of the linear model: Y = X coefs + Err References ---------- Jacob A. Wegelin. A survey of Partial Least Squares (PLS) methods, with emphasis on the two-block case. Technical Report 371, Department of Statistics, University of Washington, Seattle, 2000. In French but still a reference: Tenenhaus, M. (1998). La regression PLS: theorie et pratique. Paris: Editions Technic. See also -------- PLSCanonical PLSRegression CCA PLS_SVD """ def __init__(self, n_components=2, scale=True, deflation_mode="regression", mode="A", algorithm="nipals", norm_y_weights=False, max_iter=500, tol=1e-06, copy=True): self.n_components = n_components self.deflation_mode = deflation_mode self.mode = mode self.norm_y_weights = norm_y_weights self.scale = scale self.algorithm = algorithm self.max_iter = max_iter self.tol = tol self.copy = copy def fit(self, X, Y): # copy since this will contains the residuals (deflated) matrices X, Y = check_arrays(X, Y, dtype=np.float, copy=self.copy, sparse_format='dense') if X.ndim != 2: raise ValueError('X must be a 2D array') if Y.ndim == 1: Y = Y.reshape((Y.size, 1)) if Y.ndim != 2: raise ValueError('Y must be a 1D or a 2D array') n = X.shape[0] p = X.shape[1] q = Y.shape[1] if n != Y.shape[0]: raise ValueError( 'Incompatible shapes: X has %s samples, while Y ' 'has %s' % (X.shape[0], Y.shape[0])) if self.n_components < 1 or self.n_components > p: raise ValueError('invalid number of components') if self.algorithm not in ("svd", "nipals"): raise ValueError("Got algorithm %s when only 'svd' " "and 'nipals' are known" % self.algorithm) if self.algorithm == "svd" and self.mode == "B": raise ValueError('Incompatible configuration: mode B is not ' 'implemented with svd algorithm') if not self.deflation_mode in ["canonical", "regression"]: raise ValueError('The deflation mode is unknown') # Scale (in place) X, Y, self.x_mean_, self.y_mean_, self.x_std_, self.y_std_\ = _center_scale_xy(X, Y, self.scale) # Residuals (deflated) matrices Xk = X Yk = Y # Results matrices self.x_scores_ = np.zeros((n, self.n_components)) self.y_scores_ = np.zeros((n, self.n_components)) self.x_weights_ = np.zeros((p, self.n_components)) self.y_weights_ = np.zeros((q, self.n_components)) self.x_loadings_ = np.zeros((p, self.n_components)) self.y_loadings_ = np.zeros((q, self.n_components)) # NIPALS algo: outer loop, over components for k in xrange(self.n_components): #1) weights estimation (inner loop) # ----------------------------------- if self.algorithm == "nipals": x_weights, y_weights = _nipals_twoblocks_inner_loop( X=Xk, Y=Yk, mode=self.mode, max_iter=self.max_iter, tol=self.tol, norm_y_weights=self.norm_y_weights) elif self.algorithm == "svd": x_weights, y_weights = _svd_cross_product(X=Xk, Y=Yk) # compute scores x_scores = np.dot(Xk, x_weights) if self.norm_y_weights: y_ss = 1 else: y_ss = np.dot(y_weights.T, y_weights) y_scores = np.dot(Yk, y_weights) / y_ss # test for null variance if np.dot(x_scores.T, x_scores) < np.finfo(np.double).eps: warnings.warn('X scores are null at iteration %s' % k) #2) Deflation (in place) # ---------------------- # Possible memory footprint reduction may done here: in order to # avoid the allocation of a data chunk for the rank-one # approximations matrix which is then substracted to Xk, we suggest # to perform a column-wise deflation. # # - regress Xk's on x_score x_loadings = np.dot(Xk.T, x_scores) / np.dot(x_scores.T, x_scores) # - substract rank-one approximations to obtain remainder matrix Xk -= np.dot(x_scores, x_loadings.T) if self.deflation_mode == "canonical": # - regress Yk's on y_score, then substract rank-one approx. y_loadings = (np.dot(Yk.T, y_scores) / np.dot(y_scores.T, y_scores)) Yk -= np.dot(y_scores, y_loadings.T) if self.deflation_mode == "regression": # - regress Yk's on x_score, then substract rank-one approx. y_loadings = (np.dot(Yk.T, x_scores) / np.dot(x_scores.T, x_scores)) Yk -= np.dot(x_scores, y_loadings.T) # 3) Store weights, scores and loadings # Notation: self.x_scores_[:, k] = x_scores.ravel() # T self.y_scores_[:, k] = y_scores.ravel() # U self.x_weights_[:, k] = x_weights.ravel() # W self.y_weights_[:, k] = y_weights.ravel() # C self.x_loadings_[:, k] = x_loadings.ravel() # P self.y_loadings_[:, k] = y_loadings.ravel() # Q # Such that: X = TP' + Err and Y = UQ' + Err # 4) rotations from input space to transformed space (scores) # T = X W(P'W)^-1 = XW* (W* : p x k matrix) # U = Y C(Q'C)^-1 = YC* (W* : q x k matrix) self.x_rotations_ = np.dot( self.x_weights_, linalg.inv(np.dot(self.x_loadings_.T, self.x_weights_))) if Y.shape[1] > 1: self.y_rotations_ = np.dot( self.y_weights_, linalg.inv(np.dot(self.y_loadings_.T, self.y_weights_))) else: self.y_rotations_ = np.ones(1) if True or self.deflation_mode == "regression": # Estimate regression coefficient # Regress Y on T # Y = TQ' + Err, # Then express in function of X # Y = X W(P'W)^-1Q' + Err = XB + Err # => B = W*Q' (p x q) self.coefs = np.dot(self.x_rotations_, self.y_loadings_.T) self.coefs = (1. / self.x_std_.reshape((p, 1)) * self.coefs * self.y_std_) return self def transform(self, X, Y=None, copy=True): """Apply the dimension reduction learned on the train data. Parameters ---------- X : array-like of predictors, shape = [n_samples, p] Training vectors, where n_samples in the number of samples and p is the number of predictors. Y : array-like of response, shape = [n_samples, q], optional Training vectors, where n_samples in the number of samples and q is the number of response variables. copy : boolean Whether to copy X and Y, or perform in-place normalization. Returns ------- x_scores if Y is not given, (x_scores, y_scores) otherwise. """ # Normalize if copy: Xc = (np.asarray(X) - self.x_mean_) / self.x_std_ if Y is not None: Yc = (np.asarray(Y) - self.y_mean_) / self.y_std_ else: X = np.asarray(X) Xc -= self.x_mean_ Xc /= self.x_std_ if Y is not None: Y = np.asarray(Y) Yc -= self.y_mean_ Yc /= self.y_std_ # Apply rotation x_scores = np.dot(Xc, self.x_rotations_) if Y is not None: y_scores = np.dot(Yc, self.y_rotations_) return x_scores, y_scores return x_scores def predict(self, X, copy=True): """Apply the dimension reduction learned on the train data. Parameters ---------- X : array-like of predictors, shape = [n_samples, p] Training vectors, where n_samples in the number of samples and p is the number of predictors. copy : boolean Whether to copy X and Y, or perform in-place normalization. Notes ----- This call require the estimation of a p x q matrix, which may be an issue in high dimensional space. """ # Normalize if copy: Xc = (np.asarray(X) - self.x_mean_) else: X = np.asarray(X) Xc -= self.x_mean_ Xc /= self.x_std_ Ypred = np.dot(Xc, self.coefs) return Ypred + self.y_mean_ def fit_transform(self, X, y=None, **fit_params): """Learn and apply the dimension reduction on the train data. Parameters ---------- X : array-like of predictors, shape = [n_samples, p] Training vectors, where n_samples in the number of samples and p is the number of predictors. Y : array-like of response, shape = [n_samples, q], optional Training vectors, where n_samples in the number of samples and q is the number of response variables. copy : boolean Whether to copy X and Y, or perform in-place normalization. Returns ------- x_scores if Y is not given, (x_scores, y_scores) otherwise. """ return self.fit(X, y, **fit_params).transform(X, y) class PLSRegression(_PLS): """PLS regression PLSRegression implements the PLS 2 blocks regression known as PLS2 or PLS1 in case of one dimensional response. This class inherits from _PLS with mode="A", deflation_mode="regression", norm_y_weights=False and algorithm="nipals". Parameters ---------- X : array-like of predictors, shape = [n_samples, p] Training vectors, where n_samples in the number of samples and p is the number of predictors. Y : array-like of response, shape = [n_samples, q] Training vectors, where n_samples in the number of samples and q is the number of response variables. n_components : int, (default 2) Number of components to keep. scale : boolean, (default True) whether to scale the data max_iter : an integer, (default 500) the maximum number of iterations of the NIPALS inner loop (used only if algorithm="nipals") tol : non-negative real Tolerance used in the iterative algorithm default 1e-06. copy : boolean, default True Whether the deflation should be done on a copy. Let the default value to True unless you don't care about side effect Attributes ---------- `x_weights_` : array, [p, n_components] X block weights vectors. `y_weights_` : array, [q, n_components] Y block weights vectors. `x_loadings_` : array, [p, n_components] X block loadings vectors. `y_loadings_` : array, [q, n_components] Y block loadings vectors. `x_scores_` : array, [n_samples, n_components] X scores. `y_scores_` : array, [n_samples, n_components] Y scores. `x_rotations_` : array, [p, n_components] X block to latents rotations. `y_rotations_` : array, [q, n_components] Y block to latents rotations. coefs: array, [p, q] The coeficients of the linear model: Y = X coefs + Err Notes ----- For each component k, find weights u, v that optimizes: ``max corr(Xk u, Yk v) * var(Xk u) var(Yk u)``, such that ``|u| = 1`` Note that it maximizes both the correlations between the scores and the intra-block variances. The residual matrix of X (Xk+1) block is obtained by the deflation on the current X score: x_score. The residual matrix of Y (Yk+1) block is obtained by deflation on the current X score. This performs the PLS regression known as PLS2. This mode is prediction oriented. This implementation provides the same results that 3 PLS packages provided in the R language (R-project): - "mixOmics" with function pls(X, Y, mode = "regression") - "plspm " with function plsreg2(X, Y) - "pls" with function oscorespls.fit(X, Y) Examples -------- >>> from sklearn.pls import PLSCanonical, PLSRegression, CCA >>> X = [[0., 0., 1.], [1.,0.,0.], [2.,2.,2.], [2.,5.,4.]] >>> Y = [[0.1, -0.2], [0.9, 1.1], [6.2, 5.9], [11.9, 12.3]] >>> pls2 = PLSRegression(n_components=2) >>> pls2.fit(X, Y) ... # doctest: +NORMALIZE_WHITESPACE PLSRegression(copy=True, max_iter=500, n_components=2, scale=True, tol=1e-06) >>> Y_pred = pls2.predict(X) References ---------- Jacob A. Wegelin. A survey of Partial Least Squares (PLS) methods, with emphasis on the two-block case. Technical Report 371, Department of Statistics, University of Washington, Seattle, 2000. In french but still a reference: Tenenhaus, M. (1998). La regression PLS: theorie et pratique. Paris: Editions Technic. """ def __init__(self, n_components=2, scale=True, max_iter=500, tol=1e-06, copy=True): _PLS.__init__(self, n_components=n_components, scale=scale, deflation_mode="regression", mode="A", norm_y_weights=False, max_iter=max_iter, tol=tol, copy=copy) class PLSCanonical(_PLS): """ PLSCanonical implements the 2 blocks canonical PLS of the original Wold algorithm [Tenenhaus 1998] p.204, refered as PLS-C2A in [Wegelin 2000]. This class inherits from PLS with mode="A" and deflation_mode="canonical", norm_y_weights=True and algorithm="nipals", but svd should provide similar results up to numerical errors. Parameters ---------- X : array-like of predictors, shape = [n_samples, p] Training vectors, where n_samples in the number of samples and p is the number of predictors. Y : array-like of response, shape = [n_samples, q] Training vectors, where n_samples in the number of samples and q is the number of response variables. n_components : int, number of components to keep. (default 2). scale : boolean, scale data? (default True) algorithm : string, "nipals" or "svd" The algorithm used to estimate the weights. It will be called n_components times, i.e. once for each iteration of the outer loop. max_iter : an integer, (default 500) the maximum number of iterations of the NIPALS inner loop (used only if algorithm="nipals") tol : non-negative real, default 1e-06 the tolerance used in the iterative algorithm copy : boolean, default True Whether the deflation should be done on a copy. Let the default value to True unless you don't care about side effect Attributes ---------- `x_weights_` : array, shape = [p, n_components] X block weights vectors. `y_weights_` : array, shape = [q, n_components] Y block weights vectors. `x_loadings_` : array, shape = [p, n_components] X block loadings vectors. `y_loadings_` : array, shape = [q, n_components] Y block loadings vectors. `x_scores_` : array, shape = [n_samples, n_components] X scores. `y_scores_` : array, shape = [n_samples, n_components] Y scores. `x_rotations_` : array, shape = [p, n_components] X block to latents rotations. `y_rotations_` : array, shape = [q, n_components] Y block to latents rotations. Notes ----- For each component k, find weights u, v that optimize:: max corr(Xk u, Yk v) * var(Xk u) var(Yk u), such that ``|u| = |v| = 1`` Note that it maximizes both the correlations between the scores and the intra-block variances. The residual matrix of X (Xk+1) block is obtained by the deflation on the current X score: x_score. The residual matrix of Y (Yk+1) block is obtained by deflation on the current Y score. This performs a canonical symetric version of the PLS regression. But slightly different than the CCA. This is mode mostly used for modeling. This implementation provides the same results that the "plspm" package provided in the R language (R-project), using the function plsca(X, Y). Results are equal or colinear with the function ``pls(..., mode = "canonical")`` of the "mixOmics" package. The difference relies in the fact that mixOmics implmentation does not exactly implement the Wold algorithm since it does not normalize y_weights to one. Examples -------- >>> from sklearn.pls import PLSCanonical, PLSRegression, CCA >>> X = [[0., 0., 1.], [1.,0.,0.], [2.,2.,2.], [2.,5.,4.]] >>> Y = [[0.1, -0.2], [0.9, 1.1], [6.2, 5.9], [11.9, 12.3]] >>> plsca = PLSCanonical(n_components=2) >>> plsca.fit(X, Y) ... # doctest: +NORMALIZE_WHITESPACE PLSCanonical(algorithm='nipals', copy=True, max_iter=500, n_components=2, scale=True, tol=1e-06) >>> X_c, Y_c = plsca.transform(X, Y) References ---------- Jacob A. Wegelin. A survey of Partial Least Squares (PLS) methods, with emphasis on the two-block case. Technical Report 371, Department of Statistics, University of Washington, Seattle, 2000. Tenenhaus, M. (1998). La regression PLS: theorie et pratique. Paris: Editions Technic. See also -------- CCA PLSSVD """ def __init__(self, n_components=2, scale=True, algorithm="nipals", max_iter=500, tol=1e-06, copy=True): _PLS.__init__(self, n_components=n_components, scale=scale, deflation_mode="canonical", mode="A", norm_y_weights=True, algorithm=algorithm, max_iter=max_iter, tol=tol, copy=copy) class CCA(_PLS): """CCA Canonical Correlation Analysis. CCA inherits from PLS with mode="B" and deflation_mode="canonical". Parameters ---------- X : array-like of predictors, shape = [n_samples, p] Training vectors, where n_samples in the number of samples and p is the number of predictors. Y : array-like of response, shape = [n_samples, q] Training vectors, where n_samples in the number of samples and q is the number of response variables. n_components : int, (default 2). number of components to keep. scale : boolean, (default True) whether to scale the data? max_iter : an integer, (default 500) the maximum number of iterations of the NIPALS inner loop (used only if algorithm="nipals") tol : non-negative real, default 1e-06. the tolerance used in the iterative algorithm copy : boolean Whether the deflation be done on a copy. Let the default value to True unless you don't care about side effects Attributes ---------- `x_weights_` : array, [p, n_components] X block weights vectors. `y_weights_` : array, [q, n_components] Y block weights vectors. `x_loadings_` : array, [p, n_components] X block loadings vectors. `y_loadings_` : array, [q, n_components] Y block loadings vectors. `x_scores_` : array, [n_samples, n_components] X scores. `y_scores_` : array, [n_samples, n_components] Y scores. `x_rotations_` : array, [p, n_components] X block to latents rotations. `y_rotations_` : array, [q, n_components] Y block to latents rotations. Notes ----- For each component k, find the weights u, v that maximizes max corr(Xk u, Yk v), such that ``|u| = |v| = 1`` Note that it maximizes only the correlations between the scores. The residual matrix of X (Xk+1) block is obtained by the deflation on the current X score: x_score. The residual matrix of Y (Yk+1) block is obtained by deflation on the current Y score. Examples -------- >>> from sklearn.pls import PLSCanonical, PLSRegression, CCA >>> X = [[0., 0., 1.], [1.,0.,0.], [2.,2.,2.], [3.,5.,4.]] >>> Y = [[0.1, -0.2], [0.9, 1.1], [6.2, 5.9], [11.9, 12.3]] >>> cca = CCA(n_components=1) >>> cca.fit(X, Y) ... # doctest: +ELLIPSIS, +NORMALIZE_WHITESPACE CCA(copy=True, max_iter=500, n_components=1, scale=True, tol=1e-06) >>> X_c, Y_c = cca.transform(X, Y) References ---------- Jacob A. Wegelin. A survey of Partial Least Squares (PLS) methods, with emphasis on the two-block case. Technical Report 371, Department of Statistics, University of Washington, Seattle, 2000. In french but still a reference: Tenenhaus, M. (1998). La regression PLS: theorie et pratique. Paris: Editions Technic. See also -------- PLSCanonical PLSSVD """ def __init__(self, n_components=2, scale=True, max_iter=500, tol=1e-06, copy=True): _PLS.__init__(self, n_components=n_components, scale=scale, deflation_mode="canonical", mode="B", norm_y_weights=True, algorithm="nipals", max_iter=max_iter, tol=tol, copy=copy) class PLSSVD(BaseEstimator, TransformerMixin): """Partial Least Square SVD Simply perform a svd on the crosscovariance matrix: X'Y The are no iterative deflation here. Parameters ---------- X : array-like of predictors, shape = [n_samples, p] Training vector, where n_samples in the number of samples and p is the number of predictors. X will be centered before any analysis. Y : array-like of response, shape = [n_samples, q] Training vector, where n_samples in the number of samples and q is the number of response variables. X will be centered before any analysis. n_components : int, (default 2). number of components to keep. scale : boolean, (default True) scale X and Y Attributes ---------- `x_weights_` : array, [p, n_components] X block weights vectors. `y_weights_` : array, [q, n_components] Y block weights vectors. `x_scores_` : array, [n_samples, n_components] X scores. `y_scores_` : array, [n_samples, n_components] Y scores. See also -------- PLSCanonical CCA """ def __init__(self, n_components=2, scale=True, copy=True): self.n_components = n_components self.scale = scale self.copy = copy def fit(self, X, Y): # copy since this will contains the centered data X, Y = check_arrays(X, Y, dtype=np.float, copy=self.copy, sparse_format='dense') n = X.shape[0] p = X.shape[1] if X.ndim != 2: raise ValueError('X must be a 2D array') if n != Y.shape[0]: raise ValueError( 'Incompatible shapes: X has %s samples, while Y ' 'has %s' % (X.shape[0], Y.shape[0])) if self.n_components < 1 or self.n_components > p: raise ValueError('invalid number of components') # Scale (in place) X, Y, self.x_mean_, self.y_mean_, self.x_std_, self.y_std_ =\ _center_scale_xy(X, Y, self.scale) # svd(X'Y) C = np.dot(X.T, Y) U, s, V = linalg.svd(C, full_matrices=False) V = V.T self.x_scores_ = np.dot(X, U) self.y_scores_ = np.dot(Y, V) self.x_weights_ = U self.y_weights_ = V return self def transform(self, X, Y=None): """Apply the dimension reduction learned on the train data.""" Xr = (X - self.x_mean_) / self.x_std_ x_scores = np.dot(Xr, self.x_weights_) if Y is not None: Yr = (Y - self.y_mean_) / self.y_std_ y_scores = np.dot(Yr, self.y_weights_) return x_scores, y_scores return x_scores def fit_transform(self, X, y=None, **fit_params): """Learn and apply the dimension reduction on the train data. Parameters ---------- X : array-like of predictors, shape = [n_samples, p] Training vectors, where n_samples in the number of samples and p is the number of predictors. Y : array-like of response, shape = [n_samples, q], optional Training vectors, where n_samples in the number of samples and q is the number of response variables. Returns ------- x_scores if Y is not given, (x_scores, y_scores) otherwise. """ return self.fit(X, y, **fit_params).transform(X, y)