A Python module for regression and classification with the Partial Least Squares algorithm
You may need this module if (1) you are trying to make multidimensional predictions from multidimensional observations; (2) the dimensionality of the observation space is large; and (3) the data you have available for constructing a prediction model is rather limited. The more traditional multiple linear regression (MLR) algorithms are likely to become numerically unstable under these conditions.
In addition to presenting the main PLS algorithm that can be used to make a multidimensional prediction from multidimensional data, this module also includes what is known as the PLS1 algorithm for the case when the predicted entity is just one-dimensional (as in, say, face recognition in computer vision).
Typical usage syntax:
In typical PLS notation, X denotes the matrix formed by multidimensional observation vectors, with each row of X standing for the values taken by all the predictor variables. And Y denotes the matrix formed by the multidimensional prediction vectors. Each row of Y corresponds to the prediction that can be made on the basis of the corresponding row of X. Let's say that you have the observed data for the X and the Y matrices in the form of CSV records in disk files. Your goal is to calculate the matrix B of regression coefficients with this module. All you have to do is make the following calls: import PartialLeastSquares as PLS XMatrix_file = "X_data.csv" YMatrix_file = "Y_data.csv" pls = PLS.PartialLeastSquares( XMatrix_file = XMatrix_file, YMatrix_file = YMatrix_file, epsilon = 0.0001, ) pls.get_XMatrix_from_csv() pls.get_YMatrix_from_csv() B = pls.PLS() The object B returned by the last call will be a numpy matrix consisting of the calculated regression coefficients. Let's say that you now have a matrix Xtest of data for the predictor variables. All you have to do to calculate the values for the predicted variables is Ytest = Xtest * B