偏最小二乘非线性 matlab,Matlab偏最小二乘法用于判别分析

最新推荐文章于 2022-07-27 23:25:33 发布

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最新推荐文章于 2022-07-27 23:25:33 发布

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文章标签：偏最小二乘非线性 matlab

本文详细阐述了总最小二乘回归（Total Least Squares, TLS）与偏最小二乘回归（Partial Least Squares, PLS）的区别。TLS旨在最小化误差平方和，而PLS首先将X和Y分解为低维空间，然后在低维空间中进行最小二乘回归。这种方法在处理多重共线性和高维数据时尤其有用。

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The difference between the total least squares regression and partial least squares regression can be explained as follows:

For given independent data X and dependent data Y, to fit a model

Y = X*B + E

the total least squares regression solves the problem to minimize the error in least squares sense:

J = E'*E

Instead of directly fitting a model between X and Y, the PLS decomposes X and Y into low-dimensional space (so called laten variable space) first:

X = T*P' + E0, and

Y = U*Q' + F0

where P and Q are orthogonal matrices, i.e. P'*P=I, Q'*Q=I, T and U has the same number of columns, a, which is much less than the number of columns of X. Then, a least squares regression is performed between T and U:

U = T*B + F1

At the end, the overall regression model is

Y = X*(P*B*Q') + F