Sklearn实现交叉分解

import numpy as np
import matplotlib.pyplot as plt
from sklearn.cross_decomposition import PLSCanonical, PLSRegression, CCA

# #############################################################################
# Dataset based latent variables model

n = 500
# 2 latents vars:
l1 = np.random.normal(size=n)
l2 = np.random.normal(size=n)

latents = np.array([l1, l1, l2, l2]).T
X = latents + np.random.normal(size=4 * n).reshape((n, 4))
Y = latents + np.random.normal(size=4 * n).reshape((n, 4))

X_train = X[:n // 2]
Y_train = Y[:n // 2]
X_test = X[n // 2:]
Y_test = Y[n // 2:]

print("Corr(X)")
print(np.round(np.corrcoef(X.T), 2))
print("Corr(Y)")
print(np.round(np.corrcoef(Y.T), 2))

# #############################################################################
# Canonical (symmetric) PLS

# Transform data
# ~~~~~~~~~~~~~~
plsca = PLSCanonical(n_components=2)
plsca.fit(X_train, Y_train)
X_train_r, Y_train_r = plsca.transform(X_train, Y_train)
X_test_r, Y_test_r = plsca.transform(X_test, Y_test)

# Scatter plot of scores
# ~~~~~~~~~~~~~~~~~~~~~~
# 1) On diagonal plot X vs Y scores on each components
plt.figure(figsize=(12, 8))
plt.subplot(221)
plt.scatter(X_train_r[:, 0], Y_train_r[:, 0], label="train",
            marker="o", s=25)
plt.scatter(X_test_r[:, 0], Y_test_r[:, 0], label="test",
            marker="o", s=25)
plt.xlabel("x scores")
plt.ylabel("y scores")
plt.title('Comp. 1: X vs Y (test corr = %.2f)' %
          np.corrcoef(X_test_r[:, 0], Y_test_r[:, 0])[0, 1])
plt.xticks(())
plt.yticks(())
plt.legend(loc="best")

plt.subplot(224)
plt.scatter(X_train_r[:, 1], Y_train_r[:, 1], label="train",
            marker="o", s=25)
plt.scatter(X_test_r[:, 1], Y_test_r[:, 1], label="test",
            marker="o", s=25)
plt.xlabel("x scores")
plt.ylabel("y scores")
plt.title('Comp. 2: X vs Y (test corr = %.2f)' %
          np.corrcoef(X_test_r[:, 1], Y_test_r[:, 1])[0, 1])
plt.xticks(())
plt.yticks(())
plt.legend(loc="best")

# 2) Off diagonal plot components 1 vs 2 for X and Y
plt.subplot(222)
plt.scatter(X_train_r[:, 0], X_train_r[:, 1], label="train",
            marker="*", s=50)
plt.scatter(X_test_r[:, 0], X_test_r[:, 1], label="test",
            marker="*", s=50)
plt.xlabel("X comp. 1")
plt.ylabel("X comp. 2")
plt.title('X comp. 1 vs X comp. 2 (test corr = %.2f)'
          % np.corrcoef(X_test_r[:, 0], X_test_r[:, 1])[0, 1])
plt.legend(loc="best")
plt.xticks(())
plt.yticks(())

plt.subplot(223)
plt.scatter(Y_train_r[:, 0], Y_train_r[:, 1], label="train",
            marker="*", s=50)
plt.scatter(Y_test_r[:, 0], Y_test_r[:, 1], label="test",
            marker="*", s=50)
plt.xlabel("Y comp. 1")
plt.ylabel("Y comp. 2")
plt.title('Y comp. 1 vs Y comp. 2 , (test corr = %.2f)'
          % np.corrcoef(Y_test_r[:, 0], Y_test_r[:, 1])[0, 1])
plt.legend(loc="best")
plt.xticks(())
plt.yticks(())
plt.show()

# #############################################################################
# PLS regression, with multivariate response, a.k.a. PLS2

n = 1000
q = 3
p = 10
X = np.random.normal(size=n * p).reshape((n, p))
B = np.array([[1, 2] + [0] * (p - 2)] * q).T
# each Yj = 1*X1 + 2*X2 + noize
Y = np.dot(X, B) + np.random.normal(size=n * q).reshape((n, q)) + 5

pls2 = PLSRegression(n_components=3)
pls2.fit(X, Y)
print("True B (such that: Y = XB + Err)")
print(B)
# compare pls2.coef_ with B
print("Estimated B")
print(np.round(pls2.coef_, 1))
pls2.predict(X)

# PLS regression, with univariate response, a.k.a. PLS1

n = 1000
p = 10
X = np.random.normal(size=n * p).reshape((n, p))
y = X[:, 0] + 2 * X[:, 1] + np.random.normal(size=n * 1) + 5
pls1 = PLSRegression(n_components=3)
pls1.fit(X, y)
# note that the number of components exceeds 1 (the dimension of y)
print("Estimated betas")
print(np.round(pls1.coef_, 1))

# #############################################################################
# CCA (PLS mode B with symmetric deflation)

cca = CCA(n_components=2)
cca.fit(X_train, Y_train)
X_train_r, Y_train_r = cca.transform(X_train, Y_train)
X_test_r, Y_test_r = cca.transform(X_test, Y_test)