.. DO NOT EDIT. .. THIS FILE WAS AUTOMATICALLY GENERATED BY SPHINX-GALLERY. .. TO MAKE CHANGES, EDIT THE SOURCE PYTHON FILE: .. "auto_examples/cross_decomposition/plot_compare_cross_decomposition.py" .. LINE NUMBERS ARE GIVEN BELOW. .. only:: html .. note:: :class: sphx-glr-download-link-note :ref:`Go to the end ` to download the full example code or to run this example in your browser via JupyterLite or Binder .. rst-class:: sphx-glr-example-title .. _sphx_glr_auto_examples_cross_decomposition_plot_compare_cross_decomposition.py: =================================== Compare cross decomposition methods =================================== Simple usage of various cross decomposition algorithms: - PLSCanonical - PLSRegression, with multivariate response, a.k.a. PLS2 - PLSRegression, with univariate response, a.k.a. PLS1 - CCA Given 2 multivariate covarying two-dimensional datasets, X, and Y, PLS extracts the 'directions of covariance', i.e. the components of each datasets that explain the most shared variance between both datasets. This is apparent on the **scatterplot matrix** display: components 1 in dataset X and dataset Y are maximally correlated (points lie around the first diagonal). This is also true for components 2 in both dataset, however, the correlation across datasets for different components is weak: the point cloud is very spherical. .. GENERATED FROM PYTHON SOURCE LINES 25-27 Dataset based latent variables model ------------------------------------ .. GENERATED FROM PYTHON SOURCE LINES 27-49 .. code-block:: Python import numpy as np 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)) .. rst-class:: sphx-glr-script-out .. code-block:: none Corr(X) [[ 1. 0.45 0.02 0.06] [ 0.45 1. -0.1 -0.01] [ 0.02 -0.1 1. 0.47] [ 0.06 -0.01 0.47 1. ]] Corr(Y) [[ 1. 0.5 -0.06 -0.04] [ 0.5 1. 0. -0.07] [-0.06 0. 1. 0.51] [-0.04 -0.07 0.51 1. ]] .. GENERATED FROM PYTHON SOURCE LINES 50-55 Canonical (symmetric) PLS ------------------------- Transform data ~~~~~~~~~~~~~~ .. GENERATED FROM PYTHON SOURCE LINES 55-63 .. code-block:: Python from sklearn.cross_decomposition import PLSCanonical 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) .. GENERATED FROM PYTHON SOURCE LINES 64-66 Scatter plot of scores ~~~~~~~~~~~~~~~~~~~~~~ .. GENERATED FROM PYTHON SOURCE LINES 66-125 .. code-block:: Python import matplotlib.pyplot as plt # 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") # 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() .. image-sg:: /auto_examples/cross_decomposition/images/sphx_glr_plot_compare_cross_decomposition_001.png :alt: Comp. 1: X vs Y (test corr = 0.65), Comp. 2: X vs Y (test corr = 0.68), X comp. 1 vs X comp. 2 (test corr = -0.06), Y comp. 1 vs Y comp. 2 , (test corr = -0.06) :srcset: /auto_examples/cross_decomposition/images/sphx_glr_plot_compare_cross_decomposition_001.png :class: sphx-glr-single-img .. GENERATED FROM PYTHON SOURCE LINES 126-128 PLS regression, with multivariate response, a.k.a. PLS2 ------------------------------------------------------- .. GENERATED FROM PYTHON SOURCE LINES 128-148 .. code-block:: Python from sklearn.cross_decomposition import PLSRegression 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) .. rst-class:: sphx-glr-script-out .. code-block:: none True B (such that: Y = XB + Err) [[1 1 1] [2 2 2] [0 0 0] [0 0 0] [0 0 0] [0 0 0] [0 0 0] [0 0 0] [0 0 0] [0 0 0]] Estimated B [[ 1. 2. 0. 0. 0. -0. 0. 0. 0.1 -0. ] [ 1.1 2. -0. 0. 0. 0. 0. 0. 0. 0. ] [ 1. 2. 0. 0. 0. 0. 0. 0. 0. -0. ]] array([[4.95213778, 5.10988205, 5.08029173], [3.80414253, 3.81422502, 3.83199463], [3.92896897, 3.76438188, 3.8798454 ], ..., [5.47804127, 5.59007842, 5.58442585], [4.73908648, 4.87282488, 4.85481267], [1.16714557, 0.99951652, 1.09671339]]) .. GENERATED FROM PYTHON SOURCE LINES 149-151 PLS regression, with univariate response, a.k.a. PLS1 ----------------------------------------------------- .. GENERATED FROM PYTHON SOURCE LINES 151-162 .. code-block:: Python 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)) .. rst-class:: sphx-glr-script-out .. code-block:: none Estimated betas [[ 1. 2. 0.1 -0. -0. -0. -0. 0. -0. 0. ]] .. GENERATED FROM PYTHON SOURCE LINES 163-165 CCA (PLS mode B with symmetric deflation) ----------------------------------------- .. GENERATED FROM PYTHON SOURCE LINES 165-172 .. code-block:: Python from sklearn.cross_decomposition import CCA 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) .. rst-class:: sphx-glr-timing **Total running time of the script:** (0 minutes 0.228 seconds) .. _sphx_glr_download_auto_examples_cross_decomposition_plot_compare_cross_decomposition.py: .. only:: html .. container:: sphx-glr-footer sphx-glr-footer-example .. container:: binder-badge .. image:: images/binder_badge_logo.svg :target: https://mybinder.org/v2/gh/scikit-learn/scikit-learn/main?urlpath=lab/tree/notebooks/auto_examples/cross_decomposition/plot_compare_cross_decomposition.ipynb :alt: Launch binder :width: 150 px .. container:: lite-badge .. image:: images/jupyterlite_badge_logo.svg :target: ../../lite/lab/?path=auto_examples/cross_decomposition/plot_compare_cross_decomposition.ipynb :alt: Launch JupyterLite :width: 150 px .. container:: sphx-glr-download sphx-glr-download-jupyter :download:`Download Jupyter notebook: plot_compare_cross_decomposition.ipynb ` .. container:: sphx-glr-download sphx-glr-download-python :download:`Download Python source code: plot_compare_cross_decomposition.py ` .. include:: plot_compare_cross_decomposition.recommendations .. only:: html .. rst-class:: sphx-glr-signature `Gallery generated by Sphinx-Gallery `_