pls.m

《模式分析的核方法》一书中的源代码

function [W,testY,testerror] = pls(X,Xtest,Y,T,varargin)

%function [W,testY,testerror] = pls(X,Xtest,Y,T,varargin)
%
% Performs PLS discrimination
%
%INPUTS
% X = the training kernel matrix (ell x N)
% Xtest = the sample matrix (elltest x N)
% Y = the training label matrix (ell x m)
% T = the number of PLS components to take
% varargin = optional argument specifying the true test label matrix
%            of size elltest x m
%
%OUTPUTs
% w = the weight vectors corresponding to the PLS classfier
% testY = the estimated label matrix for the test samples
% testerror = the test error
%
%
%For more info, see www.kernel-methods.net
%
%Note: this code has not been tested extensively.



% X is an ell x n matrix whose rows are the training inputs
% Y is ell x m containing the corresponding output vectors
% T gives the number of iterations to be performed
mux = mean(X); muy = mean(Y); jj = ones(size(X,1),1);
X = X - jj*mux; Y = Y - jj*muy;
trainY=0;
ell=size(X,1);
for i=1:T
    YX = Y'*X;
    u(:,i) = YX(1,:)'/norm(YX(1,:));
    if size(Y,2) > 1, % only loop if dimension greater than 1
        uold = u(:,i) + 1;
        while norm(u(:,i) - uold) > 0.001,
            uold = u(:,i);
            tu = YX'*YX*u(:,i);
            u(:,i) = tu/norm(tu);
        end
    end
    t = X*u(:,i);
    c(:,i) = Y'*t/(t'*t);
    p(:,i) = X'*t/(t'*t);
    trainY = trainY + t*c(:,i)';
    trainerror = norm(Y - trainY,'fro')/sqrt(ell);
    X = X - t*p(:,i)';
    % compute residual Y = Y - t*c(:,i)';
end
% Regression coefficients for new data
W = u * ((p'*u)\c');
%  Xtest gives new data inputs as rows, Ytest true outputs
elltest = size(Xtest,1); jj = ones(elltest,1);
testY = (Xtest - jj*mux) * W + jj*muy;

if ~isempty(varargin)
    Ytest = varargin{1};
    testerror = norm(Ytest - testY,'fro')/sqrt(elltest)
    varargout = testerror;
end