偏最小二乘法（PLS）Python代码

说明：本文不讲解PLS算法，需要对该算法有一定基础，只提供python代码，包含计算过程、可视化画图、多元高次优化、评价函数。调用方法和参数请见代码最后注释。PLS 网上并没有找到严格的多元高次线性回归的证明， 但经过测试我验证了代码的可用性，一定情况下高次（即可包含如x*x的项）拟合更加高，但很多时候并不是如此，只是提供一种优化的可能，只需要改 polynomial 参数即可。该代码基本已是完整代码，只有 def Polynomial(self): 高次计算函数代码有缺陷，如有更好想法可以一起改进。

import matplotlib.pyplot as plt
import pandas as pd
import numpy as np
from sklearn import preprocessing
from numpy.matlib import repmat
import csv
from math import ceil


class Linear:
    def __init__(self, dependent, document, polynomial=1):
        self.dependent = dependent
        self.document = document
        self.polynomial = polynomial
        self.openfile()
        self.n = len(self.df.columns) - self.dependent
        self.Polynomial()
        x0, y0, num, xishu, ch0, xish, sol = self.find()
        self.save(sol=sol)
        self.PLOT(ch0=ch0, num=num, x0=x0, y0=y0, xishu=xishu, xish=xish)

    def openfile(self):
        file_type = self.document.split(".")[-1]
        if file_type == "csv":
            self.df = pd.read_csv(self.document, encoding='GBK')
        elif file_type == "xlsx" or file_type == "xls":
            self.df = pd.read_excel(self.document)
        else:
            exit("Unknown file type")

    def Polynomial(self):
        if self.polynomial != 1:
            temp = self.df.iloc[:, -self.dependent:]
            self.df.drop(self.df.columns[-self.dependent:], axis=1, inplace=True)
            count = self.n
            count_begin = 0
            for i in range(1, self.polynomial):
                count_end = count
                for k in range(self.n):
                    for j in range(count_begin, count_end):
                        name = "x" + str(k + 1) + str(j + 1) if i == 1 else "x" + str(k + 1) + self.df.columns[j][1:]
                        count += 1
                        self.df[name] = self.df.iloc[:, j].mul(self.df.iloc[:, k])
                count_begin = count_end
            for i in range(len(temp.columns)):
                self.df[temp.columns[i]] = temp.iloc[:, i]
            self.df.to_csv("changed.csv", encoding='GBK')

    def find(self):
        df = self.df
        df_matrix = np.array(df)
        mu = np.mean(df_matrix, axis=0)
        sig = np.std(df_matrix, axis=0)
        rr = df.corr()
        rr.to_csv("相关系数矩阵.csv", encoding='GBK')
        data = preprocessing.scale(df_matrix)
        m = self.dependent
        n = len(df.columns) - m
        self.n = n
        x0 = df_matrix[:, :n]
        y0 = df_matrix[:, n:]
        e0 = data[:, :n]
        f0 = data[:, n:]
        num = len(df.iloc[:, 0])
        chg = np.identity(n)
        w = np.zeros([n, n])
        w_star = np.zeros([n, n])
        t = np.zeros([num, n])
        ss = []
        Q_h2 = []
        press_i = [0 for i in range(num)]
        press = [0 for i in range(n)]
        flag = 0
        for i in range(n):
            matrix = e0.T @ f0 @ f0.T @ e0
            [val, vec] = np.linalg.eig(matrix)
            val = val.argsort()
            w[:, i] = vec[:, val[len(val) - 1]]
            w_star[:, i] = chg @ w[:, i]
            t[:, i] = e0 @ w[:, i]
            alpha = [e0.T @ t[:, i] / (t[:, i].T @ t[:, i])]
            chg = chg @ (np.identity(n) - w[:, i:i + 1] @ alpha)
            e0 = e0 - t[:, i:i + 1] @ alpha
            beta = np.linalg.pinv(np.c_[t[:, :i + 1], np.ones(num)]) @ f0
            beta = np.delete(beta, (-1), axis=0)
            cancha = f0 - t[:, :i + 1] @ beta
            cancha = np.array([[cancha[i][j] ** 2 for j in range(len(cancha[i]))] for i in range(len(cancha))])
            ss.append(cancha.sum())
            for j in range(num):
                t1 = t[:, :i + 1]
                f1 = f0
                she_t = t1[j:j + 1, :]
                she_f = f1[j:j + 1, :]
                t1 = np.delete(t1, j, axis=0)
                f1 = np.delete(f1, j, axis=0)
                beta1 = np.linalg.pinv(np.c_[t1, np.ones(num - 1)]) @ f1
                beta1 = np.delete(beta1, (-1), axis=0)
                cancha = she_f - she_t @ beta1
                cancha = np.array([[cancha[i][j] ** 2 for j in range(len(cancha[i]))] for i in range(len(cancha))])
                press_i[j] = cancha.sum()
            press[i] = np.array(press_i).sum()
            if i > 0:
                Q_h2.append(1 - press[i] / ss[i - 1])
                # print('Q_h2[{}] = {}'.format(i, (1 - press[i] / ss[i - 1])))
            else:
                Q_h2.append(1)
            if Q_h2[i] < 0.0975:
                # print('Number of components proposedr = %d' % (i + 1))
                # print("Q_h2 = {}".format(Q_h2[-1]))
                r = i
                flag = 1
                break
        if not flag:
            exit("Can't find")
        beta_z = np.linalg.pinv(np.c_[t[:, :r + 1], np.ones(num)]) @ f0
        beta_z = np.delete(beta_z, (-1), axis=0)
        xishu = w_star[:, :r + 1] @ beta_z
        mu_x = mu[:n]
        mu_y = mu[n:]
        sig_x = sig[:n]
        sig_y = sig[n:]
        ch0 = []
        for i in range(m):
            ch0.append(float(mu_y[i] - np.true_divide(mu_x, sig_x) * sig_y[i] @ xishu[:, i:i + 1]))
        xish = np.zeros([n, m])
        for i in range(m):
            xish[:, i] = np.true_divide(xishu[:, i], sig_x.T) * sig_y[i]
        sol = np.r_[np.array([ch0]), xish]
        # 防止报错 nan_2_0
        # x0, y0, num, xishu, ch0, xish, sol = map(lambda x: np.nan_to_num(x), [x0, y0, num, xishu, ch0, xish, sol])
        return x0, y0, num, xishu, ch0, xish, sol

    def PLOT(self, ch0, num, x0, y0, xishu, xish):
        plt.rcParams['font.sans-serif'] = ['SimHei']  # 用黑体显示中文
        plt.rcParams['axes.unicode_minus'] = False
        ch0 = repmat(ch0, num, 1)
        y_hat = ch0 + x0 @ xish
        y1max = y_hat.max(axis=0)
        y2max = y0.max(axis=0)
        ymax = np.r_[np.array([y1max]), np.array([y2max])].max(axis=0)
        for i in range(self.dependent):
            print("y{}: R^2 score = {}".format(i + 1, R2_func(y_hat[:, i], self.df.iloc[:, -self.dependent + i])))
            plt.subplot(self.dependent, 2, i * 2 + 1)
            x = [-1, ceil(ymax[i])]
            plt.plot(x, x, '-')
            plt.plot(y_hat[:, i], y0[:, i], '*')
            plt.title("y{}".format(i + 1))
            plt.subplot(self.dependent, 2, i * 2 + 2)
            x = np.arange(self.n)
            plt.bar(x, height=xishu[:, i].reshape([1, self.n], order='F')[0], width=0.5)
            plt.plot([0, self.n], [0, 0], "-")
            plt.title("y{}".format(i + 1))
        plt.tight_layout()
        plt.savefig("verify.jpg")
        plt.show()

    def save(self, sol):
        sol = np.r_[[["y{}".format(i + 1) for i in range(self.dependent)]], sol]
        sol = np.c_[["dependent", "x0"] + list(self.df.columns[:-self.dependent]), sol]
        print(sol)
        with open("result.csv", "w", newline="") as file:
            writer = csv.writer(file)
            writer.writerows(sol)


def R2_func(y_test, y):
    return 1 - ((y_test - y) ** 2).sum() / ((y.mean() - y) ** 2).sum()


if __name__ == '__main__':
    # 因变量个数，文件位置，次数
    # 文件格式说明：第一行为数据名称（非数据），每一列不能全为0，请自行删除全为0的列
    # 文件格式说明：第一列拒绝 index ， 前面 m 列为自变量， 后面 n 列为因变量
    # 文件类型说明： 支持 .csv .xlsx .xls
    Linear(2, "data.csv", 1)

代码生成文件说明：

changed.csv        如果启用了多元高次回归会生成该文件，计算高次项的值
result.csv        结果文件
verify.jpg        可视化结果
相关系数矩阵.csv        相关系数矩阵文件

代码会print的值说明：

第一个二维矩阵为结果的值进行打印
接下来为R^2 score评价函数

可供测试文件：

https://www.pancake2021.work/wp-content/uploads/data.csv

测试文件说明：

该data文件为2021小美赛C题我们组自己制作的data，有一定参考性，不完全可靠，只是提供一种测试可能。该文件因变量为2个即最后的score和DRA。

个人博客地址偏最小二乘法（PLS）Python参考代码 – Pancake’s Personal Website

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