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There was already a question like this, but it was not answered, so I try to post it again. Does anyone know of an open-source implementation of a partial least squares algorithm in C++ (or C)? Or maybe a library that does it?
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Partial least squares regression (PLS regression) is a statistical method that bears some relation to principal components regression; instead of finding hyperplanes of maximum variance between the response and independent variables, it finds a linear regression model by projecting the predicted variables and the ...
Partial least squares regression (PLSR) is a machine learning technique that can solve both single- and multi-label learning problems. Partial least squares models relationships between sets of observed variables with “latent variables” (Wold, 1982).
PLS is both a transformer and a regressor, and it is quite similar to PCR: it also applies a dimensionality reduction to the samples before applying a linear regressor to the transformed data. The main difference with PCR is that the PLS transformation is supervised.
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Found the PLS NIPALS C++ library, but haven't tried it yet.
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