projektAI/venv/Lib/site-packages/sklearn/cross_decomposition/_pls.py

"""
The :mod:`sklearn.pls` module implements Partial Least Squares (PLS).
"""

# Author: Edouard Duchesnay <edouard.duchesnay@cea.fr>
# License: BSD 3 clause

import warnings
from abc import ABCMeta, abstractmethod

import numpy as np
from scipy.linalg import pinv2, svd

from ..base import BaseEstimator, RegressorMixin, TransformerMixin
from ..base import MultiOutputMixin
from ..utils import check_array, check_consistent_length
from ..utils.extmath import svd_flip
from ..utils.validation import check_is_fitted, FLOAT_DTYPES
from ..utils.validation import _deprecate_positional_args
from ..exceptions import ConvergenceWarning
from ..utils.deprecation import deprecated

__all__ = ['PLSCanonical', 'PLSRegression', 'PLSSVD']


def _pinv2_old(a):
    # Used previous scipy pinv2 that was updated in:
    # https://github.com/scipy/scipy/pull/10067
    # We can not set `cond` or `rcond` for pinv2 in scipy >= 1.3 to keep the
    # same behavior of pinv2 for scipy < 1.3, because the condition used to
    # determine the rank is dependent on the output of svd.
    u, s, vh = svd(a, full_matrices=False, check_finite=False)

    t = u.dtype.char.lower()
    factor = {'f': 1E3, 'd': 1E6}
    cond = np.max(s) * factor[t] * np.finfo(t).eps
    rank = np.sum(s > cond)

    u = u[:, :rank]
    u /= s[:rank]
    return np.transpose(np.conjugate(np.dot(u, vh[:rank])))


def _get_first_singular_vectors_power_method(X, Y, mode="A", max_iter=500,
                                             tol=1e-06, norm_y_weights=False):
    """Return the first left and right singular vectors of X'Y.

    Provides an alternative to the svd(X'Y) and uses the power method instead.
    With norm_y_weights to True and in mode A, this corresponds to the
    algorithm section 11.3 of the Wegelin's review, except this starts at the
    "update saliences" part.
    """

    eps = np.finfo(X.dtype).eps
    try:
        y_score = next(col for col in Y.T if np.any(np.abs(col) > eps))
    except StopIteration as e:
        raise StopIteration("Y residual is constant") from e

    x_weights_old = 100  # init to big value for first convergence check

    if mode == 'B':
        # Precompute pseudo inverse matrices
        # Basically: X_pinv = (X.T X)^-1 X.T
        # Which requires inverting a (n_features, n_features) matrix.
        # As a result, and as detailed in the Wegelin's review, CCA (i.e. mode
        # B) will be unstable if n_features > n_samples or n_targets >
        # n_samples
        X_pinv, Y_pinv = _pinv2_old(X), _pinv2_old(Y)

    for i in range(max_iter):
        if mode == "B":
            x_weights = np.dot(X_pinv, y_score)
        else:
            x_weights = np.dot(X.T, y_score) / np.dot(y_score, y_score)

        x_weights /= np.sqrt(np.dot(x_weights, x_weights)) + eps
        x_score = np.dot(X, x_weights)

        if mode == "B":
            y_weights = np.dot(Y_pinv, x_score)
        else:
            y_weights = np.dot(Y.T, x_score) / np.dot(x_score.T, x_score)

        if norm_y_weights:
            y_weights /= np.sqrt(np.dot(y_weights, y_weights)) + eps

        y_score = np.dot(Y, y_weights) / (np.dot(y_weights, y_weights) + eps)

        x_weights_diff = x_weights - x_weights_old
        if np.dot(x_weights_diff, x_weights_diff) < tol or Y.shape[1] == 1:
            break
        x_weights_old = x_weights

    n_iter = i + 1
    if n_iter == max_iter:
        warnings.warn('Maximum number of iterations reached',
                      ConvergenceWarning)

    return x_weights, y_weights, n_iter


def _get_first_singular_vectors_svd(X, Y):
    """Return the first left and right singular vectors of X'Y.

    Here the whole SVD is computed.
    """
    C = np.dot(X.T, Y)
    U, _, Vt = svd(C, full_matrices=False)
    return U[:, 0], Vt[0, :]


def _center_scale_xy(X, Y, scale=True):
    """ Center X, Y and scale if the scale parameter==True

    Returns
    -------
        X, Y, x_mean, y_mean, x_std, y_std
    """
    # center
    x_mean = X.mean(axis=0)
    X -= x_mean
    y_mean = Y.mean(axis=0)
    Y -= y_mean
    # scale
    if scale:
        x_std = X.std(axis=0, ddof=1)
        x_std[x_std == 0.0] = 1.0
        X /= x_std
        y_std = Y.std(axis=0, ddof=1)
        y_std[y_std == 0.0] = 1.0
        Y /= y_std
    else:
        x_std = np.ones(X.shape[1])
        y_std = np.ones(Y.shape[1])
    return X, Y, x_mean, y_mean, x_std, y_std


def _svd_flip_1d(u, v):
    """Same as svd_flip but works on 1d arrays, and is inplace"""
    # svd_flip would force us to convert to 2d array and would also return 2d
    # arrays. We don't want that.
    biggest_abs_val_idx = np.argmax(np.abs(u))
    sign = np.sign(u[biggest_abs_val_idx])
    u *= sign
    v *= sign


class _PLS(TransformerMixin, RegressorMixin, MultiOutputMixin, BaseEstimator,
           metaclass=ABCMeta):
    """Partial Least Squares (PLS)

    This class implements the generic PLS algorithm.

    Main ref: Wegelin, a survey of Partial Least Squares (PLS) methods,
    with emphasis on the two-block case
    https://www.stat.washington.edu/research/reports/2000/tr371.pdf
    """

    @abstractmethod
    def __init__(self, n_components=2, *, scale=True,
                 deflation_mode="regression",
                 mode="A", algorithm="nipals", max_iter=500, tol=1e-06,
                 copy=True):
        self.n_components = n_components
        self.deflation_mode = deflation_mode
        self.mode = mode
        self.scale = scale
        self.algorithm = algorithm
        self.max_iter = max_iter
        self.tol = tol
        self.copy = copy

    def fit(self, X, Y):
        """Fit model to data.

        Parameters
        ----------
        X : array-like of shape (n_samples, n_features)
            Training vectors, where `n_samples` is the number of samples and
            `n_features` is the number of predictors.

        Y : array-like of shape (n_samples,) or (n_samples, n_targets)
            Target vectors, where `n_samples` is the number of samples and
            `n_targets` is the number of response variables.
        """

        check_consistent_length(X, Y)
        X = self._validate_data(X, dtype=np.float64, copy=self.copy,
                                ensure_min_samples=2)
        Y = check_array(Y, dtype=np.float64, copy=self.copy, ensure_2d=False)
        if Y.ndim == 1:
            Y = Y.reshape(-1, 1)

        n = X.shape[0]
        p = X.shape[1]
        q = Y.shape[1]

        n_components = self.n_components
        if self.deflation_mode == 'regression':
            # With PLSRegression n_components is bounded by the rank of (X.T X)
            # see Wegelin page 25
            rank_upper_bound = p
            if not 1 <= n_components <= rank_upper_bound:
                # TODO: raise an error in 1.1
                warnings.warn(
                    f"As of version 0.24, n_components({n_components}) should "
                    f"be in [1, n_features]."
                    f"n_components={rank_upper_bound} will be used instead. "
                    f"In version 1.1 (renaming of 0.26), an error will be "
                    f"raised.",
                    FutureWarning
                )
                n_components = rank_upper_bound
        else:
            # With CCA and PLSCanonical, n_components is bounded by the rank of
            # X and the rank of Y: see Wegelin page 12
            rank_upper_bound = min(n, p, q)
            if not 1 <= self.n_components <= rank_upper_bound:
                # TODO: raise an error in 1.1
                warnings.warn(
                    f"As of version 0.24, n_components({n_components}) should "
                    f"be in [1, min(n_features, n_samples, n_targets)] = "
                    f"[1, {rank_upper_bound}]. "
                    f"n_components={rank_upper_bound} will be used instead. "
                    f"In version 1.1 (renaming of 0.26), an error will be "
                    f"raised.",
                    FutureWarning
                )
                n_components = rank_upper_bound

        if self.algorithm not in ("svd", "nipals"):
            raise ValueError("algorithm should be 'svd' or 'nipals', got "
                             f"{self.algorithm}.")

        self._norm_y_weights = (self.deflation_mode == 'canonical')  # 1.1
        norm_y_weights = self._norm_y_weights

        # Scale (in place)
        Xk, Yk, self._x_mean, self._y_mean, self._x_std, self._y_std = (
            _center_scale_xy(X, Y, self.scale))

        self.x_weights_ = np.zeros((p, n_components))  # U
        self.y_weights_ = np.zeros((q, n_components))  # V
        self._x_scores = np.zeros((n, n_components))  # Xi
        self._y_scores = np.zeros((n, n_components))  # Omega
        self.x_loadings_ = np.zeros((p, n_components))  # Gamma
        self.y_loadings_ = np.zeros((q, n_components))  # Delta
        self.n_iter_ = []

        # This whole thing corresponds to the algorithm in section 4.1 of the
        # review from Wegelin. See above for a notation mapping from code to
        # paper.
        Y_eps = np.finfo(Yk.dtype).eps
        for k in range(n_components):
            # Find first left and right singular vectors of the X.T.dot(Y)
            # cross-covariance matrix.
            if self.algorithm == "nipals":
                # Replace columns that are all close to zero with zeros
                Yk_mask = np.all(np.abs(Yk) < 10 * Y_eps, axis=0)
                Yk[:, Yk_mask] = 0.0

                try:
                    x_weights, y_weights, n_iter_ = \
                        _get_first_singular_vectors_power_method(
                            Xk, Yk, mode=self.mode, max_iter=self.max_iter,
                            tol=self.tol, norm_y_weights=norm_y_weights)
                except StopIteration as e:
                    if str(e) != "Y residual is constant":
                        raise
                    warnings.warn(f"Y residual is constant at iteration {k}")
                    break

                self.n_iter_.append(n_iter_)

            elif self.algorithm == "svd":
                x_weights, y_weights = _get_first_singular_vectors_svd(Xk, Yk)

            # inplace sign flip for consistency across solvers and archs
            _svd_flip_1d(x_weights, y_weights)

            # compute scores, i.e. the projections of X and Y
            x_scores = np.dot(Xk, x_weights)
            if norm_y_weights:
                y_ss = 1
            else:
                y_ss = np.dot(y_weights, y_weights)
            y_scores = np.dot(Yk, y_weights) / y_ss

            # Deflation: subtract rank-one approx to obtain Xk+1 and Yk+1
            x_loadings = np.dot(x_scores, Xk) / np.dot(x_scores, x_scores)
            Xk -= np.outer(x_scores, x_loadings)

            if self.deflation_mode == "canonical":
                # regress Yk on y_score
                y_loadings = np.dot(y_scores, Yk) / np.dot(y_scores, y_scores)
                Yk -= np.outer(y_scores, y_loadings)
            if self.deflation_mode == "regression":
                # regress Yk on x_score
                y_loadings = np.dot(x_scores, Yk) / np.dot(x_scores, x_scores)
                Yk -= np.outer(x_scores, y_loadings)

            self.x_weights_[:, k] = x_weights
            self.y_weights_[:, k] = y_weights
            self._x_scores[:, k] = x_scores
            self._y_scores[:, k] = y_scores
            self.x_loadings_[:, k] = x_loadings
            self.y_loadings_[:, k] = y_loadings

        # X was approximated as Xi . Gamma.T + X_(R+1)
        # Xi . Gamma.T is a sum of n_components rank-1 matrices. X_(R+1) is
        # whatever is left to fully reconstruct X, and can be 0 if X is of rank
        # n_components.
        # Similiarly, Y was approximated as Omega . Delta.T + Y_(R+1)

        # Compute transformation matrices (rotations_). See User Guide.
        self.x_rotations_ = np.dot(
            self.x_weights_,
            pinv2(np.dot(self.x_loadings_.T, self.x_weights_),
                  check_finite=False))
        self.y_rotations_ = np.dot(
            self.y_weights_, pinv2(np.dot(self.y_loadings_.T, self.y_weights_),
                                   check_finite=False))

        self.coef_ = np.dot(self.x_rotations_, self.y_loadings_.T)
        self.coef_ = self.coef_ * self._y_std
        return self

    def transform(self, X, Y=None, copy=True):
        """Apply the dimension reduction.

        Parameters
        ----------
        X : array-like of shape (n_samples, n_features)
            Samples to transform.

        Y : array-like of shape (n_samples, n_targets), default=None
            Target vectors.

        copy : bool, default=True
            Whether to copy `X` and `Y`, or perform in-place normalization.

        Returns
        -------
        `x_scores` if `Y` is not given, `(x_scores, y_scores)` otherwise.
        """
        check_is_fitted(self)
        X = check_array(X, copy=copy, dtype=FLOAT_DTYPES)
        # Normalize
        X -= self._x_mean
        X /= self._x_std
        # Apply rotation
        x_scores = np.dot(X, self.x_rotations_)
        if Y is not None:
            Y = check_array(Y, ensure_2d=False, copy=copy, dtype=FLOAT_DTYPES)
            if Y.ndim == 1:
                Y = Y.reshape(-1, 1)
            Y -= self._y_mean
            Y /= self._y_std
            y_scores = np.dot(Y, self.y_rotations_)
            return x_scores, y_scores

        return x_scores

    def inverse_transform(self, X):
        """Transform data back to its original space.

        Parameters
        ----------
        X : array-like of shape (n_samples, n_components)
            New data, where `n_samples` is the number of samples
            and `n_components` is the number of pls components.

        Returns
        -------
        x_reconstructed : array-like of shape (n_samples, n_features)

        Notes
        -----
        This transformation will only be exact if `n_components=n_features`.
        """
        check_is_fitted(self)
        X = check_array(X, dtype=FLOAT_DTYPES)
        # From pls space to original space
        X_reconstructed = np.matmul(X, self.x_loadings_.T)

        # Denormalize
        X_reconstructed *= self._x_std
        X_reconstructed += self._x_mean
        return X_reconstructed

    def predict(self, X, copy=True):
        """Predict targets of given samples.

        Parameters
        ----------
        X : array-like of shape (n_samples, n_features)
            Samples.

        copy : bool, default=True
            Whether to copy `X` and `Y`, or perform in-place normalization.

        Notes
        -----
        This call requires the estimation of a matrix of shape
        `(n_features, n_targets)`, which may be an issue in high dimensional
        space.
        """
        check_is_fitted(self)
        X = check_array(X, copy=copy, dtype=FLOAT_DTYPES)
        # Normalize
        X -= self._x_mean
        X /= self._x_std
        Ypred = np.dot(X, self.coef_)
        return Ypred + self._y_mean

    def fit_transform(self, X, y=None):
        """Learn and apply the dimension reduction on the train data.

        Parameters
        ----------
        X : array-like of shape (n_samples, n_features)
            Training vectors, where n_samples is the number of samples and
            n_features is the number of predictors.

        y : array-like of shape (n_samples, n_targets), default=None
            Target vectors, where n_samples is the number of samples and
            n_targets is the number of response variables.

        Returns
        -------
        x_scores if Y is not given, (x_scores, y_scores) otherwise.
        """
        return self.fit(X, y).transform(X, y)

    # mypy error: Decorated property not supported
    @deprecated(  # type: ignore
        "Attribute norm_y_weights was deprecated in version 0.24 and "
        "will be removed in 1.1 (renaming of 0.26).")
    @property
    def norm_y_weights(self):
        return self._norm_y_weights

    @deprecated(  # type: ignore
        "Attribute x_mean_ was deprecated in version 0.24 and "
        "will be removed in 1.1 (renaming of 0.26).")
    @property
    def x_mean_(self):
        return self._x_mean

    @deprecated(  # type: ignore
        "Attribute y_mean_ was deprecated in version 0.24 and "
        "will be removed in 1.1 (renaming of 0.26).")
    @property
    def y_mean_(self):
        return self._y_mean

    @deprecated(  # type: ignore
        "Attribute x_std_ was deprecated in version 0.24 and "
        "will be removed in 1.1 (renaming of 0.26).")
    @property
    def x_std_(self):
        return self._x_std

    @deprecated(  # type: ignore
        "Attribute y_std_ was deprecated in version 0.24 and "
        "will be removed in 1.1 (renaming of 0.26).")
    @property
    def y_std_(self):
        return self._y_std

    @property
    def x_scores_(self):
        # TODO: raise error in 1.1 instead
        if not isinstance(self, PLSRegression):
            pass
            warnings.warn(
                "Attribute x_scores_ was deprecated in version 0.24 and "
                "will be removed in 1.1 (renaming of 0.26). Use "
                "est.transform(X) on the training data instead.",
                FutureWarning
            )
        return self._x_scores

    @property
    def y_scores_(self):
        # TODO: raise error in 1.1 instead
        if not isinstance(self, PLSRegression):
            warnings.warn(
                "Attribute y_scores_ was deprecated in version 0.24 and "
                "will be removed in 1.1 (renaming of 0.26). Use "
                "est.transform(X) on the training data instead.",
                FutureWarning
            )
        return self._y_scores

    def _more_tags(self):
        return {'poor_score': True,
                'requires_y': False}


class PLSRegression(_PLS):
    """PLS regression

    PLSRegression is also known as PLS2 or PLS1, depending on the number of
    targets.

    Read more in the :ref:`User Guide <cross_decomposition>`.

    .. versionadded:: 0.8

    Parameters
    ----------
    n_components : int, default=2
        Number of components to keep. Should be in `[1, min(n_samples,
        n_features, n_targets)]`.

    scale : bool, default=True
        Whether to scale `X` and `Y`.

    max_iter : int, default=500
        The maximum number of iterations of the power method when
        `algorithm='nipals'`. Ignored otherwise.

    tol : float, default=1e-06
        The tolerance used as convergence criteria in the power method: the
        algorithm stops whenever the squared norm of `u_i - u_{i-1}` is less
        than `tol`, where `u` corresponds to the left singular vector.

    copy : bool, default=True
        Whether to copy `X` and `Y` in fit before applying centering, and
        potentially scaling. If False, these operations will be done inplace,
        modifying both arrays.

    Attributes
    ----------
    x_weights_ : ndarray of shape (n_features, n_components)
        The left singular vectors of the cross-covariance matrices of each
        iteration.

    y_weights_ : ndarray of shape (n_targets, n_components)
        The right singular vectors of the cross-covariance matrices of each
        iteration.

    x_loadings_ : ndarray of shape (n_features, n_components)
        The loadings of `X`.

    y_loadings_ : ndarray of shape (n_targets, n_components)
        The loadings of `Y`.

    x_scores_ : ndarray of shape (n_samples, n_components)
        The transformed training samples.

    y_scores_ : ndarray of shape (n_samples, n_components)
        The transformed training targets.

    x_rotations_ : ndarray of shape (n_features, n_components)
        The projection matrix used to transform `X`.

    y_rotations_ : ndarray of shape (n_features, n_components)
        The projection matrix used to transform `Y`.

    coef_ : ndarray of shape (n_features, n_targets)
        The coefficients of the linear model such that `Y` is approximated as
        `Y = X @ coef_`.

    n_iter_ : list of shape (n_components,)
        Number of iterations of the power method, for each
        component.

    n_features_in_ : int
        Number of features seen during :term:`fit`.

    Examples
    --------
    >>> from sklearn.cross_decomposition import PLSRegression
    >>> X = [[0., 0., 1.], [1.,0.,0.], [2.,2.,2.], [2.,5.,4.]]
    >>> Y = [[0.1, -0.2], [0.9, 1.1], [6.2, 5.9], [11.9, 12.3]]
    >>> pls2 = PLSRegression(n_components=2)
    >>> pls2.fit(X, Y)
    PLSRegression()
    >>> Y_pred = pls2.predict(X)
    """

    # This implementation provides the same results that 3 PLS packages
    # provided in the R language (R-project):
    #     - "mixOmics" with function pls(X, Y, mode = "regression")
    #     - "plspm " with function plsreg2(X, Y)
    #     - "pls" with function oscorespls.fit(X, Y)

    @_deprecate_positional_args
    def __init__(self, n_components=2, *, scale=True,
                 max_iter=500, tol=1e-06, copy=True):
        super().__init__(
            n_components=n_components, scale=scale,
            deflation_mode="regression", mode="A",
            algorithm='nipals', max_iter=max_iter,
            tol=tol, copy=copy)


class PLSCanonical(_PLS):
    """Partial Least Squares transformer and regressor.

    Read more in the :ref:`User Guide <cross_decomposition>`.

    .. versionadded:: 0.8

    Parameters
    ----------
    n_components : int, default=2
        Number of components to keep. Should be in `[1, min(n_samples,
        n_features, n_targets)]`.

    scale : bool, default=True
        Whether to scale `X` and `Y`.

    algorithm : {'nipals', 'svd'}, default='nipals'
        The algorithm used to estimate the first singular vectors of the
        cross-covariance matrix. 'nipals' uses the power method while 'svd'
        will compute the whole SVD.

    max_iter : int, default=500
        the maximum number of iterations of the power method when
        `algorithm='nipals'`. Ignored otherwise.

    tol : float, default=1e-06
        The tolerance used as convergence criteria in the power method: the
        algorithm stops whenever the squared norm of `u_i - u_{i-1}` is less
        than `tol`, where `u` corresponds to the left singular vector.

    copy : bool, default=True
        Whether to copy `X` and `Y` in fit before applying centering, and
        potentially scaling. If False, these operations will be done inplace,
        modifying both arrays.

    Attributes
    ----------
    x_weights_ : ndarray of shape (n_features, n_components)
        The left singular vectors of the cross-covariance matrices of each
        iteration.

    y_weights_ : ndarray of shape (n_targets, n_components)
        The right singular vectors of the cross-covariance matrices of each
        iteration.

    x_loadings_ : ndarray of shape (n_features, n_components)
        The loadings of `X`.

    y_loadings_ : ndarray of shape (n_targets, n_components)
        The loadings of `Y`.

    x_scores_ : ndarray of shape (n_samples, n_components)
        The transformed training samples.

        .. deprecated:: 0.24
           `x_scores_` is deprecated in 0.24 and will be removed in 1.1
           (renaming of 0.26). You can just call `transform` on the training
           data instead.

    y_scores_ : ndarray of shape (n_samples, n_components)
        The transformed training targets.

        .. deprecated:: 0.24
           `y_scores_` is deprecated in 0.24 and will be removed in 1.1
           (renaming of 0.26). You can just call `transform` on the training
           data instead.

    x_rotations_ : ndarray of shape (n_features, n_components)
        The projection matrix used to transform `X`.

    y_rotations_ : ndarray of shape (n_features, n_components)
        The projection matrix used to transform `Y`.

    coef_ : ndarray of shape (n_features, n_targets)
        The coefficients of the linear model such that `Y` is approximated as
        `Y = X @ coef_`.

    n_iter_ : list of shape (n_components,)
        Number of iterations of the power method, for each
        component. Empty if `algorithm='svd'`.

    n_features_in_ : int
        Number of features seen during :term:`fit`.

    Examples
    --------
    >>> from sklearn.cross_decomposition import PLSCanonical
    >>> X = [[0., 0., 1.], [1.,0.,0.], [2.,2.,2.], [2.,5.,4.]]
    >>> Y = [[0.1, -0.2], [0.9, 1.1], [6.2, 5.9], [11.9, 12.3]]
    >>> plsca = PLSCanonical(n_components=2)
    >>> plsca.fit(X, Y)
    PLSCanonical()
    >>> X_c, Y_c = plsca.transform(X, Y)

    See Also
    --------
    CCA
    PLSSVD
    """
    # This implementation provides the same results that the "plspm" package
    # provided in the R language (R-project), using the function plsca(X, Y).
    # Results are equal or collinear with the function
    # ``pls(..., mode = "canonical")`` of the "mixOmics" package. The
    # difference relies in the fact that mixOmics implementation does not
    # exactly implement the Wold algorithm since it does not normalize
    # y_weights to one.

    @_deprecate_positional_args
    def __init__(self, n_components=2, *, scale=True, algorithm="nipals",
                 max_iter=500, tol=1e-06, copy=True):
        super().__init__(
            n_components=n_components, scale=scale,
            deflation_mode="canonical", mode="A",
            algorithm=algorithm,
            max_iter=max_iter, tol=tol, copy=copy)


class CCA(_PLS):
    """Canonical Correlation Analysis, also known as "Mode B" PLS.

    Read more in the :ref:`User Guide <cross_decomposition>`.

    Parameters
    ----------
    n_components : int, default=2
        Number of components to keep. Should be in `[1, min(n_samples,
        n_features, n_targets)]`.

    scale : bool, default=True
        Whether to scale `X` and `Y`.

    max_iter : int, default=500
        the maximum number of iterations of the power method.

    tol : float, default=1e-06
        The tolerance used as convergence criteria in the power method: the
        algorithm stops whenever the squared norm of `u_i - u_{i-1}` is less
        than `tol`, where `u` corresponds to the left singular vector.

    copy : bool, default=True
        Whether to copy `X` and `Y` in fit before applying centering, and
        potentially scaling. If False, these operations will be done inplace,
        modifying both arrays.

    Attributes
    ----------
    x_weights_ : ndarray of shape (n_features, n_components)
        The left singular vectors of the cross-covariance matrices of each
        iteration.

    y_weights_ : ndarray of shape (n_targets, n_components)
        The right singular vectors of the cross-covariance matrices of each
        iteration.

    x_loadings_ : ndarray of shape (n_features, n_components)
        The loadings of `X`.

    y_loadings_ : ndarray of shape (n_targets, n_components)
        The loadings of `Y`.

    x_scores_ : ndarray of shape (n_samples, n_components)
        The transformed training samples.

        .. deprecated:: 0.24
           `x_scores_` is deprecated in 0.24 and will be removed in 1.1
           (renaming of 0.26). You can just call `transform` on the training
           data instead.

    y_scores_ : ndarray of shape (n_samples, n_components)
        The transformed training targets.

        .. deprecated:: 0.24
           `y_scores_` is deprecated in 0.24 and will be removed in 1.1
           (renaming of 0.26). You can just call `transform` on the training
           data instead.

    x_rotations_ : ndarray of shape (n_features, n_components)
        The projection matrix used to transform `X`.

    y_rotations_ : ndarray of shape (n_features, n_components)
        The projection matrix used to transform `Y`.

    coef_ : ndarray of shape (n_features, n_targets)
        The coefficients of the linear model such that `Y` is approximated as
        `Y = X @ coef_`.

    n_iter_ : list of shape (n_components,)
        Number of iterations of the power method, for each
        component.

    n_features_in_ : int
        Number of features seen during :term:`fit`.

    Examples
    --------
    >>> from sklearn.cross_decomposition import CCA
    >>> X = [[0., 0., 1.], [1.,0.,0.], [2.,2.,2.], [3.,5.,4.]]
    >>> Y = [[0.1, -0.2], [0.9, 1.1], [6.2, 5.9], [11.9, 12.3]]
    >>> cca = CCA(n_components=1)
    >>> cca.fit(X, Y)
    CCA(n_components=1)
    >>> X_c, Y_c = cca.transform(X, Y)

    See Also
    --------
    PLSCanonical
    PLSSVD
    """

    @_deprecate_positional_args
    def __init__(self, n_components=2, *, scale=True,
                 max_iter=500, tol=1e-06, copy=True):
        super().__init__(n_components=n_components, scale=scale,
                         deflation_mode="canonical", mode="B",
                         algorithm="nipals", max_iter=max_iter, tol=tol,
                         copy=copy)


class PLSSVD(TransformerMixin, BaseEstimator):
    """Partial Least Square SVD.

    This transformer simply performs a SVD on the crosscovariance matrix X'Y.
    It is able to project both the training data `X` and the targets `Y`. The
    training data X is projected on the left singular vectors, while the
    targets are projected on the right singular vectors.

    Read more in the :ref:`User Guide <cross_decomposition>`.

    .. versionadded:: 0.8

    Parameters
    ----------
    n_components : int, default=2
        The number of components to keep. Should be in `[1,
        min(n_samples, n_features, n_targets)]`.

    scale : bool, default=True
        Whether to scale `X` and `Y`.

    copy : bool, default=True
        Whether to copy `X` and `Y` in fit before applying centering, and
        potentially scaling. If False, these operations will be done inplace,
        modifying both arrays.

    Attributes
    ----------
    x_weights_ : ndarray of shape (n_features, n_components)
        The left singular vectors of the SVD of the cross-covariance matrix.
        Used to project `X` in `transform`.

    y_weights_ : ndarray of (n_targets, n_components)
        The right singular vectors of the SVD of the cross-covariance matrix.
        Used to project `X` in `transform`.

    x_scores_ : ndarray of shape (n_samples, n_components)
        The transformed training samples.

        .. deprecated:: 0.24
           `x_scores_` is deprecated in 0.24 and will be removed in 1.1
           (renaming of 0.26). You can just call `transform` on the training
           data instead.

    y_scores_ : ndarray of shape (n_samples, n_components)
        The transformed training targets.

        .. deprecated:: 0.24
           `y_scores_` is deprecated in 0.24 and will be removed in 1.1
           (renaming of 0.26). You can just call `transform` on the training
           data instead.

    n_features_in_ : int
        Number of features seen during :term:`fit`.

    Examples
    --------
    >>> import numpy as np
    >>> from sklearn.cross_decomposition import PLSSVD
    >>> X = np.array([[0., 0., 1.],
    ...               [1., 0., 0.],
    ...               [2., 2., 2.],
    ...               [2., 5., 4.]])
    >>> Y = np.array([[0.1, -0.2],
    ...               [0.9, 1.1],
    ...               [6.2, 5.9],
    ...               [11.9, 12.3]])
    >>> pls = PLSSVD(n_components=2).fit(X, Y)
    >>> X_c, Y_c = pls.transform(X, Y)
    >>> X_c.shape, Y_c.shape
    ((4, 2), (4, 2))

    See Also
    --------
    PLSCanonical
    CCA
    """
    @_deprecate_positional_args
    def __init__(self, n_components=2, *, scale=True, copy=True):
        self.n_components = n_components
        self.scale = scale
        self.copy = copy

    def fit(self, X, Y):
        """Fit model to data.

        Parameters
        ----------
        X : array-like of shape (n_samples, n_features)
            Training samples.

        Y : array-like of shape (n_samples,) or (n_samples, n_targets)
            Targets.
        """
        check_consistent_length(X, Y)
        X = self._validate_data(X, dtype=np.float64, copy=self.copy,
                                ensure_min_samples=2)
        Y = check_array(Y, dtype=np.float64, copy=self.copy, ensure_2d=False)
        if Y.ndim == 1:
            Y = Y.reshape(-1, 1)

        # we'll compute the SVD of the cross-covariance matrix = X.T.dot(Y)
        # This matrix rank is at most min(n_samples, n_features, n_targets) so
        # n_components cannot be bigger than that.
        n_components = self.n_components
        rank_upper_bound = min(X.shape[0], X.shape[1], Y.shape[1])
        if not 1 <= n_components <= rank_upper_bound:
            # TODO: raise an error in 1.1
            warnings.warn(
                f"As of version 0.24, n_components({n_components}) should be "
                f"in [1, min(n_features, n_samples, n_targets)] = "
                f"[1, {rank_upper_bound}]. "
                f"n_components={rank_upper_bound} will be used instead. "
                f"In version 1.1 (renaming of 0.26), an error will be raised.",
                FutureWarning
            )
            n_components = rank_upper_bound

        X, Y, self._x_mean, self._y_mean, self._x_std, self._y_std = (
            _center_scale_xy(X, Y, self.scale))

        # Compute SVD of cross-covariance matrix
        C = np.dot(X.T, Y)
        U, s, Vt = svd(C, full_matrices=False)
        U = U[:, :n_components]
        Vt = Vt[:n_components]
        U, Vt = svd_flip(U, Vt)
        V = Vt.T

        self._x_scores = np.dot(X, U)  # TODO: remove in 1.1
        self._y_scores = np.dot(Y, V)  # TODO: remove in 1.1
        self.x_weights_ = U
        self.y_weights_ = V
        return self

    # mypy error: Decorated property not supported
    @deprecated(  # type: ignore
        "Attribute x_scores_ was deprecated in version 0.24 and "
        "will be removed in 1.1 (renaming of 0.26). Use est.transform(X) on "
        "the training data instead."
    )
    @property
    def x_scores_(self):
        return self._x_scores

    # mypy error: Decorated property not supported
    @deprecated(  # type: ignore
        "Attribute y_scores_ was deprecated in version 0.24 and "
        "will be removed in 1.1 (renaming of 0.26). Use est.transform(X, Y) "
        "on the training data instead."
    )
    @property
    def y_scores_(self):
        return self._y_scores

    @deprecated(  # type: ignore
        "Attribute x_mean_ was deprecated in version 0.24 and "
        "will be removed in 1.1 (renaming of 0.26).")
    @property
    def x_mean_(self):
        return self._x_mean

    @deprecated(  # type: ignore
        "Attribute y_mean_ was deprecated in version 0.24 and "
        "will be removed in 1.1 (renaming of 0.26).")
    @property
    def y_mean_(self):
        return self._y_mean

    @deprecated(  # type: ignore
        "Attribute x_std_ was deprecated in version 0.24 and "
        "will be removed in 1.1 (renaming of 0.26).")
    @property
    def x_std_(self):
        return self._x_std

    @deprecated(  # type: ignore
        "Attribute y_std_ was deprecated in version 0.24 and "
        "will be removed in 1.1 (renaming of 0.26).")
    @property
    def y_std_(self):
        return self._y_std

    def transform(self, X, Y=None):
        """
        Apply the dimensionality reduction.

        Parameters
        ----------
        X : array-like of shape (n_samples, n_features)
            Samples to be transformed.

        Y : array-like of shape (n_samples,) or (n_samples, n_targets), \
                default=None
            Targets.

        Returns
        -------
        out : array-like or tuple of array-like
            The transformed data `X_tranformed` if `Y` is not None,
            `(X_transformed, Y_transformed)` otherwise.
        """
        check_is_fitted(self)
        X = check_array(X, dtype=np.float64)
        Xr = (X - self._x_mean) / self._x_std
        x_scores = np.dot(Xr, self.x_weights_)
        if Y is not None:
            Y = check_array(Y, ensure_2d=False, dtype=np.float64)
            if Y.ndim == 1:
                Y = Y.reshape(-1, 1)
            Yr = (Y - self._y_mean) / self._y_std
            y_scores = np.dot(Yr, self.y_weights_)
            return x_scores, y_scores
        return x_scores

    def fit_transform(self, X, y=None):
        """Learn and apply the dimensionality reduction.

        Parameters
        ----------
        X : array-like of shape (n_samples, n_features)
            Training samples.

        y : array-like of shape (n_samples,) or (n_samples, n_targets), \
                default=None
            Targets.

        Returns
        -------
        out : array-like or tuple of array-like
            The transformed data `X_tranformed` if `Y` is not None,
            `(X_transformed, Y_transformed)` otherwise.
        """
        return self.fit(X, y).transform(X, y)