Regularized generalized CCA (RGCCA) Arthur Tenenhaus (SUPELEC) Michel Tenenhaus (HEC Paris) 1
Regularized generalized CCA A generalization to more than two blocks of regularized canonical correlation analysis 2
References • Paper Arthur & Michel Tenenhaus Regularized Generalized CCA Psychometrika (june 2011) • R-code New package RGCCA with initial version 1.0 Title : Regularized Generalized Canonical Correlation Analysis Version : 1.0 Date : 2010-06-08 Author : Arthur Tenenhaus Repository : CRAN Date/Publication : 2010-10-15 14:58:02 More information about RGCCA at CRAN Path: /cran/new | permanent link 3
Economic inequality and political instability Data from Russett (1964), in GIFI Economic inequality Political instability INST : Instability of executive Agricultural inequality (45-61) GINI : Inequality of land ECKS : Nb of violent internal distributions war incidents (46-61) FARM : % farmers that own half DEAT : Nb of people killed as a of the land (> 50) result of civic group RENT : % farmers that rent all violence (50-62) their land D-STAB : Stable democracy Industrial development D-UNST : Unstable democracy GNPR : Gross national product DICT : Dictatorship per capita ($ 1955) LABO : % of labor force employed in agriculture 4
Economic inequality and political instability (Data from Russett, 1964) X3 X1 X2 Gini Farm Rent Gnpr Labo Inst Ecks Deat Demo 86.3 98.2 32.9 374 25 13.6 57 217 2 Argentine 92.9 99.6 * 1215 14 11.3 0 0 1 Australie 74.0 97.4 10.7 532 32 12.8 4 0 2 Autriche 58.3 86.1 26.0 1046 26 16.3 46 1 2 France 43.7 79.8 0.0 297 67 0.0 9 0 3 Yougoslavie 1 = Stable democracy 2 = Unstable democracy Three data blocks 3 = Dictatorship 5
Block component y X a a GINI a FARM a RENT 1 1 1 11 12 13 y X a a GNPR a LABO 2 2 2 21 22 y X a a INST a ECKS a DEATH 3 3 3 31 32 33 - - a D STB a D UNST a DICT 34 35 36 6
RGCCA applied to the Russett data Agricultural inequality (X 1 ) INST GINI Agr. ECKS C 13 = 1 FARM ineq. DEAT Pol. RENT C 12 = 0 D-STB inst. GNPR D-INS Ind. C 23 = 1 dev. DICT LABO Political instability (X 3 ) Industrial development (X 2 ) Maximize g(Cov( , )) g(Cov( , )) X a X a X a X a 1 1 3 3 2 2 3 3 , , a a a 1 2 3 2 subject to the constraints (1 ) ( ) 1, 1,2,3 a Var X a j j j j j j 7 0 ≤ j ≤ 1, g = identity, square or absolute value
The two-block case: Regularized CCA Maximize Cov( , ) X a X a 1 1 2 2 subject to (1 )Var( ) 1 a X a j j j j j Special cases Method Criterion Constraints 1 a a Maximize Cov( , ) X a X a PLS regression 1 1 2 2 1 2 Canonical Maximize Cor( , ) Var( ) Var( ) 1 X a X a X a X a Correlation 1 1 2 2 1 1 2 2 Analysis Redundancy Maximize 1 a 1 analysis of X 1 with 1/2 Cor( , )Var( ) X a X a X a Var( ) 1 X a respect to X 2 1 1 2 2 1 1 2 2 No stability condition Components X 1 a 1 and 1 st component is stable 8 for 2 nd component X 2 a 2 are well correlated.
The two-block case: Regularized CCA Maximize Cov( , ) X a X a 1 1 2 2 subject to (1 )Var( ) 1 a X a j j j j j Special cases Method Criterion Comments Is favoring too much Maximize Cov( , ) X a X a 1 1 2 2 PLS regression stability with respect to a a 1 1 2 correlation Is favoring too much Canonical Correlation Maximize Cor( , ) X a X a correlation with respect to 1 1 2 2 Analysis stability 9
Choice of the shrinkage constant j Maximize Cov( , ) X a X a 1 1 2 2 subject to (1 )Var( ) 1 a X a j j j j j j 0 1 Favoring Favoring correlation stability Schäfer and Strimmer (2005) give a formula for an optimal choice of j . 10
Regularized generalized CCA J Maximize c g( ( , )) Cov X a X a jk j j k k 1 ,..., a a J j k , 1, j k 2 subject to the constraints (1 ) ( ) 1, 1,. .., a Var X a j J j j j j j A monotone convergent algorithm 1 if X and X are connected related to this optimization problem j k c where: jk 0 otherwise will be described. identity (Horst scheme) g square (Factorial scheme) abolute value (Centroid scheme) Shrinkage constant between 0 and 1 and: 11 j
Construction of a monotone convergent algorithm for RGCCA • Construct the Lagrangian function related to the optimization problem. • Cancel the derivatives of the Lagrangian function with respect to each outer weights a j . • Use a procedure similar to Wold’s PLS approach to solve the stationary equations ( Gauss- Seidel algorithm or MAXDIFF algorithm). • This procedure is monotonically convergent: the criterion increases at each step of the algorithm. 12
The PLS algorithm for RGCCA y j = X j a j Outer Estimation z e y (explains the block) j jk k Initial k j a j 2 (1 ) ( ) 1 a Var X a step j j j j j Inner Estimation Iterate until convergence (takes into account of the criterion. relations between blocks) 1 1 t t [( (1 ) ] I X X X z Choice of inner weights e jk : j j j j j j n a - Horst : e jk = c jk j 1 - Centroid : e jk = c jk sign(Cor(y k ,y j )) 1 t t t [( (1 ) ] z X I X X X z j j j j j j j j n - Factorial : e jk = c jk Cov(y k ,y j ) c jk = 1 if blocks are linked, 0 otherwise 13
Special cases of Regularized generalized CCA RGCCA and Multi-block data analysis Cor( , ) X a X a Max SUMCOR (Horst, 1961) j j k k ( ) 1 , , Var X a j j j k j k GENERALIZED CANONICAL CORRELATION ANALYSIS 2 Cor ( , ) Max X a X a SSQCOR (Kettenring, 1971) j j k k Var X a ( ) 1 , , j j j k j k Cor( , ) Max X a X a SABSCOR (Mathes, 1993, Hanafi, 2004) j j k k ( ) 1 , , Var X a j j j k j k MAXDIFF (Van de Geer, 1984) Cov( , ) Max X a X a j j k k 1 a [SUMCOV] j , , j k j k GENERALIZED PLS REGRESSION MAXDIFF B Hanafi & Kiers, 2006) ( 2 Cov ( , ) Max X a X a j j k k 1 a j , , [SSQCOV] j k j k Cov( , ) Max X a X a SABSCOV (Krämer, 2007) j j k k 1 a j , , j k j k 14
Special cases of Regularized generalized CCA Hierarchical models (a) One second order block (b) Several second order blocks X ,..., X = Predictors 1 J 1 Very often: X ,..., X = Responses J 1 J 15 1
Special cases of Regularized generalized CCA Hierarchical model : one 2 nd order block Method Criterion Constraints J Maximize g(Cov( , )) X a X a Hierarchical PLS j j J 1 J 1 1, 1,..., 1 a j J a ,..., a 1 1 J 1 j j regression J Hierarchical Maximize g(Cor( , )) X a X a 1 1 j j J J Var( ) 1, 1,..., 1 X a j J Canonical Correlation a ,..., a 1 J 1 1 j j j Analysis Stable predictors and good prediction Maximize Hierarchical a ,..., a 1 J 1 Redundancy analysis 1, 1,..., a j J J j 1/2 X ’s with g(Cor( , )Var( ) ) of the X a X a X a 1 1 j j J J j j j Var( ) 1 X a 1 J 1 J 1 j respect to X J 1 Good predictors and stable response Maximize Hierarchical a ,..., a 1 J 1 Var( ) 1, 1,..., Redundancy analysis X a j J J j j 1/2 g(Cor( , )Var( ) ) of with respect X a X a X a X J 1 1 1 1 1 a 1 j j J J J J 1 J 1 j X ’s to the j 16 g = identity, square or absolute value
Special cases of Regularized generalized CCA Hierarchical model : one 2 nd order block Factorial scheme : g = square function Concordance analysis (Hanafi & Lafosse, 2001) J 2 Maximize Cov ( , ) X M b X M b 1 1 1 j j j J J J 1 j t subject to 1, 1,..., 1 b M b j J j j j The previous methods are found again for the metrics M j equal to identity or Mahalanobis 17
Special cases of Regularized generalized CCA Hierarchical model : X 1 X 1 y 1 y 1 the 2nd order block X 2 X 2 y 2 y 2 is a super-block X 1 | X 2 | … | X J X 1 | X 2 | … | X J y J+1 y J+1 1 ,..., X X X X J+1 X J+1 1 J J X J X J y J y J Method Criterion Constraints J Maximize Cor( , ) X a X a 1 1 j j J J ,..., a a 1 J 1 1 j SUMCOR Var( ) 1, 1,..., 1 X a j J or j j (Horst, 1961) J Maximize Cor( , ) X a X a 1 1 j j J J ,..., a a 1 1 J j 1 J 1 2 Maximize Cor ( , ) X a X a 1 1 Var( ) 1, 1,..., , 1 j j J J X a j J J a ,..., a Generalized CCA j j 1 1 J 1 1 j (Carroll, 1968a,b) J 1, 1,..., a j J J 2 1 Cov ( , ) j X a X a 18 1 1 j j J J j J 1 1
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