Fast regression methods in a Lanczos (or PLS-1) basis. Theory and applications

In order to improve the calibration speed for very large data sets, novel algorithms for principal component regression (PCR) and partial-least-squares (PLS) regression are presented. They use the Lanczos or PLS-1 transformation to reduce the data matrix X to a small bidiagonal matrix (R), after which the small tridiagonal matrix (R'R) is diagonalized and inverted. The complexity of the PCR model may be optimized by cross-validation (PCRL) but also using simpler and faster recipes based upon sound-off monitoring and model fit (PCRF). A similar fast PLS procedure (PLSF) is also presented. Calculations are made for five near infrared spectroscopy (NIR) data sets and compared with PCR with feature selection (PCRS) based on correlation and with de Jong's simple partial least squares (SIMPLS). The Lanczos-based methods have comparable prediction performance and similar model complexity to PCRS and SIMPLS but are considerably faster. From a detailed comparison of the methods, some insight is gained into the performance of the PLS method. (C) 2000 Elsevier Science B.V. All rights reserved.