Partial Least Squares Regression Models with Big Matrices • bigPLSR

Frédéric Bertrand and Myriam Maumy

bigPLSR provides fast, scalable Partial Least Squares (PLS) with two execution backends:

Dense (backend = "arma"): in-memory Armadillo/BLAS for speed.
Big-matrix (backend = "bigmem"): chunked streaming over bigmemory::big.matrix for large data.

Both PLS1 (single response) and PLS2 (multi-response) are supported. PLS2 uses SIMPLS on cross-products in both backends for numerical parity.

Recent updates bring additional solvers and tooling:

Kernel PLS and wide kernel PLS are available alongside SIMPLS/NIPALS.
Plot helpers now include unit circles, loading arrows and VIP bar charts.
New wrappers simplify prediction, information-criteria based component selection, cross-validation and bootstrapping workflows.
Kalman-filter PLS and double RKHS solvers extend the modelling toolkit to streaming and dual-kernel settings.
Cross-validation and bootstrap helpers optionally run in parallel via the future ecosystem.
Fresh vignettes cover RKHS usage, Kalman-filter state management and the plotting utilities showcased below.

The package is set up to be CRAN-friendly: the optional CBLAS fast path is off by default.

Support for parallel computation and GPU is being developed.

This website and these examples were created by F. Bertrand and M. Maumy.

Installation

You can install the released version of bigPLSR from CRAN with:

install.packages("bigPLSR")

You can install the development version of bigPLSR from github with:

devtools::install_github("fbertran/bigPLSR")

Quick start

library(bigPLSR)

set.seed(1)
n <- 200; p <- 50
X <- matrix(rnorm(n*p), n, p)
y <- X[,1]*2 - X[,2] + rnorm(n)

# Dense PLS1 (fast)
fit <- pls_fit(X, y, ncomp = 3, backend = "arma", scores = "r")
str(list(
  coef=dim(fit$coefficients),
  scores=dim(fit$scores),
  ncomp=fit$ncomp
))

Big-matrix PLS1 with file-backed scores

options_val_before <- options("bigmemory.allow.dimnames")
options(bigmemory.allow.dimnames=TRUE)

bmX <- bigmemory::as.big.matrix(X)
bmy <- bigmemory::as.big.matrix(matrix(y, n, 1))

tmp=tempdir()
if(file.exists(paste(tmp,"scores.desc",sep="/"))){unlink(paste(tmp,"scores.desc",sep="/"))}
if(file.exists(paste(tmp,"scores.bin",sep="/"))){unlink(paste(tmp,"scores.bin",sep="/"))}
sink <- bigmemory::filebacked.big.matrix(
  nrow=n, ncol=3, type="double",
  backingfile="scores.bin",
  backingpath=tmp,
  descriptorfile="scores.desc"
)

fit_b <- pls_fit(
  bmX, bmy, ncomp=3, backend="bigmem", scores="big",
  scores_target="existing", scores_bm=sink,
  scores_colnames = c("t1","t2","t3"),
  return_scores_descriptor = TRUE
)

fit_b$scores_descriptor  # big.matrix.descriptor
options(bigmemory.allow.dimnames=options_val_before)

PLS2 (multi-response)

set.seed(2)
m <- 3
B <- matrix(rnorm(p*m), p, m)
Y <- scale(X, scale = FALSE) %*% B + matrix(rnorm(n*m, sd = 0.1), n, m)

# Dense PLS2 – SIMPLS on cross-products (parity with bigmem)
fit2 <- pls_fit(X, Y, ncomp = 2, backend = "arma", mode = "pls2", scores = "none")
str(list(coef=dim(fit2$coefficients), ncomp=fit2$ncomp))

API

pls_fit(
  X, y, ncomp,
  tol = 1e-8,
  backend = c("auto", "arma", "bigmem"),
  scores  = c("none", "r", "big"),
  chunk_size = 10000L,
  scores_name = "scores",
  mode = c("auto","pls1","pls2"),
  scores_target = c("auto","new","existing"),
  scores_bm = NULL,
  scores_backingfile = NULL,
  scores_backingpath = NULL,
  scores_descriptorfile = NULL,
  scores_colnames = NULL,
  return_scores_descriptor = FALSE
)

Auto selection

backend = "auto" → "bigmem" when X is a big.matrix (or descriptor), else "arma".
mode = "auto" → "pls1" when y is one column, else "pls2".

Return values

PLS1: coefficients (p), intercept (scalar), x_weights, x_loadings, y_loadings, scores (optional), x_means, y_mean, ncomp.
PLS2: coefficients (p×m), intercept (length m), x_weights (p×ncomp), x_loadings (p×ncomp), y_loadings (m×ncomp), scores (optional), x_means, y_means, ncomp.

Backends & algorithms

Dense path (`backend = "arma"`)

PLS1: fast dense solver (BLAS).
PLS2: SIMPLS on cross-products
1. Center X, Y, build XtX = XcᵀXc, XtY = XcᵀYc.
2. Cholesky-whitened symmetric eigen solve; enforce symmetry and add tiny ridge to stabilize.
3. Optional scores: T = Xc %*% W.

Big-matrix path (`backend = "bigmem"`)

Chunked I/O from big.matrix with preallocated buffers.
PLS1: streaming cross-products and deflation; optional scores streamed chunk-wise into a sink.
PLS2: chunked cross-products (XtX += BᵀB, XtY += BᵀY) + the same SIMPLS solver for parity; optional score streaming: T = (X − μ) %*% W.

Both paths enforce symmetry (0.5*(M+Mᵀ)) before eigen and use a small ridge on XtX for stability.

Scores, sinks, and descriptors

scores = "none" – don’t compute scores.
scores = "r" – return an in-memory matrix.
scores = "big" – write to a big.matrix:
- Provide a sink via scores_target = "existing" + scores_bm (big.matrix or descriptor), or
- Let the function create file-backed storage via scores_backingfile (+ optional scores_backingpath, scores_descriptorfile).
scores_colnames – set column names of the scores.
return_scores_descriptor = TRUE – adds fit$scores_descriptor when scores is a big.matrix.

Determinism (tests & reproducibility)

For tight parity tests, force 1 BLAS thread and fix RNG:

set.seed(1)
if (requireNamespace("RhpcBLASctl", quietly = TRUE)) {
  RhpcBLASctl::blas_set_num_threads(1L)
} else {
  # Use env vars before BLAS loads in the session
  Sys.setenv(
    OMP_NUM_THREADS="1",
    OPENBLAS_NUM_THREADS="1",
    MKL_NUM_THREADS="1",
    VECLIB_MAXIMUM_THREADS="1",
    BLIS_NUM_THREADS="1"
  )
}

Performance tuning

chunk_size: default 10000L. On Apple Silicon, internal default is larger (e.g., 16384) when chunk_size == 0. Tune per dataset for best GEMM throughput.
Scores streaming: with scores="big", streaming avoids holding T fully in RAM.
Multi-thread BLAS: for production, allow multi-thread BLAS; for tests, use 1 thread.

Optional CBLAS fast path (in-place GEMM)

Default: OFF (CRAN-safe).
An optional in-place accumulation (true beta = 1 CBLAS dgemm) is available and guarded by compile-time checks. When not available or not enabled, the package falls back automatically to the portable Armadillo path.

Enable locally (Unix/macOS):

R CMD INSTALL .   --configure-vars="PKG_CPPFLAGS='-DBIGPLSR_USE_CBLAS'"

In src/Makevars, link to the same BLAS/LAPACK that R uses:

PKG_LIBS += $(LAPACK_LIBS) $(BLAS_LIBS) $(FLIBS)

macOS: the code attempts <vecLib/cblas.h>; on Linux/others: <cblas.h>.
If headers aren’t present, the build silently falls back to the portable GEMM path.
Do not hardcode -lopenblas or -framework Accelerate; use R’s variables.

Windows: leave the macro off unless you’ve explicitly provided CBLAS headers/libs.

Development

Unit tests compare dense vs big-matrix backends for both PLS1/PLS2 with tight tolerances.
Vignettes and examples keep datasets small; file-backed output uses tempdir().

Citation

If you use bigPLSR in academic work, please cite this package and the relevant PLS method used.

bigPLSR, PLS Regression Models with Big Matrices