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Update a KF-PLS streaming state with a mini-batch

Source: R/kf_pls_state.R
kf_pls_state_update.Rd

Feed one chunk (X_chunk, Y_chunk) to an existing KF-PLS state created by kf_pls_state_new(). The function updates exponentially weighted means and cross-products (or exact sufficient statistics when in exact mode).

Usage

kf_pls_state_update(state, X_chunk, Y_chunk)

Arguments

state

External pointer produced by kf_pls_state_new().

X_chunk

Numeric matrix with the same number of columns p used to create the state.

Y_chunk

Numeric matrix with m columns (or a numeric vector if m == 1). Must have the same number of rows as X_chunk.

Value

Invisibly returns state, updated in place.

Details

Call this repeatedly for each incoming batch. When you want model coefficients (weights/loadings/intercepts), call kf_pls_state_fit(), which solves SIMPLS on the accumulated cross-moments without re-materializing all past data.

See also

kf_pls_state_new(), kf_pls_state_fit()