The high dimensionality of genomic data calls for the development of specific classification methodologies, especially to prevent over-optimistic predictions. This challenge can be tackled by compression and variable selection, which can be combined to constitute a powerful framework for classification, as well as data visualization and interpretation. However, current proposed combinations lead to unstable and non convergent methods due to inappropriate computational frameworks. We hereby propose a computationally stable and convergent approach for classification in high dimensional based on sparse Partial Least Squares (sparse PLS).
We start by proposing a new solution for the sparse PLS problem that is based on proximal operators for the case of univariate responses. Then we develop an adaptive version of the sparse PLS for classification, called logit-SPLS, which combines iterative optimization of logistic regression and sparse PLS to ensure computational convergence and stability. Our results are confirmed on synthetic and experimental data. In particular we show how crucial convergence and stability can be when cross-validation is involved for calibration purposes. Using gene expression data we explore the prediction of breast cancer relapse. We also propose a multicategorial version of our method, used to predict cell-types based on single-cell expression data.