tls.py

import numpy.linalg as la
def tls(X,y):
    
    if X.ndim is 1: 
        n = 1 # the number of variable of X
        X = X.reshape(len(X),1)
    else:
        n = np.array(X).shape[1] 
    
    Z = np.vstack((X.T,y)).T
    U, s, Vt = la.svd(Z, full_matrices=True)
    
    V = Vt.T
    Vxy = V[:n,n:]
    Vyy = V[n:,n:]
    a_tls = - Vxy  / Vyy # total least squares soln
    
    Xtyt = - Z.dot(V[:,n:]).dot(V[:,n:].T)
    Xt = Xtyt[:,:n] # X error
    y_tls = (X+Xt).dot(a_tls)
    fro_norm = la.norm(Xtyt, 'fro')
    
    return y_tls, X+Xt, a_tls, fro_norm