A new optimization criterion for generalized discriminant analysis on undersampled problems

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Abstract
A new optimization criterion for discriminant analysis is presented. The new criterion extends the optimization criteria of the classical linear discriminant analysis (LDA) by introducing the pseudo-inverse when the scatter matrices are singular. It is applicable regardless of the relative sizes of the data dimension and sample size, overcoming a limitation of the classical LDA. Recently, a new algorithm called LDA/GSVD for structure-preserving dimension reduction has been introduced, which extends the classical LDA to very high-dimensional undersampled problems by using the generalized singular value decomposition (GSVD). The solution from the LDA/GSVD algorithm is a special case of the solution for our generalized criterion, which is also based on GSVD. We also present an approximate solution for our GSVD-based solution, which reduces computational complexity by finding subclusters of each cluster, and using their centroids to capture the structure of each cluster. This reduced problem yields much smaller matrices of which the GSVD can be applied efficiently. Experiments on text data, with up to 7000 dimensions, show that the approximation algorithm produces results that are close to those produced by the exact algorithm.

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