Discriminant analysis has been used for decades to extract features that preserve class separability. It is commonly defined as an optimization problem involving covariance matrices that represent the scatter within and between clusters. The requirement that one of these matrices be nonsingular limits its application to data sets with certain relative dimensions. We examine a number of optimization criteria, and extend their applicability by using the generalized singular value decomposition to circumvent the nonsingularity requirement. The result is a generalization of discriminant analysis that can be utilized in application areas such as information retrieval to reduce the dimension of data while preserving its cluster structure. In the process, we establish relationships between the solutions obtained by various methods, which allow us to refine the optimization criteria and to improve the algorithms for achieving them.
Howland, Peg; Park, Haesun.
Extension of Discriminant Analysis based on the Generalized Singular Value Decomposition.
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