Efficient model selection for regularized linear discriminant analysis
Jieping Ye, Tao Xiong, Qi Li, Ravi Janardan, Jinbo Bi, Vladimir Cherkassky, Chandra Kambhamettu · 2006
Classical Linear Discriminant Analysis (LDA) is not applicable for small sample size problems due to the singularity of the scatter matrices involved. Regularized LDA (RLDA) provides a simple strategy to overcome the singularity problem by applying a regularization term, which is commonly estimated via cross-validation from a set of candidates. However, cross-validation may be computationally prohibitive when the candidate set is large. An efficient algorithm for RLDA is presented that computes the optimal transformation of RLDA for a large set of parameter candidates, with approximately the same cost as running RLDA a small number of times. Thus it facilitates efficient model selection for RLDA. An intrinsic relationship between RLDA and Uncorrelated LDA (ULDA), which was recently proposed for dimension