A Doubly Regularized Linear Discriminant Analysis Classifier with Automatic Parameter Selection (2004.13335v2)

Abstract: Linear discriminant analysis (LDA) based classifiers tend to falter in many practical settings where the training data size is smaller than, or comparable to, the number of features. As a remedy, different regularized LDA (RLDA) methods have been proposed. These methods may still perform poorly depending on the size and quality of the available training data. In particular, the test data deviation from the training data model, for example, due to noise contamination, can cause severe performance degradation. Moreover, these methods commit further to the Gaussian assumption (upon which LDA is established) to tune their regularization parameters, which may compromise accuracy when dealing with real data. To address these issues, we propose a doubly regularized LDA classifier that we denote as R2LDA. In the proposed R2LDA approach, the RLDA score function is converted into an inner product of two vectors. By substituting the expressions of the regularized estimators of these vectors, we obtain the R2LDA score function that involves two regularization parameters. To set the values of these parameters, we adopt three existing regularization techniques; the constrained perturbation regularization approach (COPRA), the bounded perturbation regularization (BPR) algorithm, and the generalized cross-validation (GCV) method. These methods are used to tune the regularization parameters based on linear estimation models, with the sample covariance matrix's square root being the linear operator. Results obtained from both synthetic and real data demonstrate the consistency and effectiveness of the proposed R2LDA approach, especially in scenarios involving test data contaminated with noise that is not observed during the training phase.