Selecting Principal Components in a Two-Stage LDA Algorithm

Linear Discriminant Analysis (LDA) is a well-known and important tool in pattern recognition with potential applications in many areas of research. The most famous and used formulation of LDA is that given by the Fisher-Rao criterion, where the problem reduces to a simple simultaneous diagonalization of two symmetric, positive-definite matrices, A and B; i.e. B^-1 AV = VA. Here, A defines the metric to be maximized, while B defines the metric to be minimized. However, when B has near-zero eigenvalues, the Fisher-Rao criterion gets dominated by these. While this works well when such small variances describe vectors where most of the discriminant information is, the results will be incorrect when these small variances are caused by noise. Knowing which of these near-zero values are to be used and which need to be eliminated is a challenging yet fundamental task in LDA. This paper presents a criterion for the selection of those vectors of B that are best for classification. The proposed solution is based on a simple factorization of B^-1 A that permits the re-ordering of the eigenvectors of B without the need to effect the end result. This allows us to readily eliminate the noisy vectors while keeping the most discriminant ones. A theoretical basis for these results is presented along with extensive experimental results to validate the claims.