On Mean-Optimal Robust Linear Discriminant Analysis

Linear discriminant analysis (LDA) is widely used for dimensionality reduction under supervised learning settings. Traditional LDA objective aims to minimize the ratio of the squared Euclidean distances that may not perform optimally on noisy datasets. Multiple robust LDA objectives have been proposed to address this problem, but their implementations have two major limitations. One is that their mean calculations use the squared \ (₂\) -norm distance to center the data, which is not valid when the objective depends on other distance functions. The second problem is that there is no generalized optimization algorithm to solve different robust LDA objectives. In addition, most existing algorithms can only guarantee that the solution is locally optimal rather than globally optimal. In this article, we review multiple robust loss functions and propose a new and generalized robust objective for LDA. Besides, to remove the mean value within data better, our objective uses an optimal way to center the data through learning. As one important algorithmic contribution, we derive an efficient iterative algorithm to optimize the resulting non-smooth and non-convex objective function. We theoretically prove that our solution algorithm guarantees that both the objective and the solution sequences converge to globally optimal solutions at a sub-linear convergence rate. The results of comprehensive experimental evaluations demonstrate the effectiveness of our new method, achieving significant improvements compared to the other competing methods.