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A simple iterative algorithm for parsimonious binary kernel Fisher discrimination

By R.F. Harrison and K. Pasupa

Abstract

By applying recent results in optimisation theory variously known as optimisation transfer or majorise/minimise algorithms, an algorithm for binary, kernel, Fisher discriminant analysis is introduced that makes use of a non-smooth penalty on the coefficients to provide a parsimonious solution. The problem is converted into a smooth optimisation that can be solved iteratively with no greater overhead than iteratively re-weighted least-squares. The result is simple, easily programmed and is shown to perform, in terms of both accuracy and parsimony, as well as or better than a number of leading machine learning algorithms on two well-studied and substantial benchmarks

Publisher: Springer
Year: 2010
OAI identifier: oai:eprints.whiterose.ac.uk:10368

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