Robust and Sparse Linear Discriminant Analysis via an Alternating Direction Method of Multipliers.

In this paper, we propose a robust linear discriminant analysis (RLDA) through Bhattacharyya error bound optimization. RLDA considers a nonconvex problem with the $L_{1}$ -norm operation that makes it less sensitive to outliers and noise than the $L_{2}$ -norm linear discriminant analysis (LDA). In addition, we extend our RLDA to a sparse model (RSLDA). Both RLDA and RSLDA can extract unbounded numbers of features and avoid the small sample size (SSS) problem, and an alternating direction method of multipliers (ADMM) is used to cope with the nonconvexity in the proposed formulations. Compared with the traditional LDA, our RLDA and RSLDA are more robust to outliers and noise, and RSLDA can obtain sparse discriminant directions. These findings are supported by experiments on artificial data sets as well as human face databases. [ABSTRACT FROM AUTHOR]