Worst case linear discriminant analysis as scalable semidefinite feasibility problems.

In this paper, we propose an efficient semidefinite programming (SDP) approach to worst case linear discriminant analysis (WLDA). Compared with the traditional LDA, WLDA considers the dimensionality reduction problem from the worst case viewpoint, which is in general more robust for classification. However, the original problem of WLDA is non-convex and difficult to optimize. In this paper, we reformulate the optimization problem of WLDA into a sequence of semidefinite feasibility problems. To efficiently solve the semidefinite feasibility problems, we design a new scalable optimization method with a quasi-Newton method and eigen-decomposition being the core components. The proposed method is orders of magnitude faster than standard interior-point SDP solvers. Experiments on a variety of classification problems demonstrate that our approach achieves better performance than standard LDA. Our method is also much faster and more scalable than standard interior-point SDP solvers-based WLDA. The computational complexity for an SDP with m constraints and matrices of size d by d is roughly reduced from O(m(3)+md(3)+m(2)d(2)) to O(d(3)) (m>d in our case).