Asymptotically Bias-Corrected Regularized Linear Discriminant Analysis for Cost-Sensitive Binary Classification

Amin Zollanvari, Muratkhan Abdirash, Aresh Dadlani, Berdakh Abibullaev

2019

DOI 10.1109/lsp.2019.2918485

Data confidence 70 medium

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Abstract

In this letter, the theory of random matrices of increasing dimension is used to construct a form of regularized linear discriminant analysis (RLDA) that asymptotically yields the lowest overall risk with respect to the bias of the discriminant in cost-sensitive classification of two multivariate Gaussian distributions. Numerical experiments using both synthetic and real data show that even in finite-sample settings, the proposed classifier can uniformly outperform RLDA in terms of achieving a lower risk as a function of regularization parameter and misclassification costs.