James G. Booth

Irina Gaynanova, James G. Booth, Martin T. Wells

This article considers the problem of sparse estimation of canonical vectors in linear discriminant analysis when $p\gg N$. Several methods have been proposed in the literature that estimate one canonical vector in the two-group case. However, $G-1$ canonical vectors can be considered if the number of groups is $G$. In the multi-group context, it is common to estimate canonical vectors in a sequential fashion. Moreover, separate prior estimation of the covariance structure is often required. We propose a novel methodology for direct estimation of canonical vectors. In contrast to existing techniques, the proposed method estimates all canonical vectors at once, performs variable selection across all the vectors and comes with theoretical guarantees on the variable selection and classification consistency. First, we highlight the fact that in the $N>p$ setting the canonical vectors can be expressed in a closed form up to an orthogonal transformation. Secondly, we propose an extension of this form to the $p\gg N$ setting and achieve feature selection by using a group penalty. The resulting optimization problem is convex and can be solved using a block-coordinate descent algorithm. The practical performance of the method is evaluated through simulation studies as well as real data applications.

Irina Gaynanova, James G. Booth, Martin T. Wells

It is well known that in a supervised classification setting when the number of features is smaller than the number of observations, Fisher's linear discriminant rule is asymptotically Bayes. However, there are numerous modern applications where classification is needed in the high-dimensional setting. Naive implementation of Fisher's rule in this case fails to provide good results because the sample covariance matrix is singular. Moreover, by constructing a classifier that relies on all features the interpretation of the results is challenging. Our goal is to provide robust classification that relies only on a small subset of important features and accounts for the underlying correlation structure. We apply a lasso-type penalty to the discriminant vector to ensure sparsity of the solution and use a shrinkage type estimator for the covariance matrix. The resulting optimization problem is solved using an iterative coordinate ascent algorithm. Furthermore, we analyze the effect of nonconvexity on the sparsity level of the solution and highlight the difference between the penalized and the constrained versions of the problem. The simulation results show that the proposed method performs favorably in comparison to alternatives. The method is used to classify leukemia patients based on DNA methylation features.