A breakdown-free block conjugate gradient method for large-scale discriminant analysis

Rayleigh-Ritz discriminant analysis (RRDA) is an effective algorithm for linear discriminant analysis (LDA), but there are some drawbacks in its implementation. In this paper, we first improved Rayleigh-Ritz discriminant analysis (IRRDA) to make its framework more concise, and established the equivalence theory of the solution space between our discriminant analysis and RRDA. Second, we proposed a new model based on positive definite systems of linear equations for linear discriminant analysis, and certificated the rationality of the new model. Compared with the traditional linear regression model for linear discriminant analysis, the coefficient matrix of our model avoided forming a centralized matrix or appending the original data matrix, but the original matrix itself, which greatly reduced the computational complexity. According to the size of data matrix, we designed two solution schemes for the new model based on the block conjugate gradient method. Experiments in real-world datasets demonstrated the effectiveness and efficiency of our algorithm and it showed that our method was more efficient and faster than RRDA.