Optimal kernel selection in Kernel Fisher discriminant analysis

  • Authors:
  • Seung-Jean Kim;Alessandro Magnani;Stephen Boyd

  • Affiliations:
  • Stanford University, Stanford, CA;Stanford University, Stanford, CA;Stanford University, Stanford, CA

  • Venue:
  • ICML '06 Proceedings of the 23rd international conference on Machine learning
  • Year:
  • 2006

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Abstract

In Kernel Fisher discriminant analysis (KFDA), we carry out Fisher linear discriminant analysis in a high dimensional feature space defined implicitly by a kernel. The performance of KFDA depends on the choice of the kernel; in this paper, we consider the problem of finding the optimal kernel, over a given convex set of kernels. We show that this optimal kernel selection problem can be reformulated as a tractable convex optimization problem which interior-point methods can solve globally and efficiently. The kernel selection method is demonstrated with some UCI machine learning benchmark examples.