Improving implementation of linear discriminant analysis for the high dimension/small sample size problem

Classification based on Fisher's linear discriminant analysis (FLDA) is challenging when the number of variables largely exceeds the number of given samples. The original FLDA needs to be carefully modified and with high dimensionality implementation issues like reduction of storage costs are of crucial importance. Methods are reviewed for the high dimension/small sample size problem and the one closest, in some sense, to the classical regular approach is chosen. The implementation of this method with regard to computational and storage costs and numerical stability is improved. This is achieved through combining a variety of known and new implementation strategies. Experiments demonstrate the superiority, with respect to both overall costs and classification rates, of the resulting algorithm compared with other methods.