ECE662: Statistical Pattern Recognition and Decision Making Processes

Spring 2008, Prof. Boutin

Collectively created by the students in the class

# Lecture 11 Lecture notes

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## Derivation of Fischer's Linear Discriminant

Main article: Derivation of Fisher's Linear Discriminant

The derivation was completed in this lecture.

## Recall from last lecture

Last time, we considered

$J(\vec{w}) = \frac{\vec{w}^t S_B \vec{w}}{\vec{w}^t S_W \vec{w}}$

which is explicit function of $\vec{w}$

One can do this because numerator of $J(\vec{w})$ can be written as

$\mid \tilde m_1 - \tilde m_2 \mid^2 = \mid w \cdot (m_1 - m_2) \mid^2 = w^t (m_1 - m_2) (m_1^t - m_2^t) w$

$\rightarrow S_B = (m_1 - m_2) (m_1^t - m_2^t)$

In a same way, denominator can be written as

$\tilde s_1^2 + \tilde s_2^2 = \sum_{y_i \in class \ i} (w \cdot y_i - \tilde m_1)^2 = \sum w^t (y_i - m_i)(y_i^t - m_i^t) w$

$= w^t \left[ \sum (y_i - m_i)(y_i^t - m_i^t) \right] w$

$\rightarrow S_W = \sum_{y_i \in class \ i} (y_i - m_i)(y_i^t - m_i^t)$

## Fisher Linear Discriminant

It is a known result that J is maximum at $\omega_0$ such that $S_B\omega_0=\lambda S_W\omega_0$. This is the "Generalized eigenvalue problem.

Note that if $|S_W|\neq 0$, then ${S_W}^{-1}S_B\omega_0=\lambda\omega_0$. It can be written as the "Standard eigenvalue problem". The only difficulty (which is a big difficulty when the feature space dimension is large) is that matrix inversion is very unstable.

Observe that $S_B\omega_0=(\vec{m_1}-\vec{m_2})(\vec{m_1}-\vec{m_2})^T\omega_0=cst.(\vec{m_1}-\vec{m_2})$. Therefore the standard eigenvalue problem as presented above becomes ${S_W}^{-1}cst.(\vec{m_1}-\vec{m_2})=\lambda\omega_0$. From this equation, value of $\omega_0$ can easily be obtained, as $\omega_0={S_W}^{-1}(\vec{m_1}-\vec{m_2})$ or any constant multiple of this. Note that magnitude of $\omega_0$ is not important, the direction it represents is important.

## Fischer's Linear Discriminant in Projected Coordinates

### Claim

$\vec{c}=\omega_0={S_W}^{-1}(\vec{m_1}-\vec{m_2})$

is the solution to $\mathbf{Y}\vec{c}=\vec{b}$ with $\vec{b}=(d/d_1, \cdots, <d_1 times>, d/(d-d_1), \cdots, <(d-d_1) times>)^T$

Here is an animation of the 1D example given in class on projections

### Explanation

starts with $\vec{\omega} \cdot y_i + \omega_0 > 0$ for class 1 and $\vec{\omega} \cdot y_i + \omega_0 < 0$ for class 2

the data points are then projected onto an axis at 1 which results in

$\vec{\omega} \cdot y_i > 0$ for class 1 and $\vec{\omega} \cdot y_i < 0$ for class 2

one class is then projected onto an axis at -1 which results in

$\vec{\omega} \cdot y_i > 0$ for all $y_i$

## Support Vector Machines (SVM)

A support vector for a hyperplane $\vec{c}$ with margin $b_i \geq b$ is a sample $y_{io}$ such that $c\cdot{y_{io}} = b$.

Support Vector Machines are a two step process:

1) Preprocessing - X1,...,Xd features in kth dimensional real space is mapped to features in n dimensional real space where n>>k.

2) Linear Classifier - separates classes in n dimensional real space via hyperplane. - Support Vectors - for finding the hyperplane with the biggest margins. - Kernel - to simplify computation (This is key for real world applications)

Previous: Lecture 10. Next: Lecture 12

## Alumni Liaison

Correspondence Chess Grandmaster and Purdue Alumni

Prof. Dan Fleetwood