The trace ratio optimization problem for dimensionality reduction

T. T. Ngo, M. Bellalij, Y. Saad

Research output: Contribution to journalArticlepeer-review

24 Scopus citations

Abstract

This paper considers the problem of optimizing the ratio Tr[VT AV ]/Tr[VT BV ] over all unitary matrices V with p columns, where A,B are two positive definite matrices. This problem is common in supervised learning techniques. However, because its numerical solution is typically expensive it is often replaced by the simpler optimization problem which consists of optimizing Tr[VT AV ] under the constraint that V T BV = I, the identity matrix. The goal of this paper is to examine this trace ratio optimization problem in detail, to consider different algorithms for solving it, and to illustrate the use of these algorithms for dimensionality reduction.

Original languageEnglish (US)
Pages (from-to)2950-2971
Number of pages22
JournalSIAM Journal on Matrix Analysis and Applications
Volume31
Issue number5
DOIs
StatePublished - 2010

Bibliographical note

Copyright:
Copyright 2018 Elsevier B.V., All rights reserved.

Keywords

  • Classification
  • Face recognition
  • Linear dimensionality reduction
  • Trace optimization

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