Robust Fisher Linear Discriminant Analysis with Generalized Correntropic Loss Function

Fisher linear discriminant analysis (LDA) is widely used to solve classification problems. The classical LDA is developed based on the L2-norm, which is very sensitive to outliers. In this paper, we propose a new LDA with generalized correntropic loss function (GCLF), termed as LDA-GCLF, to improve the robustness of LDA. LDA-GCLF is realized by the alternating direction method of multipliers (ADMM) and the gradient descent method. Experiments results on synthetic and real-world datasets demonstrate the effectiveness of LDA-GCLF.