DALASS: Variable selection in discriminant analysis via the LASSO
The objective of DALASS is to simplify the interpretation of Fisher's discriminant function coefficients. The DALASS problemdiscriminant analysis (DA) modified so that the canonical variates satisfy the LASSO constraintis formulated as a dynamical system on the unit sphere. Both standard and orthogonal canonical variates are considered. The globally convergent continuous-time algorithms are illustrated numerically and applied to some well-known data sets.
canonical variates orthogonal canonical variates lasso constraint penalty function continuous-time constrained optimization steepest ascent vector flows on manifolds