Abstract: We consider the task of binary classification in the high-dimensional setting where the number of features of the given data is larger than the number of observations. To accomplish this task, we propose an adherently penalized optimal scoring (APOS) model for simultaneously performing discriminant analysis and feature selection. In this paper, an efficient algorithm based on the block coordinate descent (BCD) method and the SSNAL algorithm is developed to solve the APOS approximately. The convergence results of our method are also established. Numerical experiments conducted on simulated and real datasets demonstrate that the proposed model is more efficient than several sparse discriminant analysis methods.

Key words: Sparse discriminant analysis, Optimal scoring, Feature selection, BCD method, SSNAL algorithm