Minimally Informed Linear Discriminant Analysis: training an LDA model with unlabelled data

Abstract: Linear Discriminant Analysis (LDA) is one of the oldest and most popular linear methods for supervised classification problems. In this paper, we demonstrate that it is possible to compute the exact projection vector from LDA models based on unlabelled data, if some minimal prior information is available. More precisely, we show that only one of the following three pieces of information is actually sufficient to compute the LDA projection vector if only unlabelled data are available: (1) the class average of one of the two classes, (2) the difference between both class averages (up to a scaling), or (3) the class covariance matrices (up to a scaling). These theoretical results are validated in numerical experiments, demonstrating that this minimally informed Linear Discriminant Analysis (MILDA) model closely matches the performance of a supervised LDA model. Furthermore, we show that the MILDA projection vector can be computed in a closed form with a computational cost comparable to LDA and is able to quickly adapt to non-stationary data, making it well-suited to use as an adaptive classifier.