Supervised dimensionality reduction via sequential semidefinite programming
Many dimensionality reduction problems end up with a trace quotient formulation. Since it is difficult to directly solve the trace quotient problem, traditionally the trace quotient cost function is replaced by an approximation such that the generalized eigenvalue decomposition can be applied. In contrast, we directly optimize the trace quotient in this work. It is reformulated as a quasi-linear semidefinite optimization problem, which can be solved globally and efficiently using standard...[Show more]
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