Linear discriminant analysis is a method used in statistics, machine learning and pattern recognition. Its aim is to find a combination of features that separates between pre-structured clusters. It is defined as an optimization problem involving covariance matrices, that have to be nonsingular. Since this condition makes it difficult to apply the method on every data, we aim to generalize linear discriminant analysis and make it useful also in cases, when classic linear discriminant analysis fails. Usage of generalized discriminant analysis is shown on medical case of cluster prediction.
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