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Computational Statistics

, Volume 17, Issue 1, pp 29–46 | Cite as

Direct Minimization of Error Rates in Multivariate Classification

  • Michael C. Röhl
  • Claus Weihs
  • Winfried Theis
Article

Summary

We propose a computer intensive method for linear dimension reduction that minimizes the classification error directly. Simulated annealing (Bohachevsky et al. 1986), a modern optimization technique, is used to solve this problem effectively. This approach easily allows user preferences to be incorporated by means of penalty terms. Simulations and a real world example demonstrate the superiority of this optimal classification to classical discriminant analysis (McLachlan 1992). Special emphasis is given to the case when discriminant analysis collapses.

Keywords

classification discriminant analysis error rate simulated annealing user preferences 

Notes

Acknowledgment

This work has been supported by the Collaborative Research Centre “Reduction of Complexity in Multivariate Data Structures” (SFB 475) of the German Research Foundation (DFG). We particularly thank Dipl. Stat. D. Steuer for his constructive criticism. We also thank two unknown referees for their helpful comments.

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Copyright information

© Physica-Verlag 2002

Authors and Affiliations

  • Michael C. Röhl
    • 1
  • Claus Weihs
    • 2
  • Winfried Theis
    • 2
  1. 1.Königstein/Ts.KönigsteinGermany
  2. 2.Fachbereich StatistikUniversität DortmundDortmundGermany

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