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GATE DA 2024 Q22: Equation satisfied by the Fisher linear discriminant

Question

For any binary classification dataset, let SB∈Rd×dS_B \in \mathbb{R}^{d\times d} and SW∈Rd×dS_W \in \mathbb{R}^{d\times d} be the between-class and within-class scatter (covariance) matrices, respectively. The Fisher linear discriminant is defined by u∗∈Rdu^* \in \mathbb{R}^d, that maximizes

J(u)=uTSBuuTSWuJ(u) = \frac{u^T S_B u}{u^T S_W u}

If λ=J(u∗)\lambda = J(u^*), SWS_W is non-singular and SB≠0S_B \neq 0, then (u∗,λ)(u^*, \lambda) must satisfy which ONE of the following equations?

Note: R\mathbb{R} denotes the set of real numbers.

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Answer: A (official GATE 2024 final answer key)

Concept used: Maximising a Rayleigh quotient gives a generalised eigenvalue problem.

First step: Setting ∇J(u)=0\nabla J(u) = 0 gives SBu=J(u) SWuS_B u = J(u)\, S_W u; multiply by SW−1S_W^{-1}.

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Source: official GATE 2024 DA question paper and final answer key, organised by IISc Bangalore. Question paper · Answer key