.. _lda_qda:
==========================================
Linear and Quadratic Discriminant Analysis
==========================================
.. currentmodule:: sklearn
Linear Discriminant Analysis
(:class:`discriminant_analysis.LinearDiscriminantAnalysis`) and Quadratic
Discriminant Analysis
(:class:`discriminant_analysis.QuadraticDiscriminantAnalysis`) are two classic
classifiers, with, as their names suggest, a linear and a quadratic decision
surface, respectively.
These classifiers are attractive because they have closed-form solutions that
can be easily computed, are inherently multiclass, have proven to work well in
practice and have no hyperparameters to tune.
.. |ldaqda| image:: ../auto_examples/classification/images/sphx_glr_plot_lda_qda_001.png
:target: ../auto_examples/classification/plot_lda_qda.html
:scale: 80
.. centered:: |ldaqda|
The plot shows decision boundaries for Linear Discriminant Analysis and
Quadratic Discriminant Analysis. The bottom row demonstrates that Linear
Discriminant Analysis can only learn linear boundaries, while Quadratic
Discriminant Analysis can learn quadratic boundaries and is therefore more
flexible.
.. topic:: Examples:
:ref:`sphx_glr_auto_examples_classification_plot_lda_qda.py`: Comparison of LDA and QDA
on synthetic data.
Dimensionality reduction using Linear Discriminant Analysis
===========================================================
:class:`discriminant_analysis.LinearDiscriminantAnalysis` can be used to
perform supervised dimensionality reduction, by projecting the input data to a
linear subspace consisting of the directions which maximize the separation
between classes (in a precise sense discussed in the mathematics section
below). The dimension of the output is necessarily less than the number of
classes, so this is a in general a rather strong dimensionality reduction, and
only makes senses in a multiclass setting.
This is implemented in
:func:`discriminant_analysis.LinearDiscriminantAnalysis.transform`. The desired
dimensionality can be set using the ``n_components`` constructor parameter.
This parameter has no influence on
:func:`discriminant_analysis.LinearDiscriminantAnalysis.fit` or
:func:`discriminant_analysis.LinearDiscriminantAnalysis.predict`.
.. topic:: Examples:
:ref:`sphx_glr_auto_examples_decomposition_plot_pca_vs_lda.py`: Comparison of LDA and PCA
for dimensionality reduction of the Iris dataset
Mathematical formulation of the LDA and QDA classifiers
=======================================================
Both LDA and QDA can be derived from simple probabilistic models which model
the class conditional distribution of the data :math:`P(X|y=k)` for each class
:math:`k`. Predictions can then be obtained by using Bayes' rule:
.. math::
P(y=k | X) = \frac{P(X | y=k) P(y=k)}{P(X)} = \frac{P(X | y=k) P(y = k)}{ \sum_{l} P(X | y=l) \cdot P(y=l)}
and we select the class :math:`k` which maximizes this conditional probability.
More specifically, for linear and quadratic discriminant analysis,
:math:`P(X|y)` is modelled as a multivariate Gaussian distribution with
density:
.. math:: p(X | y=k) = \frac{1}{(2\pi)^n |\Sigma_k|^{1/2}}\exp\left(-\frac{1}{2} (X-\mu_k)^t \Sigma_k^{-1} (X-\mu_k)\right)
To use this model as a classifier, we just need to estimate from the training
data the class priors :math:`P(y=k)` (by the proportion of instances of class
:math:`k`), the class means :math:`\mu_k` (by the empirical sample class means)
and the covariance matrices (either by the empirical sample class covariance
matrices, or by a regularized estimator: see the section on shrinkage below).
In the case of LDA, the Gaussians for each class are assumed to share the same
covariance matrix: :math:`\Sigma_k = \Sigma` for all :math:`k`. This leads to
linear decision surfaces between, as can be seen by comparing the
log-probability ratios :math:`\log[P(y=k | X) / P(y=l | X)]`:
.. math::
\log\left(\frac{P(y=k|X)}{P(y=l | X)}\right) = 0 \Leftrightarrow (\mu_k-\mu_l)\Sigma^{-1} X = \frac{1}{2} (\mu_k^t \Sigma^{-1} \mu_k - \mu_l^t \Sigma^{-1} \mu_l)
In the case of QDA, there are no assumptions on the covariance matrices
:math:`\Sigma_k` of the Gaussians, leading to quadratic decision surfaces. See
[#1]_ for more details.
.. note:: **Relation with Gaussian Naive Bayes**
If in the QDA model one assumes that the covariance matrices are diagonal,
then the inputs are assumed to be conditionally independent in each class,
and the resulting classifier is equivalent to the Gaussian Naive Bayes
classifier :class:`naive_bayes.GaussianNB`.
Mathematical formulation of LDA dimensionality reduction
========================================================
To understand the use of LDA in dimensionality reduction, it is useful to start
with a geometric reformulation of the LDA classification rule explained above.
We write :math:`K` for the total number of target classes. Since in LDA we
assume that all classes have the same estimated covariance :math:`\Sigma`, we
can rescale the data so that this covariance is the identity:
.. math:: X^* = D^{-1/2}U^t X\text{ with }\Sigma = UDU^t
Then one can show that to classify a data point after scaling is equivalent to
finding the estimated class mean :math:`\mu^*_k` which is closest to the data
point in the Euclidean distance. But this can be done just as well after
projecting on the :math:`K-1` affine subspace :math:`H_K` generated by all the
:math:`\mu^*_k` for all classes. This shows that, implicit in the LDA
classifier, there is a dimensionality reduction by linear projection onto a
:math:`K-1` dimensional space.
We can reduce the dimension even more, to a chosen :math:`L`, by projecting
onto the linear subspace :math:`H_L` which maximize the variance of the
:math:`\mu^*_k` after projection (in effect, we are doing a form of PCA for the
transformed class means :math:`\mu^*_k`). This :math:`L` corresponds to the
``n_components`` parameter used in the
:func:`discriminant_analysis.LinearDiscriminantAnalysis.transform` method. See
[#1]_ for more details.
Shrinkage
=========
Shrinkage is a tool to improve estimation of covariance matrices in situations
where the number of training samples is small compared to the number of
features. In this scenario, the empirical sample covariance is a poor
estimator. Shrinkage LDA can be used by setting the ``shrinkage`` parameter of
the :class:`discriminant_analysis.LinearDiscriminantAnalysis` class to 'auto'.
This automatically determines the optimal shrinkage parameter in an analytic
way following the lemma introduced by Ledoit and Wolf [#2]_. Note that
currently shrinkage only works when setting the ``solver`` parameter to 'lsqr'
or 'eigen'.
The ``shrinkage`` parameter can also be manually set between 0 and 1. In
particular, a value of 0 corresponds to no shrinkage (which means the empirical
covariance matrix will be used) and a value of 1 corresponds to complete
shrinkage (which means that the diagonal matrix of variances will be used as
an estimate for the covariance matrix). Setting this parameter to a value
between these two extrema will estimate a shrunk version of the covariance
matrix.
.. |shrinkage| image:: ../auto_examples/classification/images/sphx_glr_plot_lda_001.png
:target: ../auto_examples/classification/plot_lda.html
:scale: 75
.. centered:: |shrinkage|
Estimation algorithms
=====================
The default solver is 'svd'. It can perform both classification and transform,
and it does not rely on the calculation of the covariance matrix. This can be
an advantage in situations where the number of features is large. However, the
'svd' solver cannot be used with shrinkage.
The 'lsqr' solver is an efficient algorithm that only works for classification.
It supports shrinkage.
The 'eigen' solver is based on the optimization of the between class scatter to
within class scatter ratio. It can be used for both classification and
transform, and it supports shrinkage. However, the 'eigen' solver needs to
compute the covariance matrix, so it might not be suitable for situations with
a high number of features.
.. topic:: Examples:
:ref:`sphx_glr_auto_examples_classification_plot_lda.py`: Comparison of LDA classifiers
with and without shrinkage.
.. topic:: References:
.. [#1] "The Elements of Statistical Learning", Hastie T., Tibshirani R.,
Friedman J., Section 4.3, p.106-119, 2008.
.. [#2] Ledoit O, Wolf M. Honey, I Shrunk the Sample Covariance Matrix.
The Journal of Portfolio Management 30(4), 110-119, 2004.