On minimizing the probability of misclassification for linear feature selection

The use of techniques for feature selection permits treatment of classification problems in spaces of reduced dimensions. A method is considered of linear feature selection for n-dimensional observation vectors which belong to one of two populations, where each population is described by a known multivariate normal density function. More specifically, the problem of finding a 1xn transformation matrix B for which the probability of misclassification with respect to the one-dimensional transformed density functions was minimized was considered. Theoretical results are presented which give rise to a numerically tractable expression for the variation in the probability of misclassification with respect to B. Using this expression a computational procedure is discussed for obtaining a B which minimizes the probability of misclassification. Preliminary numerical results are discussed.