Fisher's linear discriminant

Fisher's linear discriminant is a classification method that projects high-dimensional data onto a line and performs classification in this one-dimensional space. The projection maximizes the distance between the means of the two classes while minimizing the variance within each class. This defines the Fisher criterion, which is maximized over all linear projections, w:

where m represents a mean, s2 represents a variance, and the subscripts denote the two classes. In signal theory, this criterion is also known as the signal-to-interference ratio. Maximizing this criterion yields a closed form solution that involves the inverse of a covariance-like matrix. This method has strong parallels to linear perceptrons. We learn the threshold by optimizing a cost function on the training set.