Trendafilov, Nickolay T. and Jolliffe, Ian T.
DALASS: Variable selection in discriminant analysis via the LASSO.
Computational Statistics and Data Analysis, 51(8),
The objective of DALASS is to simplify the interpretation of Fisher’s discriminant function coefficients. The DALASS problem—discriminant analysis (DA) modified so that the canonical variates satisfy the LASSO constraint—is formulated as a dynamical system on the unit sphere. Both standard and orthogonal canonical variates are considered. The globally convergent continuous-time algorithms are illustrated numerically and applied to some well-known data sets.
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