Multigroup Discriminant Analysis Using Linear Programming

In this paper we introduce a non-parametric linear programming formulation for the general multigroup classification problem. Previous research using linear programming formulations has either been limited to the two-group case, or required complicated constraints and many zero-one variables. We develop general properties of our multigroup formulation and illustrate its use with several small example problems and previously published real data sets. A comparative analysis on the real data sets shows that our formulation may offer an interesting robust alternative to parametric statistical formulations for the multigroup discriminant problem.