A sequential approach for multi-class discriminant analysis with kernels

Linear discriminant analysis (LDA) is a standard statistical tool for data analysis. Recently, a method called generalized discriminant analysis (GDA) has been developed to deal with nonlinear discriminant analysis using kernel functions. Difficulties for the GDA method can arise in the form of both computational complexity and storage requirements. We present a sequential algorithm for GDA avoiding these problems when one deals with large numbers of datapoints.