%ADwivedi, Anmol%AWang, Sihui%ATajer, Ali%BJournal Name: Entropy; Journal Volume: 24; Journal Issue: 2 %D2022%I %JJournal Name: Entropy; Journal Volume: 24; Journal Issue: 2 %K %MOSTI ID: 10355565 %PMedium: X %TDiscriminant Analysis under f-Divergence Measures %XIn statistical inference, the information-theoretic performance limits can often be expressed in terms of a statistical divergence between the underlying statistical models (e.g., in binary hypothesis testing, the error probability is related to the total variation distance between the statistical models). As the data dimension grows, computing the statistics involved in decision-making and the attendant performance limits (divergence measures) face complexity and stability challenges. Dimensionality reduction addresses these challenges at the expense of compromising the performance (the divergence reduces by the data-processing inequality). This paper considers linear dimensionality reduction such that the divergence between the models is maximally preserved. Specifically, this paper focuses on Gaussian models where we investigate discriminant analysis under five f-divergence measures (Kullback–Leibler, symmetrized Kullback–Leibler, Hellinger, total variation, and χ2). We characterize the optimal design of the linear transformation of the data onto a lower-dimensional subspace for zero-mean Gaussian models and employ numerical algorithms to find the design for general Gaussian models with non-zero means. There are two key observations for zero-mean Gaussian models. First, projections are not necessarily along the largest modes of the covariance matrix of the data, and, in some situations, they can even be along the smallest modes. Secondly, under specific regimes, the optimal design of subspace projection is identical under all the f-divergence measures considered, rendering a degree of universality to the design, independent of the inference problem of interest. %0Journal Article