Divergence and Necessary Conditions for Extremums

Abstract

The problem is considered of finding a dimension reducing transformation matrix B that maximizes the divergence in the reduced dimension for multi-class cases. A comparitively simple expression for the gradient of the average divergence with respect to B is developed. The developed expression for the gradient contains no eigenvectors or eigenvalues; also, all matrix inversions necessary to evaluate the gradient are available from computing the average divergence.