Multigroup discriminant analysis using linear programming

In this paper we introduce a nonparametric 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.