An efficient method to estimate the optimum regularization parameter in RLDA.

Motivation: The biomarker discovery process in high-throughput genomic profiles has presented the statistical learning community with a challenging problem, namely learning when the number of variables is comparable or exceeding the sample size. In these settings, many classical techniques including linear discriminant analysis (LDA) falter. Poor performance of LDA is attributed to the ill-conditioned nature of sample covariance matrix when the dimension and sample size are comparable.