Theodoridis.s.,.koutroumbas.k..pattern.recognition,.4ed,.ap,.2009

1. 00-FM-SA272 18/9/2008 page iv Academic Press is an imprint of Elsevier 30 Corporate Drive,Suite 400,Burlington,MA 01803,USA 525 B Street,Suite 1900,San Diego,California 92101-4495,USA 84Theobalds Road,London WC1X 8RR,UK This book is printed on acid-free paper. Copyright 2009,Elsevier Inc. All rights reserved. No part of this publication may be reproduced or transmitted in any form or by any means,electronic or mechanical,including photocopy,recording,or any information storage and retrieval system,without permission in writing from the publisher. Permissions may be sought directly from Elseviers Science &Technology Rights Department in Oxford,UK:phone: (+44) 1865 843830,fax: (+44) 1865 853333,E-mail: [email protected]. You may also complete your request on-line via the Elsevier homepage (http://elsevier.com),by selectingSupport & ContactthenCopyright and Permissionand thenObtaining Permissions. Library of Congress Cataloging-in-Publication Data Application submitted British Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library. ISBN:978-1-59749-272-0 For information on all Academic Press publications visit our Web site at www.books.elsevier.com Printed in the United States of America 09 10 11 12 13 14 15 16 5 4 3 2 1

2. 02-Preface-SA272 17/9/2008 page xv Preface This book is the outgrowth of our teaching advanced undergraduate and graduate courses over the past 20 years. These courses have been taught to different audiences, including students in electrical and electronics engineering, computer engineering, computer science, and informatics, as well as to an interdisciplinary audience of a graduate course on automation. This experience led us to make the book as self-contained as possible and to address students with different back- grounds. As prerequisitive knowledge, the reader requires only basic calculus, elementary linear algebra,and some probability theory basics. A number of mathematical tools, such as probability and statistics as well as constrained optimization, needed by various chapters,are treated in fourAppendices. The book is designed to serve as a text for advanced undergraduate and graduate students,and it can be used for either a one- or a two-semester course. Furthermore,it is intended to be used as a self-study and reference book for research and for the practicing scientist/engineer. This latter audience was also our second incentive for writing this book,due to the involvement of our group in a number of projects related to pattern recognition. SCOPE AND APPROACH The goal of the book is to present in a unied way the most widely used techniques and methodologies for pattern recognition tasks. Pattern recognition is in the center of a number of application areas, including image analysis, speech and audio recognition, biometrics, bioinformatics, data mining, and information retrieval. Despite their differences, these areas share, to a large extent, a corpus of techniques that can be used in extracting, from the available data, information related to data categories,importanthiddenpatterns,and trends. The emphasis in this book is on the most generic of the methods that are currently available. Hav- ing acquired the basic knowledge and understanding, the reader can subsequently move on to more specialized application-dependent techniques, which have been developed and reported in a vast number of research papers. Each chapter of the book starts with the basics and moves, progressively, to more advanced topicsand reviews up-to-date techniques. We have made an effort to keep a balance between mathematical and descriptive presentation. This is not always an easy task. However, we strongly believe that in a topic such as pattern recognition,trying to bypass mathematics deprives the reader of understanding the essentials behind the methods and also the potential of developing new techniques, which t the needs of the problem at hand that he or she has to tackle. In pattern recognition, the nal adoption of an appropriate technique and algorithm is very much a problem-dependent task. Moreover, according to our experience, teaching pattern recognition is also a good excuse for the students to refresh and solidify xv

3. 02-Preface-SA272 17/9/2008 page xvi xvi Preface some of the mathematical basics they have been taught in earlier years. Repetitio est mater studiosum. NEW TO THIS EDITION The new features of the fourth edition include the following. MATLAB codes and computer experiments are given at the end of most chapters. More examples and a number of new gures have been included to enhance the readability and pedagogic aspects of the book. New sections on some important topics of high current interest have been added,including: Nonlinear dimensionality reduction Nonnegative matrix factorization Relevance feedback Robust regression Semi-supervised learning Spectral clustering Clustering combination techniques Also, a number of sections have been rewritten in the context of more recent applications in mind. SUPPLEMENTS TO THE TEXT Demonstrations based on MATLAB are available for download from the book Web site,www.elsevierdirect.com/9781597492720. Also available are electronic gures from the text and (for instructors only) a solutions manual for the end-of-chapter problems and exercises. The interested reader can download detailed proofs, which in the book necessarily, are sometimes, slightly condensed. PowerPoint presentations are also available covering all chapters of the book. Our intention is to update the site regularly with more and/or improved versions of the MATLAB demonstrations. Suggestions are always welcome. Also at this Web site a page will be available for typos, which are unavoidable, despite frequent careful reading. The authors would appreciate readers notifying them about any typos found.

4. 02-Preface-SA272 17/9/2008 page xvii Preface xvii ACKNOWLEDGMENTS This book would have not been written without the constant support and help from a number of colleagues and students throughout the years. We are espe- cially indebted to Kostas Berberidis, Velissaris Gezerlis, Xaris Georgion, Kristina Georgoulakis, Leyteris Kodis, Thanassis Liavas, Michalis Mavroforakis, Aggelos Pikrakis,Thanassis Rontogiannis, Margaritis Sdralis, Kostas Slavakis, and Theodoros Yiannakoponlos. The constant support provided by Yannis Kopsinis and Kostas Thernelis from the early stages up to the nal stage, with those long nights, has been invaluable. The book improved a great deal after the careful reading and the serious comments and suggestions of Alexandros Blnn. Dionissis Cavouras, Vassilis Digalakis, Vassilis Drakopoulos, Nikos Galatsanos, George Glentis, Spiros Hatzispyros, Evagelos Karkaletsis, Elias Koutsoupias, Aristides Likas, Gerassimos Mileounis, George Monstakides, George Paliouras, Stavros Perantonis, Takis Stam- atoponlos,Nikos Vassilas,Manolis Zervakis,and Vassilis Zissimopoulos. The book has greatly gained and improved thanks to the comments of a number of people who provided feedback on the revision plan and/or comments on revised chapters: TulayAdali,University of Maryland;Mehniet Celenk,Ohio University;Rama Chel- lappa, University of Maryland; Mark Clements, Georgia Institute of Technology; Robert Duin,Delft University of Technology;Miguel Figneroa,Villanueva University of Puerto Rico; Dimitris Gunopoulos, University of Athens; Mathias Kolsch, Naval Postgraduate School;Adam Krzyzak, Concordia University; Baoxiu Li,Arizona State University; David Miller, Pennsylvania State University; Bernhard Schlkopf, Max Planck Institute; Hari Sundaram, Arizona State University; Harry Wechsler, George Mason University;and Alexander Zien,Max Planck Institute. We are greatly indebted to these colleagues for their time and their constructive criticisms. Our collaboration and friendship with Nikos Kalouptsidis have been a source of constant inspiration for all these years. We are both deeply indebted to him. Last but not least, K.Koutroumbas would like to thank Sophia, Dimitris- Marios, and Valentini-Theodora for their tolerance and support and S.Theodoridis would like to thank Despina, Eva, and Eleni, his joyful and supportive harem.

5. 03-Ch01-SA272 17/9/2008 page 1 CHAPTER 1Introduction 1.1 IS PATTERN RECOGNITION IMPORTANT? Pattern recognition is the scientic discipline whose goal is the classication of objects into a number of categories or classes. Depending on the application,these objects can be images or signal waveforms or any type of measurements that need to be classied. We will refer to these objects using the generic term patterns. Pattern recognition has a long history,but before the 1960s it was mostly the output of theoretical research in the area of statistics. As with everything else, the advent of computers increased the demand for practical applications of pattern recognition, which in turn set new demands for further theoretical developments. As our society evolves from the industrial to its postindustrial phase, automation in industrial production and the need for information handling and retrieval are becoming increasingly important. This trend has pushed pattern recognition to the high edge of todays engineering applications and research. Pattern recognition is an integral part of most machine intelligence systems built for decision making. Machine vision is an area in which pattern recognition is of importance. A machine vision system captures images via a camera and analyzes them to produce descriptions of what is imaged. A typical application of a machine vision system is in the manufacturing industry,either for automated visual inspection or for automation in the assembly line. For example, in inspection, manufactured objects on a moving conveyor may pass the inspection station, where the camera stands, and it has to be ascertained whether there is a defect. Thus, images have to be analyzed online,and a pattern recognition system has to classify the objects into thedefect ornondefectclass. After that,an action has to be taken,such as to reject the offend- ing parts. In an assembly line, different objects must be located and recognized, that is, classied in one of a number of classes known a priori. Examples are the screwdriver class, the German key class, and so forth in a tools manufacturing unit. Then a robot arm can move the objects in the right place. Character (letter or number) recognition is another important area of pattern recognition,with major implications in automation and information handling. Opti- cal character recognition (OCR) systems are already commercially available and more or less familiar to all of us. An OCR system has afront-enddevice consisting of a light source,a scan lens,a document transport,and a detector. At the output of 1

6. 03-Ch01-SA272 17/9/2008 page 2 2 CHAPTER 1 Introduction the light-sensitive detector,light-intensity variation is translated intonumbersand an image array is formed. In the sequel,a series of image processing techniques are applied leading to line and character segmentation. The pattern recognition software then takes over to recognize the charactersthat is,to classify each character in the correctletter,number,punctuationclass. Storing the recognized document has a twofold advantage over storing its scanned image. First, further electronic processing, if needed, is easy via a word processor, and second, it is much more efcient to store ASCII characters than a document image. Besides the printed character recognition systems, there is a great deal of interest invested in systems that recognize handwriting. A typical commercial application of such a system is in the machine reading of bank checks. The machine must be able to recognize the amounts in gures and digits and match them. Furthermore, it could check whether the payee corresponds to the account to be credited. Even if only half of the checks are manipulated correctly by such a machine, much labor can be saved from a tedious job. Another application is in automatic mail-sorting machines for postal code identication in post ofces. Online handwriting recognition systems are another area of great commercial interest. Such systems will accompany pen computers, with which the entry of data will be done not via the keyboard but by writing. This complies with todays tendency to develop machines and computers with interfaces acquiring human-like skills. Computer-aided diagnosis is another important application of pattern recognition,aiming at assisting doctors in making diagnostic decisions. The nal diagnosis is,of course,made by the doctor. Computer-assisted diagnosis has been applied to and is of interest for a variety of medical data,such as X-rays,computed tomographic images, ultrasound images, electrocardiograms (ECGs), and electroencephalograms (EEGs). The need for a computer-aided diagnosis stems from the fact that medical data are often not easily interpretable, and the interpretation can depend very much on the skill of the doctor. Let us take for example X-ray mammography for the detection of breast cancer. Although mammography is currently the best method for detecting breast cancer,10 to 30% of women who have the disease and undergo mammography have negative mammograms. In approximately two thirds of these cases with false results the radiologist failed to detect the cancer, which was evident retrospectively. This may be due to poor image quality, eye fatigue of the radiologist, or the subtle nature of the ndings. The percentage of correct classications improves at a second reading by another radiologist. Thus, one can aim to develop a pattern recognition system in order to assist radiologists with a second opinion. Increasing condence in the diagnosis based on mammograms would,in turn,decrease the number of patients with suspected breast cancer who have to undergo surgical breast biopsy,with its associated complications. Speech recognition is another area in which a great deal of research and devel- opment effort has been invested. Speech is the most natural means by which humans communicate and exchange information. Thus,the goal of building intelli- gent machines that recognize spoken information has been a long-standing one for scientists and engineers as well as science ction writers. Potential applications of such machines are numerous. They can be used,for example,to improve efciency

7. 03-Ch01-SA272 17/9/2008 page 3 1.1 Is Pattern Recognition Important? 3 in a manufacturing environment, to control machines in hazardous environments remotely,and to help handicapped people to control machines by talking to them. A major effort, which has already had considerable success, is to enter data into a computer via a microphone. Software, built around a pattern (spoken sounds in this case) recognition system, recognizes the spoken text and translates it into ASCII characters,which are shown on the screen and can be stored in the memory. Entering information bytalkingto a computer is twice as fast as entry by a skilled typist. Furthermore, this can enhance our ability to communicate with deaf and dumb people. Data mining and knowledge discovery in databases is another key application area of pattern recognition. Data mining is of intense interest in a wide range of applications such as medicine and biology, market and nancial analysis, business management, science exploration, image and music retrieval. Its popularity stems from the fact that in the age of information and knowledge society there is an ever increasing demand for retrieving information and turning it into knowledge. More- over,this information exists in huge amounts of data in various forms including,text, images, audio and video, stored in different places distributed all over the world. The traditional way of searching information in databases was the description-based model where object retrieval was based on keyword description and subsequent word matching. However, this type of searching presupposes that a manual annotation of the stored information has previously been performed by a human. This is a very time-consuming job and, although feasible when the size of the stored information is limited, it is not possible when the amount of the available information becomes large. Moreover,the task of manual annotation becomes problematic when the stored information is widely distributed and shared by a heterogeneous mixtureof sites and users. Content-based retrieval systems are becoming more and more popular where information is sought based onsimilaritybetween an object, which is presented into the system, and objects stored in sites all over the world. In a content-based image retrieval CBIR (system) an image is presented to an input device (e.g.,scanner). The system returnssimilarimages based on a measuredsig- nature, which can encode, for example, information related to color, texture and shape. In a music content-based retrieval system, an example (i.e., an extract from a music piece), is presented to a microphone input device and the system returns similar music pieces. In this case, similarity is based on certain (automatically) measured cues that characterize a music piece, such as the music meter, the music tempo,and the location of certain repeated patterns. Mining for biomedical and DNA data analysis has enjoyed an explosive growth since the mid-1990s. All DNA sequences comprise four basic building elements; the nucleotides: adenine (A), cytosine (C), guanine (G) and thymine (T). Like the letters in our alphabets and the seven notes in music, these four nucleotides are combined to form long sequences in a twisted ladder form. Genes consist of,usually, hundreds of nucleotides arranged in a particular order. Specic gene-sequence patterns are related to particular diseases and play an important role in medicine. To this end,pattern recognition is a key area that offers a wealth of developed tools for similarity search and comparison between DNA sequences. Such comparisons

8. 03-Ch01-SA272 17/9/2008 page 4 4 CHAPTER 1 Introduction between healthy and diseased tissues are very important in medicine to identify critical differences between these two classes. The foregoing are only ve examples from a much larger number of possible applications. Typically, we refer to ngerprint identication, signature authentica- tion, text retrieval, and face and gesture recognition. The last applications have recently attracted much research interest and investment in an attempt to facil- itate humanmachine interaction and further enhance the role of computers in ofce automation,automatic personalization of environments,and so forth. Just to provoke imagination, it is worth pointing out that the MPEG-7 standard includes a provision for content-based video information retrieval from digital libraries of the type: search and nd all video scenes in a digital library showing person X laughing. Of course, to achieve the nal goals in all of these applications, pattern recognition is closely linked with other scientic disciplines, such as linguistics, computer graphics,machine vision,and database design. Having aroused the readers curiosity about pattern recognition, we will next sketch the basic philosophy and methodological directions in which the various pattern recognition approaches have evolved and developed. 1.2 FEATURES, FEATURE VECTORS, AND CLASSIFIERS Let us rst simulate a simplied case mimicking a medical image classication task. Figure 1.1 shows two images, each having a distinct region inside it. The two regions are also themselves visually different. We could say that the region of Figure 1.1a results from a benign lesion, class A, and that of Figure 1.1b from a malignant one (cancer), class B. We will further assume that these are not the only patterns (images) that are available to us, but we have access to an image database (a) (b) FIGURE 1.1 Examples of image regions corresponding to (a) class A and (b) class B.

9. 03-Ch01-SA272 17/9/2008 page 5 1.2 Features, Feature Vectors, and Classiers 5 FIGURE 1.2 Plot of the mean value versus the standard deviation for a number of different images originating from class A ( ) and class B (). In this case, a straight line separates the two classes. with a number of patterns,some of which are known to originate from class A and some from class B. The rst step is to identify the measurable quantities that make these two regions distinct from each other. Figure 1.2 shows a plot of the mean value of the intensity in each region of interest versus the corresponding standard deviation around this mean. Each point corresponds to a different image from the available database. It turns out that class A patterns tend to spread in a different area from class B patterns. The straight line seems to be a good candidate for separating the two classes. Let us now assume that we are given a new image with a region in it and that we do not know to which class it belongs. It is reasonable to say that we measure the mean intensity and standard deviation in the region of interest and we plot the corresponding point. This is shown by the asterisk () in Figure 1.2. Then it is sensible to assume that the unknown pattern is more likely to belong to classA than class B. The preceding articial classication task has outlined the rationale behind a large class of pattern recognition problems. The measurements used for the classication,the mean value and the standard deviation in this case,are known as features. In the more general case l features xi, i 1, 2, . . . , l, are used, and they form the feature vector x [x1, x2, . . . , xl]T where T denotes transposition. Each of the feature vectors identies uniquely a single pattern (object). Throughout this book features and feature vectors will be treated as random variables and vectors, respectively. This is natural, as the measurements resulting from different patterns exhibit a random variation. This is due partly to the measurement noise of the measuring devices and partly to

10. 03-Ch01-SA272 17/9/2008 page 6 6 CHAPTER 1 Introduction the distinct characteristics of each pattern. For example, in X-ray imaging large variations are expected because of the differences in physiology among individuals. This is the reason for the scattering of the points in each class shown in Figure 1.1. The straight line in Figure 1.2 is known as the decision line, and it constitutes the classier whose role is to divide the feature space into regions that correspond to either class A or class B. If a feature vector x, corresponding to an unknown pattern, falls in the class A region, it is classied as class A, otherwise as class B. This does not necessarily mean that the decision is correct. If it is not correct, a misclassication has occurred. In order to draw the straight line in Figure 1.2 we exploited the fact that we knew the labels (class A or B) for each point of the gure. The patterns (feature vectors) whose true class is known and which are used for the design of the classier are known as training patterns (training feature vectors). Having outlined the denitions and the rationale, let us point out the basic questions arising in a classication task. How are the features generated? In the preceding example, we used the mean and the standard deviation,because we knew how the images had been generated. In practice,this is far from obvious. It is problem dependent,and it concerns the feature generation stage of the design of a classication system that performs a given pattern recognition task. What is the best number l of features to use? This is also a very important task and it concerns the feature selection stage of the classication system. In practice,a larger than necessary number of feature candidates is generated, and then thebestof them is adopted. Having adopted the appropriate,for the specic task,features,how does one design the classier? In the preceding example the straight line was drawn empirically, just to please the eye. In practice, this cannot be the case, and the line should be drawn optimally, with respect to an optimality criterion. Furthermore,problems for which a linear classier (straight line or hyperplane in the l-dimensional space) can result in acceptable performance are not the rule. In general, the surfaces dividing the space in the various class regions are nonlinear. What type of nonlinearity must one adopt, and what type of optimizing criterion must be used in order to locate a surface in the right place in the l-dimensional feature space? These questions concern the classier design stage. Finally, once the classier has been designed, how can one assess the performance of the designed classier? That is,what is the classication error rate? This is the task of the system evaluation stage. Figure 1.3 shows the various stages followed for the design of a classication system. As is apparent from the feedback arrows,these stages are not independent. On the contrary,they are interrelated and,depending on the results,one may go back

11. 03-Ch01-SA272 17/9/2008 page 7 1.3 Supervised, Unsupervised, and Semi-Supervised Learning 7 feature selection classifier design system evaluation feature generation sensor patterns FIGURE 1.3 The basic stages involved in the design of a classication system. to redesign earlier stages in order to improve the overall performance. Furthermore, there are some methods that combine stages,for example,the feature selection and the classier design stage,in a common optimization task. Although the reader has already been exposed to a number of basic problems at the heart of the design of a classication system, there are still a few things to be said. 1.3 SUPERVISED, UNSUPERVISED, AND SEMI-SUPERVISED LEARNING In the example of Figure 1.1, we assumed that a set of training data were available, and the classier was designed by exploiting this a priori known information. This is known as supervised pattern recognition or in the more general context of machine learning as supervised learning. However,this is not always the case,and there is another type of pattern recognition tasks for which training data,of known class labels, are not available. In this type of problem, we are given a set of feature vectors x and the goal is to unravel the underlying similarities and cluster (group) similar vectors together. This is known as unsupervised pattern recognition or unsupervised learning or clustering. Such tasks arise in many applications in social sciences and engineering, such as remote sensing, image segmentation, and image and speech coding. Let us pick two such problems. In multispectral remote sensing, the electromagnetic energy emanating from the earths surface is measured by sensitive scanners located aboard a satellite, an aircraft,or a space station. This energy may be reected solar energy (passive) or the reected part of the energy transmitted from the vehicle (active) in order tointer- rogate the earths surface. The scanners are sensitive to a number of wavelength bands of the electromagnetic radiation. Different properties of the earths surface contribute to the reection of the energy in the different bands. For example,in the visibleinfrared range properties such as the mineral and moisture contents of soils, the sedimentation of water, and the moisture content of vegetation are the main contributors to the reected energy. In contrast,at the thermal end of the infrared, it is the thermal capacity and thermal properties of the surface and near subsurface that contribute to the reection. Thus, each band measures different properties

12. 03-Ch01-SA272 17/9/2008 page 8 8 CHAPTER 1 Introduction of the same patch of the earths surface. In this way, images of the earths surface corresponding to the spatial distribution of the reected energy in each band can be created. The task now is to exploit this information in order to identify the various ground cover types, that is, built-up land, agricultural land, forest, re burn, water, and diseased crop. To this end, one feature vector x for each cell from the sensedearths surface is formed. The elements xi, i 1, 2, . . . , l,of the vector are the corresponding image pixel intensities in the various spectral bands. In practice, the number of spectral bands varies. A clustering algorithm can be employed to reveal the groups in which feature vectors are clustered in the l-dimensional feature space. Points that correspond to the same ground cover type, such as water, are expected to cluster together and form groups. Once this is done,the analyst can identify the type of each cluster by associating a sample of points in each group with available reference ground data, that is,maps or visits. Figure 1.4 demonstrates the procedure. Clustering is also widely used in the social sciences in order to study and correlate survey and statistical data and draw useful conclusions,which will then lead to the right actions. Let us again resort to a simplied example and assume that we are interested in studying whether there is any relation between a countrys gross national product (GNP) and the level of peoples illiteracy, on the one hand, and childrens mortality rate on the other. In this case, each country is represented by a three-dimensional feature vector whose coordinates are indices measuring the quantities of interest. A clustering algorithm will then reveal a rather compact cluster corresponding to countries that exhibit low GNPs,high illiteracy levels,and high childrens mortality expressed as a population percentage. forest soil water forest vegetation water soil vegetation forest x1 x2 soil (a) (b) FIGURE 1.4 (a) An illustration of various types of ground cover and (b) clustering of the respective features for multispectral imaging using two bands.

13. 03-Ch01-SA272 17/9/2008 page 9 1.5 MATLAB Programs 9 A major issue in unsupervised pattern recognition is that of dening the similarity between two feature vectors and choosing an appropriate measure for it. Another issue of importance is choosing an algorithmic scheme that will cluster (group) the vectors on the basis of the adopted similarity measure. In general, different algorithmic schemes may lead to different results, which the expert has to interpret. Semi-supervised learning/pattern recognition for designing a classication system shares the same goals as the supervised case, however now, the designer has at his or her disposal a set of patterns of unknown class origin, in addition to the training patterns,whose true class is known. We usually refer to the former ones as unlabeled and the latter as labeled data. Semi-supervised pattern recognition can be of importance when the system designer has access to a rather limited number of labeled data. In such cases, recovering additional information from the unlabeled samples, related to the general structure of the data at hand, can be useful in improving the system design. Semi-supervised learning nds its way also to clustering tasks. In this case,labeled data are used as constraints in the form of must-links and cannot-links. In other words, the clustering task is constrained to assign certain points in the same cluster or to exclude certain points of being assigned in the same cluster. From this perspective, semi-supervised learning provides an a priori knowledge that the clustering algorithm has to respect. 1.4 MATLAB PROGRAMS At the end of most of the chapters there is a number of MATLAB programs and computer experiments. The MATLAB codes provided are not intended to form part of a software package, but they are to serve a purely pedagogical goal. Most of these codes are given to our students who are asked to play with and discover the secretsassociated with the corresponding methods. This is also the reason that for most of the cases the data used are simulated data around the Gaussian distribution. They have been produced carefully in order to guide the students in understanding the basic concepts. This is also the reason that the provided codes correspond to those of the techniques and algorithms that,to our opinion,comprise the backbone of each chapter and the student has to understand in a rst reading. Whenever the required MATLAB code was available (at the time this book was prepared) in a MATLAB toolbox, we chose to use the associated MATLAB function and explain how to use its arguments. No doubt,each instructor has his or her own preferences, experiences,and unique way of viewing teaching. The provided routines are written in a way that can run on other data sets as well. In a separate accompanying book we provide a more complete list of MATLAB codes embedded in a user-friendly Graphical User Interface (GUI) and also involving more realistic examples using real images and audio signals.

14. 03-Ch01-SA272 17/9/2008 page 10 10 CHAPTER 1 Introduction 1.5 OUTLINE OF THE BOOK Chapters 210 deal with supervised pattern recognition and Chapters 1116 deal with the unsupervised case. Semi-supervised learning is introduced in Chapter 10. The goal of each chapter is to start with the basics,denitions,and approaches,and move progressively to more advanced issues and recent techniques. To what extent the various topics covered in the book will be presented in a rst course on pattern recognition depends very much on the courses focus,on the studentsbackground, and, of course, on the lecturer. In the following outline of the chapters, we give our view and the topics that we cover in a rst course on pattern recognition. No doubt,other views do exist and may be better suited to different audiences. At the end of each chapter,a number of problems and computer exercises are provided. Chapter 2 is focused on Bayesian classication and techniques for estimating unknown probability density functions. In a rst course on pattern recognition,the sections related to Bayesian inference, the maximum entropy, and the expectation maximization (EM) algorithm are omitted. Special focus is put on the Bayesian classication,the minimum distance (Euclidean and Mahalanobis),the nearest neighbor classiers,and the naive Bayes classier. Bayesian networks are briey introduced. Chapter 3 deals with the design of linear classiers. The sections dealing with the probability estimation property of the mean square solution as well as the bias variance dilemma are only briey mentioned in our rst course. The basic philosophy underlying the support vector machines can also be explained, although a deeper treatment requires mathematical tools (summarized inAppendix C) that most of the students are not familiar with during a rst course class. On the contrary,emphasis is put on the linear separability issue,the perceptron algorithm,and the mean square and least squares solutions. After all, these topics have a much broader horizon and applicability. Support vector machines are briey introduced. The geometric interpretation offers students a better understanding of the SVM theory. Chapter 4 deals with the design of nonlinear classiers. The section dealing with exact classication is bypassed in a rst course. The proof of the backpropagation algorithm is usually very boring for most of the students and we bypass its details. A description of its rationale is given, and the students experiment with it using MATLAB. The issues related to cost functions are bypassed. Pruning is discussed with an emphasis on generalization issues. Emphasis is also given to Covers theorem and radial basis function (RBF) networks. The nonlinear support vector machines, decision trees, and combining classiers are only briey touched via a discussion on the basic philosophy behind their rationale. Chapter 5 deals with the feature selection stage, and we have made an effort to present most of the well-known techniques. In a rst course we put emphasis on the t-test. This is because hypothesis testing also has a broad horizon, and at the same time it is easy for the students to apply it in computer exercises. Then, depending on time constraints, divergence, Bhattacharrya distance, and scattered matrices are presented and commented on,although their more detailed treatment

15. 03-Ch01-SA272 17/9/2008 page 11 1.5 Outline of The Book 11 is for a more advanced course. Emphasis is given to Fishers linear discriminant method ( LDA) for the two-class case. Chapter 6 deals with the feature generation stage using transformations. The KarhunenLove transform and the singular value decomposition are rst introduced as dimensionality reduction techniques. Both methods are briey covered in the second semester. In the sequel the independent component analysis (ICA),nonnegative matrix factorization and nonlinear dimensionality reduction techniques are presented. Then the discrete Fourier transform (DFT), discrete cosine transform (DCT), discrete sine transform (DST), Hadamard, and Haar transforms are dened. The rest of the chapter focuses on the discrete time wavelet transform. The incentive is to give all the necessary information so that a newcomer in the wavelet eld can grasp the basics and be able to develop software, based on lter banks, in order to generate features. All these techniques are bypassed in a rst course. Chapter 7 deals with feature generation focused on image and audio classication. The sections concerning local linear transforms,moments,parametric models, and fractals are not covered in a rst course. Emphasis is placed on rst- and second- order statistics features as well as the run-length method. The chain code for shape description is also taught. Computer exercises are then offered to generate these features and use them for classication for some case studies. In a one-semester course there is no time to cover more topics. Chapter 8 deals with template matching. Dynamic programming (DP) and the Viterbi algorithm are presented and then applied to speech recognition. In a two-semester course, emphasis is given to the DP and the Viterbi algorithm. The edit distance seems to be a good case for the students to grasp the basics. Cor- relation matching is taught and the basic philosophy behind deformable template matching can also be presented. Chapter 9 deals with context-dependent classication. Hidden Markov models are introduced and applied to communications and speech recognition. This chapter is bypassed in a rst course. Chapter 10 deals with system evaluation and semi-supervised learning. The various error rate estimation techniques are discussed, and a case study with real data is treated. The leave-one-out method and the resubstitution methods are emphasized in the second semester,and students practice with computer exercises. Semi-supervised learning is bypassed in a rst course. Chapter 11 deals with the basic concepts of clustering. It focuses on denitions as well as on the major stages involved in a clustering task. The various types of data encountered in clustering applications are reviewed, and the most commonly used proximity measures are provided. In a rst course,only the most widely used proximity measures are covered (e.g.,lp norms,inner product,Hamming distance). Chapter 12 deals with sequential clustering algorithms. These include some of the simplest clustering schemes, and they are well suited for a rst course to introduce students to the basics of clustering and allow them to experiment with

16. 03-Ch01-SA272 17/9/2008 page 12 12 CHAPTER 1 Introduction the computer. The sections related to estimation of the number of clusters and neural network implementations are bypassed. Chapter 13 deals with hierarchical clustering algorithms. In a rst course, only the general agglomerative scheme is considered with an emphasis on single link and complete link algorithms, based on matrix theory. Agglomerative algorithms based on graph theory concepts as well as the divisive schemes are bypassed. Chapter 14 deals with clustering algorithms based on cost function optimization, using tools from differential calculus. Hard clustering and fuzzy and possibilistic schemes are considered,based on various types of cluster representatives,including point representatives,hyperplane representatives,and shell-shaped representatives. In a rst course, most of these algorithms are bypassed, and emphasis is given to the isodata algorithm. Chapter 15 features a high degree of modularity. It deals with clustering algorithms based on different ideas,which cannot be grouped under a single philosophy. Spectral clustering, competitive learning, branch and bound, simulated annealing, and genetic algorithms are some of the schemes treated in this chapter. These are bypassed in a rst course. Chapter 16 deals with the clustering validity stage of a clustering procedure. It contains rather advanced concepts and is omitted in a rst course. Emphasis is given to the denitions of internal,external,and relative criteria and the random hypothe- ses used in each case. Indices, adopted in the framework of external and internal criteria,are presented,and examples are provided showing the use of these indices. Syntactic pattern recognition methods are not treated in this book. Syntactic pattern recognition methods differ in philosophy from the methods discussed in this book and,in general,are applicable to different types of problems. In syntactic pattern recognition, the structure of the patterns is of paramount importance, and pattern recognition is performed on the basis of a set of pattern primitives, a set of rules in the form of a grammar, and a recognizer called automaton. Thus, we were faced with a dilemma: either to increase the size of the book substantially, or to provide a short overview (which, however, exists in a number of other books), or to omit it. The last option seemed to be the most sensible choice.

17. 04-Ch02-SA272 18/9/2008 page 13 CHAPTER 2Classiers Based on Bayes Decision Theory 2.1 INTRODUCTION This is the rst chapter, out of three, dealing with the design of the classier in a pattern recognition system. The approach to be followed builds upon probabilistic arguments stemming from the statistical nature of the generated features. As has already been pointed out in the introductory chapter, this is due to the statistical variation of the patterns as well as to the noise in the measuring sensors. Adopting this reasoning as our kickoff point,we will design classiers that classify an unknown pattern in the most probable of the classes. Thus, our task now becomes that of dening whatmost probablemeans. Given a classication task of M classes,1, 2, . . . , M ,and an unknown pattern, which is represented by a feature vector x,we form the M conditional probabilities P(i|x), i 1, 2, . . . , M. Sometimes, these are also referred to as a posteriori probabilities. In words,each of them represents the probability that the unknown pattern belongs to the respective class i, given that the corresponding feature vector takes the value x. Who could then argue that these conditional probabilities are not sensible choices to quantify the term most probable? Indeed,the classiers to be considered in this chapter compute either the maximum of these M values or, equivalently, the maximum of an appropriately dened function of them. The unknown pattern is then assigned to the class corresponding to this maximum. The rst task we are faced with is the computation of the conditional probabilities. The Bayes rule will once more prove its usefulness! A major effort in this chapter will be devoted to techniques for estimating probability density functions (pdf), based on the available experimental evidence, that is, the feature vectors corresponding to the patterns of the training set. 2.2 BAYES DECISION THEORY We will initially focus on the two-class case. Let 1, 2 be the two classes in which our patterns belong. In the sequel, we assume that the a priori probabilities 13

18. 04-Ch02-SA272 18/9/2008 page 14 14 CHAPTER 2 Classiers Based on Bayes Decision Theory P(1), P(2) are known. This is a very reasonable assumption, because even if they are not known,they can easily be estimated from the available training feature vectors. Indeed, if N is the total number of available training patterns, and N1, N2 of them belong to 1 and 2,respectively,then P(1) N1/N and P(2) N2/N. The other statistical quantities assumed to be known are the class-conditional probability density functions p(x|i), i 1, 2, describing the distribution of the feature vectors in each of the classes. If these are not known, they can also be estimated from the available training data,as we will discuss later on in this chapter. The pdf p(x|i) is sometimes referred to as the likelihood function of i with respect to x. Here we should stress the fact that an implicit assumption has been made. That is, the feature vectors can take any value in the l-dimensional feature space. In the case that feature vectors can take only discrete values,density functions p(x|i) become probabilities and will be denoted by P(x|i). We now have all the ingredients to compute our conditional probabilities, as stated in the introduction. To this end, let us recall from our probability course basics the Bayes rule (Appendix A) P(i|x) p(x|i)P(i) p(x) (2.1) where p(x) is the pdf of x and for which we have (Appendix A) p(x) 2 i1 p(x|i)P(i) (2.2) The Bayes classication rule can now be stated as If P(1|x) P(2|x), x is classied to 1 If P(1|x) P(2|x), x is classied to 2 (2.3) The case of equality is detrimental and the pattern can be assigned to either of the two classes. Using (2.1),the decision can equivalently be based on the inequalities p(x|1)P(1) p(x|2)P(2) (2.4) p(x) is not taken into account, because it is the same for all classes and it does not affect the decision. Furthermore, if the a priori probabilities are equal, that is, P(1) P(2) 1/2,Eq. (2.4) becomes p(x|1) p(x|2) (2.5) Thus, the search for the maximum now rests on the values of the conditional pdfs evaluated at x. Figure 2.1 presents an example of two equiprobable classes and shows the variations of p(x|i), i 1, 2, as functions of x for the simple case of a single feature (l 1). The dotted line at x0 is a threshold partitioning the feature space into two regions,R1 and R2. According to the Bayes decision rule,for all values of x in R1 the classier decides 1 and for all values in R2 it decides 2. However, it is obvious from the gure that decision errors are unavoidable. Indeed, there is

19. 04-Ch02-SA272 18/9/2008 page 15 2.2 Bayes Decision Theory 15 R1 p(x|) p(x|1) p(x|2) x0 x R2 FIGURE 2.1 Example of the two regions R1 and R2 formed by the Bayesian classier for the case of two equiprobable classes. a nite probability for an x to lie in the R2 region and at the same time to belong in class 1. Then our decision is in error. The same is true for points originating from class 2. It does not take much thought to see that the total probability,Pe,of committing a decision error for the case of two equiprobable classes,is given by Pe 1 2 x0 p(x|2) dx 1 2 x0 p(x|1) dx (2.6) which is equal to the total shaded area under the curves in Figure 2.1. We have now touched on a very important issue. Our starting point to arrive at the Bayes classication rule was rather empirical, via our interpretation of the term most probable. We will now see that this classication test, though simple in its formulation, has a sounder mathematical interpretation. Minimizing the Classication Error Probability We will show that the Bayesian classier is optimal with respect to minimizing the classication error probability. Indeed,the reader can easily verify,as an exercise, that moving the threshold away from x0, in Figure 2.1, always increases the corresponding shaded area under the curves. Let us now proceed with a more formal proof. Proof. Let R1 be the region of the feature space in which we decide in favor of 1 and R2 be the corresponding region for 2. Then an error is made if x R1, although it belongs to 2 or if x R2,although it belongs to 1. That is, Pe P(x R2, 1) P(x R1, 2) (2.7)

20. 04-Ch02-SA272 18/9/2008 page 16 16 CHAPTER 2 Classiers Based on Bayes Decision Theory where P(, ) is the joint probability of two events. Recalling, once more, our probability basics (Appendix A),this becomes Pe P(x R2|1)P(1) P(x R1|2)P(2) P(1) R2 p(x|1) dx P(2) R1 p(x|2) dx (2.8) or using the Bayes rule Pe R2 P(1|x)p(x) dx R1 P(2|x)p(x) dx (2.9) It is now easy to see that the error is minimized if the partitioning regions R1 and R2 of the feature space are chosen so that R1: P(1|x) P(2|x) R2: P(2|x) P(1|x) (2.10) Indeed,since the union of the regions R1, R2 covers all the space,from the denition of a probability density function we have that R1 P(1|x)p(x) dx R2 P(1|x)p(x) dx P(1) (2.11) Combining Eqs. (2.9) and (2.11),we get Pe P(1) R1 (P(1|x) P(2|x)) p(x) dx (2.12) This suggests that the probability of error is minimized if R1 is the region of space in which P(1|x) P(2|x). Then,R2 becomes the region where the reverse is true. So far, we have dealt with the simple case of two classes. Generalizations to the multiclass case are straightforward. In a classication task with M classes, 1, 2, . . . , M ,an unknown pattern,represented by the feature vector x,is assigned to class i if P(i|x) P(j|x) j i (2.13) It turns out that such a choice also minimizes the classication error probability ( Problem 2.1). Minimizing the Average Risk The classication error probability is not always the best criterion to be adopted for minimization. This is because it assigns the same importance to all errors. However, there are cases in which some wrong decisions may have more serious implications than others. For example, it is much more serious for a doctor to make a wrong decision and a malignant tumor to be diagnosed as a benign one, than the other way round. If a benign tumor is diagnosed as a malignant one, the wrong decision will be cleared out during subsequent clinical examinations. However, the results

21. 04-Ch02-SA272 18/9/2008 page 17 2.2 Bayes Decision Theory 17 from the wrong decision concerning a malignant tumor may be fatal. Thus,in such cases it is more appropriate to assign a penalty term to weigh each error. For our example,let us denote by 1 the class of malignant tumors and as 2 the class of the benign ones. Let, also, R1, R2 be the regions in the feature space where we decide in favor of 1 and 2, respectively. The error probability Pe is given by Eq. (2.8). Instead of selecting R1 and R2 so that Pe is minimized,we will now try to minimize a modied version of it,that is, r 12P(1) R2 p(x|1)dx 21P(2) R1 p(x|2)dx (2.14) where each of the two terms that contributes to the overall error probability is weighted according to its signicance. For our case, the reasonable choice would be to have 12 21. Thus errors due to the assignment of patterns originating from class 1 to class 2 will have a larger effect on the cost function than the errors associated with the second term in the summation. Let us now consider an M-class problem and let Rj, j 1, 2, . . . , M,be the regions of the feature space assigned to classes j,respectively. Assume now that a feature vector x that belongs to class k lies in Ri, i k. Then this vector is misclassied in i and an error is committed. A penalty term ki,known as loss,is associated with this wrong decision. The matrix L,which has at its (k, i) location the corresponding penalty term,is known as the loss matrix.1 Observe that in contrast to the philosophy behind Eq. (2.14),we have now allowed weights across the diagonal of the loss matrix (kk), which correspond to correct decisions. In practice, these are usually set equal to zero,although we have considered them here for the sake of generality. The risk or loss associated with k is dened as rk M i1 ki Ri p(x|k) dx (2.15) Observe that the integral is the overall probability of a feature vector from class k being classied in i. This probability is weighted by ki. Our goal now is to choose the partitioning regions Rj so that the average risk r M k1 rkP(k) M i1Ri M k1 ki p(x|k)P(k) dx (2.16) is minimized. This is achieved if each of the integrals is minimized, which is equivalent to selecting partitioning regions so that x Ri if li M k1 ki p(x|k)P(k) lj M k1 kj p(x|k)P(k) j i (2.17) 1 The terminology comes from the general decision theory.

22. 04-Ch02-SA272 18/9/2008 page 18 18 CHAPTER 2 Classiers Based on Bayes Decision Theory It is obvious that if ki 1 ki, where ki is Kroneckers delta (0 if k i and 1 if k i ),then minimizing the average risk becomes equivalent to minimizing the classication error probability. The two-class case. For this specic case we obtain l1 11 p(x|1)P(1) 21 p(x|2)P(2) l2 12 p(x|1)P(1) 22 p(x|2)P(2) (2.18) We assign x to 1 if l1 l2,that is, (21 22)p(x|2)P(2) (12 11)p(x|1)P(1) (2.19) It is natural to assume that ij ii (correct decisions are penalized much less than wrong ones). Adopting this assumption, the decision rule (2.17) for the two-class case now becomes x 1(2) if l12 p(x|1) p(x|2) () P(2) P(1) 21 22 12 11 (2.20) The ratio l12 is known as the likelihood ratio and the preceding test as the likelihood ratio test. Let us now investigate Eq. (2.20) a little further and consider the case of Figure 2.1. Assume that the loss matrix is of the form L 0 12 21 0 If misclassication of patterns that come from 2 is considered to have serious consequences, then we must choose 21 12. Thus, patterns are assigned to class 2 if p(x|2) p(x|1) 12 21 where P(1) P(2) 1/2 has been assumed. That is, p(x|1) is multiplied by a factor less than 1 and the effect of this is to move the threshold in Figure 2.1 to the left of x0. In other words, region R2 is increased while R1 is decreased. The opposite would be true if 21 12. An alternative cost that sometimes is used for two class problems is the Neyman- Pearson criterion. The error for one of the classes is now constrained to be xed and equal to a chosen value ( Problem 2.6). Such a decision rule has been used, for example, in radar detection problems. The task there is to detect a target in the presence of noise. One type of error is the so-called false alarmthat is, to mistake the noise for a signal (target) present. Of course, the other type of error is to miss the signal and to decide in favor of the noise (missed detection). In many cases the error probability of false alarm is set equal to a predetermined threshold.

23. 04-Ch02-SA272 18/9/2008 page 19 2.3 Discriminant Functions and Decision Surfaces 19 Example 2.1 In a two-class problem with a single feature x the pdfs are Gaussians with variance 2 1/2 for both classes and mean values 0 and 1, respectively, that is, p(x|1) 1 exp(x2 ) p(x|2) 1 exp((x 1)2 ) If P(1) P(2) 1/2, compute the threshold value x0 (a) for minimum error probability and (b) for minimum risk if the loss matrix is L 0 0.5 1.0 0 Taking into account the shape of the Gaussian function graph (Appendix A), the threshold for the minimum probability case will be x0 : exp(x2 ) exp((x 1)2 ) Taking the logarithm of both sides, we end up with x0 1/2. In the minimum risk case we get x0 : exp(x2 ) 2 exp((x 1)2 ) or x0 (1ln 2)/2 1/2; that is, the threshold moves to the left of 1/2. If the two classes are not equiprobable, then it is easily veried that if P(1) () P(2) the threshold moves to the right (left). That is, we expand the region in which we decide in favor of the most probable class, since it is better to make fewer errors for the most probable class. 2.3 DISCRIMINANT FUNCTIONS AND DECISION SURFACES It is by now clear that minimizing either the risk or the error probability or the Neyman-Pearson criterion is equivalent to partitioning the feature space into M regions, for a task with M classes. If regions Ri, Rj happen to be contiguous, then they are separated by a decision surface in the multidimensional feature space. For the minimum error probability case,this is described by the equation P(i|x) P(j|x) 0 (2.21) From the one side of the surface this difference is positive, and from the other it is negative. Sometimes, instead of working directly with probabilities (or risk functions), it may be more convenient, from a mathematical point of view, to work with an equivalent function of them,for example,gi(x) f (P(i|x)),where f () is a monotonically increasing function. gi(x) is known as a discriminant function. The decision test (2.13) is now stated as classify x in i if gi(x) gj(x) j i (2.22) The decision surfaces,separating contiguous regions,are described by gij(x) gi(x) gj(x) 0, i, j 1, 2, . . . , M, i j (2.23)

24. 04-Ch02-SA272 18/9/2008 page 20 20 CHAPTER 2 Classiers Based on Bayes Decision Theory So far,we have approached the classication problem via Bayesian probabilistic arguments and the goal was to minimize the classication error probability or the risk. However,as we will soon see,not all problems are well suited to such approaches. For example,in many cases the involved pdfs are complicated and their estimation is not an easy task. In such cases,it may be preferable to compute decision surfaces directly by means of alternative costs,and this will be our focus in Chapters 3 and 4. Such approaches give rise to discriminant functions and decision surfaces,which are entities with no (necessary) relation to Bayesian classication, and they are, in general,suboptimal with respect to Bayesian classiers. In the following we will focus on a particular family of decision surfaces associated with the Bayesian classication for the specic case of Gaussian density functions. 2.4 BAYESIAN CLASSIFICATION FOR NORMAL DISTRIBUTIONS 2.4.1 The Gaussian Probability Density Function One of the most commonly encountered probability density functions in practice is the Gaussian or normal probability density function. The major reasons for its popularity are its computational tractability and the fact that it models adequately a large number of cases. One of the most celebrated theorems in statistics is the central limit theorem. The theorem states that if a random variable is the outcome of a summation of a number of independent random variables,its pdf approaches the Gaussian function as the number of summands tends to innity (seeAppendixA). In practice,it is most common to assume that the sum of random variables is distributed according to a Gaussian pdf,for a sufciently large number of summing terms. The one-dimensional or the univariate Gaussian, as it is sometimes called, is dened by p(x) 1 2 exp (x )2 22 (2.24) The parameters and 2 turn out to have a specic meaning. The mean value of the random variable x is equal to ,that is, E[x] xp(x)dx (2.25) where E[] denotes the mean (or expected) value of a random variable. The parameter 2 is equal to the variance of x,that is, 2 E[(x )2 ] (x )2 p(x)dx (2.26)

25. 04-Ch02-SA272 18/9/2008 page 21 2.4 Bayesian Classication for Normal Distributions 21 x x 1 100 (a) (b) 1 p(x) p(x) FIGURE 2.2 Graphs for the one-dimensional Gaussian pdf. (a) Mean value 0, 2 1, (b) 1 and 2 0.2. The larger the variance the broader the graph is. The graphs are symmetric, and they are centered at the respective mean value. Figure 2.2a shows the graph of the Gaussian function for 0 and 2 1, and Figure 2.2b the case for 1 and 2 0.2. The larger the variance the broader the graph,which is symmetric,and it is always centered at (seeAppendixA,for some more properties). The multivariate generalization of a Gaussian pdf in the l-dimensional space is given by p(x) 1 (2)l/2||1/2 exp 1 2 (x )T 1 (x ) (2.27) where E[x] is the mean value and is the l l covariance matrix (Appendix A) dened as E[(x )(x )T ] (2.28) where || denotes the determinant of . It is readily seen that for l 1 the multivariate Gaussian coincides with the univariate one. Sometimes, the symbol N(, ) is used to denote a Gaussian pdf with mean value and covariance . To get a better feeling on what the multivariate Gaussian looks like, let us focus on some cases in the two-dimensional space, where nature allows us the luxury of visualization. For this case we have E x1 1 x2 2 x1 1, x2 2 (2.29) 2 1 12 12 2 2 (2.30) where E[xi] i, i 1, 2,and by denition 12 E[(x1 1)(x2 2)],which is known as the covariance between the random variables x1 and x2 and it is a measure

26. 04-Ch02-SA272 18/9/2008 page 22 22 CHAPTER 2 Classiers Based on Bayes Decision Theory of their mutual statistical correlation. If the variables are statistically independent, their covariance is zero (AppendixA). Obviously,the diagonal elements of are the variances of the respective elements of the random vector. Figures 2.32.6 show the graphs for four instances of a two-dimensional Gaussian probability density function. Figure 2.3a corresponds to a Gaussian with a diagonal covariance matrix 3 0 0 3 (a) (b) x2 x2 x1 x1 p(x) FIGURE 2.3 (a) The graph of a two-dimensional Gaussian pdf and (b) the corresponding isovalue curves for a diagonal with 2 1 2 2. The graph has a spherical symmetry showing no preference in any direction. (a) (b) x2 x2 x1 x1 p(x) FIGURE 2.4 (a) The graph of a two-dimensional Gaussian pdf and (b) the corresponding isovalue curves for a diagonal with 2 1 2 2. The graph is elongated along the x1 direction.

27. 04-Ch02-SA272 18/9/2008 page 23 2.4 Bayesian Classication for Normal Distributions 23 p(x) (a) (b) x2 x2 x1 x1 FIGURE 2.5 (a) The graph of a two-dimensional Gaussian pdf and (b) the corresponding isovalue curves for a diagonal with 2 1 2 2. The graph is elongated along the x2 direction. (a) (b) x2 p(x) x1 x1 x2 FIGURE 2.6 (a) The graph of a two-dimensional Gaussian pdf and (b) the corresponding isovalue curves for a case of a nondiagonal . Playing with the values of the elements of one can achieve different shapes and orientations. that is, both features, x1, x2 have variance equal to 3 and their covariance is zero. The graph of the Gaussian is symmetric. For this case the isovalue curves (i.e., curves of equal probability density values) are circles (hyperspheres in the general l-dimensional space) and are shown in Figure 2.3b. The case shown in Figure 2.4a corresponds to the covariance matrix 2 1 0 0 2 2 with 2 1 15 2 2 3. The graph of the Gaussian is now elongated along the x1-axis, which is the direction of the larger variance. The isovalue curves, shown

28. 04-Ch02-SA272 18/9/2008 page 24 24 CHAPTER 2 Classiers Based on Bayes Decision Theory in Figure 2.4b, are ellipses. Figures 2.5a and 2.5b correspond to the case with 2 1 3 2 2 15. Figures 2.6a and 2.6b correspond to the more general case where 2 1 12 12 2 2 and 2 1 15, 2 2 3, 12 6. Playing with 2 1, 2 2 and 12 one can achieve different shapes and different orientations. The isovalue curves are ellipses of different orientations and with different ratios of major to minor axis lengths. Let us consider, as an example, the case of a zero mean random vector with a diagonal covariance matrix. To compute the isovalue curves is equivalent to computing the curves of constant values for the exponent, that is, xT 1 x [x1, x2] 1 2 1 0 0 1 2 2 x1 x2 C (2.31) or x2 1 2 1 x2 2 2 2 C (2.32) for some constant C. This is the equation of an ellipse whose axes are determined by the the variances of the involved features. As we will soon see,the principal axes of the ellipses are controlled by the eigenvectors/eigenvalues of the covariance matrix. As we know from linear algebra (and it is easily checked),the eigenvalues of a diagonal matrix, which was the case for our example, are equal to the respective elements across its diagonal. 2.4.2 The Bayesian Classier for Normally Distributed Classes Our goal in this section is to study the optimal Bayesian classier when the involved pdfs, p(x|i), i 1, 2, . . . , M (likelihood functions of i with respect to x), describing the data distribution in each one of the classes, are multivariate normal distributions, that is, N(i, i), i 1, 2, . . . , M. Because of the exponential form of the involved densities, it is preferable to work with the following discriminant functions,which involve the (monotonic) logarithmic function ln(): gi(x) ln( p(x|i)P(i)) ln p(x|i) ln P(i) (2.33) or gi(x) 1 2 (x i)T 1 i (x i) ln P(i) ci (2.34) where ci is a constant equal to (l/2) ln 2 (1/2) ln|i|. Expanding,we obtain gi(x) 1 2 xT 1 i x 1 2 xT 1 i i 1 2 T i 1 i i 1 2 T i 1 i x ln P(i) ci (2.35)

29. 04-Ch02-SA272 18/9/2008 page 25 2.4 Bayesian Classication for Normal Distributions 25 In general, this is a nonlinear quadratic form. Take, for example, the case of l 2 and assume that i 2 i 0 0 2 i Then (2.35) becomes gi(x) 1 22 i x2 1 x2 2 1 2 i (i1x1 i2x2) 1 22 i 2 i1 2 i2 ln P(i) ci (2.36) and obviously the associated decision curves gi(x) gj(x) 0 are quadrics (i.e., ellipsoids, parabolas, hyperbolas, pairs of lines). That is, in such cases, the Bayesian classier is a quadratic classier, in the sense that the partition of the feature space is performed via quadric decision surfaces. For l 2 the decision surfaces are hyperquadrics. Figure 2.7a shows the decision curve corresponding to P(1) P(2), 1 [0, 0]T and 2 [4, 0]T . The covariance matrices for the two classes are 1 0.3 0.0 0.0 0.35 , 2 1.2 0.0 0.0 1.85 For the case of Figure 2.7b the classes are also equiprobable with 1 [0, 0]T , 2 [3.2, 0]T and covariance matrices 1 0.1 0.0 0.0 0.75 , 2 0.75 0.0 0.0 0.1 Figure 2.8 shows the two pdfs for the case of Figure 2.7a. The red color is used for class 1 and indicates the points where p(x|1) p(x|2). The gray color is similarly used for class 2. It is readily observed that the decision curve is an ellipse, as shown in Figure 2.7a. The setup corresponding to Figure 2.7b is shown in Figure 2.9. In this case,the decision curve is a hyperbola. (a) (b) 1 2 1 2 1 x2 x2 x1 3 4 1 2 5 10 5 0 5 0 3 x1 3 2 1 0 FIGURE 2.7 Examples of quadric decision curves. Playing with the covariance matrices of the Gaussian functions, different decision curves result, that is, ellipsoids, parabolas, hyperbolas, pairs of lines.

30. 04-Ch02-SA272 18/9/2008 page 26 26 CHAPTER 2 Classiers Based on Bayes Decision Theory 0.25 0.2 0.15 0.1 0.05 0 8 6 4 2 0 864 20 22 22 24 24 26 2628 28 FIGURE 2.8 An example of the pdfs of two equiprobable classes in the two-dimensional space. The feature vectors in both classes are normally distributed with different covariance matrices. In this case, the decision curve is an ellipse and it is shown in Figure 2.7a. The coloring indicates the areas where the value of the respective pdf is larger. Decision Hyperplanes The only quadratic contribution in (2.35) comes from the term xT 1 i x. If we now assume that the covariance matrix is the same in all classes,that is,i ,the quadratic term will be the same in all discriminant functions. Hence, it does not enter into the comparisons for computing the maximum, and it cancels out in the decision surface equations. The same is true for the constants ci. Thus,they can be omitted and we may redene gi(x) as gi(x) wT i x wi0 (2.37)

31. 04-Ch02-SA272 18/9/2008 page 27 2.4 Bayesian Classication for Normal Distributions 27 FIGURE 2.9 An example of the pdfs of two equiprobable classes in the two-dimensional space. The feature vectors in both classes are normally distributed with different covariance matrices. In this case, the decision curve is a hyperbola and it is shown in Figure 2.7b. where wi 1 i (2.38) and wi0 ln P(i) 1 2 T i 1 i (2.39) Hence gi(x) is a linear function of x and the respective decision surfaces are hyperplanes. Let us investigate this a bit more.

32. 04-Ch02-SA272 18/9/2008 page 28 28 CHAPTER 2 Classiers Based on Bayes Decision Theory Diagonal covariance matrix with equal elements:Assume that the individual features, constituting the feature vector, are mutually uncorrelated and of the same variance (E[(xi i)(xj j)] 2ij). Then, as discussed in Appendix A, 2I,where I is the l-dimensional identity matrix,and (2.37) becomes gi(x) 1 2 T i x wi0 (2.40) Thus, the corresponding decision hyperplanes can now be written as (verify it) gij(x) gi(x) gj(x) wT (x x0) 0 (2.41) where w i j (2.42) and x0 1 2 (i j) 2 ln P(i) P(j) i j i j 2 (2.43) where x x2 1 x2 2 x2 l denotes the Euclidean norm of x. Thus, the decision surface is a hyperplane passing through the point x0. Obviously, if P(i) P(j), then x0 1 2 (i j), and the hyperplane passes through the average of i, j,that is,the middle point of the segment joining the mean values. On the other hand, if P(j) P(i) (P(i) P(j)) the hyperplane is located closer to i(j). In other words, the area of the region where we decide in favor of the more probable of the two classes is increased. The geometry is illustrated in Figure 2.10 for the two-dimensional case and for two cases, that is, P(j) P(i) (black line) and P(j) P(i) (red line). We observe that for both cases the decision hyperplane (straight line) is orthogonal to ij. Indeed,for any point x lying on the decision hyperplane, the vector x x0 also lies on the hyperplane and gij(x) 0 wT (x x0) (i j)T (x x0) 0 That is,i j is orthogonal to the decision hyperplane. Furthermore,if 2 is small with respect to i j ,the location of the hyperplane is rather insensitive to the values of P(i), P(j). This is expected, because small variance indicates that the random vectors are clustered within a small radius around their mean values. Thus a small shift of the decision hyperplane has a small effect on the result. Figure 2.11 illustrates this. For each class, the circles around the means indicate regions where samples have a high probability, say 98%,

33. 04-Ch02-SA272 18/9/2008 page 29 2.4 Bayesian Classication for Normal Distributions 29 x2 x1 x0 i j ij FIGURE 2.10 Decision lines for normally distributed vectors with 2I. The black line corresponds to the case of P(j) P(i) and it passes through the middle point of the line segment joining the mean values of the two classes. The red line corresponds to the case of P(j) P(i) and it is closer to i, leaving more room to the more probable of the two classes. If we had assumed P(j) P(i), the decision line would have moved closer to j. (a) (b) x2 x2 x1 x1 i j i j FIGURE 2.11 Decision line (a) for compact and (b) for noncompact classes. When classes are compact around their mean values, the location of the hyperplane is rather insensitive to the values of P(1) and P(2). This is not the case for noncompact classes, where a small movement of the hyperplane to the right or to the left may be more critical. of being found. The case of Figure 2.11a corresponds to small variance, and that of Figure 2.11b to large variance. No doubt the location of the decision hyperplane in Figure 2.11b is much more critical than that in Figure 2.11a.

34. 04-Ch02-SA272 18/9/2008 page 30 30 CHAPTER 2 Classiers Based on Bayes Decision Theory Nondiagonal covariance matrix: Following algebraic arguments similar to those used before,we end up with hyperplanes described by gij(x) wT (x x0) 0 (2.44) where w 1 (i j) (2.45) and x0 1 2 (i j) ln P(i) P(j) i j i j 2 1 (2.46) where x 1 (xT 1x)1/2 denotes the so-called 1 norm of x. The comments made before for the case of the diagonal covariance matrix are still valid,with one exception. The decision hyperplane is no longer orthogonal to the vector i j but to its linear transformation 1(i j). Figure 2.12 shows two Gaussian pdfs with equal covariance matrices, describing the data distribution of two equiprobable classes. In both classes, the data are distributed around their mean values in exactly the same way and the optimal decision curve is a straight line. Minimum Distance Classiers We will now view the task from a slightly different angle. Assuming equiprobable classes with the same covariance matrix,gi(x) in (2.34) is simplied to gi(x) 1 2 (x i)T 1 (x i) (2.47) where constants have been neglected. 2I: In this case maximum gi(x) implies minimum Euclidean distance: d x i (2.48) Thus, feature vectors are assigned to classes according to their Euclidean distance from the respective mean points. Can you verify that this result ties in with the geometry of the hyperplanes discussed before? Figure 2.13a shows curves of equal distance d c from the mean points of each class. They are obviously circles of radius c (hyperspheres in the general case). Nondiagonal : For this case maximizing gi(x) is equivalent to minimizing the 1 norm,known as the Mahalanobis distance: dm (x i)T 1 (x i) 1/2 (2.49) In this case, the constant distance dm c curves are ellipses (hyperellipses). Indeed, the covariance matrix is symmetric and, as discussed in Appendix B, it can always be diagonalized by a unitary transform T (2.50)

35. 04-Ch02-SA272 18/9/2008 page 31 2.4 Bayesian Classication for Normal Distributions 31 0.014 0.012 0.008 0.006 0.004 0.002 0 40 40 30 30 20 20 10 10 10 1020 2030 30 40 40 0 0 0.01 FIGURE 2.12 An example of two Gaussian pdfs with the same covariance matrix in the two-dimensional space. Each one of them is associated with one of two equiprobable classes. In this case, the decision curve is a straight line. where T 1 and is the diagonal matrix whose elements are the eigenvalues of . has as its columns the corresponding (orthonormal) eigenvectors of [v1, v2, . . . , vl] (2.51) Combining (2.49) and (2.50),we obtain (x i)T 1 T (x i) c2 (2.52) Dene x T x. The coordinates of x are equal to vT k x, k 1, 2, . . . , l,that is, the projections of x onto the eigenvectors. In other words, they are the coordinates of x with respect to a new coordinate system whose axes are determined by vk, k 1, 2, . . . , l. Equation (2.52) can now be written as (x1 i1)2 1 (xl il)2 l c2 (2.53)

36. 04-Ch02-SA272 18/9/2008 page 32 32 CHAPTER 2 Classiers Based on Bayes Decision Theory !W x2 x2 x1 x1(a) (b) 22 2cv2 !W22 1cv1 1 2 FIGURE 2.13 Curves of (a) equal Euclidean distance and (b) equal Mahalanobis distance from the mean points of each class. In the two-dimensional space, they are circles in the case of Euclidean distance and ellipses in the case of Mahalanobis distance. Observe that in the latter case the decision line is no longer orthogonal to the line segment joining the mean values. It turns according to the shape of the ellipses. This is the equation of a hyperellipsoid in the new coordinate system. Figure 2.13b shows the l 2 case. The center of mass of the ellipse is at i,and the principal axes are aligned with the corresponding eigenvectors and have lengths 2 kc, respectively. Thus, all points having the same Mahalanobis distance from a specic point are located on an ellipse. Example 2.2 In a two-class, two-dimensional classication task, the feature vectors are generated by two normal distributions sharing the same covariance matrix 1.1 0.3 0.3 1.9 and the mean vectors are 1 [0, 0]T , 2 [3, 3]T , respectively. (a) Classify the vector [1.0, 2.2]T according to the Bayesian classier. It sufces to compute the Mahalanobis distance of [1.0, 2.2]T from the two mean vectors. Thus, d2 m(1, x) (x 1)T 1 (x 1) [1.0, 2.2] 0.95 0.15 0.15 0.55 1.0 2.2 2.952 Similarly, d2 m(2, x) [2.0, 0.8] 0.95 0.15 0.15 0.55 2.0 0.8 3.672 (2.54) Thus, the vector is assigned to the class with mean vector [0, 0]T . Notice that the given vector [1.0, 2.2]T is closer to [3, 3]T with respect to the Euclidean distance.

37. 04-Ch02-SA272 18/9/2008 page 33 2.4 Bayesian Classication for Normal Distributions 33 (b) Compute the principal axes of the ellipse centered at [0, 0]T that corresponds to a constant Mahalanobis distance dm 2.952 from the center. To this end, we rst calculate the eigenvalues of . det 1.1 0.3 0.3 1.9 2 3 2 0 or 1 1 and 2 2. To compute the eigenvectors we substitute these values into the equation ( I)v 0 and we obtain the unit norm eigenvectors v1 3 10 1 10 , v2 1 10 3 10 It can easily be seen that they are mutually orthogonal. The principal axes of the ellipse are parallel to v1 and v2 and have lengths 3.436 and 4.859, respectively. Remarks In practice, it is quite common to assume that the data in each class are adequately described by a Gaussian distribution. As a consequence,the associated Bayesian classier is either linear or quadratic in nature, depending on the adopted assumptions concerning the covariance matrices. That is, if they are all equal or different. In statistics, this approach to the classication task is known as linear discriminant analysis (LDA) or quadratic discriminant analysis (QDA), respectively. Maximum likelihood is usually the method mobilized for the estimation of the unknown parameters that dene the mean values and the covariance matrices (see Section 2.5 and Problem 2.19). A major problem associated with LDA and even more with QDA is the large number of the unknown parameters that have to be estimated in the case of high-dimensional spaces. For example, there are l parameters in each of the mean vectors and approximately l2/2 in each (symmetric) covariance matrix. Besides the high demand for computational resources,obtaining good estimates of a large number of parameters dictates a large number of training points, N. This is a major issue that also embraces the design of other types of classiers, for most of the cases, and we will come to it in greater detail in Chapter 5. In an effort to reduce the number of parameters to be estimated, a number of approximate techniques have been suggested over the years, including [Kimu 87, Hoff 96, Frie 89, Liu 04]. Linear discrimination will be approached from a different perspective in Section 5.8. LDA and QDA exhibit good performance in a large set of diverse applications and are considered to be among the most popular classiers. No doubt, it is hard to accept that in all these cases the Gaussian assumption provides a reasonable modeling for the data statistics. The secret of the success seems

38. 04-Ch02-SA272 18/9/2008 page 34 34 CHAPTER 2 Classiers Based on Bayes Decision Theory to lie in the fact that linear or quadratic decision surfaces offer a reasonably good partition of the space,from the classication point of view. Moreover,as pointed out in [Hast 01],the estimates associated with Gaussian models have some good statistical properties (i.e., bias variance trade-off, Section 3.5.3) compared to other techniques. 2.5 ESTIMATION OF UNKNOWN PROBABILITY DENSITY FUNCTIONS So far,we have assumed that the probability density functions are known. However, this is not the most common case. In many problems,the underlying pdf has to be estimated from the available data. There are various ways to approach the problem. Sometimes we may know the type of the pdf (e.g.,Gaussian,Rayleigh),but we do not know certain parameters, such as the mean values or the variances. In contrast, in other cases we may not have information about the type of the pdf but we may know certain statistical parameters,such as the mean value and the variance. Depending on the available information,different approaches can be adopted. This will be our focus in the next subsections. 2.5.1 Maximum Likelihood Parameter Estimation Let us consider an M-class problem with feature vectors distributed according to p(x|i), i 1, 2, . . . , M. We assume that these likelihood functions are given in a parametric form and that the corresponding parameters form the vectors i which are unknown. To show the dependence on i we write p(x|i; i). Our goal is to estimate the unknown parameters using a set of known feature vectors in each class. If we further assume that data from one class do not affect the parameter estimation of the others,we can formulate the problem independent of classes and simplify our notation. At the end,one has to solve one such problem for each class independently. Let x1, x2, . . . , xN be random samples drawn from pdf p(x; ). We form the joint pdf p(X; ), where X {x1, . . . , xN } is the set of the samples. Assuming statistical independence between the different samples,we have p(X; ) p(x1, x2, . . . , xN ; ) N k1 p(xk; ) (2.55) This is a function of , and it is also known as the likelihood function of with respect to X. The maximum likelihood (ML) method estimates so that the likelihood function takes its maximum value,that is, ML arg max N k1 p(xk; ) (2.56)

39. 04-Ch02-SA272 18/9/2008 page 35 2.5 Estimation of Unknown Probability Density Functions 35 A necessary condition that ML must satisfy in order to be a maximum is the gradient of the likelihood function with respect to to be zero,that is N k1 p(xk; ) 0 (2.57) Because of the monotonicity of the logarithmic function, we dene the log- likelihood function as L() ln N k1 p(xk; ) (2.58) and (2.57) is equivalent to L() N k1 ln p(xk; ) N k1 1 p(xk; ) p(xk; ) 0 (2.59) Figure 2.14 illustrates the method for the single unknown parameter case. The ML estimate corresponds to the peak of the log-likelihood function. Maximum likelihood estimation has some very desirable properties. If 0 is the true value of the unknown parameter in p(x; ), it can be shown that under generally valid conditions the following are true [Papo 91]. The ML estimate is asymptotically unbiased,which by denition means that lim N E[ML] 0 (2.60) Alternatively,we say that the estimate converges in the mean to the true value. The meaning of this is as follows. The estimate ML is itself a random vector, because for different sample sets X different estimates will result. An estimate is called unbiased if its mean is the true value of the unknown parameter. In the ML case this is true only asymptotically (N ). p(X;) ML FIGURE 2.14 The maximum likelihood estimator ML corresponds to the peak of p(X; ).

40. 04-Ch02-SA272 18/9/2008 page 36 36 CHAPTER 2 Classiers Based on Bayes Decision Theory The ML estimate is asymptotically consistent,that is,it satises lim N prob{ ML 0 } 1 (2.61) where is arbitrarily small. Alternatively,we say that the estimate converges in probability. In other words,for large N it is highly probable that the resulting estimate will be arbitrarily close to the true value. A stronger condition for consistency is also true: lim N E[ ML 0 2 ] 0 (2.62) In such cases we say that the estimate converges in the mean square. In words,for large N,the variance of the ML estimates tends to zero. Consistency is very important for an estimator,because it may be unbiased, but the resulting estimates exhibit large variations around the mean. In such cases we have little condence in the result obtained from a single set X. The ML estimate is asymptotically efcient;that is,it achieves the CramerRao lower bound (Appendix A). This is the lowest value of variance, which any estimate can achieve. The pdf of the ML estimate as N approaches the Gaussian distribution with mean 0 [Cram 46]. This property is an offspring of (a) the central limit theorem (Appendix A) and (b) the fact that the ML estimate is related to the sum of random variables,that is, ln(p(xk; ))/ (Problem 2.16). In summary, the ML estimator is unbiased, is normally distributed, and has the minimum possible variance. However, all these nice properties are valid only for large values of N. Example 2.3 Assume that N data points, x1, x2, . . . , xN , have been generated by a one-dimensional Gaussian pdf of known mean, , but of unknown variance. Derive the ML estimate of the variance. The log-likelihood function for this case is given by L(2 ) ln N k1 p(xk; 2 ) ln N k1 1 2 2 exp (xk )2 22 or L(2 ) N 2 ln(22 ) 1 22 N k1 (xk )2 Taking the derivative of the above with respect to 2 and equating to zero, we obtain N 22 1 24 N k1 (xk )2 0

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