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We propose a modification of linear discriminant analysis, referred to as compressive regularized discriminant analysis (CRDA), for analysis of high-dimensional datasets. CRDA is specially designed for feature elimination purpose and can be used as gene selection method in microarray studies. CRDA lends ideas from ℓq,1 norm minimization algorithms in the multiple measurement vectors (MMV) model and utilizes joint-sparsity promoting hard thresholding for feature elimination.

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