An Integrated Gradient Boosting Machine Approach With Fisher's Discriminant Analysis: Empirical Assessment on Five Benchmark Datasets and Simulations

ABSTRACT The aim of this study is to assess the impact of different dimensionality reduction techniques—specifically Principal Component Analysis (PCA) and Fisher's Linear Discriminant Analysis (LDA)—on the classification performance of Gradient Boosting Machines (GBM). While PCA is commonly employed to reduce feature dimensionality, often to speed up training or lower memory usage, its application is not standard in boosting pipelines. Moreover, to the best of our knowledge, no previous work has systematically explored whether LDA can enhance performance or is compatible with gradient boosting frameworks. In addition to evaluating the effects of PCA and LDA on the predictive performance of GBM, we introduce a novel integrated iterative algorithm that incorporates LDA‐based feature transformation at each boosting step. Our analysis spans five classical benchmark datasets, representing diverse scenarios in terms of sample size, number of features, for both binary and multiclass targets. Results show that applying LDA to extract features—and especially using the proposed LDA‐integrated GBM—improves classification accuracy compared to standard GBM, particularly in multiclass settings or in binary problems with high feature dimensionality. Finally, through a set of controlled simulations, we investigate how the performance of the integrated approach evolves with increasing feature dimensionality and varying levels of feature correlation and sample size.