Linear Discriminant Analysis Library

Hello!

I am trying to perform a Linear Discriminant Analysis (LDA) on some data but am having issues finding an Arduino-compatible library to perform the analysis. I have a 2D data matrix and want to manipulate it using LDA. As opposed to reinventing the wheel, I was hoping that a library or set of functions of LDA existed for me to use.

Does anyone know of a library containing LDA or PCA (Principle Component Analysis) functions that could work with Arduino's IDE? If not, then could someone direct me in perhaps making a library/function that could perform the LDA?

I am using a Teensy v3.1 board which works perfectly fine using Arduino's IDE.

Thanks!

Note: I am not completely familiar with LDA. I am learning about it as I go along with this project.

LDA is NOT hardware dependent so just find any "light" lib and use it.

Mark