  High-dimensional data that evolve dynamically feature predominantly in the
modern data era. As a partial response to this, recent years have seen
increasing emphasis to address the dimensionality challenge. However, the
non-static nature of these datasets is largely ignored. This paper addresses
both challenges by proposing a novel yet simple dynamic linear programming
discriminant (DLPD) rule for binary classification. Different from the usual
static linear discriminant analysis, the new method is able to capture the
changing distributions of the underlying populations by modeling their means
and covariances as smooth functions of covariates of interest. Under an
approximate sparse condition, we show that the conditional misclassification
rate of the DLPD rule converges to the Bayes risk in probability uniformly over
the range of the variables used for modeling the dynamics, when the
dimensionality is allowed to grow exponentially with the sample size. The
minimax lower bound of the estimation of the Bayes risk is also established,
implying that the misclassification rate of our proposed rule is minimax-rate
optimal. The promising performance of the DLPD rule is illustrated via
extensive simulation studies and the analysis of a breast cancer dataset.
