In this paper, the phase space reconstruction of time series produced by different instruments is discussed based on the nonlinear dynamic theory. The dense ratio, a novel quantitative recurrence parameter, is proposed to describe the difference of wind instruments, stringed instruments and keyboard instruments in the phase space by analyzing the recursive property of every instrument. Furthermore, a novel supervised learning algorithm for automatic classification of individual musical instrument signals is addressed deriving from the idea of supervised non-negative matrix factorization (NMF) algorithm. In our approach, the orthogonal basis matrix could be obtained without updating the matrix iteratively, which NMF is unable to do. The experimental results indicate that the accuracy of the proposed method is improved by 3% comparing with the conventional features in the individual instrument classification.