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Parabolic acceleration of the EM algorithm |
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| Authors: | A Berlinet C Roland |
| Institution: | (1) Institut de Mathématiques et de Modélisation de Montpellier, UMR CNRS 5149, Equipe de Probabilités et Statistique, Université Montpellier II, Cc 051, Place Eugène Bataillon, 34095 Montpellier Cedex 5, France;(2) Laboratoire Paul Painlevé, UFR de Mathématiques Pures et Appliquées, Université des Sciences et Technologies de Lille, Cité Scientifique, 59655 Villeneuve d’Ascq cedex, France |
| Abstract: | A new acceleration scheme for optimization procedures is defined through geometric considerations and applied to the EM algorithm. In many cases it is able to circumvent the problem of stagnation. No modification of the original algorithm is required. It is simply used as a software component. Thus the new scheme can be easily implemented to accelerate a fixed point algorithm maximizing some objective function. Some practical examples and simulations are presented to show its ability to accelerate EM-type algorithms converging slowly. |
| Keywords: | EM algorithm Fixed point iteration Acceleration Restart strategies Stability Convergence Finite mixture Linear mixed model Multivariate Student distribution |
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