Accelerating the convergence of the EM algorithm using the vector ε algorithm
Accelerating the convergence of the EM algorithm using the vector ε algorithm
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DOI：
10.1016/j.csda.2006.05.004
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发表时间：
2006-12-01
影响因子：
1.8
通讯作者：
Sakakihara, Michio
中科院分区：
文献类型：
--
作者：
Kuroda, Masahiro;Sakakihara, Michio
Dempster、Laird 和 Rubin 的 EM 算法 [1977。通过 EM 算法从不完整数据中获得最大似然。 J·罗伊.国家主义者。苏克。序列。 B 39, 1-22] 是一种非常通用且流行的迭代计算算法，用于从不完整数据中查找最大似然估计，并且由于其稳定性、灵活性和简单性而广泛用于对缺失数据进行统计分析。然而，普遍的批评是 EM 算法收敛速度慢。人们已经提出了各种加速 EM 算法收敛的算法。在本文中，我们提出了“epsilon 加速 EM 算法”，该算法通过 Wynn [1962] 的向量 epsilon 算法加速 EM 序列的收敛。迭代向量和矩阵问题的加速技术。数学。比较。 16, 304-322]。我们还证明了它的理论特性。 epsilon加速EM算法已成功扩展到EM算法，且不影响其稳定性、灵活性和简单性。数值实验说明了 epsilon 加速 EM 算法的潜力。 (c) 2006 Elsevier B.V. 保留所有权利。
The EM algorithm of Dempster, Laird and Rubin [1977. Maximum likelihood from incomplete data via the EM algorithm. J. Roy. Statist. Soc. Ser. B 39, 1-22] is a very general and popular iterative computational algorithm that is used to find maximum likelihood estimates from incomplete data and is widely used to perform statistical analysis with missing data, because of its stability, flexibility and simplicity. However, a common criticism is that the convergence of the EM algorithm is slow. Various algorithms to accelerate the convergence of the EM algorithm have been proposed. In this paper, we propose the "epsilon-accelerated EM algorithm" that speeds up the convergence of the EM sequence via the vector epsilon algorithm of Wynn [1962. Acceleration techniques for iterated vector and matrix problems. Math. Comp. 16, 304-322]. We also demonstrate its theoretical properties. The epsilon-accelerated EM algorithm has been successfully extended to the EM algorithm without affecting its stability, flexibility and simplicity. Numerical experiments illustrate the potential of the epsilon-accelerated EM algorithm. (c) 2006 Elsevier B.V. All rights reserved.