Parabolic acceleration of the EM algorithm

Authors:
A. Berlinet;C. Roland
Affiliations:
Institut de Mathématiques et de Modélisation de Montpellier, UMR CNRS 5149, Equipe de Probabilités et Statistique, Université Montpellier II, Montpellier Cedex 5, France 34095;Laboratoire Paul Painlevé, UFR de Mathématiques Pures et Appliquées, Université des Sciences et Technologies de Lille, Cité Scientifique, Villeneuve d'Ascq cedex, France 5 ...
Venue:
Statistics and Computing
Year:
2009

Citing 4
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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.