Initializing the EM algorithm in Gaussian mixture models with an unknown number of components

  • Authors:
  • Volodymyr Melnykov;Igor Melnykov

  • Affiliations:
  • Department of Statistics, North Dakota State University, Fargo, ND 58102, USA;Department of Mathematics and Physics, Colorado State University - Pueblo, Pueblo, CO 81001, USA

  • Venue:
  • Computational Statistics & Data Analysis
  • Year:
  • 2012

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Abstract

An approach is proposed for initializing the expectation-maximization (EM) algorithm in multivariate Gaussian mixture models with an unknown number of components. As the EM algorithm is often sensitive to the choice of the initial parameter vector, efficient initialization is an important preliminary process for the future convergence of the algorithm to the best local maximum of the likelihood function. We propose a strategy initializing mean vectors by choosing points with higher concentrations of neighbors and using a truncated normal distribution for the preliminary estimation of dispersion matrices. The suggested approach is illustrated on examples and compared with several other initialization methods.