Computational aspects of fitting mixture models via the expectation-maximization algorithm

Authors:
Adrian O'Hagan;Thomas Brendan Murphy;Isobel Claire Gormley
Affiliations:
-;-;-
Venue:
Computational Statistics & Data Analysis
Year:
2012

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Abstract

The Expectation-Maximization (EM) algorithm is a popular tool in a wide variety of statistical settings, in particular in the maximum likelihood estimation of parameters when clustering using mixture models. A serious pitfall is that in the case of a multimodal likelihood function the algorithm may become trapped at a local maximum, resulting in an inferior clustering solution. In addition, convergence to an optimal solution can be very slow. Methods are proposed to address these issues: optimizing starting values for the algorithm and targeting maximization steps efficiently. It is demonstrated that these approaches can produce superior outcomes to initialization via random starts or hierarchical clustering and that the rate of convergence to an optimal solution can be greatly improved.