Orthogonal Stiefel manifold optimization for eigen-decomposed covariance parameter estimation in mixture models

Authors:
Ryan P. Browne;Paul D. Mcnicholas
Affiliations:
Department of Mathematics and Statistics, University of Guelph, Guelph, Canada N1G 2W1;Department of Mathematics and Statistics, University of Guelph, Guelph, Canada N1G 2W1
Venue:
Statistics and Computing
Year:
2014

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Abstract

Within the mixture model-based clustering literature, parsimonious models with eigen-decomposed component covariance matrices have dominated for over a decade. Although originally introduced as a fourteen-member family of models, the current state-of-the-art is to utilize just ten of these models; the rationale for not using the other four models usually centers around parameter estimation difficulties. Following close examination of these four models, we find that two are actually easily implemented using existing algorithms but that two benefit from a novel approach. We present and implement algorithms that use an accelerated line search for optimization on the orthogonal Stiefel manifold. Furthermore, we show that the `extra' models that these decompositions facilitate outperform the current state-of-the art when applied to two benchmark data sets.