On Convergence Properties of the EM Algorithm for Gaussian Mixtures

  • Authors:
  • Michael Jordan;Lei Xu

  • Affiliations:
  • -;-

  • Venue:
  • On Convergence Properties of the EM Algorithm for Gaussian Mixtures
  • Year:
  • 1995

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Abstract

``Expectation-Maximization'''' (EM) algorithm and gradient-based approaches for maximum likelihood learning of finite Gaussian mixtures. We show that the EM step in parameter space is obtained from the gradient via a projection matrix $P$, and we provide an explicit expression for the matrix. We then analyze the convergence of EM in terms of special properties of $P$ and provide new results analyzing the effect that $P$ has on the likelihood surface. Based on these mathematical results, we present a comparative discussion of the advantages and disadvantages of EM and other algorithms for the learning of Gaussian mixture models.