論文

基本情報

氏名 黒田 正博
氏名(カナ) クロダ マサヒロ
氏名(英語) Kuroda Masahiro
所属 経営学部 経営学科
職名 教授
researchmap研究者コード 5000032373
researchmap機関 岡山理科大学

題名

Acceleration of the EM algorithm

単著・共著の別

共著

著者

Kuroda, M. and Geng, Z.

概要

The expectation–maximization (EM) algorithm is a well-known iterative algorithm for finding maximum likelihood estimates from incomplete data and is used in several statistical models with latent variables and missing data. The algorithm also exhibits a monotonic increase in a likelihood function and satisfies parameter constraints for its convergence. The popularity of the EM algorithm can be attributed to its stable convergence, simple implementation and flexibility in interpreting data incompleteness. Despite these computational advantages, the algorithm is linear convergent and suffers from very slow convergence when a statistical model has many parameters and a high proportion of missing data. Various algorithms have been proposed to accelerate the convergence of the EM algorithm. We introduce the acceleration of the EM algorithm using root-finding and vector extrapolation algorithms. The root-finding algorithms include Aitken's method and the Newton–Raphson, quasi-Newton and conjugate gradient algorithms. These algorithms with faster convergence rates allow the EM algorithm to be sped up. The vector extrapolation algorithms transform the sequence of estimates from the EM algorithm into a fast convergent sequence and can accelerate the convergence without modifying the EM algorithm. We describe the derivation of these acceleration algorithms and attempt to apply them to two examples.

発表雑誌等の名称

Wiley Interdisciplinary Reviews: Computational Statistics

出版者

Wiley

15

6

開始ページ

e1618

終了ページ

発行又は発表の年月

2023/11

査読の有無

有り

招待の有無

無し

記述言語

英語

掲載種別

研究論文(学術雑誌)

ISSN

ID:DOI

https://doi.org/10.1002/wics.1618

ID:NAID(CiNiiのID)

ID:PMID

URL

JGlobalID

arXiv ID

ORCIDのPut Code

DBLP ID