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The 25th International Conference on Machine Learning (ICML 2008)

Estimating Local Optimums in EM Algorithm over Gaussian Mixture Model

author: Zhenjie Zhang, Department of Computer Science, National University of Singapore

Description

EM algorithm is a very popular method to estimate the parameters of Gaussian Mixture Model from a large observation set. However, in most cases, EM algorithm is not guaranteed to converge to the global optimum. Instead, it stops at some local optimums, which can be much worse than the global optimum. Therefore, it is usually required to run multiple procedures of EM algorithm with different initial configurations and return the best solution. To improve the efficiency of this scheme, we propose a new method which can estimate an upper bound on the logarithm likelihood of the local optimum, based on the current configuration after the latest EM iteration. This is accomplished by first deriving some region bounding the possible locations of local optimum, followed by some upper bound estimation on the maximum likelihood. With this estimation, we can terminate an EM algorithm procedure if the estimated local optimum is definitely worse than the best solution seen so far. Extensive experiments show that our method can effectively and efficiently accelerate conventional EM algorithm.

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Slides
0:00 Estimating Local Optimums in EM Algorithm over GMM
0:37 Outline - Introduction
1:20 Gaussian Mixture Model - 1
2:05 Gaussian Mixture Model - 2
2:48 Expectation-Maximization
3:51 Multiple-Run EM
4:53 Acceleration
6:15 Outline - Local Trapping Property
6:26 Solution Space
7:23 Local Trapping Property - 1
8:15 Local Trapping Property - 2
8:57 Outline - Maximal Region and Its Verification
9:02 Maximal Region - 1
9:48 Maximal Region - 2
11:08 Maximal Region - 2
11:43 Outline - Experimental Results
11:46 Experiments - 1
12:39 Experiments - 2
13:18 Future Work and Conclusion - 1
14:31 Future Work and Conclusion - 2
15:03 Question & Answer
15:36 - Questions
18:09 - Questions

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