Estimating Local Optimums in EM Algorithm over Gaussian Mixture Model

author: Zhenjie Zhang, Department of Computer Science, National University of Singapore
published: Aug. 5, 2008,   recorded: July 2008,   views: 8162


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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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