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Acceleration of the EM algorithm

✍ Scribed by Shiro Ikeda

Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
294 KB
Volume
31
Category
Article
ISSN
0882-1666

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✦ Synopsis

The EM algorithm is used for many applications, including the Boltzmann machine, stochastic Perceptron, and HMM. This algorithm gives an iterating procedure for calculating the MLE of stochastic models which have hidden random variables. It is simple, but the convergence is slow. We also have the Fisher scoring method. Its convergence is faster, but the calculation load is heavy. We show that by using the EM algorithm recursively, we can connect these two methods and accelerate the EM algorithm. Also, Louis, Meng, and Rubin showed they can accelerate the EM algorithm, but our algorithm is simpler. We present some numerical simulations using our algorithm.

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