Damped Anderson acceleration with restarts and monotonicity control for accelerating EM and EM-like algorithms

Nicholas C. Henderson, Ravi Varadhan

Research output: Contribution to journalArticlepeer-review

Abstract

The expectation-maximization (EM) algorithm is a well-known iterative method for computing maximum likelihood estimates in a variety of statistical problems. Despite its numerous advantages, a main drawback of the EM algorithm is its frequently observed slow convergence which often hinders the application of EM algorithms in high-dimensional problems or in other complex settings. To address the need for more rapidly convergent EM algorithms, we describe a new class of acceleration schemes that build on the Anderson acceleration technique for speeding fixed-point iterations. Our approach is effective at greatly accelerating the convergence of EM algorithms and is automatically scalable to high dimensional settings. Through the introduction of periodic algorithm restarts and a damping factor, our acceleration scheme provides faster and more robust convergence when compared to un-modified Anderson acceleration, while also improving global convergence. Crucially, our method works as an “off-the-shelf” method in that it may be directly used to accelerate any EM algorithm without relying on the use of any model-specific features or insights. Through a series of simulation studies involving five representative problems, we show that our algorithm is substantially faster than the existing state-of-art acceleration schemes.

Original languageEnglish (US)
JournalUnknown Journal
StatePublished - Mar 18 2018

Keywords

  • Algorithm restarts
  • Convergence acceleration
  • MM algorithm
  • Quasi-Newton
  • SQUAREM

ASJC Scopus subject areas

  • General

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