Volume 25, 2021
|Page(s)||408 - 432|
|Published online||05 October 2021|
On the curved exponential family in the Stochastic Approximation Expectation Maximization Algorithm
Centre de Mathématiques Appliquées, École Polytechnique,
2 Centre de Recherche des Cordeliers, Université Paris Descartes, Paris, France.
* Corresponding author: email@example.com
Accepted: 14 September 2021
The Expectation-Maximization Algorithm (EM) is a widely used method allowing to estimate the maximum likelihood of models involving latent variables. When the Expectation step cannot be computed easily, one can use stochastic versions of the EM such as the Stochastic Approximation EM. This algorithm, however, has the drawback to require the joint likelihood to belong to the curved exponential family. To overcome this problem,  introduced a rewriting of the model which “exponentializes” it by considering the parameter as an additional latent variable following a Normal distribution centered on the newly defined parameters and with fixed variance. The likelihood of this new exponentialized model now belongs to the curved exponential family. Although often used, there is no guarantee that the estimated mean is close to the maximum likelihood estimate of the initial model. In this paper, we quantify the error done in this estimation while considering the exponentialized model instead of the initial one. By verifying those results on an example, we see that a trade-off must be made between the speed of convergence and the tolerated error. Finally, we propose a new algorithm allowing a better estimation of the parameter in a reasonable computation time to reduce the bias.
Mathematics Subject Classification: 62F12 / 62L20
Key words: Expectation maximization / curved exponential / mixed effect models / convergence analysis
© The authors. Published by EDP Sciences, SMAI 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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