JSM 2005 - Toronto

Abstract #302319

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Activity Number: 425
Type: Invited
Date/Time: Wednesday, August 10, 2005 : 2:00 PM to 3:50 PM
Sponsor: Section on Statistical Computing
Abstract - #302319
Title: Aitken and Step-lengthening Methods for EM
Author(s): Tim C. Hesterberg*+
Companies: Insightful Corp.
Address: 1700 Westlake Ave N., Suite 500, Seattle, WA, 98109-3044,
Keywords: EM algorithm ; Aitken acceleration ; acceleration ; convergence
Abstract:

The EM algorithm can be very slow to converge. This can be sped up by Aitken acceleration, a "step-lengthening" method in which the direction between successive parameter vectors is chosen by vanilla EM, but the step size is modified. Aitken is particularly effective when convergence is dominated by a single large eigenvalue, with other eigenvalues near zero. For other situations, there are multivariate versions of Aitken, but they are more complicated and tricky. In this paper, we propose a "multiple univariate" version of Aitken in which a sequence of step-length factors is used to speed convergence for all eigenvalues without explicitly identifying the eigenvalues.

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