EM算法收敛性研究

On the Convergence of the EM Algorithm

Journal of the Royal Statistical Society. Series B: Statistical Methodology · 1983
被引 336
ABS 4

中文导读

给出了一个反例,说明GEM算法在Dempster等人(1977)所述条件下不一定收敛;同时提出了两个一般性收敛结果,表明实践中GEM序列会收敛到似然函数局部极大值的一个紧连通集。

Abstract

SUMMARY An example is given showing that a sequence generated by a GEM algorthm need not converge under the conditions stated in Dempster et al., (1977). Two general convergence results are presented which suggest that in practice a GEM sequence will converge to a compact connected set of local maxima of the likelihood function; this limit set may or may not consist of a single point.

EM算法收敛性极大似然估计数学优化