Program Highlights »
Wed Dec 5th 05:00 -- 07:00 PM @ Room 210 #16
Stochastic Expectation Maximization with Variance Reduction
Jianfei Chen · Jun Zhu · Yee Whye Teh · Tong Zhang

Expectation-Maximization (EM) is a popular tool for learning latent variable models, but the vanilla batch EM does not scale to large data sets because the whole data set is needed at every E-step. Stochastic Expectation Maximization (sEM) reduces the cost of E-step by stochastic approximation. However, sEM has a slower asymptotic convergence rate than batch EM, and requires a decreasing sequence of step sizes, which is difficult to tune. In this paper, we propose a variance reduced stochastic EM (sEM-vr) algorithm inspired by variance reduced stochastic gradient descent algorithms. We show that sEM-vr has the same exponential asymptotic convergence rate as batch EM. Moreover, sEM-vr only requires a constant step size to achieve this rate, which alleviates the burden of parameter tuning. We compare sEM-vr with batch EM, sEM and other algorithms on Gaussian mixture models and probabilistic latent semantic analysis, and sEM-vr converges significantly faster than these baselines.