Poster
Theoretical guarantees for EM under misspecified Gaussian mixture models
Raaz Dwivedi · nhật Hồ · Koulik Khamaru · Martin Wainwright · Michael Jordan
Room 210 #23
Keywords: [ Hierarchical Models ] [ Latent Variable Models ] [ Missing Data ] [ Computational Complexity ]
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Abstract
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Abstract:
Recent years have witnessed substantial progress in understanding
the behavior of EM for mixture models that are correctly specified.
Given that model misspecification is common in practice, it is
important to understand EM in this more general setting. We provide
non-asymptotic guarantees for population and sample-based EM for
parameter estimation under a few specific univariate settings of
misspecified Gaussian mixture models. Due to misspecification, the
EM iterates no longer converge to the true model and instead
converge to the projection of the true model over the set of models
being searched over. We provide two classes of theoretical
guarantees: first, we characterize the bias introduced due to the
misspecification; and second, we prove that population EM converges
at a geometric rate to the model projection under a suitable
initialization condition. This geometric convergence rate for
population EM imply a statistical complexity of order $1/\sqrt{n}$
when running EM with $n$ samples. We validate our theoretical
findings in different cases via several numerical examples.
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