THE NOISY EXPECTATION–MAXIMIZATION ALGORITHM
Osonde Osoba, Sanya Mitaim, Bart Kosko · Fluctuation and Noise Letters · 2013
We present a noise-injected version of the expectation–maximization (EM) algorithm: the noisy expectation–maximization (NEM) algorithm. The NEM algorithm uses noise to speed up the convergence of the EM algorithm. The NEM theorem shows that additive noise speeds up the average convergence of the EM algorithm to a local maximum of the likelihood surface if a positivity condition holds. Corollary results give special cases when noise improves the EM algorithm. We demonstrate these noise benefits on EM algorithms for three data models: the Gaussian mixture model (GMM), the Cauchy mixture model (CMM), and the censored log-convex gamma model. The NEM positivity condition simplifies to a quadratic inequality in the GMM and CMM cases. A final theorem shows that the noise benefit for independent identically distributed additive noise decreases with sample size in mixture models. This theorem implies that the noise benefit is most pronounced if the data is sparse.