Recursive EM and SAGE algorithms
Pei Jung Chung, J.F. Böhme · 2002
This work is concerned with recursive procedures in which the data run through sequentially. Two stochastic approximation recursions derived from the EM (expectation-maximization).and SAGE (space-alternating generalized expectation-maximization). algorithms are proposed. We show that under regularity conditions, these recursions lead to strong consistency and asymptotic normality. Although the recursive EM and SAGE algorithm do not have the optimal convergence rate, they are usually easy to implement. As an example, we derive recursive procedures for direction of arrival (DOA) estimation. In numerical experiments both algorithms provide good results for low computational cost.