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em-epsilon-'s Introduction

EM-epsilon-

期望最大化(EM)算法是一种在缺失数据问题中获得最大似然估计的方法。由于其简单性、灵活性和稳定性(似然性单调增加),EM算法得到工业界和学术界的广泛关注、研究和应用。但是,在许多应用中,EM算法收敛非常缓慢,因此很多学者提出了各种用于加速EM算法收敛速度的方法。受前人的研究——应用向量型$\Delta^{2}$方法加速EM算法的启发,本文考虑两种向量型收敛加速方法即迭代的$\Delta^{2}$方法和$\varepsilon$算法在EM算法加速中的应用,并提供了理论证明和数值模拟来证实这些方法比向量型$\Delta^{2}$方法的加速效果更好。本文考虑的这两个EM算法的加速方法不仅继承了EM算法的优点,而且在收敛条件更苛刻时它们表现更为出色。对这两种方法的程序,使用者只需要做微小而必要的修改(如:EM算法迭代公式和参数初始化),不需要对不同模型作专门的算法设计,就可以为所有利用EM算法的统计模型进行加速,具有通用性、易操作的特点。本文提供四个模型示例来展示他们的有效性,用Rstudio编写。

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