NIPS Proceedingsβ

Regularized EM Algorithms: A Unified Framework and Statistical Guarantees

Part of: Advances in Neural Information Processing Systems 28 (NIPS 2015)

A note about reviews: "heavy" review comments were provided by reviewers in the program committee as part of the evaluation process for NIPS 2015, along with posted responses during the author feedback period. Numerical scores from both "heavy" and "light" reviewers are not provided in the review link below.

[PDF] [BibTeX] [Supplemental] [Reviews]


Conference Event Type: Poster


Latent models are a fundamental modeling tool in machine learning applications, but they present significant computational and analytical challenges. The popular EM algorithm and its variants, is a much used algorithmic tool; yet our rigorous understanding of its performance is highly incomplete. Recently, work in [1] has demonstrated that for an important class of problems, EM exhibits linear local convergence. In the high-dimensional setting, however, the M-step may not be well defined. We address precisely this setting through a unified treatment using regularization. While regularization for high-dimensional problems is by now well understood, the iterative EM algorithm requires a careful balancing of making progress towards the solution while identifying the right structure (e.g., sparsity or low-rank). In particular, regularizing the M-step using the state-of-the-art high-dimensional prescriptions (e.g., \`a la [19]) is not guaranteed to provide this balance. Our algorithm and analysis are linked in a way that reveals the balance between optimization and statistical errors. We specialize our general framework to sparse gaussian mixture models, high-dimensional mixed regression, and regression with missing variables, obtaining statistical guarantees for each of these examples.