Randomized extrapolation for accelerating EM-type fixed-point algorithms

DOI10.1016/j.jmva.2023.105188zbMath1520.62003OpenAlexW4362590454MaRDI QIDQ6097563

Foued Saâdaoui

Publication date: 5 June 2023

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2023.105188

zbMATH Keywords

EM algorithmconvergence accelerationdata sciencefixed point problemsrandomized extrapolation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Extrapolation to the limit, deferred corrections (65B05)

Cites Work

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• Origin and Evolution of the Secant Method in One Dimension
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• Parameter expansion to accelerate EM: the PX-EM algorithm
• The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
• Robust, Smoothly Heterogeneous Variance Regression
• A curious likelihood identity for the multivariate t-distribution
• Relaxed steepest descent and Cauchy-Barzilai-Borwein method
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