The Living Thing / Notebooks :

Expectation maximisation

A particular optimisation method for statistics for that gets you a maximum likelihood estimate despite various annoyances such as missing data.

Vague description of the algorithm:

We have an experimental process that generates a random vector \(B\cup Y\(, according to parameter\)). We wish to estimate the parameter of interest \(\theta\) by maximum likelihood. However, we only observe i.i.d. samples \(b_i\) drawn from \(B\). The likelihood function of the incomplete data \(L(\theta, b)\) is tedious or intractable to maximise. But the “complete” joint likelihood of both the observed and unobserved components, \(L(\theta, \{b_i\}, y)\), is easier to maximise. Then we are potentially in a situation where expectation maximisation can help.

Call \(\theta^{(k)}\) the estimate of of \(\theta\) at step \(k\). Write \(\ell(\theta, \{b_i\}, y)\equiv\log L(\theta, \{b_i\}, y)\) because we virtually always work in log likelihoods and especially here.

The following form of the algorithm works when the log-likelihood \(\ell(\theta, b, y)\( is linear in\)b). (Which is equivalent to it being in a exponential family I believe, but should check.)

At time \(k=0\) we start with an estimate of \(\theta^{(0)}\) chosen arbitrarily or by our favourite approximate method.

We attempt to improve our estimate of the parameter of interest by the following iterative algorithm:

  1. “Expectation”: Under the completed data model with joint distribution \(F(b,y,\theta^{(k)})\) we estimate \(y\) as

    \[ y^{(k)}=E_{\theta^{(k)}}[Y|b] \]

  2. “Maximisation”: Solve a (hopefully easier) maximisation problem:

    \[ \theta^{(k+1)}=\text{argmax}_\theta \ell(\theta, b, y^{(k)}) \]

In the case that this log likelihood is not linear in \(b\), you are supposed to instead take

\[ \theta^{(k+1)}=\text{argmax}_\theta E_{\theta^{(k)}}[\ell(\theta, b, Y)|b] \]

In practice I have seen this latter nicety ignored, apparently without ill effect.

Even if you do the right thing, EM may not converge especially well, or to the global maximum, but damn it can be easy and robust to get started with, and at least it doesn’t make things worse.

Literature note – apparently the proofs in Dempster and Laird (1977) are dicey; See the Wu (1983) paper for improved (i.e. correct) versions.

My goal is to fill in the details of one key step in the derivation of the EM algorithm in a way that makes it inevitable rather than arbitrary.