Geom-Spider-EM: Faster Variance Reduced Stochastic Expectation Maximization for Nonconvex Finite-Sum Optimization

Gersende Fort; Eric Moulines; Hoi-To Wai

ICASSP 2021accepted0 citations

Geom-Spider-EM: Faster Variance Reduced Stochastic Expectation Maximization for Nonconvex Finite-Sum Optimization

Gersende Fort, Eric Moulines, Hoi-To Wai

Abstract

The Expectation Maximization (EM) algorithm is a key reference for inference in latent variable models; unfortunately, its computational cost is prohibitive in the large scale learning setting. In this paper, we propose an extension of the Stochastic Path-Integrated Differential EstimatoR EM (SPIDER-EM) and derive complexity bounds for this novel algorithm, designed to solve smooth nonconvex finite-sum optimization problems. We show that it reaches the same state of the art complexity bounds as SPIDER-EM; and provide conditions for a linear rate of convergence. Numerical results support our findings.

BibTeX

@inproceedings{icassp2021_geomspideremfast,
  title = {Geom-Spider-EM: Faster Variance Reduced Stochastic Expectation Maximization for Nonconvex Finite-Sum Optimization},
  author = {Gersende Fort and Eric Moulines and Hoi-To Wai},
  booktitle = {ICASSP 2021},
  year = {2021}
}