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Mini-batch learning of exponential family finite mixture models

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Abstract

Mini-batch algorithms have become increasingly popular due to the requirement for solving optimization problems, based on large-scale data sets. Using an existing online expectation–maximization (EM) algorithm framework, we demonstrate how mini-batch (MB) algorithms may be constructed, and propose a scheme for the stochastic stabilization of the constructed mini-batch algorithms. Theoretical results regarding the convergence of the mini-batch EM algorithms are presented. We then demonstrate how the mini-batch framework may be applied to conduct maximum likelihood (ML) estimation of mixtures of exponential family distributions, with emphasis on ML estimation for mixtures of normal distributions. Via a simulation study, we demonstrate that the mini-batch algorithm for mixtures of normal distributions can outperform the standard EM algorithm. Further evidence of the performance of the mini-batch framework is provided via an application to the famous MNIST data set.

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Acknowledgements

The authors are indebted to the Co-ordinating Editor and two Reviewers for their insightful comments that have improved the exposition of the manuscript. HDN is personally funded by Australian Research Council (ARC) Grant DE170101134. GJM and HDN are also funded under ARC Grant DP180101192. The work is supported by Inria project LANDER.

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Authors and Affiliations

  1. Department of Mathematics and Statistics, La Trobe University, Melbourne, VIC, Australia

    Hien D. Nguyen

  2. Inria, CNRS, Grenoble INP, LJK, Univ. Grenoble Alpes, 38000, Grenoble, France

    Florence Forbes

  3. Institute of Engineering Univ. Grenoble Alpes, Grenoble, France

    Florence Forbes

  4. School of Mathematics and Physics, University of Queensland, St. Lucia, Brisbane, Australia

    Geoffrey J. McLachlan

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  1. Hien D. Nguyen
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  2. Florence Forbes
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  3. Geoffrey J. McLachlan
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Correspondence to Hien D. Nguyen.

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Nguyen, H.D., Forbes, F. & McLachlan, G.J. Mini-batch learning of exponential family finite mixture models. Stat Comput 30, 731–748 (2020). https://doi.org/10.1007/s11222-019-09919-4

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