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

Gersende Fort; Eric Moulines; Hoi-To Wai

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arXiv · 2011.12392

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

Gersende Fort·Eric Moulines·Hoi-To Wai

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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.

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BibTeX RIS

Gersende Fort, Eric Moulines, Hoi-To Wai. 2020-11-24. Geom-SPIDER-EM: Faster Variance Reduced Stochastic Expectation Maximization for Nonconvex Finite-Sum Optimization. https://arxiv.org/abs/2011.12392

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