Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
Scribd
Upload
125 views

ML - Expectation-Maximization Algorithm

The Expectation-Maximization (EM) algorithm is an iterative method for finding maximum likelihood estimates of parameters in statistical models with latent variables and incomplete data. It estimates missing data using the observed values, then re-estimates the parameters, repeating until convergence. The algorithm alternates between an expectation step, which estimates the missing data, and a maximization step, which re-estimates the parameters based on a complete data set including the estimated missing values. The EM algorithm is guaranteed to increase the likelihood at each iteration and is commonly used for unsupervised clustering and estimating hidden Markov models.

Uploaded by

prakash
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
125 views

ML - Expectation-Maximization Algorithm

The Expectation-Maximization (EM) algorithm is an iterative method for finding maximum likelihood estimates of parameters in statistical models with latent variables and incomplete data. It estimates missing data using the observed values, then re-estimates the parameters, repeating until convergence. The algorithm alternates between an expectation step, which estimates the missing data, and a maximization step, which re-estimates the parameters based on a complete data set including the estimated missing values. The EM algorithm is guaranteed to increase the likelihood at each iteration and is commonly used for unsupervised clustering and estimating hidden Markov models.

Uploaded by

prakash
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
You are on page 1/ 3

ML | Expectation-Maximization Algorithm

In the real-world applications of machine learning, it is very common that there are
many relevant features available for learning but only a small subset of them are
observable. So, for the variables which are sometimes observable and sometimes
not, then we can use the instances when that variable is visible is observed for the
purpose of learning and then predict its value in the instances when it is not
observable.
On the other hand, Expectation-Maximization algorithm can be used for the latent
variables (variables that are not directly observable and are actually inferred from the
values of the other observed variables) too in order to predict their values with the
condition that the general form of probability distribution governing those latent
variables is known to us. This algorithm is actually at the base of many unsupervised
clustering algorithms in the field of machine learning.

It was explained, proposed and given its name in a paper published in 1977 by
Arthur Dempster, Nan Laird, and Donald Rubin. It is used to find the local maximum
likelihood parameters of a statistical model in the cases where latent variables are
involved and the data is missing or incomplete.

 
Algorithm:
1. Given a set of incomplete data, consider a set of starting parameters.
2. Expectation step (E – step): Using the observed available data of the
dataset, estimate (guess) the values of the missing data.
3. Maximization step (M – step): Complete data generated after the
expectation (E) step is used in order to update the parameters.
4. Repeat step 2 and step 3 until convergence.

The essence of Expectation-Maximization algorithm is to use the available observed


data of the dataset to estimate the missing data and then using that data to update
the values of the parameters. Let us understand the EM algorithm in detail.
 Initially, a set of initial values of the parameters are considered. A set of
incomplete observed data is given to the system with the assumption that the
observed data comes from a specific model.
 The next step is known as “Expectation” – step or E-step. In this step, we use
the observed data in order to estimate or guess the values of the missing or
incomplete data. It is basically used to update the variables.
 The next step is known as “Maximization”-step or M-step. In this step, we use
the complete data generated in the preceding “Expectation” – step in order to
update the values of the parameters. It is basically used to update the
hypothesis.
 Now, in the fourth step, it is checked whether the values are converging or
not, if yes, then stop otherwise repeat step-2 and step-3 i.e. “Expectation” –
step and “Maximization” – step until the convergence occurs.

Usage of EM algorithm –
 It can be used to fill the missing data in a sample.
 It can be used as the basis of unsupervised learning of clusters.
 It can be used for the purpose of estimating the parameters of Hidden Markov
Model (HMM).
 It can be used for discovering the values of latent variables.

Advantages of EM algorithm –
 It is always guaranteed that likelihood will increase with each iteration.
 The E-step and M-step are often pretty easy for many problems in terms of
implementation.
 Solutions to the M-steps often exist in the closed form.
Disadvantages of EM algorithm –
 It has slow convergence.
 It makes convergence to the local optima only.
 It requires both the probabilities, forward and backward (numerical
optimization requires only forward probability).

You might also like