A Dynamical Systems Approach for Convergence of the Bayesian EM Algorithm
Abstract
Out of the recent advances in systems and control (S\&C)-based analysis of optimization algorithms, not enough work has been specifically dedicated to machine learning (ML) algorithms and its applications. This paper addresses this gap by illustrating how (discrete-time) Lyapunov stability theory can serve as a powerful tool to aid, or even lead, in the analysis (and potential design) of optimization algorithms that are not necessarily gradient-based. The particular ML problem that this paper focuses on is that of parameter estimation in an incomplete-data Bayesian framework via the popular optimization algorithm known as maximum a posteriori expectation-maximization (MAP-EM). Following first principles from dynamical systems stability theory, conditions for convergence of MAP-EM are developed. Furthermore, if additional assumptions are met, we show that fast convergence (linear or quadratic) is achieved, which could have been difficult to unveil without our adopted S\&C approach. The convergence guarantees in this paper effectively expand the set of sufficient conditions for EM applications, thereby demonstrating the potential of similar S\&C-based convergence analysis of other ML algorithms.
Cite
@article{arxiv.2006.12690,
title = {A Dynamical Systems Approach for Convergence of the Bayesian EM Algorithm},
author = {Orlando Romero and Subhro Das and Pin-Yu Chen and Sérgio Pequito},
journal= {arXiv preprint arXiv:2006.12690},
year = {2021}
}