On the Slow Convergence of EM and VBEM in Low-Noise Linear Models

Kaare Brandt Petersen, Ole Winther, Lars Kai Hansen

    Research output: Contribution to journalJournal articleResearchpeer-review

    Abstract

    We analyze convergence of the expectation maximization (EM) and variational Bayes EM (VBEM) schemes for parameter estimation in noisy linear models. The analysis shows that both schemes are inefficient in the low-noise limit. The linear model with additive noise includes as special cases independent component analysis, probabilistic principal component analysis, factor analysis, and Kalman filtering. Hence, the results are relevant for many practical applications.
    Original languageEnglish
    JournalNeural Computation
    Volume17
    Issue number9
    Pages (from-to)1921-1926
    ISSN0899-7667
    DOIs
    Publication statusPublished - 2005

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