Ten Steps of EM Suffice for Mixtures of Two Gaussians
نویسندگان
چکیده
We provide global convergence guarantees for the expectation-maximization (EM) algorithm applied to mixtures of two Gaussians with known covariance matrices. We show that EM converges geometrically to the correct mean vectors, and provide simple, closed-form expressions for the convergence rate. As a simple illustration, we show that in one dimension ten steps of the EM algorithm initialized at +∞ result in less than 1% error estimation of the means.
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تاریخ انتشار 2017