A Practical Method for Self-adapting Gaussian Expectation Maximization

Split-and-merge techniques have been demonstrated to be effective in overtaking the convergence problems in classical EM. In this paper we follow a split-and-merge approach and we propose a new EM algorithm that makes use of a on-line variable number of mixture Gaussians components. We introduce a measure of the similarities to decide when to merge components. A set of adaptive thresholds keeps the number of mixture components close to optimal values. For sake of computational burden, our algorithm starts with a low initial number of Gaussians, adjusting it in runtime, if necessary. We show the effectivity of the method in a series of simulated experiments. Additionally, we illustrate the convergence rates of of the proposed algorithms with respect to the classical EM.