Properties of the Stochastic Approximation EM Algorithm with Mini-batch Sampling

07/22/2019

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by   Estelle Kuhn, et al.

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To speed up convergence a mini-batch version of the Monte Carlo Markov Chain Stochastic Approximation Expectation Maximization (MCMC-SAEM) algorithm for general latent variable models is proposed. For exponential models the algorithm is shown to be convergent under classical conditions as the number of iterations increases. Numerical experiments illustrate the performance of the mini-batch algorithm in various models. In particular, we highlight that an appropriate choice of the mini-batch size results in a tremendous speed-up of the convergence of the sequence of estimators generated by the algorithm. Moreover, insights on the effect of the mini-batch size on the limit distribution are presented.