Statistics and Computing

, Volume 17, Issue 2, pp 121–130

A parameter expansion version of the SAEM algorithm

Article

DOI: 10.1007/s11222-006-9007-6

Cite this article as:
Lavielle, M. & Meza, C. Stat Comput (2007) 17: 121. doi:10.1007/s11222-006-9007-6

Abstract

The EM algorithm and its extensions are very popular tools for maximum likelihood estimation in incomplete data setting. However, one of the limitations of these methods is their slow convergence. The PX-EM (parameter-expanded EM) algorithm was proposed by Liu, Rubin and Wu to make EM much faster. On the other hand, stochastic versions of EM are powerful alternatives of EM when the E-step is untractable in a closed form. In this paper we propose the PX-SAEM which is a parameter expansion version of the so-called SAEM (Stochastic Approximation version of EM). PX-SAEM is shown to accelerate SAEM and improve convergence toward the maximum likelihood estimate in a parametric framework. Numerical examples illustrate the behavior of PX-SAEM in linear and nonlinear mixed effects models.

Keywords

EM PX-EM SAEM Nonlinear mixed effects models 

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Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  1. 1.INRIA Futurs and Université Paris-Sud, Equipe de ProbabilitésStatistique et ModélisationOrsayFrance
  2. 2.Laboratoire de MathématiquesUniversité Paris-SudOrsay CedexFrance

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