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Global Convergence of the EM Algorithm for Unconstrained Latent Variable Models with Categorical Indicators

Alexander Weissman ()

Psychometrika, 2013, vol. 78, issue 1, 134-153

Abstract: Convergence of the expectation-maximization (EM) algorithm to a global optimum of the marginal log likelihood function for unconstrained latent variable models with categorical indicators is presented. The sufficient conditions under which global convergence of the EM algorithm is attainable are provided in an information-theoretic context by interpreting the EM algorithm as alternating minimization of the Kullback–Leibler divergence between two convex sets. It is shown that these conditions are satisfied by an unconstrained latent class model, yielding an optimal bound against which more highly constrained models may be compared. Copyright The Psychometric Society 2013

Keywords: EM algorithm; latent variable models; latent class models; information theory; Kullback–Leibler divergence; relative entropy; variational calculus; convex optimization; optimal bounds (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s11336-012-9295-z

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