# Expectation Maximization (EM)

## Summary

Expectation Maximization (EM) is an algorithm for obtaining the probability of some hidden random variable given some observations .

It is a two-step algorithm, which are repeated in order until convergence:

1. Expectation-step: Choose some probability distribution ,

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which gives us a (tight) lower-bound for for the curren estimate of

2. Maximization-step: optimize the

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Or rather, following the notation of Wikipedia:

1. Expectation step (E step): Calculate (or obtain an expression for) the expected value of the (complete) log likelihood function, with respect to the conditional distribution of given under the current estimate of the parameters :

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2. Maximization step (M step): Find the parameter that maximizes this quantity:

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## Notation

• is the observation
• is the rv. related to the
• is a set of parameters for our model, which we want to estimate
• is the log-likelihood of the data given the estimated parameters
• means the expectation over the rv. using the probability distribution

## Goal

• Have some model for
• Observe only
• Objective is then to maximize:

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i.e. maximize the log-likelihood over the parameters by marginalizing over the rvs. .

## Idea

The idea behind the EM algorithm is to at each step construct a lower-bound for the log-likelihood using our estimate for from the previous step. In this sense, the EM algorithm is a type of inference known as variational inference.

The reason for doing this is that we can often find a closed-form optimal value for , which is not likely to be the case if we simply tried to take the derivative of set to zero and try to solve.

Finding the optimal parameters for the M-step is just to take the derivative of the M-step, set to zero and solve. It turns out that this is more often easier than directly doing the same for .

### Viewing it in the form coordinate descent

If we let

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then we know from Jensen's inequality that , and so increasing at each step also monotonically increases the log-likelihood . It can be shown that this is then equivalent to using coordinate descent on .

## Derivation

If we take our objective defined above, we and simply multiply by , we get:

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Where we choose to be s.t. and , i.e. is a probability distribution.

We then observe that the last sum (within the ) is actually the following expectation:

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Now using Jensen's inquality for a concave (because is concave) function , which tells us :

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Thus, we have constructed a lower-bound on the log-likelihood:

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Why? This would imply that the expectation above would also be constant. And since is true for any constant , the inequality would be tight, i.e. be an equality, as wanted!

It's also equivalent of saying that we want to be proportional to . Combining this with the fact that we want to be a probability distribution, so we need to satisfy the proportionality and . Then it turns out (makes sense, since we need it to sum to 1 and be prop to ) that we want:

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Which gives us the E-step of the EM-algorithm:

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Giving us a (tight) lower-bound for for the current estimate of .

The M-step is then to optimize that lower-bound wrt. :

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## Appendix A: Jensen's inquality

If

• is a convex function.
• is a rv.

Then .

Further, if ( is strictly convex), then "with probability 1".