Abstract

We propose a generic stochastic expectationmaximization (EM) algorithm for the estimation of high-dimensional latent variable models. At the core of our algorithm is a novel semi-stochastic variance-reduced gradient designed for the Qfunction in the EM algorithm. Under a mild condition on the initialization, our algorithm is guar anteed to attain a linear convergence rate to the u known parameter of the latent variable model, and achieve an optimal statistical rate up to a logarit mic factor for parameter estimation. Compared with existing high-dimensional EM algorithms, our algorithm enjoys a better computational complexity and is therefore more efficient. We apply our generic algorithm to two illustrative latent variable models: Gaussian mixture model and mixture of linear regression, and demonstrate the advantages of our algorithm by both theoretical analysis and numerical experiments. We believe that the proposed semi-stochastic gradient is of independent interest for general nonconvex optimization problems with bivariate structures.