Zoom Meeting - Estelle Kuhn on the 16th of March, 4 p.m. - Properties of the Stochastic Approximation EM Algorithm with Mini-batch Sampling

[Julien Stoehr]

Dear all,

a gentle reminder that tomorrow,  tuesday 16th of March at 4 p.m., we will have the pleasure of welcoming Estelle Kuhn, senior researcher at INRAE in the MaIAGE unit (http://genome.jouy.inra.fr/~ekuhn/), who will give an online talk on "Properties of the Stochastic Approximation EM Algorithm with Mini-batch Sampling".

The link to the session : https://zoom.us/j/93485319520?pwd=ZDNuWFNCZmlGa0NFVTZ6dk9FczNldz09

ID of the meeting : 934 8531 9520

Password : QL4iCv

Best wishes,

Alain Durmus, Pierre Gloaguen,  Sylvain Le Corff and Julien Stoehr

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Abstract 

To deal with very large datasets a mini-batch version of the Monte Carlo Markov Chain Stochastic Approximation Expectation– Maximization 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 mini-batch sampling results in an important 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. Finally, we illustrate how to use mini-batch sampling in practice to improve results when a constraint on the computing time is given.

Reference: Journal version, ArXiv version