A quasi-Newton acceleration for high-dimensional optimization algorithms

作者：Zhou Hua^*; Alexander David; Lange Kenneth

来源：Statistics and Computing, 2011, 21(2): 261-273.

DOI：10.1007/s11222-009-9166-3

• Maximum likelihood
• Multivariate t
• Admixture models
• Imaging
• Generalized eigenvalues

In many statistical problems, maximum likelihood estimation by an EM or MM algorithm suffers from excruciatingly slow convergence. This tendency limits the application of these algorithms to modern high-dimensional problems in data mining, genomics, and imaging. Unfortunately, most existing acceleration techniques are ill-suited to complicated models involving large numbers of parameters. The squared iterative methods (SQUAREM) recently proposed by Varadhan and Roland constitute one notable exception. This paper presents a new quasi-Newton acceleration scheme that requires only modest increments in computation per iteration and overall storage and rivals or surpasses the performance of SQUAREM on several representative test problems.

• 出版日期2011-4