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The EM Algorithm is Adaptively-Optimal for Unbalanced Sym...
Nir Weinberger, Guy Bresler · 2021-03-29 · via cs.IT updates on arXiv.org

This paper studies the problem of estimating the means $\pmθ_{*}\in\mathbb{R}^{d}$ of a symmetric two-component Gaussian mixture $δ_{*}\cdot N(θ_{*},I)+(1-δ_{*})\cdot N(-θ_{*},I)$ where the weights $δ_{*}$ and $1-δ_{*}$ are unequal. Assuming that $δ_{*}$ is known, we show that the population version of the EM algorithm globally converges if the initial estimate has non-negative inner product with the mean of the larger weight component. This can be achieved by the trivial initialization $θ_{0}=0$. For the empirical iteration based on $n$ samples, we show that when initialized at $θ_{0}=0$, the EM algorithm adaptively achieves the minimax error rate $\tilde{O}\Big(\min\Big\{\frac{1}{(1-2δ_{*})}\sqrt{\frac{d}{n}},\frac{1}{\|θ_{*}\|}\sqrt{\frac{d}{n}},\left(\frac{d}{n}\right)^{1/4}\Big\}\Big)$ in no more than $O\Big(\frac{1}{\|θ_{*}\|(1-2δ_{*})}\Big)$ iterations (with high probability). We also consider the EM iteration for estimating the weight $δ_{*}$, assuming a fixed mean $θ$ (which is possibly mismatched to $θ_{*}$). For the empirical iteration of $n$ samples, we show that the minimax error rate $\tilde{O}\Big(\frac{1}{\|θ_{*}\|}\sqrt{\frac{d}{n}}\Big)$ is achieved in no more than $O\Big(\frac{1}{\|θ_{*}\|^{2}}\Big)$ iterations. These results robustify and complement recent results of Wu and Zhou obtained for the equal weights case $δ_{*}=1/2$.