SC19051 is a simple R package developed to implement the constrained Newton method(CNM.R) and compare it to the EM algorithm(EM.R).

Introduction to Gaussian Mixture Model(GMM)

The density of a Gaussian mixture model is of the form: $$ f(x ; G)=\int_{\Omega} f(x ; \theta) \mathrm{d} G(\theta) $$

where $f(x ; \theta), x \in \mathcal{X}, \theta \in \Omega \subset \mathbb{R}$ is the kernel density and $G(\theta)$ is the mixing distribution.

Given a random sample x1,...,xn from density above, the log-likelihood of G has the form: $$ l(G)=\sum_{i=1}^{n} \log \left{\int_{\Omega} f\left(x_{i} ; \theta\right) \mathrm{d} G(\theta)\right} $$

The NPMLE $\hat{G}$ maximizes $l(G)$ is known to be discrete and then has the form: $G(\theta)=\sum_{j=1}^{m} \pi_{j} \delta_{\theta_{j}}$, where $m \leq n$.

The directional derivative from $G$ to $\delta_{\theta}$, also known as gradient function is deļ¬ned as: $$ \begin{aligned} d(\theta ; G) &\left.\equiv \frac{\partial l{(1-\varepsilon) G+\varepsilon \delta_{\theta}}}{\partial \varepsilon}\right|{\varepsilon=0} \ &=\sum{i=1}^{n} \frac{f\left(x_{i} ; \theta\right)}{f\left(x_{i} ; G\right)}-n \end{aligned} $$

and we have:

$$ \hat{G} \text { maximizes } l(G) \Leftrightarrow \hat{G} \text { minimizes } \sup {\theta}{d(\theta ; G)} \Leftrightarrow \sup {\theta}{d(\theta ; \hat{G})}=0 $$

Introduction to Constrained Newton Method

$\mathrm{Algorithm\ 1\ (CN)} .$ Set $s=0 .$ From an initial estimate $\mathrm{G}{0}$ with finite support and $l\left(G{0}\right)>-\infty,$ repeat the following steps.

Step 1: compute $$ \theta_{s}^{}=\arg \max {\theta \in \Omega}\left{d\left(\theta ; G{s}\right)\right} . $$ If $d\left(\theta_{s}^{};G_{s}\right)=0$, stop.

Step 2: set $$ \theta_{s}^{+}=\left(\theta_{s}^{\mathrm{T}}, \theta_{s}^{*}\right)^{\mathrm{T}} $$ and $$ \pi_{s}^{+}=\left(\pi_{s}^{\mathrm{T}}, 0\right)^{\mathrm{T}} $$

Denote by $\pi_{s+1}^{-}$ the constrained solution of minimizing $Q\left(\pi^{\prime} | \pi_{s}^{+}, {\theta}_{s}^{+}\right) .$

Step 3: discard all support points with zero entries in $\pi_{s+1}^{-}$, which gives $\theta_{s+1}$ and $\pi_{s+1}$ of $G_{s+1 }$. Set $s=s+1$ .

Evaluation of Estimation

We can plot the function of $\theta$ :$d(\theta, G) .$ using deri.plot.

Sirui522/SCtry2333 documentation built on Jan. 3, 2020, 12:11 a.m.