Convergence of a Particle-based Approximation of the Block Online Expectation Maximization Algorithm

Online variants of the Expectation Maximization (EM) algorithm have recently been proposed to perform parameter inference with large data sets or data streams, in independent latent models and in hidden Markov models. Nevertheless, the convergence properties of these algorithms remain an open problem at least in the hidden Markov case. This contribution deals with a new online EM algorithm which updates the parameter at some deterministic times. Some convergence results have been derived even in general latent models such as hidden Markov models. These properties rely on the assumption that some intermediate quantities are available in closed form or can be approximated by Monte Carlo methods when the Monte Carlo error vanishes rapidly enough. In this paper, we propose an algorithm which approximates these quantities using Sequential Monte Carlo methods. The convergence of this algorithm and of an averaged version is established and their performance is illustrated through Monte Carlo experiments

Model based clustering of multinomial count data

We consider the problem of inferring an unknown number of clusters in replicated multinomial data. Under a model based clustering point of view, this task can be treated by estimating finite mixtures of multinomial distributions with or without covariates. Both Maximum Likelihood (ML) as well as Bayesian estimation are taken into account. Under a Maximum Likelihood approach, we provide an Expectation--Maximization (EM) algorithm which exploits a careful initialization procedure combined with a ridge--stabilized implementation of the Newton--Raphson method in the M--step. Under a Bayesian setup, a stochastic gradient Markov chain Monte Carlo (MCMC) algorithm embedded within a prior parallel tempering scheme is devised. The number of clusters is selected according to the Integrated Completed Likelihood criterion in the ML approach and estimating the number of non-empty components in overfitting mixture models in the Bayesian case. Our method is illustrated in simulated data and applied to two real datasets. An R package is available at https://github.com/mqbssppe/multinomialLogitMix.Comment: to appear in ADA

Path Guiding with Vertex Triplet Distributions

Good importance sampling strategies are decisive for the quality and robustness of photorealistic image synthesis with Monte Carlo integration. Path guiding approaches use transport paths sampled by an existing base sampler to build and refine a guiding distribution. This distribution then guides subsequent paths in regions that are otherwise hard to sample. We observe that all terms in the measurement contribution function sampled during path construction depend on at most three consecutive path vertices. We thus propose to build a 9D guiding distribution over vertex triplets that adapts to the full measurement contribution with a 9D Gaussian mixture model (GMM). For incremental path sampling, we query the model for the last two vertices of a path prefix, resulting in a 3D conditional distribution with which we sample the next vertex along the path. To make this approach scalable, we partition the scene with an octree and learn a local GMM for each leaf separately. In a learning phase, we sample paths using the current guiding distribution and collect triplets of path vertices. We resample these triplets online and keep only a fixed-size subset in reservoirs. After each progression, we obtain new GMMs from triplet samples by an initial hard clustering followed by expectation maximization. Since we model 3D vertex positions, our guiding distribution naturally extends to participating media. In addition, the symmetry in the GMM allows us to query it for paths constructed by a light tracer. Therefore our method can guide both a path tracer and light tracer from a jointly learned guiding distribution