The MM Alternative to EM

The EM algorithm is a special case of a more general algorithm called the MM algorithm. Specific MM algorithms often have nothing to do with missing data. The first M step of an MM algorithm creates a surrogate function that is optimized in the second M step. In minimization, MM stands for majorize--minimize; in maximization, it stands for minorize--maximize. This two-step process always drives the objective function in the right direction. Construction of MM algorithms relies on recognizing and manipulating inequalities rather than calculating conditional expectations. This survey walks the reader through the construction of several specific MM algorithms. The potential of the MM algorithm in solving high-dimensional optimization and estimation problems is its most attractive feature. Our applications to random graph models, discriminant analysis and image restoration showcase this ability.Comment: Published in at http://dx.doi.org/10.1214/08-STS264 the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org

Reconstructing DNA copy number by joint segmentation of multiple sequences

The variation in DNA copy number carries information on the modalities of genome evolution and misregulation of DNA replication in cancer cells; its study can be helpful to localize tumor suppressor genes, distinguish different populations of cancerous cell, as well identify genomic variations responsible for disease phenotypes. A number of different high throughput technologies can be used to identify copy number variable sites, and the literature documents multiple effective algorithms. We focus here on the specific problem of detecting regions where variation in copy number is relatively common in the sample at hand: this encompasses the cases of copy number polymorphisms, related samples, technical replicates, and cancerous sub-populations from the same individual. We present an algorithm based on regularization approaches with significant computational advantages and competitive accuracy. We illustrate its applicability with simulated and real data sets.Comment: 54 pages, 5 figure

Orthogonal Trace-Sum Maximization: Applications, Local Algorithms, and Global Optimality

This paper studies a problem of maximizing the sum of traces of matrix quadratic forms on a product of Stiefel manifolds. This orthogonal trace-sum maximization (OTSM) problem generalizes many interesting problems such as generalized canonical correlation analysis (CCA), Procrustes analysis, and cryo-electron microscopy of the Nobel prize fame. For these applications finding global solutions is highly desirable but has been out of reach for a long time. For example, generalizations of CCA do not possess obvious global solutions unlike their classical counterpart to which a global solution is readily obtained through singular value decomposition; it is also not clear how to test global optimality. We provide a simple method to certify global optimality of a given local solution. This method only requires testing the sign of the smallest eigenvalue of a symmetric matrix, and does not rely on a particular algorithm as long as it converges to a stationary point. Our certificate result relies on a semidefinite programming (SDP) relaxation of OTSM, but avoids solving an SDP of lifted dimensions. Surprisingly, a popular algorithm for generalized CCA and Procrustes analysis may generate oscillating iterates. We propose a simple modification of this standard algorithm and prove that it reliably converges. Our notion of convergence is stronger than conventional objective value convergence or subsequence convergence.The convergence result utilizes the Kurdyka-Lojasiewicz property of the problem.Comment: 22 pages, 1 figur