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arXiv 0910.2832cs.ITmath.IT
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期望最大化作为信息传递-第一部分:原则和高斯信息

Expectation Maximization as Message Passing - Part I: Principles and Gaussian Messages

Justin Dauwels, Andrew Eckford, Sascha Korl, Hans-Andrea Loeliger

摘要:

它示出了如何期望最大化(EM)可以被视为一个消息传递算法在因子图。特别地,识别一般EM消息计算规则。作为因子图工具,EM可以用于打破因子图中的循环,并且在某些情况下可以获得易处理的消息,其中和积消息是笨拙的。作为一个典型的应用,本文考虑线性高斯状态空间模型。这种模型中的未知系数在相应的因子图中产生乘数。在这种情况下,EM的主要吸引力在于它导致纯高斯消息传递算法。这些高斯EM消息被制成表格,用于在应用中经常出现的几个(标量、矢量、矩阵)乘法器。

英文摘要:

It is shown how expectation maximization (EM) may be viewed as a message passing algorithm in factor graphs. In particular, a general EM message computation rule is identified. As a factor graph tool, EM may be used to break cycles in a factor graph, and tractable messages may in some cases be obtained where the sum-product messages are unwieldy. As an exemplary application, the paper considers linear Gaussian state space models. Unknown coefficients in such models give rise to multipliers in the corresponding factor graph. A main attraction of EM in such cases is that it results in purely Gaussian message passing algorithms. These Gaussian EM messages are tabulated for several (scalar, vector, matrix) multipliers that frequently appear in applications.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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