Old Queens building at Rutgers university

Nonparametric maximum likelihood inference for mixture models via convex optimization

This arXival by Feng and Dicker deals with the problem of fitting multivariate mixture estimates with maximum likelihood. One of the advantages put forward being that nonparametric maximum likelihood estimators (NPMLEs) put virtually no constraints on the base measure G_0. While the abstract claims  their approach works for arbitrary distributions as mixture components, really they make the assumption that the components are well approximated by a Gaussian (of course including distributions arising from sums of RVs because of the CLT). While theoretically NPMLEs might put no constraints on the base measure, practically in the paper first G_0 is constrained to measures supported on at most as many points as there are data points. To make the optimization problem convex, the support is further constrained to a finite grid on some compact space that the data lies on.

The main result of the paper is in Proposition 1, which basically says that the finite grid constraint indeed makes the problem convex. After that the paper directly continues with empirical evaluation. I think the method proposed is not all that general. While the elliptical unimodal (gaussian approximation)  assumption would not be that problematic, the claimed theoretical flexibility of NPMLE is not really bearing fruit in this approach, as the finite grid constraint is very strong and gets rid of most flexibility left after the gaussian assumption. For instance, the gaussian location model fitted is merely a very constrained KDE without even allowing the ability of general gaussian mixture models of fitting the covariance matrix of individual components. While a finite grid support for location and covariance matrix is possible, to be practical the grid would have to be extremely dense in order gain flexibility in the fit. While it is correct that the optimization problem is becoming convex, this is bought for the price of a rigid model. However, Ewan Cameron assured me that the model is very useful for astrostatistics, and I realized that it might be so in other contexts, e.g. adaptive Monte Carlo techniques.

A minor comment regarding the allegation in the paper that nonparametric models lack interpretability: while this is certainly true for the model proposed in the paper and mainstream bayesian nonparametric models, this is not a given. One notable interpretable class of models are Mixture models with a prior on the number of components by Miller and Harrison (2015).

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s