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davidavdav / GaussianMixtures.jl

Large scale Gaussian Mixture Models
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Estimation using Method of Moments #98

Open andreasKroepelin opened 2 years ago

andreasKroepelin commented 2 years ago

There is a publication by Daniel Hsu and Sham Kakade (http://arxiv.org/abs/1206.5766) that describes how to estimate certain GMMs using the Method of Moments and tensor decomposition. This as appears to be interesting, as a MLE tends to end up in local optima. I implemented this approach for my master thesis and if there is interest in such a contribution, I could port my code for usage with GaussianMixtures.jl. Just let me know!

ForceBru commented 2 years ago

There's also a more recent paper that introduces computationally efficient algorithms for method of moments estimation for Gaussian mixtures: https://arxiv.org/abs/2202.06930.

davidavdav commented 2 years ago

I don't think I am going to implement this, but feel free to do so.