Minorization-Maximization Algorithm

Surrogate function

M(θm|θm)=f(θm)

then find θm+1=argmaxM(θ) such that m(θ|θm+1)=f(θm+1)

Beta binomial Regression Example

Yi∼Binomial(mi,pi)

where Yi is a count variable

E(Yi)=mipi,Var(Yi)=mipi(1−pi)

and pi is assumed to follow a Beta Distribution (αi1,αi2)

E(pi)=αi1αi1+αi2=αi1αi+Var(pi)=αi1αi2αi+2(1+αi+)2

Var(pi) dependds on the size of αi1 and αi2

Beta Binomial distribution of Y and pi

fBB(yi;αi∼)=∫pifBin(yi;pi)fBeta(pi;αi)dx=mi!yi!(mi−yi)!Γ(αi+)Γ(αi1)Γ(αi2)Γ(yi+αi1)Γ(mi−Yi+αi2)Γ(mi+αi+)

The mean and variance of the Yi with the BB distribution are then given by

E(Yi)=E(E(Yi|pi))=E(mipi)=miαi1αi+Var(Yi)=Var(E(Yi|pi))+E(Var(Yi|Pi))=Var(mipi)+E(mipi(1−pi))=mi2αi1αi2αi+2(1+αi+2)+E(mipi)−E(mipi2)=miαi1αi+(1−αi1αi+)mi+αi11+αi+L(β∼;xi)=fBB(yi;αi)

yi1 is the number of successes on the sample mi

l(β∼)=∑log⁡fBB(yi;β∼)=∑i=1n[∑l=0yi1−1log⁡(exiβ+l)+∑l=0mi−yi−1log⁡(e)]

the negative log is not concave

In the application of Jensen's inequality, for a concave function ϕ(⋅) with contants a's

a1=exp⁡(xi∼)

Surrogate of the first function f1

log⁡(exi∼βi∼+l)=log⁡(a1v1+a2v2)≥a1log⁡v1+a2log⁡v2=exp⁡(xi∼β)

Surrogate of the second function

f2(β)=−∑i=1n∑l=0mi−1log⁡(exi∼βi∼+exiβ2∼∼+l)

because log(⋅) is concave, −log(⋅) is convex, choose ϕ(⋅)=−log(⋅)

log⁡(v)=−log⁡(exi∼βi∼+exi∼β2∼+l)≥−log⁡(v(t))+d(−log(v))dv|v=v(t)(v−v(t))=−log⁡(v(t))−1v(t)(v−v(t))=−log⁡(exi∼βi∼+exi∼β2∼+l)−exi∼βi∼+exi∼β2∼−exi∼βi∼(t)−exi∼β2∼(t)exi∼βi∼(t)+exi∼β2∼(t)+lf2(β∼)≥g2(β∼|β∼(t))=−∑α=12∑i=1n∑l=0mi−1exp⁡(xi∼βd∼)

In combination we have a surrogate function g(β) for the objective f(β) as

f(β∼)=f1(β)+f2(β)≥g(β∼|β∼(t))=g1(β∼|β∼(t))+g2(β∼|β∼(t))=∑α=12∑i=1n(∑l=0yid−1exp⁡(xi∼βd(t))exp⁡(xi∼βd(t)∼)+lxi∼βd+∑l=0mi−11∑d=12exp⁡(xi∼βd(t)∼)+lexp⁡(xi∼βd∼))+C(t)=[∑α=12∑i=1nWi(t)(yid∗(t)xi∼βd∼−exp⁡(xi∼βd∼))]+c(t)