Analysis of a generalised expectation-maximisation algorithm for Gaussian mixture models: a control systems perspective

The expectation-maximisation (EM) algorithm is one of the most popular methods used to solve the problem of parametric distribution-based clustering in unsupervised learning. In this paper, we propose to analyse a generalised EM (GEM) algorithm in the context of Gaussian mixture models, where the maximisation step in the EM is replaced by an increasing step. We show that this GEM algorithm can be understood as a linear time-invariant (LTI) system with a feedback nonlinearity. Therefore, we explore some of its convergence properties by leveraging tools from robust control theory. Lastly, we explain how the proposed GEM can be designed and present a pedagogical example to understand the advantages of the proposed approach.