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EM algorithm with constrained optimization

  • 1.  EM algorithm with constrained optimization

    Posted 05-30-2017 08:07
    I agree with Gretchen. There has been a shortage of substantive questions, but I
    enjoy the more social dialogue as well. To restore balance, I have a statistics
    question. I am working with a client to assess trends in estuarine water quality for a
    30 year record of near monthly data at a number of locations. For this we are using a
    generalized additive model (gam) with independent variables that include smooth
    terms for long term trend, seasonal cycle, and sometimes other forcing functions such
    as fresh water input to the estuary. The dependent variable is typically a measure of
    eutrophication such as total nitrogen concentration (TN). In the early part of the
    record, many of the dependent variables were censored by detection limits so that if a
    water constituent was observed to be below a limit of detection, the data were left
    censored at the limit of detection. Because some constituents such a TN are
    computed as the sum of nitrogen constituents, this can also lead to interval censored
    data. To accommodate these censored data, we have implemented the
    expectation-maximization (EM) algorithm to obtain maximum likelihood parameter
    estimates (mle), but there is a wrinkle. The gam procedure that we use ( the
    r-package mgcv) uses an optimization that is constrained for smoothness rather than
    a global optimization. I have two questions. 1) Is anyone aware of other
    applications, with citations please, of the EM algorithm where the optimization step
    is a constrained optimization rather than a global optimization? 2) Are there tools
    available for obtaining inference on the parameter estimates for a constrained EM
    process? For example, is it possible to inflate the standard errors obtained from the
    last iteration gam fit to adjust for the uncertainty of some of the data being censored?

    Elgin S. Perry, Ph.D.
    Statistics Consultant
    377 Resolutions Rd.
    Colonial Beach, Va. 22443
    ph. 410.610.1473