2023/08/28 by Francesca Azzolini, Hans J. Skaug, Azzolini, Francesca +1
Computer Science · Mathematics · #Bayesian Methods and Mixture Models #FOS: Computer and information sciences #Gaussian Processes and Bayesian Inference #Markov Chains and Monte Carlo Methods #Methodology (stat.ME)
paper · pdf · doi:10.48550/arxiv.2308.14700
openalex publication_date 2023/08/28 · openalex created_date 2023/08/31 · openalex updated_date 2026/07/28
Multimodality of the likelihood in Gaussian mixtures is a well-known problem. The choice of the initial parameter vector for the numerical optimizer may affect whether the optimizer finds the global maximum, or gets trapped in a local maximum of the likelihood. We propose to use Hamiltonian Monte Carlo (HMC) to explore the part of the parameter space which has a high likelihood. Each sampled parameter vector is used as the initial value for quasi-Newton optimizer, and the resulting sample of (maximum) likelihood values is used to determine if the likelihood is multimodal. We use a single simulated data set from a three component bivariate mixture to develop and test the method. We use state-of-the-art HCM software, but experience difficulties when trying to directly apply HMC to the full model with 15 parameters. To improve the mixing of the Markov Chain we explore various tricks, and conclude that for the dataset at hand we have found the global maximum likelihood estimate.