The expectation-maximization (EM) method can facilitate maximizing likelihood functions that arise in statistical estimation problems. In the classical EM paradigm, one iteratively maximizes the conditional log-likelihood of a single unobservable complete data space, rather than maximizing the intractable likelihood function for the measured or incomplete data. EM algorithms update all parameters simultaneously, which has two drawbacks: 1) slow convergence, and 2) difficult maximization steps due to coupling when smoothness penalties are used. The paper describes the space-alternating generalized EM (SAGE) method, which updates the parameters sequentially by alternating between several small hidden-data spaces defined by the algorithm designer. The authors prove that the sequence of estimates monotonically increases the penalized-likelihood objective, derive asymptotic convergence rates, and provide sufficient conditions for monotone convergence in norm. Two signal processing applications illustrate the method: estimation of superimposed signals in Gaussian noise, and image reconstruction from Poisson measurements. In both applications, the SAGE algorithms easily accommodate smoothness penalties and converge faster than the EM algorithms.
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