Iteration Capping For Discrete Choice Models Using the EM Algorithm

J. Kabatek

Research output: Working paperDiscussion paperOther research output

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Abstract

The Expectation-Maximization (EM) algorithm is a well-established estimation procedure which is used in many domains of econometric analysis. Recent application in a discrete choice framework (Train, 2008) facilitated estimation of latent class models allowing for very exible treatment of unobserved heterogeneity. The high exibility of these models is however counterweighted by often excessively long computation times, due to the iterative nature of the EM algorithm. This paper proposes a simple adjustment to the estimation procedure which proves to achieve substantial gains in terms of convergence speed without compromising any of the advantages of the original routine. The enhanced algorithm caps the number of iterations computed by the inner EM loop near its minimum, thereby avoiding optimization over suboptimally populated classes. Performance of the algorithm is assessed on a series of simulations, with the adjusted algorithm being 3-5 times faster than the original routine.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages12
Volume2013-019
Publication statusPublished - 2013

Publication series

NameCentER Discussion Paper
Volume2013-019

Keywords

  • EM algorithm
  • discrete choice models
  • latent class models

Cite this

Kabatek, J. (2013). Iteration Capping For Discrete Choice Models Using the EM Algorithm. (CentER Discussion Paper; Vol. 2013-019). Tilburg: Econometrics.
Kabatek, J. / Iteration Capping For Discrete Choice Models Using the EM Algorithm. Tilburg : Econometrics, 2013. (CentER Discussion Paper).
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Kabatek, J 2013 'Iteration Capping For Discrete Choice Models Using the EM Algorithm' CentER Discussion Paper, vol. 2013-019, Econometrics, Tilburg.

Iteration Capping For Discrete Choice Models Using the EM Algorithm. / Kabatek, J.

Tilburg : Econometrics, 2013. (CentER Discussion Paper; Vol. 2013-019).

Research output: Working paperDiscussion paperOther research output

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AB - The Expectation-Maximization (EM) algorithm is a well-established estimation procedure which is used in many domains of econometric analysis. Recent application in a discrete choice framework (Train, 2008) facilitated estimation of latent class models allowing for very exible treatment of unobserved heterogeneity. The high exibility of these models is however counterweighted by often excessively long computation times, due to the iterative nature of the EM algorithm. This paper proposes a simple adjustment to the estimation procedure which proves to achieve substantial gains in terms of convergence speed without compromising any of the advantages of the original routine. The enhanced algorithm caps the number of iterations computed by the inner EM loop near its minimum, thereby avoiding optimization over suboptimally populated classes. Performance of the algorithm is assessed on a series of simulations, with the adjusted algorithm being 3-5 times faster than the original routine.

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Kabatek J. Iteration Capping For Discrete Choice Models Using the EM Algorithm. Tilburg: Econometrics. 2013. (CentER Discussion Paper).