On-line EM

Just attended a local Big’MC seminar where Olivier Cappé gave us the ideas behind the online EM algorithm he developed with Eric Moulines. The method mixes the integrated EM technique we used in the population Monte Carlo paper with Robbin-Monro, to end up with a converging sequence with an optimal speed. The paper appeared in JRSS Series B in 2009, so I cannot say this was a complete surprise. The less because this is also the theme of the chapter Olivier wrote for the mixture book. (Soon to be ready!)