A Fast Incremental Gaussian Mixture Model

PLoS One. 2015 Oct 7;10(10):e0139931. doi: 10.1371/journal.pone.0139931. eCollection 2015.

Abstract

This work builds upon previous efforts in online incremental learning, namely the Incremental Gaussian Mixture Network (IGMN). The IGMN is capable of learning from data streams in a single-pass by improving its model after analyzing each data point and discarding it thereafter. Nevertheless, it suffers from the scalability point-of-view, due to its asymptotic time complexity of O(NKD3) for N data points, K Gaussian components and D dimensions, rendering it inadequate for high-dimensional data. In this work, we manage to reduce this complexity to O(NKD2) by deriving formulas for working directly with precision matrices instead of covariance matrices. The final result is a much faster and scalable algorithm which can be applied to high dimensional tasks. This is confirmed by applying the modified algorithm to high-dimensional classification datasets.

MeSH terms

  • Algorithms*
  • Machine Learning*
  • Models, Theoretical
  • Normal Distribution

Grants and funding

The authors have no support or funding to report.