Convex Relaxation of Mixture Regression with Efficient Algorithms

Novi Quadrianto, Tibério S. Caetano, John Lim, Dale Schuurmans

Abstract: We develop a convex relaxation of maximum a posteriori estimation of a mixture of regression models. Although our relaxation involves a semidefinite matrix variable, we reformulate the problem to eliminate the need for general semidefinite programming. In particular, we provide two reformulations that admit fast algorithms. The first is a max-min spectral reformulation exploiting quasi-Newton descent. The second is a min-min reformulation consisting of fast alternating steps of closed-form updates. We evaluate the methods against Expectation-Maximization in a real problem of motion segmentation from video data.