
arXiv: 1805.07272
A novel computational approach to log-concave density estimation is proposed. Previous approaches utilize the piecewise-affine parametrization of the density induced by the given sample set. The number of parameters as well as non-smooth subgradient-based convex optimization for determining the maximum likelihood density estimate cause long runtimes for dimensions $d \geq 2$ and large sample sets. The presented approach is based on mildly non-convex smooth approximations of the objective function and \textit{sparse}, adaptive piecewise-affine density parametrization. Established memory-efficient numerical optimization techniques enable to process larger data sets for dimensions $d \geq 2$. While there is no guarantee that the algorithm returns the maximum likelihood estimate for every problem instance, we provide comprehensive numerical evidence that it does yield near-optimal results after significantly shorter runtimes. For example, 10000 samples in $\mathbb{R}^2$ are processed in two seconds, rather than in $\approx 14$ hours required by the previous approach to terminate. For higher dimensions, density estimation becomes tractable as well: Processing $10000$ samples in $\mathbb{R}^6$ requires 35 minutes. The software is publicly available as CRAN R package fmlogcondens.
22 pages, 10 figures
FOS: Computer and information sciences, adaptive piecewise-affine parametrization, maximum likelihood estimation, Software, source code, etc. for problems pertaining to statistics, nonparametric density estimation, Statistics - Computation, Methodology (stat.ME), Density estimation, log-concavity, Computational methods for problems pertaining to statistics, Statistics - Methodology, Computation (stat.CO)
FOS: Computer and information sciences, adaptive piecewise-affine parametrization, maximum likelihood estimation, Software, source code, etc. for problems pertaining to statistics, nonparametric density estimation, Statistics - Computation, Methodology (stat.ME), Density estimation, log-concavity, Computational methods for problems pertaining to statistics, Statistics - Methodology, Computation (stat.CO)
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