接上一篇
Q ( θ ∣ θ ( i ) ) = ∑ j = 1 N { μ j ( i + 1 ) ln [ π p y j ( 1 − p ) 1 − y j ] + ( 1 − μ j ( i + 1 ) ) ln [ ( 1 − π ) q y j ( 1 − q ) 1 − y j ] } Q\left(\theta \mid \theta^{(i)}\right)=\sum_{j=1}^{N}\left\{\mu_{j}^{(i+1)} \ln \left[\pi p^{y_{j}}(1-p)^{1-y_{j}}\right]+\left(1-\mu_{j}^{(i+1)}\right) \ln \left[(1-\pi) q^{y_{j}}(1-q)^{1-y_{j}}\right]\right\} Q(θ∣θ(i))=j=1∑N{μj(i+1)ln[πpyj(1−p)1−yj]+(1−μj(i+1))ln[(1−π)qyj(1−q)1−yj]}
现在有了Q函数,我们可以进一步做M步:求使得Q函数达到极大的 θ ( i + 1 ) = ( π ( i + 1 ) , p ( i + 1 ) , q ( i + 1 ) ) \theta^{(i+1)}=\left(\pi^{(i+1)}, p^{(i+1)}, q^{(i+1)}\right) θ(i+1)=(π(i+1),p(i+1),q(i+1))。我们对Q函数关于 π \pi π求一阶偏导数,并令一阶偏导数等于0
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\begin{aligned} \frac{\partial Q\left(\theta \mid \theta^{(i)}\right)}{\partial \pi} &=\sum_{j=1}^{N} \frac{\partial}{\partial \pi}\left\{\mu_{j}^{(i+1)} \ln \left[\pi p^{y_{j}}(1-p)^{1-y_{j}}\right]+\left(1-\mu_{j}^{(i+1)}\right) \ln \left[(1-\pi) q^{y_{j}}(1-q)^{1-y_{j}}\right]\right\} \\ &=\sum_{j=1}^{N}\left\{\mu_{j}^{(i+1)} \frac{p^{y_{j}}(1-p)^{1-y_{j}}}{\pi p^{y_{j}}(1-p)^{1-y_{j}}}+\left(1-\mu_{j}^{(i+1)}\right) \frac{-q^{y_{j}}(1-q)^{1-y_{j}}}{(1-\pi) q^{y_{j}}(1-q)^{1-y_{j}}}\right\} \\ &=\sum_{j=1}^{N}\left\{\frac{\mu_{j}^{(i+1)}(1-\pi) p^{y_{j}}(1-p)^{1-y_{j}} q^{y_{j}}(1-q)^{1-y_{j}}}{\pi(1-\pi) p^{y_{j}}(1-p)^{1-y_{j}} q^{y_{j}}(1-q)^{1-y_{j}}}+\frac{\left(\mu_{j}^{(i+1)}-1\right) \pi p^{y_{j}}(1-p)^{1-y_{j}} q^{y_{j}}(1-q)^{1-y_{j}}}{\pi(1-\pi) p^{y_{j}}(1-p)^{1-y_{j}} q^{y_{j}}(1-q)^{1-y_{j}}}\right\}\\ &=\sum_{j=1}^{N}\left\{\frac{\mu_{j}^{(i+1)} p^{y_{j}}(1-p)^{1-y_{j}} q^{y_{j}}(1-q)^{1-y_{j}}-\pi p^{y_{j}}(1-p)^{1-y_{j}} q^{y_{j}}(1-q)^{1-y_{j}}}{\pi(1-\pi) p^{y_{j}}(1-p)^{1-y_{j}} q^{y_{j}}(1-q)^{1-y_{j}}}\right\} \\ &=\sum_{j=1}^{N}\left[\frac{\mu_{j}^{(i+1)}-\pi}{\pi(1-\pi)}\right] \\ &=\frac{\sum_{j=1}^{N} \mu_{j}^{(i+1)}-\sum_{j=1}^{N} \pi}{\pi(1-\pi)} \\ &=\frac{\sum_{j=1}^{N} \mu_{j}^{(i+1)}-N \pi}{\pi(1-\pi)} \end{aligned}
∂π∂Q(θ∣θ(i))=j=1∑N∂π∂{μj(i+1)ln[πpyj(1−p)1−yj]+(1−μj(i+1))ln[(1−π)qyj(1−q)1−yj]}=j=1∑N{μj(i+1)πpyj(1−p)1−yjpyj(1−p)1−yj+(1−μj(i+1))(1−π)qyj(1−q)1−yj−qyj(1−q)1−yj}=j=1∑N⎩⎨⎧π(1−π)pyj(1−p)1−yjqyj(1−q)1−yjμj(i+1)(1−π)pyj(1−p)1−yjqyj(1−q)1−yj+π(1−π)pyj(1−p)1−yjqyj(1−q)1−yj(μj(i+1)−1)πpyj(1−p)1−yjqyj(1−q)1−yj⎭⎬⎫=j=1∑N{π(1−π)pyj(1−p)1−yjqyj(1−q)1−yjμj(i+1)pyj(1−p)1−yjqyj(1−q)1−yj−πpyj(1−p)1−yjqyj(1−q)1−yj}=j=1∑N[π(1−π)μj(i+1)−π]=π(1−π)∑j=1Nμj(i+1)−∑j=1Nπ=π(1−π)∑j=1Nμj(i+1)−Nπ
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\begin{gathered} \frac{\partial Q\left(\theta \mid \theta^{(i)}\right)}{\partial \pi}=\frac{\sum_{j=1}^{N} \mu_{j}^{(i+1)}-N \pi}{\pi(1-\pi)}=0 \\ \sum_{j=1}^{N} \mu_{j}^{(i+1)}-N \pi=0 \\ N \pi=\sum_{j=1}^{N} \mu_{j}^{(i+1)} \\ \pi=\frac{1}{N} \sum_{j=1}^{N} \mu_{j}^{(i+1)} \Rightarrow \pi^{(i+1)}=\frac{1}{N} \sum_{j=1}^{N} \mu_{j}^{(i+1)} \end{gathered}
∂π∂Q(θ∣θ(i))=π(1−π)∑j=1Nμj(i+1)−Nπ=0j=1∑Nμj(i+1)−Nπ=0Nπ=j=1∑Nμj(i+1)π=N1j=1∑Nμj(i+1)⇒π(i+1)=N1j=1∑Nμj(i+1)
对Q函数关于p求偏导
∂ Q ( θ ∣ θ ( i ) ) ∂ p = ∑ j = 1 N ∂ ∂ p { μ j ( i + 1 ) ln [ π p y j ( 1 − p ) 1 − y j ] + ( 1 − μ j ( i + 1 ) ) ln [ ( 1 − π ) q y j ( 1 − q ) 1 − y j ] } = ∑ j = 1 N ∂ ∂ p { μ j ( i + 1 ) ln [ π p y j ( 1 − p ) 1 − y j ] } = ∑ j = 1 N ∂ ∂ p { μ j ( i + 1 ) [ ln π + y j ln p + ( 1 − y j ) ln ( 1 − p ) ] } = ∑ j = 1 N ∂ ∂ p { μ j ( i + 1 ) ln π + μ j ( i + 1 ) y j ln p + μ j ( i + 1 ) ( 1 − y j ) ln ( 1 − p ) } = ∑ j = 1 N ∂ ∂ p { μ j ( i + 1 ) y j ln p + μ j ( i + 1 ) ( 1 − y j ) ln ( 1 − p ) } = ∑ j = 1 N { μ j ( i + 1 ) y j p + ( − 1 ) ⋅ μ j ( i + 1 ) ( 1 − y j ) ( 1 − p ) } = ∑ j = 1 N μ j ( i + 1 ) y j p − ∑ j = 1 N μ j ( i + 1 ) ( 1 − y j ) ( 1 − p ) = ∑ j = 1 N μ j ( i + 1 ) y j p − ∑ j = 1 N μ j ( i + 1 ) ( 1 − y j ) ( 1 − p ) \begin{aligned} \frac{\partial Q\left(\theta \mid \theta^{(i)}\right)}{\partial p} &=\sum_{j=1}^{N} \frac{\partial}{\partial p}\left\{\mu_{j}^{(i+1)} \ln \left[\pi p^{y_{j}}(1-p)^{1-y_{j}}\right]+\left(1-\mu_{j}^{(i+1)}\right) \ln \left[(1-\pi) q^{y_{j}}(1-q)^{1-y_{j}}\right]\right\} \\ &=\sum_{j=1}^{N} \frac{\partial}{\partial p}\left\{\mu_{j}^{(i+1)} \ln \left[\pi p^{y_{j}}(1-p)^{1-y_{j}}\right]\right\} \\ &=\sum_{j=1}^{N} \frac{\partial}{\partial p}\left\{\mu_{j}^{(i+1)}\left[\ln \pi+y_{j} \ln p+\left(1-y_{j}\right) \ln (1-p)\right]\right\} \\ &=\sum_{j=1}^{N} \frac{\partial}{\partial p}\left\{\mu_{j}^{(i+1)} \ln \pi+\mu_{j}^{(i+1)} y_{j} \ln p+\mu_{j}^{(i+1)}\left(1-y_{j}\right) \ln (1-p)\right\}\\ &=\sum_{j=1}^{N} \frac{\partial}{\partial p}\left\{\mu_{j}^{(i+1)} y_{j} \ln p+\mu_{j}^{(i+1)}\left(1-y_{j}\right) \ln (1-p)\right\} \\ &=\sum_{j=1}^{N}\left\{\frac{\mu_{j}^{(i+1)} y_{j}}{p}+\frac{(-1) \cdot \mu_{j}^{(i+1)}\left(1-y_{j}\right)}{(1-p)}\right\} \\ &=\sum_{j=1}^{N} \frac{\mu_{j}^{(i+1)} y_{j}}{p}-\sum_{j=1}^{N} \frac{\mu_{j}^{(i+1)}\left(1-y_{j}\right)}{(1-p)} \\ &=\frac{\sum_{j=1}^{N} \mu_{j}^{(i+1)} y_{j}}{p}-\frac{\sum_{j=1}^{N} \mu_{j}^{(i+1)}\left(1-y_{j}\right)}{(1-p)} \end{aligned} ∂p∂Q(θ∣θ(i))=j=1∑N∂p∂{μj(i+1)ln[πpyj(1−p)1−yj]+(1−μj(i+1))ln[(1−π)qyj(1−q)1−yj]}=j=1∑N∂p∂{μj(i+1)ln[πpyj(1−p)1−yj]}=j=1∑N∂p∂{μj(i+1)[lnπ+yjlnp+(1−yj)ln(1−p)]}=j=1∑N∂p∂{μj(i+1)lnπ+μj(i+1)yjlnp+μj(i+1)(1−yj)ln(1−p)}=j=1∑N∂p∂{μj(i+1)yjlnp+μj(i+1)(1−yj)ln(1−p)}=j=1∑N{pμj(i+1)yj+(1−p)(−1)⋅μj(i+1)(1−yj)}=j=1∑Npμj(i+1)yj−j=1∑N(1−p)μj(i+1)(1−yj)=p∑j=1Nμj(i+1)yj−(1−p)∑j=1Nμj(i+1)(1−yj)
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\begin{gathered} \frac{\partial Q\left(\theta \mid \theta^{(i)}\right)}{\partial p}=\frac{\sum_{j=1}^{N} \mu_{j}^{(i+1)} y_{j}}{p}-\frac{\sum_{j=1}^{N} \mu_{j}^{(i+1)}\left(1-y_{j}\right)}{(1-p)}=0 \\ \frac{\sum_{j=1}^{N} \mu_{j}^{(i+1)} y_{j}}{p}=\frac{\sum_{j=1}^{N} \mu_{j}^{(i+1)}\left(1-y_{j}\right)}{(1-p)} \\ (1-p) \sum_{j=1}^{N} \mu_{j}^{(i+1)} y_{j}=p \sum_{j=1}^{N} \mu_{j}^{(i+1)}\left(1-y_{j}\right)\\ \sum_{j=1}^{N} \mu_{j}^{(i+1)} y_{j}-p \sum_{j=1}^{N} \mu_{j}^{(i+1)} y_{j}=p \sum_{j=1}^{N} \mu_{j}^{(i+1)}-p \sum_{j=1}^{N} \mu_{j}^{(i+1)} y_{j}\\ \sum_{j=1}^{N} \mu_{j}^{(i+1)} y_{j}=p \sum_{j=1}^{N} \mu_{j}^{(i+1)}\\ p=\frac{\sum_{j=1}^{N} \mu_{j}^{(i+1)} y_{j}}{\sum_{j=1}^{N} \mu_{j}^{(i+1)} }\Rightarrow p^{(i+1)}=\frac{\sum_{j=1}^{N} \mu_{j}^{(i+1)} y_{j}}{\sum_{j=1}^{N} \mu_{j}^{(i+1)}} \end{gathered}
∂p∂Q(θ∣θ(i))=p∑j=1Nμj(i+1)yj−(1−p)∑j=1Nμj(i+1)(1−yj)=0p∑j=1Nμj(i+1)yj=(1−p)∑j=1Nμj(i+1)(1−yj)(1−p)j=1∑Nμj(i+1)yj=pj=1∑Nμj(i+1)(1−yj)j=1∑Nμj(i+1)yj−pj=1∑Nμj(i+1)yj=pj=1∑Nμj(i+1)−pj=1∑Nμj(i+1)yjj=1∑Nμj(i+1)yj=pj=1∑Nμj(i+1)p=∑j=1Nμj(i+1)∑j=1Nμj(i+1)yj⇒p(i+1)=∑j=1Nμj(i+1)∑j=1Nμj(i+1)yj
此即为式9.7
对Q函数关于q求导,并令一阶导等于0:
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\begin{aligned} \frac{\partial Q\left(\theta \mid \theta^{(i)}\right)}{\partial q} &=\sum_{j=1}^{N} \frac{\partial}{\partial q}\left\{\mu_{j}^{(i+1)} \ln \left[\pi p^{y_{j}}(1-p)^{1-y_{j}}\right]+\left(1-\mu_{j}^{(i+1)}\right) \ln \left[(1-\pi) q^{y_{j}}(1-q)^{1-y_{j}}\right]\right\} \\ &=\sum_{j=1}^{N} \frac{\partial}{\partial q}\left\{\left(1-\mu_{j}^{(i+1)}\right) \ln \left[(1-\pi) q^{y_{j}}(1-q)^{1-y_{j}}\right]\right\} \\ &=\sum_{j=1}^{N} \frac{\partial}{\partial q}\left\{\left(1-\mu_{j}^{(i+1)}\right)\left[\ln (1-\pi)+y_{j} \ln q+\left(1-y_{j}\right) \ln (1-q)\right]\right\} \\ &=\sum_{j=1}^{N} \frac{\partial}{\partial q}\left\{\left(1-\mu_{j}^{(i+1)}\right) \ln (1-\pi)+\left(1-\mu_{j}^{(i+1)}\right) y_{j} \ln q+\left(1-\mu_{j}^{(i+1)}\right)\left(1-y_{j}\right) \ln (1-q)\right\}\\ &=\sum_{j=1}^{N} \frac{\partial}{\partial q}\left\{\left(1-\mu_{j}^{(i+1)}\right) y_{j} \ln q+\left(1-\mu_{j}^{(i+1)}\right)\left(1-y_{j}\right) \ln (1-q)\right\} \\ &=\sum_{j=1}^{N}\left\{\frac{\left(1-\mu_{j}^{(i+1)}\right) y_{j}}{q}+\frac{(-1) \cdot\left(1-\mu_{j}^{(i+1)}\right)\left(1-y_{j}\right)}{(1-q)}\right\} \\ &=\sum_{j=1}^{N} \frac{\left(1-\mu_{j}^{(i+1)}\right) y_{j}}{q}-\sum_{j=1}^{N} \frac{\left(1-\mu_{j}^{(i+1)}\right)\left(1-y_{j}\right)}{(1-q)} \\ &=\frac{\sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right) y_{j}}{q}-\frac{\sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right)\left(1-y_{j}\right)}{(1-q)} \end{aligned}
∂q∂Q(θ∣θ(i))=j=1∑N∂q∂{μj(i+1)ln[πpyj(1−p)1−yj]+(1−μj(i+1))ln[(1−π)qyj(1−q)1−yj]}=j=1∑N∂q∂{(1−μj(i+1))ln[(1−π)qyj(1−q)1−yj]}=j=1∑N∂q∂{(1−μj(i+1))[ln(1−π)+yjlnq+(1−yj)ln(1−q)]}=j=1∑N∂q∂{(1−μj(i+1))ln(1−π)+(1−μj(i+1))yjlnq+(1−μj(i+1))(1−yj)ln(1−q)}=j=1∑N∂q∂{(1−μj(i+1))yjlnq+(1−μj(i+1))(1−yj)ln(1−q)}=j=1∑N⎩⎨⎧q(1−μj(i+1))yj+(1−q)(−1)⋅(1−μj(i+1))(1−yj)⎭⎬⎫=j=1∑Nq(1−μj(i+1))yj−j=1∑N(1−q)(1−μj(i+1))(1−yj)=q∑j=1N(1−μj(i+1))yj−(1−q)∑j=1N(1−μj(i+1))(1−yj)
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\begin{gathered} \frac{\partial Q\left(\theta \mid \theta^{(i)}\right)}{\partial q}=\frac{\sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right) y_{j}}{q}-\frac{\sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right)\left(1-y_{j}\right)}{(1-q)}=0 \\ \frac{\sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right) y_{j}}{q}=\frac{\sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right)\left(1-y_{j}\right)}{(1-q)} \\ (1-q) \sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right) y_{j}=q \sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right)\left(1-y_{j}\right) \\ \sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right) y_{j}-q \sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right) y_{j}=q \sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right)-q \sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right) y_{j}\\ \sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right) y_{j}=q \sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right) \\ q=\frac{\sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right) y_{j}}{\sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right)} \Rightarrow q^{(i+1)}=\frac{\sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right) y_{j}}{\sum_{j=1}^{N}\left(1-\mu_{j}^{(i+1)}\right)} \end{gathered}
∂q∂Q(θ∣θ(i))=q∑j=1N(1−μj(i+1))yj−(1−q)∑j=1N(1−μj(i+1))(1−yj)=0q∑j=1N(1−μj(i+1))yj=(1−q)∑j=1N(1−μj(i+1))(1−yj)(1−q)j=1∑N(1−μj(i+1))yj=qj=1∑N(1−μj(i+1))(1−yj)j=1∑N(1−μj(i+1))yj−qj=1∑N(1−μj(i+1))yj=qj=1∑N(1−μj(i+1))−qj=1∑N(1−μj(i+1))yjj=1∑N(1−μj(i+1))yj=qj=1∑N(1−μj(i+1))q=∑j=1N(1−μj(i+1))∑j=1N(1−μj(i+1))yj⇒q(i+1)=∑j=1N(1−μj(i+1))∑j=1N(1−μj(i+1))yj
此即为式9.8。