Learning a Class of Mixed Linear Regressions: Global Convergence under General Data Conditions

• URL: http://arxiv.org/abs/2503.18500v1
• Date: Mon, 24 Mar 2025 09:57:39 GMT
• Title: Learning a Class of Mixed Linear Regressions: Global Convergence under General Data Conditions
• Authors: Yujing Liu, Zhixin Liu, Lei Guo,
• Abstract summary: Mixed linear regression (MLR) has attracted increasing attention because of its great theoretical and practical importance in nonlinear relationships by utilizing a mixture of linear regression sub-models.<n>Although considerable efforts have been devoted to the learning problem of such systems, most existing investigations impose the strict independent and identically distributed (i.i.d.) or distributed PE conditions.
• Score: 1.9295130374196499
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Mixed linear regression (MLR) has attracted increasing attention because of its great theoretical and practical importance in capturing nonlinear relationships by utilizing a mixture of linear regression sub-models. Although considerable efforts have been devoted to the learning problem of such systems, i.e., estimating data labels and identifying model parameters, most existing investigations employ the offline algorithm, impose the strict independent and identically distributed (i.i.d.) or persistent excitation (PE) conditions on the regressor data, and provide local convergence results only. In this paper, we investigate the recursive estimation and data clustering problems for a class of stochastic MLRs with two components. To address this inherently nonconvex optimization problem, we propose a novel two-step recursive identification algorithm to estimate the true parameters, where the direction vector and the scaling coefficient of the unknown parameters are estimated by the least squares and the expectation-maximization (EM) principles, respectively. Under a general data condition, which is much weaker than the traditional i.i.d. and PE conditions, we establish the global convergence and the convergence rate of the proposed identification algorithm for the first time. Furthermore, we prove that, without any excitation condition on the regressor data, the data clustering performance including the cumulative mis-classification error and the within-cluster error can be optimal asymptotically. Finally, we provide a numerical example to illustrate the performance of the proposed learning algorithm.

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