EM Converges for a Mixture of Many Linear Regressions

We study the convergence of the Expectation-Maximization (EM) algorithm for mixtures of linear regressions with an arbitrary number $k$ of components. We show that as long as signal-to-noise ratio (SNR) is more than $\tilde{O}(k^2)$, well-initialized EM converges to the true regression parameters. Previous results for $k \geq 3$ have only established local convergence for the noiseless setting, i.e., where SNR is infinitely large. Our results establish a near optimal statistical error rate of $\tilde{O}(\sigma \sqrt{k^2 d/n})$ for (sample-splitting) finite-sample EM with $k$ components, where $d$ is dimension, $n$ is the number of samples, and $\sigma$ is the variance of noise. In particular, our results imply exact recovery as $\sigma \rightarrow 0$, in contrast to most previous local convergence results for EM, where the statistical error scaled with the norm of parameters. Standard moment-method approaches suffice to guarantee we are in the region where our local convergence guarantees apply.