An improved SAEM algorithm for maximum likelihood estimation in mixtures of non linear mixed effects models

Marc Lavielle (1, 2) , Cyprien Mbogning (1, 2)

1 POPIX - Modélisation en pharmacologie de population
2 LM-Orsay - Laboratoire de Mathématiques d'Orsay

We propose a new methodology for maximum likelihood estimation in mixtures of non linear mixed effects models (NLMEM). Such mixtures of models include mixtures of distributions, mixtures of structural models and mixtures of residual error models. Since the individual parameters inside the NLMEM are not observed, we propose to combine the EM algorithm usually used for mixtures models when the mixture structure concerns an observed variable, with the Stochastic Approximation EM (SAEM) algorithm, which is known to be suitable for maximum likelihood estimation in NLMEM and also has nice theoretical properties. The main advantage of this hybrid procedure is to avoid a simulation step of unknown group labels required by a ” full” version of SAEM. The resulting MSAEM (Mixture SAEM) algorithm is now implemented in the Monolix software. Several criteria for classification of subjects and estimation of individual parameters are also proposed. Numerical experiments on simulated data show that MSAEM performs well in a general framework of mixtures of NLMEM. Indeed, MSAEM provides an estimator close to the maximum likelihood estimator in very few iterations and is robust with regard to initialization. An application to pharmacokinetic (PK) data demonstrates the potential of the method for practical applications.

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Marc Lavielle, Cyprien Mbogning. An improved SAEM algorithm for maximum likelihood estimation in mixtures of non linear mixed effects models. Statistics and Computing, 2014, 24 (5), pp.693--707. ⟨10.1007/s11222-013-9396-2⟩. ⟨hal-00916817⟩