An Efficient Algorithm for High-Dimensional Log-Concave Maximum Likelihood

Abstract

The log-concave maximum likelihood estimator (MLE) problem answers: for a set of points $X_1,...X_n \in \mathbb R^d$, which log-concave density maximizes their likelihood? We present a characterization of the log-concave MLE that leads to an algorithm with runtime $poly(n,d, \frac 1 \epsilon,r)$ to compute a log-concave distribution whose log-likelihood is at most $\epsilon$ less than that of the MLE, and $r$ is parameter of the problem that is bounded by the $\ell_2$ norm of the vector of log-likelihoods the MLE evaluated at $X_1,...,X_n$.