fixed bugs for estimating a gaussian-mixture distribution.

matlab/particle/fit_gaussian_mixture.m

+function [StateMu,StateSqrtP,StateWeights] = fit_gaussian_mixture(X,StateMu,StateSqrtP,StateWeights,crit,niters,check) 
+[dim,Ndata] = size(X);             
+M = size(StateMu,2) ;
+if check                        % Ensure that covariances don't collapse
+  MIN_COVAR_SQRT = sqrt(eps);
+  init_covars = StateSqrtP;
+end
+eold = -Inf;
+for n=1:niters
+  % Calculate posteriors based on old parameters
+  [prior,likelihood,marginal,posterior] = probability(StateMu,StateSqrtP,StateWeights,X);
+  e = sum(log(marginal));
+  if (n > 1 && abs((e - eold)/eold) < crit)
+    return;
+  else
+    eold = e;
+  end
+  new_pr = (sum(posterior,2))';
+  StateWeights = new_pr/Ndata;
+  StateMu = bsxfun(@rdivide,(posterior*X')',new_pr);
+  for j=1:M
+    diffs = bsxfun(@minus,X,StateMu(:,j));
+    tpost = (1/sqrt(new_pr(j)))*sqrt(posterior(j,:));
+    diffs = bsxfun(@times,diffs,tpost);
+    [foo,tcov] = qr2(diffs') ;
+    StateSqrtP(:,:,j) = tcov';
+    if check
+      if min(abs(diag(StateSqrtP(:,:,j)))) < MIN_COVAR_SQRT
+        StateSqrtP(:,:,j) = init_covars(:,:,j);
+      end
+    end
+  end
+end     
+