Commit 3a9eed00 authored by Frédéric Karamé's avatar Frédéric Karamé
Browse files

fixed bugs for estimating a gaussian-mixture distribution.

parent 186de044
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
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