expectation-maximization algorithm ---- PRML读书笔记

An elegant and powerful method for finding maximum likelihood solutions for models with latent variables is called the expectation-maximization algorithm, or EM algorithm.

If we assume that the data points are drawn independently from the distribution, then the log of the likelihood function is given by

lnp(X|π,μ,Σ)=Σ_nln{Σ_kπ_kN(x_n|μ_k,Σ_k)}

EM for Gaussian Mixtures

Given a Gaussian mixture model, the goal is to maximize the likelihood function with respect to the parameters(comprising the means and covariances of the components

and the mixing coefficients).

1.Initialize the means μ_k, covariances Σ_k and  mixing coefficients π_k, and evaluate the initial value of the log likelihood.

2.E step. Evaluate the responsibilities using the current parameter values

3.M step. Re-estimate the parameters using the current responsibilities.

4.Evaluate the log likelihood

lnp(X|π,μ,Σ)=Σ_nln{Σ_kπ_kN(x_n|μ_k,Σ_k)}

 

转载于:https://www.cnblogs.com/donggongdechen/p/9813183.html