EMAlgorithm

EM算法具体例子为Gaussian Mixture Model,由k个component组成。

$$P(z_k = 1) = \pi_k, \sum_k\pi_k = 1, 0 \le \pi_k \le 1$$ $$P(x|z) = \prod_k\mathcal{N}(x|\mu_k,\Sigma_k)^{z_k}$$ $$P(x) = \sum_zP(z)P(x|z) = \sum_k\pi_k\