Unsupervised Learning & Gaussian Mixture Models

preamble

Below is an implementation of EM Algorithm in Octave:

Tips:

  • Replace the inverse function with pinv if you get machine precision errors.
  • r2 is the mean matrix for both clusters.
  • data_cluster_1_cov is the covariance matrix for first cluster whereas data_cluster_2_cov is the covariance matrix for second cluster.
  • h is the label matrix for both clusters.

EMCode