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Diffstat (limited to 'sourcecodes/bnt-master/KPMstats/condGaussToJoint.m')
| -rw-r--r-- | sourcecodes/bnt-master/KPMstats/condGaussToJoint.m | 22 |
1 files changed, 22 insertions, 0 deletions
diff --git a/sourcecodes/bnt-master/KPMstats/condGaussToJoint.m b/sourcecodes/bnt-master/KPMstats/condGaussToJoint.m new file mode 100644 index 00000000..59075675 --- /dev/null +++ b/sourcecodes/bnt-master/KPMstats/condGaussToJoint.m @@ -0,0 +1,22 @@ +function [muXY, SigmaXY] = condGaussToJoint(muX, SigmaX, muY, SigmaY, WYgivenX) + +% Compute P(X,Y) from P(X) * P(Y|X) where P(X)=N(X;muX,SigmaX) +% and P(Y|X) = N(Y; WX + muY, SigmaY) + +% For details on how to compute a Gaussian from a Bayes net +% - "Gaussian Influence Diagrams", R. Shachter and C. R. Kenley, Management Science, 35(5):527--550, 1989. + +% size(W) = dy x dx +dx = length(muX); +dy = length(muY); +muXY = [muX(:); WYgivenX*muX(:) + muY]; + +W = [zeros(dx,dx) WYgivenX'; + zeros(dy,dx) zeros(dy,dy)]; +D = [SigmaX zeros(dx,dy); + zeros(dy,dx) SigmaY]; + +U = inv(eye(size(W)) - W')'; +SigmaXY = U' * D * U; + + |