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Diffstat (limited to 'sourcecodes/bnt-master/KPMtools/collapse_mog.m')
| -rw-r--r-- | sourcecodes/bnt-master/KPMtools/collapse_mog.m | 22 |
1 files changed, 22 insertions, 0 deletions
diff --git a/sourcecodes/bnt-master/KPMtools/collapse_mog.m b/sourcecodes/bnt-master/KPMtools/collapse_mog.m new file mode 100644 index 00000000..2fe6436f --- /dev/null +++ b/sourcecodes/bnt-master/KPMtools/collapse_mog.m @@ -0,0 +1,22 @@ +function [new_mu, new_Sigma, new_Sigma2] = collapse_mog(mu, Sigma, coefs) +% COLLAPSE_MOG Collapse a mixture of Gaussians to a single Gaussian by moment matching +% [new_mu, new_Sigma] = collapse_mog(mu, Sigma, coefs) +% +% coefs(i) - weight of i'th mixture component +% mu(:,i), Sigma(:,:,i) - params of i'th mixture component + +% S = sum_c w_c (S_c + m_c m_c' + m m' - 2 m_c m') +% = sum_c w_c (S_c + m_c m_c') + m m' - 2 (sum_c m_c) m' +% = sum_c w_c (S_c + m_c m_c') - m m' + +new_mu = sum(mu * diag(coefs), 2); % weighted sum of columns + +n = length(new_mu); +new_Sigma = zeros(n,n); +new_Sigma2 = zeros(n,n); +for j=1:length(coefs) + m = mu(:,j) - new_mu; + new_Sigma = new_Sigma + coefs(j) * (Sigma(:,:,j) + m*m'); + new_Sigma2 = new_Sigma2 + coefs(j) * (Sigma(:,:,j) + mu(:,j)*mu(:,j)'); +end +%assert(approxeq(new_Sigma, new_Sigma2 - new_mu*new_mu')) |