Friday, September 4, 2009

Gibbs sampling procedure for GMM

In Rasmussen's paper, there is no description about the Gibbs sampling procedure. I found another paper, Probability density estimation via an infinite Gaussian mixture model: application to statistical process monitoring, which uses the same formulas as Rasmussen, provides a description of an iteration of Gibbs sampling as follows:
  1. For i=1:n
    1. sample indicators c
  2. update k, the current number of represented (non-empty) clusters
  3. for j=1:k
    1. update , the number of data points belonging to cluster j.
    2. update mixture weight
  4. update the overall mixture weight for unrepresented mixtures:
  5. for j=1:k
    1. sample cluster mean
    2. sample cluster precision
  6. update hyper-parameters
    1. sample 
    2. sample
    3. sample
    4. sample
    5. sample
The above notations follow the conventions of Rasmussen's paper

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