MATLAB: Mvnpdf / calculate Probability Density for a Matrix / EM algorithm

em clusteringgaussiangaussian mixture modelmvnpdfStatistics and Machine Learning Toolbox

Hello MATLAB Community,
You are my last resort! I need to apply EM clustering to a couple of thousands of matrices (m rows, n columns). The corresponding k-means works well.
However, I have trouble figuring out the Gaussian probability density function for entities that are matrices.
mvnpdf(X,Mu,Sigma) is supposed to receive a matrix for X. But will it be consistent with what I need?
Thanks in advance!

Best Answer

In R2007b, Statistics Toolbox introduced the gmdistribution class, which represents Gaussian mixture distributions. gmm = gmdistribution.fit(X,k) uses an EM algorithm to fit a Gaussian mixture model with k components to the data in matrix X. The data can then be partitioned into clusters using idx = cluster(gmm,X).
Introduction to Gaussian mixture models:
http://www.mathworks.com/help/toolbox/stats/bq_679x-24.html
gmdistribution.fit
http://www.mathworks.com/help/toolbox/stats/gmdistribution.fit.html
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