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Variational Bayesian Inference for Gaussian Mixture Model

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Variational Bayesian Inference for Gaussian Mixture Model

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Variational Bayes method (mean field) for GMM can auto determine the number of components

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Description

This is the variational Bayesian procedure (also called mean field) for inference of Gaussian mixture model. This is the Bayesian treatment of Gaussian mixture model.

Unlike the EM algorithm (Maximum likelihood estimation), it can automatically determine the number of the mixture components k.

Example code:
load data;
label=vbgm(x,10);
spread(x,label);

The data set is of 3 Gaussian. You only need set a number (say 10) which is larger than the intrinsic number of components. The algorithm will automatically find the right k.

Detail description of the algorithm can be found in the reference.

Reference: Pattern Recognition and Machine Learning by Christopher M. Bishop (P.474)

Acknowledgements

This file inspired Em Algorithm For Gaussian Mixture Model.

MATLAB release MATLAB 7.13 (R2011b)
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Comments and Ratings (8)
04 Feb 2014 Chi-Fu  
18 Jun 2013 Jia Tsing Ng

In response to Venkat R,

It's usual to have that problem. Easiest 'hack' is to add some noise on the diagonal of your matrix before chol-ing it.

15 Apr 2013 Paul

Easy to use and quick for my data (~4000 pts, yielding ~20 clusters).

That having been said, is there any chance of getting more documentation on the outputs?

I need to take the identified clusters and use the model to classify future data. I've read and understood Bishop, but it is still difficult to reverse engineer the code (terse the variable names) to actually use the identified model.

14 Jan 2013 Andrew

Hi Chandra,
It will likely work if you replace all ~ in the file with an unused word (ex. 'trash'). In newer versions of Matlab, a ~ can be used in place of an output var when none is desired.

19 Dec 2012 Chandra Shekhar

Hello Mo Chen.
When i run this code in MATLAB 2009a, i am getting following error.

??? Error: File: vbgm.m Line: 33 Column: 3
Expression or statement is incorrect--possibly unbalanced (, {, or
[.

could you explain me please..?
Can You

13 Dec 2012 yu  
12 Oct 2012 Venkat R

Hi
I was able to run the test case successfully. But when I give my data as input, I get the error
Error using ==> chol
Matrix must be positive definite.

Error in ==> vbgm>vbound at 176
V = chol(Xs*Xs'/nk(i));

Error in ==> vbgm at 28
L(t) = vbound(X,model,prior)/n;

My data (286x162) doesn't contain any complete row or column as 0, although it does contain 0 at few discreet places. Does this method have a limitation?

regards,
Venkat

27 Mar 2012 Nicolás de la Maza

Hellor Michael,

could you explain de outputs of this algorithm please? I mean, I want to know where to find the mean, covariance and mixture components pounds vectors in order to compare with Matlabs function gmdistribution.fit

Best regards!

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