wehub-resource-sync
20 lines
547 B
Matlab
Executable File
20 lines
547 B
Matlab
Executable File
function y = logGauss(X, mu, sigma)
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% Compute log pdf of a Gaussian distribution.
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% Input:
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% X: d x n data matrix
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% mu: d x 1 mean vector of Gaussian
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% sigma: d x d covariance matrix of Gaussian
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% Output:
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% y: 1 x n probability density in logrithm scale y=log p(x)
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% Written by Mo Chen (sth4nth@gmail.com).
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d = size(X,1);
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X = X-mu;
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[U,p]= chol(sigma);
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if p ~= 0
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error('ERROR: sigma is not PD.');
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end
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Q = U'\X;
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q = dot(Q,Q,1); % quadratic term (M distance)
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c = d*log(2*pi)+2*sum(log(diag(U))); % normalization constant
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y = -(c+q)/2;
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