| 12345678910111213141516171819202122 |
- function p = multivariateGaussian(X, mu, Sigma2)
- %MULTIVARIATEGAUSSIAN Computes the probability density function of the
- %multivariate gaussian distribution.
- % p = MULTIVARIATEGAUSSIAN(X, mu, Sigma2) Computes the probability
- % density function of the examples X under the multivariate gaussian
- % distribution with parameters mu and Sigma2. If Sigma2 is a matrix, it is
- % treated as the covariance matrix. If Sigma2 is a vector, it is treated
- % as the \sigma^2 values of the variances in each dimension (a diagonal
- % covariance matrix)
- %
- k = length(mu);
- if (size(Sigma2, 2) == 1) || (size(Sigma2, 1) == 1)
- Sigma2 = diag(Sigma2);
- end
- X = bsxfun(@minus, X, mu(:)');
- p = (2 * pi) ^ (- k / 2) * det(Sigma2) ^ (-0.5) * ...
- exp(-0.5 * sum(bsxfun(@times, X * pinv(Sigma2), X), 2));
- end
|
