Introduction to Gaussian Mixture Models (GMM) with Expectation-Maximization (EM)
1. INTUITION
Imagine you have a basket of colorful marbles, and you want to group them based on their colors.
But there’s a twist. You don’t know how many different colors are in the basket, and some marbles might be a mix of two or more colors. This is where Gaussian Mixture Models (GMM) with Expectation-Maximization (EM) comes.
Gaussian Mixture Models (GMM) is a versatile and powerful statistical technique used in machine learning and data analysis for clustering and density estimation. It assumes that the data is generated by a mixture of several Gaussian distributions, each representing one cluster or component. These Gaussian distributions are blended together to form the complete dataset.
Expectation-Maximization (EM) is the heart of GMM. It’s like a detective solving a puzzle. EM iteratively figures out two main things:
- Expectation (E-step): It estimates the probability that each data point belongs to each of the Gaussian components. In our marbles analogy, this step helps us determine how likely it is for each marble to belong to each color group.
- Maximization (M-step): Once we have these probabilities, we adjust the parameters of the Gaussian components (like their…
