X ∼ N ( μ , Σ ) = 1 ( 2 π ) p 2 ∣ Σ ∣ 1 2 exp ( − 1 2 ( x − μ ) T Σ − 1 ( x − μ ) ) x ∈ R p , r . v . \begin{gathered} X \sim N(\mu,\Sigma)=\frac{1}{(2\pi)^{\frac{p}{2}}|\Sigma|^{\frac{1}{2}}}\text{exp}\left(- \frac{1}{2}(x-\mu)^{T}\Sigma^{-1}(x-\mu)\right)\\ x \in \mathbb{R}^{p},r.v.\\ \end{gathered} X∼N(μ,Σ)=(2π)2p∣Σ∣211exp(−21(x−μ)TΣ−1(x−μ))x∈Rp,r.v.
已知
p ( x ) = N ( x ∣ μ , Λ − 1 ) p ( y ∣ x ) = N ( y ∣ A x + b , L − 1 ) \begin{aligned} p(x)&=N(x|\mu,\Lambda^{-1})\\ p(y|x)&=N(y|Ax+b,L^{-1}) \end{aligned} p(x)p(y∣x)=N(x∣μ,Λ−1)=N(y∣Ax+b,L−1)
求 p ( y ) , p ( x ∣ y ) p(y),p(x|y) p(y),p(x∣y)
对于一元实值变量 x x x,高斯分布被定义为
N ( x ∣ μ , σ 2 ) = 1 ( 2 π σ 2 ) 1 2 exp [ − 1 2 σ 2 ( x − μ ) 2 ] N(x|\mu,\sigma^{2})=\frac{1}{(2\pi \sigma^{2})^{\frac{1}{2}}}\text{exp}\left[- \frac{1}{2\sigma^{2}}(x-\mu)^{2}\right] N(x∣μ,σ2)=(2πσ2)211exp[−2σ21(x−μ)2]
它有两个参数控制: μ \mu μ,被叫做均值,以及 σ 2 \sigma^{2} σ2,被叫做方差来源:《PRML Translation》-P24
作者:马春鹏
原著:《Pattern Recognition and Machine Learning》
作者:Christopher M. Bishop
曲线拟合问题的目标是能够根据 N N N个输入 X = ( x 1 , ⋯ , x N ) T X=(x_{1},\cdots ,x_{N})^{T} X=(x1,⋯,xN)T组成的数据集和它们对应的目标值 T = ( t 1 , ⋯ , t N ) T T=(t_{1},\cdots ,t_{N})^{T} T=(t1,⋯,t