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PRML / PRMLT

Matlab code of machine learning algorithms in book PRML
http://prml.github.io/
MIT License
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LDS EM is numerical unstable #44

Closed sth4nth closed 5 years ago

sth4nth commented 7 years ago

The EM algorithm for fitting LDS described in the book PRML (ch13) is numerical (very) unstable, that the covariance matrices are often singular during iterations.

There is no easy way to fix this. Two options are (1) Leave it as it is in the book, so that people can learn it but not use it in practice. (2) write stable algorithm, which is quite different to the one in the book.

Current status is (1).

sth4nth commented 5 years ago

improved stability a little. Done for now.