test3.m

高斯分布期望优化（em）算法matlab实现

clear; clf;

K = 2;
T = 1000;

A = [0.99 0.01;0.02 0.98];
m = [-2 2];
sigma2 = [5 5];
p = [0.2 0.8];

[X,Y] = gen( A, p ,m, sigma2, K, T);

figure(1);
subplot(2,1,1), plot(Y); axis([1 T 0.5 2.5]); 
subplot(2,1,2), plot(X);

[alpha,beta,dens] = ForwardBackward( X, A, p, m, sigma2, K, T)
figure(2);
subplot(3,1,1), plot(Y); axis([1 T 0.5 2.5]);
subplot(3,1,2), plot(alpha(:,2)); axis([1 T -0.5 1.5]);
subplot(3,1,3), plot(beta(:,2)); axis([1 T -0.5 1.5]);