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DEEPCHECKS GLOSSARY

# Gaussian Mixture Model

## What is the Gaussian mixture model?

The Gaussian mixture model (GMM) is a probabilistic model that assumes the data points come from a limited set of Gaussian distributions with uncertain variables. The mean and covariance matrix characterizes each individual Gaussian distribution.

As an extension of the k-means clustering technique, a GMM takes into account the data’s covariance structure and the likelihood of each point being derived from each Gaussian distribution.

## GMM algorithm

Clustering algorithms like the Gaussian mixture models in machine learning are used to organize data by identifying commonalities and distinguishing them from one another. It may be used to classify consumers into subgroups defined by factors like demographics and buying habits.

Each data point is given a chance of belonging to each cluster, making it a soft Gaussian mixture model clustering technique. This provides more leeway and may accommodate scenarios when data points do not naturally fall into one cluster.

The GMM is trained using the EM algorithm, an iterative approach for determining the most likely estimations of the mixture Gaussian distribution parameters. The EM method first makes rough guesses at the parameters, then repeatedly improves those guesses until convergence is reached.

The GaussianMixture class from the Scikit-learn toolkit makes it possible to implement the Gaussian mixture model in Python. It offers many choices for configuring the algorithm’s initialization, covariance type, and other settings, and it’s quite easy to use.

This is how the GMM algorithm works:

• Initialize phase: Gaussian distributions’ parameters should be initialized (means, covariances, and mixing coefficients).
• Expectation phase: Determine the likelihood that each data point was created using each of the Gaussian distributions.
• Maximization phase: Apply the probabilities found in the expectation step to re-estimate the Gaussian distribution parameters.
• Final phase: To achieve convergence of the parameters, repeat steps 2 and 3.

## GMM equation

The Gaussian mixture model equation defines the probability density function of a multivariate Gaussian mixture. Pdf is a mathematical function that characterizes the likelihood that a given data point, x, belongs to a certain cluster or component, k.

The pdf for a GMM with K clusters is extracted by this Gaussian equation:

• pdf(x) = Σ(k=1 to K) π_k * N(x|μ_k, Σ_k)

Where:

• π_k is the mixing coefficient.
• μ_k is the mean vector.
• Σ_k is the covariance matrix.
• N(x|μ_k, Σ_k) is the probability density function.

The mixing coefficients π_k are non-negative and sum to 1. They represent the proportion of the data points that belong to cluster k.

The Gaussian distributions, represented by N(x|μ_k, Σ_k), are the likelihoods of the data points x given the cluster parameters. Each cluster k has its own mean vector μ_k and covariance matrix Σ_k.

Finding the most likely estimates of the parameters of the Gaussian distributions requires solving the GMM equation, which is used in the Expectation-Maximization (EM) process. The EM method first makes rough guesses at the parameters, then repeatedly improves those guesses until convergence is reached.

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## Application of GMM

Density estimation and clustering both benefit greatly from the use of GMM. Useful for both data creation and imputation, GMM’s generative model capability makes it a powerful tool in a variety of contexts.

Additionally, GMM may be used to model data with several modes, where each mode is represented by a Gaussian distribution.

Recently, GMM has been put to use in the feature extraction of voice data for use in speech recognition systems. They have also seen widespread application in multi-object tracking, where the number of components and respective means are used to forecast object placements at each frame of a video sequence. To enable object tracking over time, the EM method is employed to update the component means between video frames.