VectorGaussian ClassInfer.NET Documentation
Microsoft Research, Cambridge
Represents a multivariate Gaussian distribution.
Inheritance Hierarchy

OnlineSystem Object
  MicrosoftResearch.Infer.Distributions VectorGaussian

Namespace: MicrosoftResearch.Infer.Distributions
Assembly: Infer.Runtime (in Infer.Runtime.dll) Version: 2.5.30417.0 (2.5.30417.0)


The distribution is parameterized by MeanTimesPrecision and Precision. Precision is the inverse of the variance, so a Gaussian with mean m and variance v is represented as Precision = inv(v), MeanTimesPrecision = inv(v)*m.

Some special cases: If the precision is zero, then the distribution is uniform. If the precision is infinite along the diagonal, then the distribution is a point mass. The Point property gives the location of the point mass. If precision[i,i] is infinite, then the distribution is a point mass along dimension i. Point[i] gives the mean. The rest of the row and column of precision must be zero.

The formula for the distribution is: N(x;m,v) = |2*pi*v|^(-d/2) * exp(-0.5 (x-m)' inv(v) (x-m)). When v=0, this reduces to delta(x-m). When v=infinity, the density is redefined to be 1. When v is singular, the density is redefined to be exp(-0.5 x' inv(v) x + x' inv(v) m), i.e. we drop the terms |2*pi*v|^(-d/2) * exp(-0.5 m' inv(v) m).

See Also