The Problem Say you want to evaluate the expectation of a function over a random variable \(E[f(x)] = \int p(x)f(x)dx\), or perhaps find the max of a probability distribution, typically the posterior, \(\arg \max p(x|y)\), where calculating the derivate is intractable since it depends on some feature that comes from some algorithm or some unknown […]

# Machine Learning

## A short tutorial on Kernel Density Estimation (KDE)

The aim of Kernel Density Estimation(KDE) is: Given a set of \(N\) samples from a random variable, \(\mathbf{X}\), possibly multivariate and continuous, estimate the random variables probability density function(pdf) The univariate case To get a rough idea how one can think about the problem, we start out with a set of samples, \(X=[x_1,x_2,...,x_N]\), of a […]

## Partially fixing numerical underflow for mixture models

In a mixture model the probability of an event \(x\) is written \(P(x=X) =\sum_{i}\pi_{i}P_{i}(x=X) \), where \(\pi_{i}\) is the probability of the point belonging to mixture \(i\) and \(P_{i}(x=X) \) is the probability of the event \(x=X\) in the \(i\)-th mixture. The problem is usually that the \(P_i\) are small which makes underflow happen when […]

## On payoff matrices, decision rules, confusion and affinity matrices

Simple post today. Just some definitions and explanations of stuff that is pretty familiar to most people. Payoff / Loss Matrices Payoff matrices describe the reward for choosing a particular action and loss matrix just describes the loss related to choosing a particular action given a certain state. The most famous payoff matrix I guess […]