Adding basic gmm example for verification#1
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andrewcsmith merged 1 commit intoandrewcsmith:Issue-#152-use-cholesky-factorizationfrom Oct 19, 2016
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This PR adds a new example for GMM using simulated data.
Running on the current changes the results don't look crazy but they are also not correct. If you run this example on the current master branch you will get good estimates for the means, covariances, and weights. On the active branch the values are noticeably off.
Before we merge this example into master we'll (I'll) need to do a little more work. I'll add a section to the README and maybe add some optional plotting using dataplotlib. Also the print output should show the true values and then the inferred ones for easy comparison. This is a little tricky as the order of the inferred values will be random.