prague12

function out = gaussian(data, mu, sigma);
% gaussian: Multi-dimensional Gaussian propability density function
% Usage: out = gaussian(data, mu, sigma)
% data: d x n data matrix, representing n data vector of dimension d
% mu: p x 1 vector
% sigma: p x p matrix
% p x 1 or 1xp vector
% 1 x 1 scalar
% out: 1 x n vector
%
% Type "gaussian" for a self demo.

% Roger Jang, 20000602

if nargin==0, selfdemo; return; end
if length(mu)==1, data = data(:)'; end

[dim, dataNum]=size(data);
if dim~=size(mu,1)|size(mu,2)~=1, error('Sizes mismatch!'); end

if size(sigma,1)*size(sigma,2)==dim,
sigma=diag(sigma);
elseif size(sigma,1)*size(sigma,2)==1,
sigma=sigma*eye(dim);
end

invSigma = inv(sigma); % For repeated invocation of this function, this step may be moved out of this function
dataMinusMu = data-mu*ones(1, dataNum);
out = exp(-sum(dataMinusMu.*(invSigma*dataMinusMu), 1)/2)/((2*pi)^(dim/2)*sqrt(det(sigma)));

% ====== Self demo ======
function selfdemo
% Plot 1-D Gaussians
x = linspace(-10, 10);
subplot(2,1,1);
hold on
for i = 1:20,
y = feval(mfilename, x, 0, i);
plot(x,y);
end
hold off; box on