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Daniel Wolff |
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Fri, 19 Aug 2016 13:07:06 +0200 |
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1 function p = matrix_normal_pdf(A, M, V, K)
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2 % MATRIX_NORMAL_PDF Evaluate the density of a matrix under a Matrix-Normal distribution
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3 % p = matrix_normal_pdf(A, M, V, K)
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5 % See "Bayesian Linear Regression", T. Minka, MIT Tech Report, 2001
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6
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7 [d m] = size(K);
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8 c = det(K)^(d/2) / det(2*pi*V)^(m/2);
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9 p = c * exp(-0.5*tr((A-M)'*inv(V)*(A-M)*K));
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