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There is a cost
function that is reduced by both the E-step
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and the M-step.
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Cost = expected energy entropy
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The expected
energy term measures how difficult it is to
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generate each
datapoint from the Gaussians it is assigned
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to. It would be
happiest giving all the responsibility for each
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datapoint to the
most likely Gaussian (as in K-means).
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The entropy term
encourages soft assignments. It would
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be happiest
spreading the responsibility for each datapoint
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equally between
all the Gaussians.
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