The mixture of Gaussians generative model
First pick one of the k Gaussians with a probability that is
called its “mixing proportion”.
Then generate a random point from the chosen
Gaussian.
The probability of generating the exact data we observed
is zero, but we can still try to maximize the probability
density.
Adjust the means of the Gaussians
Adjust the variances of the Gaussians on each
dimension (or use a full covariance Gaussian).
Adjust the mixing proportions of the Gaussians.