The Expectation Maximization(EM) algorithm estimates the parameters of the multivariate probability density function in the form of a Gaussian mixture distribution with a specified number of mixtures.
Bilmes98 J. A. Bilmes. *A Gentle Tutorial of the EM Algorithm and its Application to Parameter Estimation for Gaussian Mixture and Hidden Markov Models*. Technical Report TR-97-021, International Computer Science Institute and Computer Science Division, University of California at Berkeley, April 1998.
:param nclusters:The number of mixture components in the Gaussian mixture model. Default value of the parameter is ``EM::DEFAULT_NCLUSTERS=5``. Some of EM implementation could determine the optimal number of mixtures within a specified value range, but that is not the case in ML yet.
***EM::COV_MAT_SPHERICAL** A scaled identity matrix :math:`\mu_k * I`. There is the only parameter :math:`\mu_k` to be estimated for earch matrix. The option may be used in special cases, when the constraint is relevant, or as a first step in the optimization (for example in case when the data is preprocessed with PCA). The results of such preliminary estimation may be passed again to the optimization procedure, this time with ``covMatType=EM::COV_MAT_DIAGONAL``.
***EM::COV_MAT_DIAGONAL** A diagonal matrix with positive diagonal elements. The number of free parameters is ``d`` for each matrix. This is most commonly used option yielding good estimation results.
***EM::COV_MAT_GENERIC** A symmetric positively defined matrix. The number of free parameters in each matrix is about :math:`d^2/2`. It is not recommended to use this option, unless there is pretty accurate initial estimation of the parameters and/or a huge number of training samples.
:param termCrit:The termination criteria of the EM algorithm. The EM algorithm can be terminated by the number of iterations ``termCrit.maxCount`` (number of M-steps) or when relative change of likelihood logarithm is less than ``termCrit.epsilon``. Default maximum number of iterations is ``EM::DEFAULT_MAX_ITERS=100``.
:param samples:Samples from which the Gaussian mixture model will be estimated. It should be a one-channel matrix, each row of which is a sample. If the matrix does not have ``CV_64F`` type it will be converted to the inner matrix of such type for the further computing.
:param means0:Initial means :math:`a_k` of mixture components. It is a one-channel matrix of :math:`nclusters \times dims` size. If the matrix does not have ``CV_64F`` type it will be converted to the inner matrix of such type for the further computing.
:param covs0:The vector of initial covariance matrices :math:`S_k` of mixture components. Each of covariance matrices is a one-channel matrix of :math:`dims \times dims` size. If the matrices do not have ``CV_64F`` type they will be converted to the inner matrices of such type for the further computing.
:param weights0:Initial weights :math:`\pi_k` of mixture components. It should be a one-channel floating-point matrix with :math:`1 \times nclusters` or :math:`nclusters \times 1` size.
:param probs0:Initial probabilities :math:`p_{i,k}` of sample :math:`i` to belong to mixture component :math:`k`. It is a one-channel floating-point matrix of :math:`nsamples \times nclusters` size.
:param logLikelihoods:The optional output matrix that contains a likelihood logarithm value for each sample. It has :math:`nsamples \times 1` size and ``CV_64FC1`` type.
:param labels:The optional output "class label" for each sample: :math:`\texttt{labels}_i=\texttt{arg max}_k(p_{i,k}), i=1..N` (indices of the most probable mixture component for each sample). It has :math:`nsamples \times 1` size and ``CV_32SC1`` type.
:param probs:The optional output matrix that contains posterior probabilities of each Gaussian mixture component given the each sample. It has :math:`nsamples \times nclusters` size and ``CV_64FC1`` type.
***trainE** - Starts with Expectation step. You need to provide initial means :math:`a_k` of mixture components. Optionally you can pass initial weights :math:`\pi_k` and covariance matrices :math:`S_k` of mixture components.
Unlike many of the ML models, EM is an unsupervised learning algorithm and it does not take responses (class labels or function values) as input. Instead, it computes the
*Maximum Likelihood Estimate* of the Gaussian mixture parameters from an input sample set, stores all the parameters inside the structure:
:math:`p_{i,k}` in ``probs``,
:math:`a_k` in ``means`` ,
:math:`S_k` in ``covs[k]``,
:math:`\pi_k` in ``weights`` , and optionally computes the output "class label" for each sample:
:param probs:Optional output matrix that contains posterior probabilities of each component given the sample. It has :math:`1 \times nclusters` size and ``CV_64FC1`` type.
The method returns a two-element ``double`` vector. Zero element is a likelihood logarithm value for the sample. First element is an index of the most probable mixture component for the given sample.
