Mixture of Gaussian Integral

From: Zeke Chan (zekechan_at_amonics.com)
Date: 06/07/04


Date: Mon, 7 Jun 2004 21:34:36 +1200

Hi I have a prob here I hope you can help. Let N_a(x) denote Gaussian
distribution with mean mu_a and cov_a (the subscript indicates the index of
the distribution). Given a mixture of two gaussians distribution,
p(b)N_b(x) + p(c)N_c(x), I'd like to the integral

int[ N_a(x) log(p(b) N_b(x) + p(c)N_c(x)) , dx]

Matlab can't solve this. Very grateful if you can find at least an
approximation to this problem.

Zeke
KEDRI, AUT, New Zealand



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