ML without tears

Category: Signal processing

  • Maximum Mean Discrepancy (MMD): The Infinite Moment Matchmaker

    Consider the problem of measuring the discrepancy between the distributions of two sets of samples and . Amongst various options (KL divergence, Wasserstein distance, etc.), the Maximum Mean Discrepancy (MMD) is a beautifully elegant one, gaining popularity in recent years in the machine learning community. In this post, instead of defining upfront the MMD in…

  • Get real! Solving a complex-value linear system using real arithmetic

    Consider a linear system of complex-valued equations of the kind , where are complex square and rectangular matrices, respectively, and is the unknown complex matrix. To compute , a natural option is to use any algorithm available in the literature initially conceived for real systems, such as Gauss elimination, LU/Cholesky decomposition, and translate its operations to complex arithmetic. However, there may…

  • Oldies but goldies: MMSE estimator

    In signal processing, a classic problem consists in estimating a signal, in the form of a complex column vector , by observing a related signal , which has been produced by multiplying the unknown by a known matrix and adding noise : 1. Assumptions The random signal and noise are independent of each other, Gaussian…