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Optimising the cost function

After defining the model and finding a way to evaluate the cost function, the next problem is to optimise the cost function. This will be done in a way that is very similar to the EM algorithm, i.e. by updating one part of the model at a time while keeping all the other parameters fixed. All the optimisation steps aim at finding a minimum of the cost function with the current values for fixed parameters. Since all the steps decrease the value of the cost function, the learning algorithm is guaranteed to converge.


Antti Honkela 2001-05-30