In statistics, a mixture model is a probabilistic model for representing the presence of subpopulations within an overall population, without requiring that an observed data set should identify the sub-population to which an individual observation belongs. - Wikipedia

Gaussian Mixture Models (GMMs)

GMM: Superposition of K Gaussian densities of the following form is mixture of Gaussians.

p(x)=∑k=1KπkN(x|μk,Σk)

Mixture coefficients: πk (prior probability of a point belonging to cluster k)
We get the bottom relation by integrating both sides on the above equation.

∑k=1Kπk=1

Likelihood Function:

L(θ|x)=∏i=1np(xi)=∏i=1n∑k=1KπkN(xi|μk,Σk)

where θ={π1,...,πK,μ1,...,μK,Σ1,...,ΣK}.

Log Likelihood:

log⁡L(θ|x)=∑i=1nlog⁡∑k=1KπkN(xi|μk,Σk)

This is a hard problem.

E-step
γik=p(k|xi)=πkN(xi|μk,Σk)∑j=1KπjN(xi|μj,Σj)

M-step

Nk=∑i=1nγikμknew=1Nk∑i=1nγikxiΣknew=1Nk∑i=1nγik(xi−μknew)(xi−μknew)Tπknew=Nkn

Advantages

How to choose K?