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This question was asked in physics stack exchange but didn't get an answer and it was suggested this would be a better place. Two years later I am wondering the same thing. Here is the question with slightly different wording:

How can a linear Gaussian conditional probability distribution be represented in canonical form?

For example, let $\mathbf{X}$ and $\mathbf{Y}$ be two sets of continuous variables, with $|\mathbf{X}| = n$ and $|\mathbf{Y}| = m$. Let

$p(\mathbf{Y} | \mathbf{X}) = \mathcal{N}(\mathbf{Y} | \mathbf{a} + B\mathbf{X}; C)$

where $\mathbf{a}$ is a vector of dimension $m$, $B$ is an $m$ by $n$ matrix, and $C$ is an $m$ by $m$ matrix. How does one represent that in canonical form?

This is boggling me particularly since a linear Gaussian is not necessarily a Gaussian probability distribution. The canonical representation of a Gaussian has $K = \Sigma^{-1}$ and $\mathbf{h} = \Sigma^{-1} \boldsymbol{\mu}$. How can one have a $K$ and $\mathbf{h}$ for a something that is not a Gaussian?

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I have an answer found with help from two technical reports (I can only post one link will post the other one in comments) [1], 2. The report from [1] only showed a univariate Gaussian. Here is my attempt at the multivariate case.

The basic idea is to use Bayes law: $p(Y|X) = \frac{p(Y,X)}{p(X)}$

We know from 2 that the joint of the linear Gaussian is:

$p(X,Y) = \mathcal{N} \left( \begin{pmatrix} \boldsymbol{\mu_X} \\ B \boldsymbol{\mu_X} + \mathbf{a} \end{pmatrix} , \Sigma_{X,Y} \right)$

with the process noise described by $\Sigma_{w}$ we have

$ \Sigma_{X,Y} = \begin{pmatrix} B^T \Sigma_{w}^{-1} B + \Sigma_{X}^{-1} & -B^T \Sigma_{w}^{-1} \\ -\Sigma_{w}^{-1} B & \Sigma_{w}^{-1} \end{pmatrix}^{-1} = \begin{pmatrix} \Sigma_{X} & \Sigma_{X} B^{T} \\ B \Sigma_{X} & \Sigma_{w} + B \Sigma_{X} B^T \end{pmatrix}$

Now to get $p(Y|X)$ we devide it py $p(X)$ which in canonical form is

$K_X = \Sigma_{X}^{-1}$ and $\mathbf{h} = K_X \mu_X$

Dividing it out gives us:

$ K_{X|Y} = \begin{pmatrix} B^T \Sigma_{w}^{-1} B & -B^T \Sigma_{w}^{-1} \\ -\Sigma_{w}^{-1} B & \Sigma_{w}^{-1} \end{pmatrix}^{-1} $, $\mathbf{h}_{X|Y} = \begin{pmatrix} 0 \\ \vdots \\ 0 \end{pmatrix}, g_{X|Y} = - \log((2 \pi)^{n/2} |\Sigma_{w}|^{1/2}) $

With $n$ the dimension of the Gaussian.

Note that I went with zero mean process noise and also assumed $\mathbf{a}$ to be zero.

The result in canonical form is probably not a valid Gaussian as $K_{X|Y}$ is probably not invertible. Multiplying it with the $p(X)$ then however gives you a valid Gaussian as one would expect.

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  • $\begingroup$ The other report ( [1]: google.com/…) $\endgroup$ – CFdV Jan 3 '16 at 16:31

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