Machine Learning Trick of the Day (2): Gaussian Integral Trick

Machine Learning Trick of the Day (2): Gaussian Integral Trick
Today's trick, the Gaussian integral trick, is one that allows us to re-express a (potentially troublesome) function in an alternative form, in particular, as an integral of a Gaussian against another function — integrals against a Gaussian turn out not to be too troublesome and can provide many statistical and computational benefits. One popular setting where we can exploit such ...