  Modelling of multivariate densities is a core component in many signal
processing, pattern recognition and machine learning applications. The
modelling is often done via Gaussian mixture models (GMMs), which use
computationally expensive and potentially unstable training algorithms. We
provide an overview of a fast and robust implementation of GMMs in the C++
language, employing multi-threaded versions of the Expectation Maximisation
(EM) and k-means training algorithms. Multi-threading is achieved through
reformulation of the EM and k-means algorithms into a MapReduce-like framework.
Furthermore, the implementation uses several techniques to improve numerical
stability and modelling accuracy. We demonstrate that the multi-threaded
implementation achieves a speedup of an order of magnitude on a recent 16 core
machine, and that it can achieve higher modelling accuracy than a previously
well-established publically accessible implementation. The multi-threaded
implementation is included as a user-friendly class in recent releases of the
open source Armadillo C++ linear algebra library. The library is provided under
the permissive Apache~2.0 license, allowing unencumbered use in commercial
products.
