ChuaCheowHuan
/ mvg_KL.py
Created
April 20, 2020 06:38
KL divergence for multivariate normal distributions
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| def kl_mvn(m0, S0, m1, S1): | |
| """ | |
| https://stackoverflow.com/questions/44549369/kullback-leibler-divergence-from-gaussian-pm-pv-to-gaussian-qm-qv | |
| The following function computes the KL-Divergence between any two | |
| multivariate normal distributions | |
| (no need for the covariance matrices to be diagonal) | |
| Kullback-Liebler divergence from Gaussian pm,pv to Gaussian qm,qv. | |
| Also computes KL divergence from a single Gaussian pm,pv to a set |
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