kldivergence

utils.kldivergence(m0, m1, c0, c1)

Calculates the Kullback–Leibler divergence between two distributions using the means and covariances

Parameters:

• m0 (array of N floats) – The means of distribution 0
• m1 (array of N floats) – The means of distribution 1
• c0 (NxN array of floats) – The covariance matrix for distribution 0
• c1 (NxN array of floats) – The covariance matrix for distribution 1

Returns:

kl – The Kullback–Leibler divergence

Return type:

float