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RestoreNet (version 1.0.1)

KLDiv: Kullback-Leibler divergence

Description

Kullback-Leibler divergence \(KL(P \Vert Q)\) of Q from P for multivariate normal distributions

Usage

KLDiv(mu1, S1, mu2, S2)

Value

Kullback-Leibler divergence \(KL(P \Vert Q)\) of Q from P.

Arguments

mu1

mean vector of P.

S1

covariance matrix of P.

mu2

mean vector of Q.

S2

covariance matrix of Q.