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Kullback-Leibler divergence \(KL(P \Vert Q)\) of Q from P for multivariate normal distributions
KLDiv(mu1, S1, mu2, S2)
Kullback-Leibler divergence \(KL(P \Vert Q)\) of Q from P.
mean vector of P.
covariance matrix of P.
mean vector of Q.
covariance matrix of Q.