Multivariate Normal Distribution KLD

Like the KLD function, this function calculates KLD values, but for the specific case of multivariate normal distributions \(\\mathcal{N}_{A}\) and \(\\mathcal{N}_{B}\). The two distributions are specified using \(\\mu\) and \(\\Sigma\) values (mean and covariance).

Usage

exact_normal_kld(muA, SigmaA, muB, SigmaB)

Arguments

muA

mean of distribution A

SigmaA

Covariance of distribution A

muB

mean of distribution B

SigmaB

Covariance of distribution B

Value

the KLD value D(A|B)