KLDiv {RestoreNet}R Documentation

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)

Arguments

mu1

mean vector of P.

S1

covariance matrix of P.

mu2

mean vector of Q.

S2

covariance matrix of Q.

Value

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


[Package RestoreNet version 1.0.1 Index]