kl_mvn: Kullback-Leibler Divergence

In donaldRwilliams/GGMncv: Gaussian Graphical Models with Nonconvex Regularization

Description

Compute KL divergence for a multivariate normal distribution.

Usage

kl_mvn(true, estimate, stein = FALSE)

Arguments

true	Matrix. The true precision matrix (inverse of the covariance matrix)
estimate	Matrix. The estimated precision matrix (inverse of the covariance matrix)
stein	Logical. Should Stein's loss be computed (defaults to TRUE)? Note KL divergence is half of Stein's loss.

Value

Numeric corresponding to KL divergence.

Note

A lower value is better, with a score of zero indicating that the estimated precision matrix is identical to the true precision matrix.

Examples

# nodes
p <- 20

main <- gen_net(p = p, edge_prob = 0.15)

y <- MASS::mvrnorm(250, rep(0, p), main$cors)

fit_l1 <- ggmncv(R = cor(y),
              n = nrow(y),
              penalty = "lasso",
              progress = FALSE)

# lasso
kl_mvn(fit_l1$Theta, solve(main$cors))

fit_atan <- ggmncv(R = cor(y),
              n = nrow(y),
              penalty = "atan",
              progress = FALSE)

kl_mvn(fit_atan$Theta, solve(main$cors))

donaldRwilliams/GGMncv documentation built on Dec. 28, 2021, 5:20 p.m.