kldiv: Kullback Leiber (KL) divergence between two multivariate...

In myeongjong/GPsim: An R package for simulating Gaussian Processes

Description

From two mean vectors (mu0, mu1) and two covariance matrices (covmat0, covmat1), this function returns KL divergence between N(mu0,covmat0) and N(mu1,covmat1).

Usage

kldiv(covmat0, covmat1, mu0 = rep(0, nrow(covmat0)), mu1 = rep(0,
  nrow(covmat0)))

Arguments

covmat0	A covariance matrix of the first multivariate normal distribution
covmat1	A covariance matrix of the second multivariate normal distribution
mu0	A mean vector of the first multivariate normal distribution
mu1	A mean vector of the second multivariate normal distribution

Value

KL divergence between N(mu0,covmat0) and N(mu1,covmat1)

Examples

covmat0 <- diag(3)
covmat1 <- matrix(c(1, 0.9, 0.7, 0.9, 1, 0.4, 0.7, 0.4, 1), 3, 3)

kldiv(covmat0 = covmat0, covmat1 = covmat1)

myeongjong/GPsim documentation built on Dec. 11, 2019, 12:37 p.m.