多元高斯分布的KL散度

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kl散度意义:

  • In the context of machine learning, 在这里插入图片描述
    is often called the information gain achieved if Q is used instead of P.

  • This reflects the asymmetry in Bayesian inference, which starts from a prior Q and updates to the posterior P.

  • 公式:

证明:https://stats.stackexchange.com/questions/7440/kl-divergence-between-two-univariate-gaussians

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