Template Function mrpt::math::KLD_Gaussians

Function Documentation

template<typename VECTORLIKE1, typename MATRIXLIKE1, typename VECTORLIKE2, typename MATRIXLIKE2>
double mrpt::math::KLD_Gaussians(const VECTORLIKE1 &mu0, const MATRIXLIKE1 &cov0, const VECTORLIKE2 &mu1, const MATRIXLIKE2 &cov1)

Kullback-Leibler divergence (KLD) between two independent multivariate Gaussians.

\( D_\mathrm{KL}(\mathcal{N}_0 \| \mathcal{N}_1) = { 1 \over 2 } ( \log_e ( { \det \Sigma_1 \over \det \Sigma_0 } ) + \mathrm{tr} ( \Sigma_1^{-1} \Sigma_0 ) + ( \mu_1 - \mu_0 )^\top \Sigma_1^{-1} ( \mu_1 - \mu_0 ) - N ) \)