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KL Divergence

Measures how one probability distribution differs from a reference distribution.

Formula

DKL(PQ)=iP(i)logP(i)Q(i)D_{KL}(P\Vert Q)=\sum_i P(i)\log\dfrac{P(i)}{Q(i)}

Variables

PTrue distribution
QApproximating distribution

Example

Zero only when P equals Q

Did You Know?

KL divergence is asymmetric — the distance from P to Q is not the same as Q to P.

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