Kullback–Leibler divergence

Mathematical statistics distance measure / From Wikipedia, the free encyclopedia

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In mathematical statistics, the Kullback–Leibler divergence (also called relative entropy and I-divergence[1]), denoted , is a type of statistical distance: a measure of how one probability distribution P is different from a second, reference probability distribution Q.[2][3] A simple interpretation of the KL divergence of P from Q is the expected excess surprise from using Q as a model when the actual distribution is P. While it is a measure of how different two distributions are, and in some sense is thus a "distance", it is not actually a metric, which is the most familiar and formal type of distance. In particular, it is not symmetric in the two distributions (in contrast to variation of information), and does not satisfy the triangle inequality. Instead, in terms of information geometry, it is a type of divergence,[4] a generalization of squared distance, and for certain classes of distributions (notably an exponential family), it satisfies a generalized Pythagorean theorem (which applies to squared distances).[5]

In the simple case, a relative entropy of 0 indicates that the two distributions in question have identical quantities of information. Relative entropy is a nonnegative function of two distributions or measures. It has diverse applications, both theoretical, such as characterizing the relative (Shannon) entropy in information systems, randomness in continuous time-series, and information gain when comparing statistical models of inference; and practical, such as applied statistics, fluid mechanics, neuroscience and bioinformatics.

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