Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.
Concept
Kullback–Leibler divergence
Summary
In mathematical statistics, the Kullback–Leibler divergence (also called relative entropy and I-divergence), denoted , is a type of statistical distance: a measure of how one probability distribution P is different from a second, reference probability distribution Q. 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 distance, it is not a metric, the most familiar type of distance: 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, 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).
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.
Consider two probability distributions and . Usually, represents the data, the observations, or a measured probability distribution. Distribution represents instead a theory, a model, a description or an approximation of . The Kullback–Leibler divergence is then interpreted as the average difference of the number of bits required for encoding samples of using a code optimized for rather than one optimized for . Note that the roles of and can be reversed in some situations where that is easier to compute, such as with the expectation–maximization algorithm and evidence lower bound computations.
Official source
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.
Ontological neighbourhood