MCKLdivergence

A python package to estimate the relative entropy between the prior and posterior from an MCMC chain. The code also estimates the expected relative entropy from the likelihood and a sample of prior. For more detiales see https://arxiv.org/abs/1904.11920

The code is written for Python 3.x in linux machine.

Installations:

To install this package into your linux machine with pip, do the following:

• First, make sure that MCEvidence is installed.
• For multi-thread mode, install mpi4py and openmpi in your linux machine.
• Then in a terminal, run the following commands:

  $ git clone https://github.com/ahmadiphy/MCKLdivergence
  $ cd MCKLdivergence
  $ pip install -e .
  

Example:

In the Example folder there are two simple examples for estimation of the relative entropy and the expected relative entropy

If you use the code, please cite the following papers:

1- https://link.springer.com/article/10.1140/epjp/s13360-020-00390-z or https://arxiv.org/abs/1904.11920 (Meharbi and Ahmadi-Rahmat (2019))
2- https://arxiv.org/abs/1704.03472 (Heavens et. al. (2017))