Interpreting the KLD

[drphilmarshall]

I'm interested in the interpretation of the KL divergence, so will make a little notebook. Watch this space!

[aimalz]

I think kld.ipynb from #30 thoroughly addresses this issue, so I'm going to close it.

[drphilmarshall]

Thanks! To my mind it is just missing an analytic derivation of the "model" curves that I overlaid in gray. I made a start on this but seem to have made some algebraic errors :-/ Do you fancy spending a ahppy half hour doing some Gaussian integrals?

[aimalz]

Okay, after spending far too long fiddling with it, I can't get the relationship in the notebook, specifically that factor of pi. I ultimately ended up with something consistent with this. Where did the version in the notebook come from?

[drphilmarshall]

It's approximate / guessed. Lets go with your / my proper derivation instead, and comment on its form, especially in various important limits (ie the ones already illustrated in the notebook).

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On Tue, Dec 6, 2016 at 12:03 PM, Alex Malz ***@***.***> wrote: Okay, after spending far too long fiddling with it, I can't get the relationship in the notebook, specifically that factor of pi. I ultimately ended up with something consistent with this <http://stats.stackexchange.com/questions/7440/kl-divergence-between-two-univariate-gaussians>. Where did the version in the notebook come from? — You are receiving this because you were assigned. Reply to this email directly, view it on GitHub <#29 (comment)>, or mute the thread <https://github.com/notifications/unsubscribe-auth/AArY9-fofPPwWmoO78RguyioJrfkLnk4ks5rFb-hgaJpZM4LDaSV> .