How to Calculate KL Divergence in Python (Including Example)
In statistics, the Kullback–Leibler (KL) divergence is a distance metric that quantifies the difference between two probability distributions.
If we have two probability distributions, P and Q, we typically write the KL divergence using the notation KL(P || Q), which means “P’s divergence from Q.”
We calculate it using the following formula:
KL(P || Q) = ΣP(x) ln(P(x) / Q(x))
If the KL divergence between two distributions is zero, then it indicates that the distributions are identical.
https://www.statology.org/kl-divergence-python/
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Measuring the statistical similarity between two samples using Jensen-Shannon and Kullback-Leibler divergences