KL Divergence

KL=1NlogxP(X=x)xQ(X=x)=1NlogP1P1P2P1P1Q1Q2Q1Q2Q2=1NlogP1N1P2N2Q1N1Q2N2=1N(N1logP1+N2logP2N1logQ1N2logQ2)=P1logP1+P2logP2P1logQ1P2logQ2=P1logP1Q1+P2logP2Q2=iPilogPiQi
KL Divergence = ?

DKL(P||Q)=iPilogPiQiDKL(P||Q)=P(x)logP(x)Q(x)


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