mvg.py 文件源码

def MVG_DKL(M0,P0,M1,P1):
    '''
    KL divergence between two Gaussians

    Example
    -------
        M = randn(10)
        Q = randn(N,N)
        P = Q.dot(Q.T)
        MGV_DKL(M,P,M,P)
    '''
    MVG_check(M0,P0)
    MVG_check(M1,P1)
    N = len(M0)
    M1M0 = M1-M0
    return 0.5*(np.sum(P1*pinv(P0))+logdet(P0)-logdet(P1)-N+M1M0.T.dot(P1).dot(M1M0))
    #return 0.5*(np.sum(np.diag(P1.dot(np.linalg.pinv(P0))))+logdet(P0)-logdet(P1)-N+M1M0.T.dot(P1).dot(M1M0))