test_distributions.py 文件源码

def KLdiv(mu0, Lcov0, mu1, Lcov1):
    """Numpy KL calculation."""
    tr, dist, ldet = 0., 0., 0.
    D, n = mu0.shape
    for m0, m1, L0, L1 in zip(mu0, mu1, Lcov0, Lcov1):
        tr += np.trace(cho_solve((L1, True), L0.dot(L0.T)))
        md = m1 - m0
        dist += md.dot(cho_solve((L1, True), md))
        ldet += logdet(L1) - logdet(L0)

    KL = 0.5 * (tr + dist + ldet - D * n)
    return KL