Does anyone know a list of analytics solutions to KL divergences of commonly used distributions.

For example, 2 Normally Distributed Random Variables have a nicely formulated analytic solution.

Approximations should be fine too, I just need this for some optimization play where i don't have the computational resource to solve it through MC methods

  • 2
    $\begingroup$ If your distributions are both in the exponential family of distributions, then there is a general expression that can be derived - see this paper: web.archive.org/web/20190331194854/https://… $\endgroup$ – Don Walpola Jul 4 at 22:05
  • $\begingroup$ @Don This was wonderful! thank you! $\endgroup$ – mshlis Jul 5 at 11:45

First, much information can be found by searching this site. For exponential families see this paper (given in a comment above.) For skew distributions some information is here. For Pareto distributions here. Weibull distributions. Generalized gamma distributions.

$=$1&isAllowed$=$y" rel="nofollow noreferrer">A somewhat related useful paper.


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