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An asymmetric measure of distance (or dissimilarity) between probability distributions. It might be interpreted as the expected value of the log likelihood ratio under the alternative hypothesis.

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When $x$ is discrete, KL divergence is $D_{KL}(P||Q)=\sum\limits_{x}P(x)\log \frac{P(x)}{Q(x)}$, when $x$ is continuous, $D_{KL}(P||Q)=\int\limits_{x}p(x)\log \frac{p(x)}{q(x)}dx$. However, when the s …
asked Feb 5 by Jerry Geng