When working on a research problem, I have had to calculate the Kullback-Leibler Divergence between two multivariate normal distributions.

This should be a straightforward problem of calculation from first principle, but I have always had some trouble with matrix algebra, so it is better to cross-check with others' answers.

Luckily, the question has already been answered on StackExchange (multivariate is here; a special case of univariate is here).

While reading the answer, I also came across this amazing resource called The Matrix Cookbook, which contains a lot of useful results matrix albegra. I am certain that I will come back to this book for reference sometime in the future.

© Spark Tseung 2020-2023. Last modified: July 30, 2023.

Website built with Franklin.jl and the Julia programming language,

plus some help from LeXtudio.

Website built with Franklin.jl and the Julia programming language,

plus some help from LeXtudio.