Kullback leibler divergence

[adavoudi]

def distance_kullback(A, B):
    """Kullback leibler divergence between two covariance matrices A and B.
    :param A: First covariance matrix
    :param B: Second covariance matrix
    :returns: Kullback leibler divergence between A and B
    """
    dim = A.shape[0]
    logdet = numpy.log(numpy.linalg.det(B) / numpy.linalg.det(A))
    kl = numpy.trace(numpy.dot(numpy.linalg.inv(B), A)) - dim + logdet
    return 0.5 * kl