Glossary

What is KL Divergence (Kullback–Leibler Divergence)

Kullback-Leibler Divergence (KL Divergence) is a fundamental concept in information theory and statistics that quantifies the difference between two probability distributions. It is widely used in fields such as machine learning, statistics, and information retrieval. The smaller the KL Divergence value, the more similar the two distributions are; conversely, a larger value indicates greater divergence.


The formula for KL Divergence is defined as:
D_{KL}(P || Q) = ∑ P(i) log(P(i)/Q(i)), where P and Q are two probability distributions. KL Divergence is non-negative for non-negative probability distributions and equals zero only when P and Q are identical. A notable property of KL Divergence is its asymmetry; D_{KL}(P || Q) is not equal to D_{KL}(Q || P).


In practice, KL Divergence is commonly used for model evaluation, training generative models, and information compression. For instance, optimization algorithms in machine learning may minimize KL Divergence to align the model's predicted distribution with the actual data distribution.


Looking ahead, with the advancement of deep learning and big data technologies, KL Divergence may be combined with other information metrics to create more complex models for processing high-dimensional data.


The advantages of KL Divergence include its mathematical simplicity and ease of computation. However, it is sensitive to zero-probability events, which can lead to unstable results. Care must be taken to ensure that the input probability distributions are valid.