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Independent Gaussian Distributions Minimize the Kullback-Leibler (KL) Divergence from Independent Gaussian Distributions (2011.02560v2)
Published 4 Nov 2020 in cs.IT, cs.LG, cs.SY, eess.SP, eess.SY, math.IT, math.ST, and stat.TH
Abstract: This short note is on a property of the Kullback-Leibler (KL) divergence which indicates that independent Gaussian distributions minimize the KL divergence from given independent Gaussian distributions. The primary purpose of this note is for the referencing of papers that need to make use of this property entirely or partially.
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