D.KL <- (KL(theta+delta)-KL(delta))/delta
for some suitably small delta?
Spencer Graves
Feng Zhang wrote:
Hey, R-listers
I was totally confused by a seemling simple first derivative
function.
Given the Kullback-Leibler divergence function between
a true pdf function P(x,theta) and an approximation pdf
function Q(theta)=q1(theta1)*q2(theta2)*...*qn(thetan),
where theta=[theta1,theta2, ..., thetan]'.
KL(Q||P) = \integration Q(theta)*log(P(x,theta)/Q(theta)) dtheta
So how to derive the first derivative of KL with respect to theta1?
Thanks for your helpful advices.
Fred
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