The Matrix-Variate Normal (MVN) Distribution The KL Divergence between MVN Distributions This is really good, because we can now actually calculate the KL divergence between two arbitrary MVN distributions! But what is that good for? Time-Series Modeling with Matrix-Shaped Latents In [4], Hafner and his collaborators trained an agent in a Reinforcement Learning setting that…KL Divergence between Matrix-Variate Normal Distributions
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