Kullback Leibler Distance (KL)

The Kullback Leibler distance (KL-distance) is a natural distance function from a "true" probability distribution, p, to a "target" probability distribution, q. It can be interpreted as the expected extra message-length per datum due to using a code based on the wrong (target) distribution compared to using a code based on the true distribution.

 

For discrete (not necessarily finite) probability distributions, p={p₁, ..., p_n} and q={q₁, ..., q_n}, the KL-distance is defined to be

 

KL(p, q) = Σ_i p_i . log₂( ^p_i / _qi )

 

For continuous probability densities, the sum is replaced by an integral.

 

KL(p, p) = 0

KL(p, q) ≥ 0

 

Note that the KL-distance is not, in general, symmetric.