Gamma vs Normal KL divergence? Got you covered.

Have you ever searched for a calculation on the Internet and then was disappointed when you couldn’t find it? Yeah, me too. I was trying to find the KL divergence between a Gamma and a Normal random distribution, but eventually decided to compute it on my own. So, if we consider the Gamma distribution, , and the Normal distribution, , then the KL of with … Continue reading Gamma vs Normal KL divergence? Got you covered.