Independent Gaussian Distributions Minimize the Kullback-Leibler (KL) Divergence from Independent Gaussian Distributions

11/04/2020

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by   Song Fang, et al.

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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.