Define the relative entropy or kullback-leibler divergence

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Reference no: EM131319073

1. What do you think of the idea of using a variational method to optimize an approximating distribution Q which we then use as a proposal density for importance sampling?

2. Define the relative entropy or Kullback-Leibler divergence between two probability distributions P and Q, and state Gibbs' inequality.

Reference no: EM131319073

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