KL Divergence Demystified

What does KL stand for? Is it a distance measure? What does it mean to measure the similarity of two probability distributions?

If you want to intuitively understand what the KL divergence is, you are in the right place, I’ll demystify the KL divergence for you.

As I’m going to explain the KL divergence from the information theory point of view, it is required to know the entropy and the…