relative_entropy function

Relative Entropy

Computes the relative entropy of two distributions.

relative_entropy(prior, posterior)

Arguments

• prior: A prior probability distribution.
• posterior: A posterior probability distribution.

Returns

A double with the relative entropy.

Examples

set.seed(222)

prior <- rep(1 / 100, 100)

posterior <- runif(100)
posterior <- posterior / sum(posterior)

relative_entropy(prior, posterior)