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Master1022

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- TL;DR Summary
- How to use calculus of variations on KL-divergence

Hi,

This isn't a homework question, but a side task given in a machine learning class I am taking.

Unfortunately, I have never seen calculus of variations (it was suggested that we teach ourselves). I have been trying to watch some videos online, but I mainly just see references to Euler-Lagrange equations which I don't think are of much relevance here (please correct me if I am wrong) and not much explanation of the functional derivatives.

Nonetheless, I think this shouldn't be too hard, but am struggling to understand how to use the tools.

If we start with the definition of the KL-divergence we get:

[tex] \text{KL}[p||q] = \int p(x) log(\frac{p(x)}{q(x)}) dx = I [/tex]

Would it be possible for anyone to help me get started on the path? I am not sure how to proceed really after I write down ## \frac{\delta I}{\delta q} ##?

Thanks in advance

This isn't a homework question, but a side task given in a machine learning class I am taking.

**Question:**Using variational calculus, prove that one can minimize the KL-divergence by choosing ##q## to be equal to ##p##, given a fixed ##p##.**Attempt:**Unfortunately, I have never seen calculus of variations (it was suggested that we teach ourselves). I have been trying to watch some videos online, but I mainly just see references to Euler-Lagrange equations which I don't think are of much relevance here (please correct me if I am wrong) and not much explanation of the functional derivatives.

Nonetheless, I think this shouldn't be too hard, but am struggling to understand how to use the tools.

If we start with the definition of the KL-divergence we get:

[tex] \text{KL}[p||q] = \int p(x) log(\frac{p(x)}{q(x)}) dx = I [/tex]

Would it be possible for anyone to help me get started on the path? I am not sure how to proceed really after I write down ## \frac{\delta I}{\delta q} ##?

Thanks in advance