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Published online by Cambridge University Press: 21 April 2021
We give an introduction to the concept of relative entropy (also called Kullback-Leibler divergence). We interpret relative entropy in terms of both coding and diversity, and sketch some connections with other subjects: Riemannian geometry (where relative entropy is infinitesimally a squared distance), measure theory, and statistics. We prove that relative entropy is uniquely characterized by a short list of properties.
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