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A metric is a way to evaluate the performance of a machine learning model. Depending on the task, different metrics may be used.

2 votes

Calculating an estimate of KL Divergence using the samples drawn from distributions

Check this article. They use k-NN to interpolate the values of P(x) and Q(x), so that you can use the KL-divergence formula with 'approximated histograms'.
Carlos Pinzón's user avatar