Paper ID: 2403.12158

Variational Approach for Efficient KL Divergence Estimation in Dirichlet Mixture Models

Samyajoy Pal, Christian Heumann

This study tackles the efficient estimation of Kullback-Leibler (KL) Divergence in Dirichlet Mixture Models (DMM), crucial for clustering compositional data. Despite the significance of DMMs, obtaining an analytically tractable solution for KL Divergence has proven elusive. Past approaches relied on computationally demanding Monte Carlo methods, motivating our introduction of a novel variational approach. Our method offers a closed-form solution, significantly enhancing computational efficiency for swift model comparisons and robust estimation evaluations. Validation using real and simulated data showcases its superior efficiency and accuracy over traditional Monte Carlo-based methods, opening new avenues for rapid exploration of diverse DMM models and advancing statistical analyses of compositional data.

Submitted: Mar 18, 2024