divergence 1.6.0

Information Theoretic Measures of Entropy and Divergence

Divergence

The Dissolution of Uncertainty — One Bit at a Time

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Why Divergence?

In the summer of 1948, a 32-year-old mathematician at Bell Labs named Claude Shannon published a paper that quietly changed the world. "A Mathematical Theory of Communication" gave humanity something it had never had before: a rigorous, mathematical definition of information. Shannon showed that uncertainty could be measured, that communication had fundamental limits, and that a single quantity — entropy — sat at the heart of it all.

What followed was an explosion of ideas. In 1951, Solomon Kullback and Richard Leibler — working as cryptanalysts at the NSA — formalized the concept of relative entropy, measuring how one probability distribution diverges from another. In 1961, Alfréd Rényi generalized Shannon's entropy into a family parameterized by a single number, revealing that information has not one but infinitely many faces. In the decades since, mathematicians, statisticians, and computer scientists have built an extraordinary edifice on Shannon's foundation: f-divergences, optimal transport distances, kernel methods, score-based measures — each offering a different lens on the same fundamental question: how different are these two probability distributions?

Divergence puts this entire toolkit into your hands.

It is the most comprehensive information-theoretic package for Python — spanning Shannon measures, f-divergences, Rényi families, integral probability metrics, kNN estimators, score-based divergences, optimal transport, and Bayesian MCMC diagnostics in a single, unified API. Whether you are a Bayesian statistician checking MCMC convergence, a machine learning researcher comparing generative models, a neuroscientist measuring information flow between brain regions, or a student encountering entropy for the first time, Divergence provides the tools you need.

Who is this for?

• Bayesian practitioners using PyMC, Stan, NumPyro, PyJAGS, or emcee — Divergence integrates directly with ArviZ to provide information-theoretic diagnostics that go far beyond R-hat: information gain, chain convergence testing, Bayesian surprise, uncertainty decomposition, and the only diagnostic that tests convergence to the correct target (kernel Stein discrepancy)

• Machine learning researchers — compare distributions with energy distance, MMD, Wasserstein, or Sinkhorn divergence; run formal two-sample tests; measure feature dependence with mutual information and total correlation

• Scientists and engineers — detect causal information flow with transfer entropy, measure multivariate dependence, quantify distributional shift in monitoring systems

• Students and educators — six interactive notebooks with historical narrative, from Shannon's foundations through modern optimal transport, including an end-to-end Bayesian detective story using real hydrological data

Everything in one place

Divergence brings together measures that are otherwise scattered across different packages, subfields, and textbooks — Shannon measures, f-divergences, Rényi families, integral probability metrics, kNN estimators, score-based divergences, optimal transport, and Bayesian diagnostics — in a single, coherent API. Discrete and continuous, sample-based and density-based, with configurable units (nats/bits/hartleys), Numba-accelerated performance at scale, and seamless ArviZ integration for Bayesian workflows.

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What You Can Compute

Shannon Measures — The Foundation

Claude Shannon (1948), Solomon Kullback & Richard Leibler (1951)

Measure	Function	What it tells you
Entropy	entropy(sample)	How much uncertainty a distribution carries
Cross Entropy	cross_entropy(p, q)	The cost of encoding P using Q's code
KL Divergence	kl_divergence(p, q)	Information lost when approximating P with Q
Jensen-Shannon	jensen_shannon_divergence(p, q)	Symmetric, bounded distributional difference
Mutual Information	mutual_information(x, y)	How much knowing X tells you about Y
Joint Entropy	joint_entropy(x, y)	Total uncertainty in a pair of variables
Conditional Entropy	conditional_entropy(x, y)	Remaining uncertainty after observing the other

All support discrete=True/False and base=np.e (nats) / 2 (bits) / 10 (hartleys).

f-Divergences — The Unifying Family

Imre Csiszár (1963), Shun-ichi Amari (1985)

Measure	Function	Properties
Total Variation	total_variation_distance(p, q)	Symmetric, bounded [0, 1], true metric
Squared Hellinger	squared_hellinger_distance(p, q)	Symmetric, bounded [0, 2], robust to outliers
Chi-Squared	chi_squared_divergence(p, q)	Asymmetric, unbounded, classical goodness-of-fit
Jeffreys	jeffreys_divergence(p, q)	Symmetric KL (sum of both directions)
Cressie-Read	cressie_read_divergence(p, q, lambda_param)	Parameterized family unifying KL, chi², Hellinger
General f-divergence	f_divergence(p, q, f=...)	Any convex generator function

Rényi Family — The Alpha Telescope

Alfréd Rényi (1961)

Measure	Function	Special cases
Rényi Entropy	renyi_entropy(x, alpha)	α→0: Hartley, α→1: Shannon, α=2: collision, α→∞: min-entropy
Rényi Divergence	renyi_divergence(p, q, alpha)	α→1: KL divergence, monotonically non-decreasing in α

Integral Probability Metrics — Geometry on Distributions

Leonid Kantorovich (1942), Gábor Székely (2004), Arthur Gretton (2006)

Measure	Function	Key advantage
Energy Distance	energy_distance(p, q)	No hyperparameters, works in any dimension
Wasserstein	wasserstein_distance(p, q, p=1)	True metric, interpretable units
Sliced Wasserstein	sliced_wasserstein_distance(p, q)	Scales to high dimensions via random projections
MMD	maximum_mean_discrepancy(p, q)	Kernel-based, consistent against all alternatives

kNN Estimators — Density-Free Information Theory

Kozachenko & Leonenko (1987), Kraskov, Stögbauer & Grassberger (2004)

Measure	Function	Key advantage
kNN Entropy	knn_entropy(x, k=5)	Scales gracefully to high dimensions
kNN KL Divergence	knn_kl_divergence(p, q, k=5)	No density estimation needed
KSG Mutual Information	ksg_mutual_information(x, y, k=5)	Detects all dependence, linear and nonlinear

Multivariate Dependence — Beyond Pairwise

Satosi Watanabe (1960), Marina Meilă (2003)

Measure	Function	What it measures
Total Correlation	total_correlation(samples)	Total redundancy among d ≥ 2 variables
Normalized MI	normalized_mutual_information(x, y)	MI on a [0, 1] scale for comparison
Variation of Information	variation_of_information(x, y)	True metric on partitions (triangle inequality)

Causal and Temporal — The Arrow of Information

Thomas Schreiber (2000)

Measure	Function	What it detects
Transfer Entropy	transfer_entropy(source, target)	Directed information flow between time series

Score-Based Measures — Slopes Instead of Heights

R. A. Fisher (1925), Qiang Liu, Jason Lee & Michael Jordan (2016), Jackson Gorham & Lester Mackey (2017)

Measure	Function	Key advantage
Fisher Divergence	fisher_divergence(p, score_q)	Compares score functions, no normalizing constant
Kernel Stein Discrepancy	kernel_stein_discrepancy(x, score)	Goodness-of-fit without computing Z (RBF + IMQ kernels)

Optimal Transport — The Cost of Rearrangement

Marco Cuturi (2013), Aude Genevay (2018)

Measure	Function	Key advantage
Sinkhorn Divergence	sinkhorn_divergence(p, q)	Fast, differentiable optimal transport

Two-Sample Testing — Is the Difference Real?

Ronald Fisher (1930s), Arthur Gretton (2012)

Function	What it does
two_sample_test(p, q, method="mmd")	Permutation test with calibrated p-values (MMD, energy, kNN methods)

Bayesian MCMC Diagnostics — The ArviZ Companion

Dennis Lindley (1956), Andrew Gelman & Donald Rubin (1992)

Function	What it answers
information_gain(idata)	How much did the data update our beliefs?
chain_divergence(idata)	Are chains sampling the same distribution?
chain_ksd(idata, score_fn)	Have chains converged to the correct target?
chain_two_sample_test(idata)	Formal p-values for chain homogeneity
mixing_diagnostic(idata)	Has each chain reached stationarity?
bayesian_surprise(idata)	Which observations are most unexpected?
uncertainty_decomposition(idata)	How much is noise vs. parameter uncertainty?
prior_sensitivity(idata, ref)	Does the conclusion depend on the prior?
model_divergence(idata1, idata2)	How different are two models' predictions?

Works with PyMC, Stan, NumPyro, PyJAGS, emcee — any package that produces ArviZ InferenceData.

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Performance

For large-scale computations (n ≥ 5,000), energy distance, MMD, and KSD automatically use Numba JIT-compiled kernels with O(1) memory and multicore parallelism — 10-18x faster than vectorized implementations and enabling n=50,000+ (which previously exhausted memory).

Function	n=5K	n=20K	n=50K
Energy distance	21ms	276ms	1.4s
MMD	136ms	1.9s	12s
KSD	114ms	1.4s	8.6s

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Installation

pip install divergence

For Bayesian diagnostics with ArviZ:

pip install "divergence[bayesian]"

Quick Start

import numpy as np
from divergence import entropy, kl_divergence, two_sample_test

rng = np.random.default_rng(42)
p = rng.normal(0, 1, 5000)
q = rng.normal(0.5, 1.2, 5000)

# How much uncertainty?
h = entropy(p)

# How different are these distributions?
kl = kl_divergence(p, q)

# Is the difference statistically significant?
result = two_sample_test(p, q, method="energy", n_permutations=500)
print(f"p-value: {result.p_value:.4f}")

Tutorials

Six interactive notebooks form a progressive learning path, with historical narrative and visualizations throughout:

#	Notebook	Topics
1	Shannon's Foundations	Entropy, KL divergence, mutual information, the information-theoretic web
2	Beyond KL	f-divergences, Cressie-Read continuum, Rényi family
3	Distances & Testing	Wasserstein, energy, MMD, kNN estimators, permutation tests
4	Dependence & Causality	Total correlation, variation of information, transfer entropy
5	Scores & Transport	Fisher divergence, kernel Stein discrepancy, Sinkhorn
6	The Nile's Secret	End-to-end Bayesian inference with emcee — a detective story

Documentation

Full API reference and rendered tutorials at michaelnowotny.github.io/divergence.

Development

git clone https://github.com/michaelnowotny/divergence.git
cd divergence
uv venv .venv --python 3.12 && source .venv/bin/activate
uv pip install -e ".[dev]"

make test          # Run 345 tests
make lint          # Ruff check + format
make docs-serve    # Live documentation preview

References

1. Shannon, C. E. (1948). "A Mathematical Theory of Communication." Bell System Technical Journal, 27(3), 379-423.
2. Kullback, S. & Leibler, R. A. (1951). "On Information and Sufficiency." Annals of Mathematical Statistics, 22(1), 79-86.
3. Rényi, A. (1961). "On Measures of Entropy and Information." Proc. 4th Berkeley Symposium, 1, 547-561.
4. Csiszár, I. (1963). "Eine informationstheoretische Ungleichung und ihre Anwendung auf den Beweis der Ergodizitat von Markoffschen Ketten." Magyar Tud. Akad. Mat. Kutato Int. Kozl., 8, 85-108.
5. Gretton, A. et al. (2012). "A Kernel Two-Sample Test." JMLR, 13, 723-773.
6. Kraskov, A., Stögbauer, H. & Grassberger, P. (2004). "Estimating Mutual Information." Physical Review E, 69(6), 066138.
7. Gorham, J. & Mackey, L. (2017). "Measuring Sample Quality with Kernels." ICML.
8. Peyré, G. & Cuturi, M. (2019). Computational Optimal Transport. Foundations and Trends in Machine Learning.
9. Cover, T. M. & Thomas, J. A. (2006). Elements of Information Theory, 2nd edition. Wiley.

License

MIT