Description
Compute 2-Wasserstein distance between two Gaussian distributions
Usage
Gaussian_Wd(m1, m2, S1, S2, S = NULL)
Arguments
- m1
mean of first distribution
- m2
mean of second distribution
- S1
variance of first distribution
- S2
variance of second distribution
- S
(optional) matrix of pre-computed sqrtm(sqrtm(S1) %*% S2 %*% sqrtm(S1))