Common-used Formula
Entropy formula of multivariate normal distribution Assume and , then the entropy is
For more details, please see https://math.stackexchange.com/questions/2029707/entropy-of-the-multivariate-gaussian . Decomposition of Matrix Cholskey decomposition, QR decomposition, LU decomposition, SVD decomposition and Jordan decomposition: see https://blog.csdn.net/mucai1/article/details/85242098 Matrix inverse trick: Assume is invertible, we can speed up the computation by Cholskey decomposition,