Python function calculating the Gauss-Wasserstein distance

gauss_wasserstein.py

def wasserstein_distance_gaussian_analytical(G1, G2):
    mu1, sigma1 = G1
    mu2, sigma2 = G2
    
    diff_mean = mu1 - mu2
    squared_diff_mean = np.dot(diff_mean, diff_mean) # euclidean norm
    
    sigma1_sqrt = linalg.sqrtm(sigma1)
    sigma_product = np.dot(sigma1_sqrt, np.dot(sigma2, sigma1_sqrt))
    sigma_product_sqrt = scipy.linalg.sqrtm(sigma_product)
    
    trace_term = np.trace(sigma1 + sigma2 - 2 * sigma_product_sqrt)
    
    wasserstein_distance_sq = squared_diff_mean + trace_term
    wasserstein_distance = np.sqrt(wasserstein_distance_sq)
    # not squared anymore
    return  wasserstein_distance