I have two multivariate Gaussian distributions that I would like to calculate the kl divergence between them. each is defined with a vector of mu and a vector of variance (similar to VAE  mu  and  sigma layer). What is the best way to calculate the KL between the two? Is this even doable? because I do not have the covariance matrix. If that is not doable, what if I take samples from both distributions and calculate the KL between the samplings? is that the right way of doing this? is there any build-in function for any of these calculations?