The KL divergence is a difference of integrals of the form
$$\begin{aligned}
I(a,b,c,d)&=\int_0^{\infty} \log\left(\frac{e^{-x/a}x^{b-1}}{a^b\Gamma(b)}\right) \frac{e^{-x/c}x^{d-1}}{c^d \Gamma(d)}\, \mathrm dx \\
&=-\frac{1}{a}\int_0^\infty \frac{x^d e^{-x/c}}{c^d\Gamma(d)}\, \mathrm dx
- \log(a^b\Gamma(b))\int_0^\infty \frac{e^{-x/c}x^{d-1}}{c^d\Gamma(d)}\, \mathrm dx\\
&\quad+ (b-1)\int_0^\infty \log(x) \frac{e^{-x/c}x^{d-1}}{c^d\Gamma(d)}\, \mathrm dx\\
&=-\frac{cd}{a}
- \log(a^b\Gamma(b))
+ (b-1)\int_0^\infty \log(x) \frac{e^{-x/c}x^{d-1}}{c^d\Gamma(d)}\,\mathrm dx
\end{aligned}$$
We just have to deal with the right hand integral, which is obtained by observing
$$\eqalign{
\frac{\partial}{\partial d}\Gamma(d) =& \frac{\partial}{\partial d}\int_0^{\infty}e^{-x/c}\frac{x^{d-1}}{c^d}\, \mathrm dx\\
=& \frac{\partial}{\partial d} \int_0^\infty e^{-x/c} \frac{(x/c)^{d-1}}{c}\, \mathrm dx\\
=&\int_0^\infty e^{-x/c}\frac{x^{d-1}}{c^d} \log\frac{x}{c} \, \mathrm dx\\
=&\int_0^{\infty}\log(x)e^{-x/c}\frac{x^{d-1}}{c^d}\, \mathrm dx - \log(c)\Gamma(d).
}$$
Whence
$$\frac{b-1}{\Gamma(d)}\int_0^{\infty} \log(x)e^{-x/c}(x/c)^{d-1}\, \mathrm dx = (b-1)\frac{\Gamma'(d)}{\Gamma(d)} + (b-1)\log(c).$$
Plugging into the preceding yields
$$I(a,b,c,d)=\frac{-cd}{a} -\log(a^b\Gamma(b))+(b-1)\frac{\Gamma'(d)}{\Gamma(d)} + (b-1)\log(c).$$
The KL divergence between $\Gamma(c,d)$ and $\Gamma(a,b)$ equals $I(c,d,c,d) - I(a,b,c,d)$, which is straightforward to assemble.
Implementation Details
Gamma functions grow rapidly, so to avoid overflow don't compute Gamma and take its logarithm: instead use the log-Gamma function that will be found in any statistical computing platform (including Excel, for that matter).
The ratio $\Gamma^\prime(d)/\Gamma(d)$ is the logarithmic derivative of $\Gamma,$ generally called $\psi,$ the digamma function. If it's not available to you, there are relatively simple ways to approximate it, as described in the Wikipedia article.
Here, to illustrate, is a direct R implementation of the formula in terms of $I$. This does not exploit an opportunity to simplify the result algebraically, which would make it a little more efficient (by eliminating a redundant calculation of $\psi$).
#
# `b` and `d` are Gamma shape parameters and
# `a` and `c` are scale parameters.
# (All, therefore, must be positive.)
#
KL.gamma <- function(a,b,c,d) {
i <- function(a,b,c,d)
- c * d / a - b * log(a) - lgamma(b) + (b-1)*(psigamma(d) + log(c))
i(c,d,c,d) - i(a,b,c,d)
}
print(KL.gamma(1/114186.3, 202, 1/119237.3, 195), digits=12)
The KL divergence is an asymmetric measure. It can be symmetrized for two distributions $F$ and $G$ by averaging or summing it, as in
$$KLD(F,G) = KL(F,G) + KL(G,F).$$
Because the formula quoted in the question clearly is symmetric, we might hypothesize that it is such a symmetrized version. Let's check:
$$
\left(\log \frac{\sigma_2}{\sigma_1} + \frac{\sigma_1^2 + (\mu_1 - \mu_2)^2}{2 \sigma_2^2} - \frac{1}{2}\right) + \left(\log \frac{\sigma_1}{\sigma_2} + \frac{\sigma_2^2 + (\mu_2 - \mu_1)^2}{2 \sigma_1^2} - \frac{1}{2}\right)$$
$$=\left(\log(\sigma_2/\sigma_1) + \log(\sigma_1/\sigma_2)\right) + \frac{\sigma_1^2}{2\sigma_2^2} + \frac{\sigma_2^2}{2\sigma_1^2} + \left(\mu_1-\mu_2\right)^2\left(\frac{1}{2\sigma_2^2}+\frac{1}{2\sigma_1^2}\right) - 1$$
The logarithms obviously cancel, which is encouraging. The appearance of the factor $\left(\frac{1}{2\sigma_2^2}+\frac{1}{2\sigma_1^2}\right)$ multiplying the term with the means motivates us to introduce a similar sum of fractions in the first part of the expression, too, so we do so perforce, compensating for the two new terms (which are both equal to $1/2$) by subtracting them again and then collecting all multiples of this factor:
$$= 0 + \frac{\sigma_1^2}{2\sigma_2^2}+\left(\frac{\sigma_1^2}{2\sigma_1^2}-\frac{1}{2}\right) + \frac{\sigma_2^2}{2\sigma_1^2} + \left(\frac{\sigma_2^2}{2\sigma_2^2} - \frac{1}{2} \right)+ \cdots$$
$$= \left(\sigma_1^2 + \sigma_2^2\right)\left(\frac{1}{2\sigma_1^2} + \frac{1}{2\sigma_2^2}\right) - 1 + \left(\mu_1-\mu_2\right)^2\left(\frac{1}{2\sigma_2^2}+\frac{1}{2\sigma_1^2}\right) - 1$$
$$ = \frac{1}{2}\left(\left(\mu_1-\mu_2\right)^2 + \left(\sigma_1^2 + \sigma_2^2\right)\right)\left(\frac{1}{\sigma_2^2}+\frac{1}{\sigma_1^2}\right) - 2.$$
That's precisely the value found in the reference: it is the sum of the two KL divergences, also known as the symmetrized divergence.
Best Answer
I think it's a typo and $a_s = a, B_s = B$. I don't know what the $\tilde\Gamma$ notation is supposed to represent.
If you set it this way, this is consistent with the equations at http://people.ee.duke.edu/~shji/papers/AL_TPAMI.pdf on page 25.