Add `KLDivergence` about torchmetrics

[SkafteNicki]

Fine by me adding it to classification.
You can use http://scipy.github.io/devdocs/generated/scipy.stats.entropy.html function. It calculates the KL-divergence if two distributions are given.

[hassiahk]

Hello @SkafteNicki, can I start working on this?

[SkafteNicki]

Yes @hassiahk, I will assign you to this issue, thank you for wanting to contribute :]
Please remember to read our contribution guidelines: https://torchmetrics.readthedocs.io/en/stable/generated/CONTRIBUTING.html and this page https://torchmetrics.readthedocs.io/en/stable/pages/implement.html#contributing-your-metric-to-torchmetrics

[hassiahk]

Sure, will take a look at them. :) Thanks @SkafteNicki

[hassiahk]

Hi @SkafteNicki,

I have seen people using this metric for regression tasks but I will be adding this to classification because we deal with probabilities and their distributions. Will that be fine?

And how do we test this metric since sklearn.metrics does not offer this metric?

[SkafteNicki]

@hassiahk how is it going here? :]

[hassiahk]

@SkafteNicki, been busy with some other work, I will create a draft PR for this, this weekend. Thanks!

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