## Copyright (C) 2006 Muthiah Annamalai <muthiah.annamalai@uta.edu> ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 2 of the License, or ## (at your option) any later version. ## ## This program is distributed in the hope that it will be useful, ## but WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the ## GNU General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this program; If not, see <http://www.gnu.org/licenses/>. ## ## -*- texinfo -*- ## @deftypefn {Function File} {} relativeentropy (@var{p}, @var{q}) ## ## Computes the relative entropy between the 2 given pdf's. ## @code{d(@var{p} || @var{q})} is the Kullback-Leiber distance ## between 2 probability, distributions, is relative entropy. ## Not a real measure as its not symmetric. wherever infinity is ## present, we reduce it to zeros ## @end deftypefn ## @seealso{entropy, conditionalentropy} function val=relativeentropy(p,q) if nargin < 2 || size(p)~=size(q) || ~isvector(p) || ~isvector(q) error('usage: relativeentropy(p,q) of equal length'); end val=zeros(1,max(size(p))); p_by_q=p./q; p_by_q(p_by_q == inf)=0; nonzero_idx=(p_by_q > 0 ); val(nonzero_idx)= p(nonzero_idx).*log2(p_by_q(nonzero_idx)); return end %!assert(relativeentropy([0.5 0.5],[0.3 0.7]),[0.36848, -0.24271],[1e-5,1e-5]) %!

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