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added jensen shannon, fixe kullback leibler when P=0

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toni
2017-03-24 17:28:57 +01:00
parent 749ee0b783
commit a25ffb2ba3
2 changed files with 36 additions and 3 deletions
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28
math/divergence/JensenShannon.h Normal file
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@@ -0,0 +1,28 @@
#ifndef JENSENSHANNON_H
#define JENSENSHANNON_H
#include "KullbackLeibler.h"
#include "../../Assertions.h"
#include <string>
namespace Divergence {
template <typename Scalar> class JensenShannon {
/** Calculate the Jensen Shannon Divergece from a set of sample densities
* Info: https://en.wikipedia.org/wiki/Jensen–Shannon_divergence
* @param P is the vector containing the densities of a set of samples
* @param Q is a vector containg the densities of the same samples set then P
*/
static inline Scalar getGeneralFromSamples(Eigen::VectorXd P, Eigen::VectorXd Q, LOGMODE mode){
Eigen::VectorXd M = 0.5 * (P + Q);
return (0.5 * KullbackLeibler::getGeneralFromSamples(P, M, mode)) + (0.5 * KullbackLeibler::getGeneralFromSamples(Q, M, mode));
}
};
}
#endif // JENSENSHANNON_H

11
math/divergence/KullbackLeibler.h
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@@ -45,13 +45,18 @@ namespace Divergence {
//sum up the logarithmic difference between P and Q, also called kullback leibler...
for(int i = 0; i < P.size(); ++i){
// if both prob are near zero we assume a 0 distance since lim->0 = 0
if((P[i] == 0.0) && (Q[i] == 0.0)){
dist += 0.0;
} else {
dist += 0.0;
}
//if prob of P is 0 we also assume a 0 distance since lim->0 0 * log(0) = 0
else if ((P[i] == 0.0) && (Q[i] > 0.0)){
dist += 0.0;
} else{
// calc PQratio
if(Q[i] == 0.0){
Assert::doThrow("Division by zero is not allowed ;). TODO: What if the densities are to small?");
Assert::doThrow("Division by zero is not allowed ;).");
//PQratio = P[i] / 0.00001;
} else {
PQratio = P[i] / Q[i];