added jensen shannon, fixe kullback leibler when P=0

math/divergence/JensenShannon.h

@@ -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