qm-dsp  1.8
KLDivergence.cpp
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1 /* -*- c-basic-offset: 4 indent-tabs-mode: nil -*- vi:set ts=8 sts=4 sw=4: */
2 
3 /*
4  QM DSP Library
5 
6  Centre for Digital Music, Queen Mary, University of London.
7  This file copyright 2008 QMUL
8 
9  This program is free software; you can redistribute it and/or
10  modify it under the terms of the GNU General Public License as
11  published by the Free Software Foundation; either version 2 of the
12  License, or (at your option) any later version. See the file
13  COPYING included with this distribution for more information.
14 */
15 
16 #include "KLDivergence.h"
17 
18 #include <cmath>
19 
20 double KLDivergence::distanceGaussian(const vector<double> &m1,
21  const vector<double> &v1,
22  const vector<double> &m2,
23  const vector<double> &v2)
24 {
25  int sz = m1.size();
26 
27  double d = -2.0 * sz;
28  double small = 1e-20;
29 
30  for (int k = 0; k < sz; ++k) {
31 
32  double kv1 = v1[k] + small;
33  double kv2 = v2[k] + small;
34  double km = (m1[k] - m2[k]) + small;
35 
36  d += kv1 / kv2 + kv2 / kv1;
37  d += km * (1.0 / kv1 + 1.0 / kv2) * km;
38  }
39 
40  d /= 2.0;
41 
42  return d;
43 }
44 
45 double KLDivergence::distanceDistribution(const vector<double> &d1,
46  const vector<double> &d2,
47  bool symmetrised)
48 {
49  int sz = d1.size();
50 
51  double d = 0;
52  double small = 1e-20;
53 
54  for (int i = 0; i < sz; ++i) {
55  d += d1[i] * log10((d1[i] + small) / (d2[i] + small));
56  }
57 
58  if (symmetrised) {
59  d += distanceDistribution(d2, d1, false);
60  }
61 
62  return d;
63 }
64 
double distanceDistribution(const vector< double > &d1, const vector< double > &d2, bool symmetrised)
Calculate a Kullback-Leibler divergence of two probability distributions.
double distanceGaussian(const vector< double > &means1, const vector< double > &variances1, const vector< double > &means2, const vector< double > &variances2)
Calculate a symmetrised Kullback-Leibler divergence of Gaussian models based on mean and variance vec...