Mercurial > hg > camir-aes2014
diff toolboxes/FullBNT-1.0.7/KPMstats/KLgauss.m @ 0:e9a9cd732c1e tip
first hg version after svn
| author | wolffd |
|---|---|
| date | Tue, 10 Feb 2015 15:05:51 +0000 |
| parents | |
| children |
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--- /dev/null Thu Jan 01 00:00:00 1970 +0000 +++ b/toolboxes/FullBNT-1.0.7/KPMstats/KLgauss.m Tue Feb 10 15:05:51 2015 +0000 @@ -0,0 +1,9 @@ +function kl = KLgauss(P, Q) +%The following computes D(P||Q), the KL divergence between two zero-mean +%Gaussians with covariance P and Q: +% klDiv = -0.5*(log(det(P*inv(Q))) + trace(eye(N)-P*inv(Q))); + +R = P*inv(Q); +kl = -0.5*(log(det(R))) + trace(eye(length(P))-R); + +%To get MI, just set P=cov(X,Y) and Q=blockdiag(cov(X),cov(Y)).