wolffd@0: function kl = cross_entropy(p, q, symmetric)
wolffd@0: % CROSS_ENTROPY Compute the Kullback-Leibler divergence between two discrete prob. distributions
wolffd@0: % kl = cross_entropy(p, q, symmetric)
wolffd@0: %
wolffd@0: % If symmetric = 1, we compute the symmetric version. Default: symmetric = 0;
wolffd@0: 
wolffd@0: tiny = exp(-700);
wolffd@0: if nargin < 3, symmetric = 0; end
wolffd@0: p = p(:);
wolffd@0: q = q(:);
wolffd@0: if symmetric
wolffd@0:   kl  = (sum(p .* log((p+tiny)./(q+tiny))) + sum(q .* log((q+tiny)./(p+tiny))))/2;
wolffd@0: else
wolffd@0:   kl  = sum(p .* log((p+tiny)./(q+tiny)));
wolffd@0: end