Mercurial > hg > camir-ismir2012

view toolboxes/FullBNT-1.0.7/KPMstats/KLgauss.m @ 0:cc4b1211e677 tip

Find changesets by keywords (author, files, the commit message), revision number or hash, or revset expression.
initial commit to HG from Changeset: 646 (e263d8a21543) added further path and more save "camirversion.m"
author Daniel Wolff
date Fri, 19 Aug 2016 13:07:06 +0200
parents
children
line wrap: on
line source
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)).