matthiasm@8: function kl = cross_entropy(p, q, symmetric)
matthiasm@8: % CROSS_ENTROPY Compute the Kullback-Leibler divergence between two discrete prob. distributions
matthiasm@8: % kl = cross_entropy(p, q, symmetric)
matthiasm@8: %
matthiasm@8: % If symmetric = 1, we compute the symmetric version. Default: symmetric = 0;
matthiasm@8: 
matthiasm@8: tiny = exp(-700);
matthiasm@8: if nargin < 3, symmetric = 0; end
matthiasm@8: p = p(:);
matthiasm@8: q = q(:);
matthiasm@8: if symmetric
matthiasm@8:   kl  = (sum(p .* log((p+tiny)./(q+tiny))) + sum(q .* log((q+tiny)./(p+tiny))))/2;
matthiasm@8: else
matthiasm@8:   kl  = sum(p .* log((p+tiny)./(q+tiny)));
matthiasm@8: end