skl_groups/divergences/_knn.py
def kl(Ks, dim, num_q, rhos, nus, clamp=True):
    r'''
    Estimate the KL divergence between distributions:
        \int p(x) \log (p(x) / q(x))
    using the kNN-based estimator (5) of
        Qing Wang, Sanjeev R Kulkarni, and Sergio Verdu (2009).
        Divergence Estimation for Multidimensional Densities Via
        k-Nearest-Neighbor Distances.
        IEEE Transactions on Information Theory.
        http://www.ee.princeton.edu/~verdu/reprints/WanKulVer.May2009.pdf
    which is:
        d * 1/n \sum \log (nu_k(i) / rho_k(i)) + log(m / (n - 1))

    If clamp, enforces KL >= 0.

    Returns an array of shape (num_Ks,).
    '''
    est = dim * np.mean(np.log(nus) - np.log(rhos), axis=0)
    est += np.log(num_q / (rhos.shape[0] - 1))
    if clamp:
        np.maximum(est, 0, out=est)
    return est
def kl(Ks, dim, num_q, rhos, nus, clamp=True):
    r'''
    Estimate the KL divergence between distributions:
        \int p(x) \log (p(x) / q(x))
    using the kNN-based estimator (5) of
        Qing Wang, Sanjeev R Kulkarni, and Sergio Verdu (2009).
        Divergence Estimation for Multidimensional Densities Via
        k-Nearest-Neighbor Distances.
        IEEE Transactions on Information Theory.
        http://www.ee.princeton.edu/~verdu/reprints/WanKulVer.May2009.pdf
    which is:
        d * 1/n \sum \log (nu_k(i) / rho_k(i)) + log(m / (n - 1))

    If clamp, enforces KL >= 0.

    Returns an array of shape (num_Ks,).
    '''
    est = dim * np.mean(np.log(nus) - np.log(rhos), axis=0)
    est += np.log(num_q / (rhos.shape[0] - 1))
    if clamp:
        np.maximum(est, 0, out=est)
    return est
def kl ( Ks , dim , num_q , rhos , nus , clamp = True ) : est = dim * np . mean ( np . log ( nus ) - np . log ( rhos ) , axis = 0 ) est += np . log ( num_q / ( rhos . shape [ 0 ] - 1 ) ) if clamp : np . maximum ( est , 0 , out = est ) return est
r'''
    Estimate the KL divergence between distributions:
        \int p(x) \log (p(x) / q(x))
    using the kNN-based estimator (5) of
        Qing Wang, Sanjeev R Kulkarni, and Sergio Verdu (2009).
        Divergence Estimation for Multidimensional Densities Via
        k-Nearest-Neighbor Distances.
        IEEE Transactions on Information Theory.
        http://www.ee.princeton.edu/~verdu/reprints/WanKulVer.May2009.pdf
    which is:
        d * 1/n \sum \log (nu_k(i) / rho_k(i)) + log(m / (n - 1))

    If clamp, enforces KL >= 0.

    Returns an array of shape (num_Ks,).
r Estimate the KL divergence between distributions : \ int p ( x ) \ log ( p ( x ) / q ( x )) using the kNN - based estimator ( 5 ) of Qing Wang Sanjeev R Kulkarni and Sergio Verdu ( 2009 ) . Divergence Estimation for Multidimensional Densities Via k - Nearest - Neighbor Distances . IEEE Transactions on Information Theory . http : // www . ee . princeton . edu / ~verdu / reprints / WanKulVer . May2009 . pdf which is : d * 1 / n \ sum \ log ( nu_k ( i ) / rho_k ( i )) + log ( m / ( n - 1 ))