libs/qm-dsp/maths/KLDivergence.h

   1 /* -*- c-basic-offset: 4 indent-tabs-mode: nil -*-  vi:set ts=8 sts=4 sw=4: */
   2
   3 /*
   4     QM DSP Library
   5
   6     Centre for Digital Music, Queen Mary, University of London.
   7     This file copyright 2008 QMUL.
   8
   9     This program is free software; you can redistribute it and/or
  10     modify it under the terms of the GNU General Public License as
  11     published by the Free Software Foundation; either version 2 of the
  12     License, or (at your option) any later version.  See the file
  13     COPYING included with this distribution for more information.
  14 */
  15
  16 #ifndef KLDIVERGENCE_H
  17 #define KLDIVERGENCE_H
  18
  19 #include <vector>
  20
  21 using std::vector;
  22
  23 /**
  24  * Helper methods for calculating Kullback-Leibler divergences.
  25  */
  26 class KLDivergence
  27 {
  28 public:
  29     KLDivergence() { }
  30     ~KLDivergence() { }
  31
  32     /**
  33      * Calculate a symmetrised Kullback-Leibler divergence of Gaussian
  34      * models based on mean and variance vectors.  All input vectors
  35      * must be of equal size.
  36      */
  37     double distanceGaussian(const vector<double> &means1,
  38                             const vector<double> &variances1,
  39                             const vector<double> &means2,
  40                             const vector<double> &variances2);
  41
  42     /**
  43      * Calculate a Kullback-Leibler divergence of two probability
  44      * distributions.  Input vectors must be of equal size.  If
  45      * symmetrised is true, the result will be the symmetrised
  46      * distance (equal to KL(d1, d2) + KL(d2, d1)).
  47      */
  48     double distanceDistribution(const vector<double> &d1,
  49                                 const vector<double> &d2,
  50                                 bool symmetrised);
  51 };
  52
  53 #endif
  54