Hi ... thanks very much for writing this code and taking the time to post it! I had some trouble in the case where at least one of the entries of P and Q are both 0. In this case the last line of KLdiv.m:
% resolving the case when P(i)==0
sets the divergence to 0, which is clearly not the case e.g. if P = [1 0 1], Q = [0 0 1].
I would suggest changing the last few lines to:
Q = Q ./repmat(sum(Q,2),[1 size(Q,2)]);
P = P ./repmat(sum(P,2),[1 size(P,2)]);
dist = sum(P.*M,2);