Jensen-Shannon divergence

Calculates the Jensen-Shannon divergence between two probability distributions

Description

The .zip file contains two functions naming JSDiv.m and KLDiv.m

JSDiv.m uses KLDiv.m for calculation of the KL-divergence.

For more information on the divergence you can take a look at the following:

• MATLAB release: MATLAB 7.4 (R2007a)

[Kimberly]

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
dist(isnan(dist))=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)]);
    M=log(P./Q);
    M(isnan(M))=0;
    dist = sum(P.*M,2);
end

which seems to work for me.