function z = relatEntropy (x, y) % Compute relative entropy (a.k.a KL divergence) z=KL(p(x)||p(y)) of two discrete variables x and y. % Input: % x, y: two integer vector of the same length % Output: % z: relative entropy (a.k.a KL divergence) z=KL(p(x)||p(y)) % Written by Mo Chen (sth4nth@gmail.com). assert(numel(x) == numel(y)); n = numel(x); x = reshape(x,1,n); y = reshape(y,1,n); l = min(min(x),min(y)); x = x-l+1; y = y-l+1; k = max(max(x),max(y)); idx = 1:n; Mx = sparse(idx,x,1,n,k,n); My = sparse(idx,y,1,n,k,n); Px = nonzeros(mean(Mx,1)); Py = nonzeros(mean(My,1)); z = -dot(Px,log2(Py)-log2(Px)); z = max(0,z);