function kl = cross_entropy(p, q, symmetric) % CROSS_ENTROPY Compute the Kullback-Leibler divergence between two discrete prob. distributions % kl = cross_entropy(p, q, symmetric) % % If symmetric = 1, we compute the symmetric version. Default: symmetric = 0; tiny = exp(-700); if nargin < 3, symmetric = 0; end p = p(:); q = q(:); if symmetric kl = (sum(p .* log((p+tiny)./(q+tiny))) + sum(q .* log((q+tiny)./(p+tiny))))/2; else kl = sum(p .* log((p+tiny)./(q+tiny))); end