R/KLdivmix.R

In RBesT: R Bayesian Evidence Synthesis Tools

## Kullback-Leibler distance between mixtures
KLdivmix <- function(mixRef, mixTest) {
  interval <- support(mixRef)
  if (!all(interval == support(mixRef))) {
    warning("Support of mixRef and mixTest do not match.")
  }
  ## note: setting stop.on.error to FALSE manages to avoid boundary
  ## value issues
  integrate(
    function(x) {
      dmix(mixRef, x) *
        (dmix(mixRef, x, log = TRUE) - dmix(mixTest, x, log = TRUE))
    },
    interval[1],
    interval[2],
    stop.on.error = FALSE
  )$value
}