JSD: Jensen-Shannon Divergence

In HajkD/philentropy: Similarity and Distance Quantification Between Probability Functions

Jensen-Shannon Divergence

Description

This function computes a distance matrix or distance value based on the Jensen-Shannon Divergence with equal weights.

Usage

JSD(x, test.na = TRUE, unit = "log2", est.prob = NULL)

Arguments

x	a numeric data.frame or matrix (storing probability vectors) or a numeric data.frame or matrix storing counts (if est.prob = TRUE). See distance for details.
test.na	a boolean value specifying whether input vectors shall be tested for NA values.
unit	a character string specifying the logarithm unit that shall be used to compute distances that depend on log computations.
est.prob	method to estimate probabilities from input count vectors such as non-probability vectors. Default: est.prob = NULL. Options are: est.prob = "empirical": The relative frequencies of each vector are computed internally. For example an input matrix rbind(1:10, 11:20) will be transformed to a probability vector rbind(1:10 / sum(1:10), 11:20 / sum(11:20))

Details

Function to compute the Jensen-Shannon Divergence JSD(P || Q) between two probability distributions P and Q with equal weights \pi_1 = \pi_2 = 1/2.

The Jensen-Shannon Divergence JSD(P || Q) between two probability distributions P and Q is defined as:

JSD(P || Q) = 0.5 * (KL(P || R) + KL(Q || R))

where R = 0.5 * (P + Q) denotes the mid-point of the probability vectors P and Q, and KL(P || R), KL(Q || R) denote the Kullback-Leibler Divergence of P and R, as well as Q and R.

General properties of the Jensen-Shannon Divergence:

• 1) JSD is non-negative.

• 2) JSD is a symmetric measure JSD(P || Q) = JSD(Q || P).

• 3) JSD = 0, if and only if P = Q.

Value

a distance value or matrix based on JSD computations.

Author(s)

Hajk-Georg Drost

References

Lin J. 1991. "Divergence Measures Based on the Shannon Entropy". IEEE Transactions on Information Theory. (33) 1: 145-151.

Endres M. and Schindelin J. E. 2003. "A new metric for probability distributions". IEEE Trans. on Info. Thy. (49) 3: 1858-1860.

See Also

KL, H, CE, gJSD, distance

Examples

# Jensen-Shannon Divergence between P and Q
P <- 1:10/sum(1:10)
Q <- 20:29/sum(20:29)
x <- rbind(P,Q)
JSD(x)

# Jensen-Shannon Divergence between P and Q using different log bases
JSD(x, unit = "log2") # Default
JSD(x, unit = "log")
JSD(x, unit = "log10")

# Jensen-Shannon Divergence Divergence between count vectors P.count and Q.count
P.count <- 1:10
Q.count <- 20:29
x.count <- rbind(P.count,Q.count)
JSD(x.count, est.prob = "empirical")

# Example: Distance Matrix using JSD-Distance

Prob <- rbind(1:10/sum(1:10), 20:29/sum(20:29), 30:39/sum(30:39))

# compute the KL matrix of a given probability matrix
JSDMatrix <- JSD(Prob)

# plot a heatmap of the corresponding JSD matrix
heatmap(JSDMatrix)

HajkD/philentropy documentation built on Feb. 20, 2024, 8:18 p.m.