CMSIS_5/CMSIS/DSP/Source/StatisticsFunctions/arm_kullback_leibler_f64.c

/* ----------------------------------------------------------------------
 * Project:      CMSIS DSP Library
 * Title:        arm_logsumexp_f64.c
 * Description:  LogSumExp
 *
 *
 * Target Processor: Cortex-M and Cortex-A cores
 * -------------------------------------------------------------------- */
/*
 * Copyright (C) 2010-2020 ARM Limited or its affiliates. All rights reserved.
 *
 * SPDX-License-Identifier: Apache-2.0
 *
 * Licensed under the Apache License, Version 2.0 (the License); you may
 * not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 *
 * www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an AS IS BASIS, WITHOUT
 * WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 */

#include "arm_math.h"
#include <limits.h>
#include <math.h>

/**
 * @addtogroup groupStats
 * @{
 */

/**
 * @brief Kullback-Leibler
 *
 * @param[in]  *pSrcA         points to an array of input values for probaility distribution A.
 * @param[in]  *pSrcB         points to an array of input values for probaility distribution B.
 * @param[in]  blockSize      number of samples in the input array.
 * @return Kullback-Leibler divergence D(A || B)
 *
 */

float64_t arm_kullback_leibler_f64(const float64_t * pSrcA, const float64_t * pSrcB, uint32_t blockSize)
{
    const float64_t *pInA, *pInB;
    uint32_t blkCnt;
    float64_t accum, pA,pB;
 
    pInA = pSrcA;
    pInB = pSrcB;
    blkCnt = blockSize;

    accum = 0.0f;

    while(blkCnt > 0)
    {
        pA = *pInA++;
        pB = *pInB++;

        accum += pA * log(pB / pA);
       
        blkCnt--;
    }

    return(-accum);
}

/**
 * @} end of groupStats group
 */