double ks_distance(const histogram<double>& sample1,const histogram<double>& sample2)
{
//let's include the whole range
double _min=std::min(sample1.min(),sample2.min());
double _max=std::max(sample1.max(),sample2.max());
double _range=_max-_min;
histogram<double> _s1(sample1);
histogram<double> _s2(sample2);
_s1.convert_to_commulative();
_s2.convert_to_commulative();
int _size=std::max(_s1.size(),_s2.size())*2;
double _bin=_range/_size;
double dist=0.0;
double v=0.0;
for(int i=0;i<_size;i++,v+=_bin)
{
double d=fabs(_s1[v]-_s2[v]);
if(d>dist) dist=d;
}
return dist;
}
double kl_distance(const histogram<double>& sample1,const histogram<double>& sample2)
{
//let's include the whole range
double _min=std::min(sample1.min(),sample2.min());
double _max=std::max(sample1.max(),sample2.max());
double _range=_max-_min;
//now we are going to iterate through samples
double distance=0.0;
int _size=std::max(sample1.size(),sample2.size());
double _bin=_range/_size;
double v=_min+_bin/2.0;
for(int i=0;i<_size;i++,v+=_bin)
{
double _P=0.0;
if(v>=sample1.min() && v<=sample1.max()) _P=sample1[v];
double _Q=0.0;
if(v>=sample2.min() && v<=sample2.max()) _Q=sample2[v];
if(_P>0.0 && _Q>0.0)//TODO: epsilon?
distance+=_P*log(_P/_Q);
}
return distance;
}
/* Add a other histogram to this one.
* Does nothing if histogram parameters ( min, max, num_buckets ) don't match.
*/
void accumulate( const histogram& other )
{
if ( min() != other.min() || max() != other.max() || data().size() != other.data().size() )
return;
for ( size_t j = 0, num_buckets = _data.size(); j < num_buckets; ++j )
_data[ j ] += other.data()[ j ];
_num_entries += other.num_entries();
}