`philentropy`

The laws of probability, so true in general, so fallacious in particular.

- Edward Gibbon

Information theory and statistics were beautifully fused by `Solomon Kullback`

. This fusion allowed to quantify correlations and similarities between random variables using a more sophisticated toolkit. Modern fields such as machine learning and statistical data science build upon this fusion and the most powerful statistical techniques used today are based on an information theoretic foundation.

The `philentropy`

aims to follow this tradition and therefore, it implements the most important information theory measures.

\(H(X) = -\sum\limits_{i=1}^n P(x_i) * log_b(P(x_i))\)

```
# define probabilities P(X)
<- 1:10/sum(1:10)
Prob # Compute Shannon's Entropy
H(Prob)
```

`[1] 3.103643`

\(H(X,Y) = -\sum\limits_{i=1}^n\sum\limits_{j=1}^m P(x_i, y_j) * log_b(P(x_i, y_j))\)

```
# define the joint distribution P(X,Y)
<- 1:100/sum(1:100)
P_xy # Compute Shannon's Joint-Entropy
JE(P_xy)
```

`[1] 6.372236`

\(H(Y|X) = \sum\limits_{i=1}^n\sum\limits_{j=1}^m P(x_i, y_j) * log_b( P(x_i) / P(x_i, y_j) )\)

```
# define the distribution P(X)
<- 1:10/sum(1:10)
P_x # define the distribution P(Y)
<- 1:10/sum(1:10)
P_y
# Compute Shannon's Joint-Entropy
CE(P_x, P_y)
```

`[1] 0`

\(MI(X,Y) = \sum\limits_{i=1}^n\sum\limits_{j=1}^m P(x_i, y_j) * log_b( P(x_i, y_j) / ( P(x_i) * P(y_j) )\)

```
# define the distribution P(X)
<- 1:10/sum(1:10)
P_x # define the distribution P(Y)
<- 20:29/sum(20:29)
P_y # define the joint-distribution P(X,Y)
<- 1:10/sum(1:10)
P_xy
# Compute Shannon's Joint-Entropy
MI(P_x, P_y, P_xy)
```

`[1] 3.311973`

\(KL(P || Q) = \sum\limits_{i=1}^n P(p_i) * log_2(P(p_i) / P(q_i)) = H(P, Q) - H(P)\)

where `H(P, Q)`

denotes the joint entropy of the probability distributions `P`

and `Q`

and `H(P)`

denotes the entropy of probability distribution `P`

. In case `P = Q`

then `KL(P, Q) = 0`

and in case `P != Q`

then `KL(P, Q) > 0`

.

The KL divergence is a non-symmetric measure of the directed divergence between two probability distributions P and Q. It only fulfills the positivity property of a distance metric.

Because of the relation `KL(P||Q) = H(P,Q) - H(P)`

, the Kullback-Leibler divergence of two probability distributions `P`

and `Q`

is also named `Cross Entropy`

of two probability distributions `P`

and `Q`

.

```
# Kulback-Leibler Divergence between random variables P and Q
<- 1:10/sum(1:10)
P <- 20:29/sum(20:29)
Q <- rbind(P,Q)
x
# Kulback-Leibler Divergence between P and Q using different log bases
KL(x, unit = "log2") # Default
KL(x, unit = "log")
KL(x, unit = "log10")
```

```
# KL(x, unit = "log2") # Default
Kulback-Leibler Divergence using unit 'log2'.
kullback-leibler
0.1392629
# KL(x, unit = "log")
Kulback-Leibler Divergence using unit 'log'.
kullback-leibler
0.09652967
# KL(x, unit = "log10")
Kulback-Leibler Divergence using unit 'log10'.
kullback-leibler
0.0419223
```

This function computes the `Jensen-Shannon Divergence`

`JSD(P || Q)`

between two probability distributions `P`

and `Q`

with equal weights `π_1`

= `π_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`

.

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

```
# JSD(x, unit = "log2") # Default
Jensen-Shannon Divergence using unit 'log2'.
jensen-shannon
0.03792749
# JSD(x, unit = "log")
Jensen-Shannon Divergence using unit 'log'.
jensen-shannon
0.02628933
# JSD(x, unit = "log10")
Jensen-Shannon Divergence using unit 'log10'.
jensen-shannon
0.01141731
```

Alternatively, users can specify count data.

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

```
Jensen-Shannon Divergence using unit 'log2'.
jensen-shannon
0.03792749
```

Or users can compute distances based on a probability matrix

```
# Example: Distance Matrix using JSD-Distance
<- rbind(1:10/sum(1:10), 20:29/sum(20:29), 30:39/sum(30:39))
Prob
# compute the KL matrix of a given probability matrix
<- JSD(Prob)
JSDMatrix
JSDMatrix
```

```
v1 v2 v3
v1 0.00000000 0.0379274917 0.0435852218
v2 0.03792749 0.0000000000 0.0002120578
v3 0.04358522 0.0002120578 0.0000000000
```

`Jensen-Shannon Divergence`

:JSD is non-negative.

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

JSD = 0, if and only if P = Q.

The generalized Jensen-Shannon Divergence \(gJSD_{\pi_1,...,\pi_n}(P_1, ..., P_n)\) enables distance comparisons between multiple probability distributions \(P_1,...,P_n\):

\(gJSD_{\pi_1,...,\pi_n}(P_1, ..., P_n) = H(\sum_{i = 1}^n \pi_i*P_i) - \sum_{i = 1}^n \pi_i*H(P_i)\)

where \(\pi_1,...,\pi_n\) denote the weights selected for the probability vectors \(P_1,...,P_n\) and \(H(P_i)\) denotes the Shannon Entropy of probability vector \(P_i\).

```
# generate example probability matrix for comparing three probability functions
<- rbind(1:10/sum(1:10), 20:29/sum(20:29), 30:39/sum(30:39))
Prob
# compute the Generalized JSD comparing the PS probability matrix
gJSD(Prob)
```

```
#> No weights were specified ('weights = NULL'), thus equal weights for all
#> distributions will be calculated and applied.
#> Metric: 'gJSD'; unit = 'log2'; comparing: 3 vectors (v1, ... , v3).
#> Weights: v1 = 0.333333333333333, v2 = 0.333333333333333, v3 = 0.333333333333333
[1] 0.03512892
```

As you can see, the `gJSD`

function prints out the exact number of vectors that were used to compute the generalized JSD. By default, the weights are uniformly distributed (`weights = NULL`

).

Users can also specify non-uniformly distributed weights via specifying the `weights`

argument:

```
# define probability matrix
<- rbind(1:10/sum(1:10), 20:29/sum(20:29), 30:39/sum(30:39))
Prob # compute generalized JSD with custom weights
gJSD(Prob, weights = c(0.5, 0.25, 0.25))
```

```
#> Metric: 'gJSD'; unit = 'log2'; comparing: 3 vectors (v1, ... , v3).
#> Weights: v1 = 0.5, v2 = 0.25, v3 = 0.25
[1] 0.04081969
```

Finally, users can use the argument `est.prob`

to empirically estimate probability vectors when they wish to specify count vectors as input:

```
<- 1:10
P.count <- 20:29
Q.count <- 30:39
R.count <- rbind(P.count, Q.count, R.count)
x.count gJSD(x.count, est.prob = "empirical")
```

```
#> No weights were specified ('weights = NULL'), thus equal weights for all distributions will be calculated and applied.
#> Metric: 'gJSD'; unit = 'log2'; comparing: 3 vectors (v1, ... , v3).
#> Weights: v1 = 0.333333333333333, v2 = 0.333333333333333, v3 = 0.333333333333333
[1] 0.03512892
```