1. Zoltán Szabó
  2. ITE


ITE / code / estimators / quick_tests / quick_test_CCE.m

%function [] = quick_test_CCE()
%Quick test for cross-entropy estimators: analytical expression vs estimated value as a function of the sample number. In the test, normal variables are considered.

%Copyright (C) 2013 Zoltan Szabo ("http://www.gatsby.ucl.ac.uk/~szabo/", "zoltan (dot) szabo (at) gatsby (dot) ucl (dot) ac (dot) uk")
%This file is part of the ITE (Information Theoretical Estimators) Matlab/Octave toolbox.
%ITE is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by
%the Free Software Foundation, either version 3 of the License, or (at your option) any later version.
%This software is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of
%MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.
%You should have received a copy of the GNU General Public License along with ITE. If not, see <http://www.gnu.org/licenses/>.

%clear start:
    clear all; close all;
    distr = 'normal'; %fixed
    d = 1; %dimension of the distribution
    num_of_samples_v = [100:500:12*1000]; %sample numbers used for estimation
    %estimator (of cross-entropy), base:
        cost_name = 'CE_kNN_k';
    num_of_samples_max = num_of_samples_v(end);
    L = length(num_of_samples_v);
    co = C_initialization(cost_name,1);    
    CE_hat_v = zeros(L,1); %vector of estimated cross-entropies

%distr, d -> samples (Y1,Y2), analytical formula for the cross-entropy (CE):
    switch distr
        case 'normal'
                e2 = rand(d,1);
                e1 = e2;            
            %(random) linear transformation applied to the data:
                A2 = rand(d);
                A1 = rand * A2; %(e2,A2) => (e1,A1) choice guarantees Y1<<Y2 (in practise, too)                
            %covariance matrix:
                cov1 = A1 * A1.';
                cov2 = A2 * A2.';
            %generate samples:
                Y1 = A1 * randn(d,num_of_samples_max) + repmat(e1,1,num_of_samples_max); %A1xN(0,I)+e1
                Y2 = A2 * randn(d,num_of_samples_max) + repmat(e2,1,num_of_samples_max); %A2xN(0,I)+e2
            %analytical value of cross-entropy:
                invC2 = inv(cov2);
                diffe = e1 - e2;
                CE = 1/2 * ( d*log(2*pi) + log(det(cov2)) + trace(invC2*cov1) + diffe.'*invC2*diffe );
    Tk = 0;%index of the sample number examined
    for num_of_samples = num_of_samples_v
        Tk = Tk + 1;
        CE_hat_v(Tk) = C_estimation(Y1(:,1:num_of_samples),Y2(:,1:num_of_samples),co);
    legend({'estimation','analytical value'});
    xlabel('Number of samples');