Function information::mutual::mutual_information

pub fn mutual_information(p_xy: &Array2<f64>) -> f64

Mutual Information

https://en.wikipedia.org/wiki/Mutual_information

Calculates the mutual information of a two-dimensional probability matrix

The mutual information I(X;Y) is calculated as follows:

I(X;Y) = Σ Σ p(x,y) ln [ p(x,y) / (p(x) * p(y) ]
         y x

Usage

use ndarray::Array1;
use ndarray_rand::{RandomExt, rand_distr::Uniform};
use information::{prob2d, mutual_information};
use approx::assert_relative_eq;

let c_x = Array1::random(1000, Uniform::new(0, 3));
let c_y = Array1::random(1000, Uniform::new(0, 3));

let p_xy = prob2d(&c_x, &c_y, 4, 4).unwrap();
let p_yx = prob2d(&c_y, &c_x, 4, 4).unwrap();

let i_xy = mutual_information(&p_xy);
let i_yx = mutual_information(&p_yx);

// Measures: I(X;Y) = I(Y;X)
assert_relative_eq!(i_xy, i_yx, epsilon=1e-14);