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//! Information theory (e.g. entropy, KL divergence, etc.).
use crate::errors::{EmptyInput, MultiInputError, ShapeMismatch};
use ndarray::{Array, ArrayBase, Data, Dimension, Zip};
use num_traits::Float;
/// Extension trait for `ArrayBase` providing methods
/// to compute information theory quantities
/// (e.g. entropy, Kullback–Leibler divergence, etc.).
pub trait EntropyExt<A, S, D>
where
S: Data<Elem = A>,
D: Dimension,
{
/// Computes the [entropy] *S* of the array values, defined as
///
/// ```text
/// n
/// S = - ∑ xᵢ ln(xᵢ)
/// i=1
/// ```
///
/// If the array is empty, `Err(EmptyInput)` is returned.
///
/// **Panics** if `ln` of any element in the array panics (which can occur for negative values for some `A`).
///
/// ## Remarks
///
/// The entropy is a measure used in [Information Theory]
/// to describe a probability distribution: it only make sense
/// when the array values sum to 1, with each entry between
/// 0 and 1 (extremes included).
///
/// The array values are **not** normalised by this function before
/// computing the entropy to avoid introducing potentially
/// unnecessary numerical errors (e.g. if the array were to be already normalised).
///
/// By definition, *xᵢ ln(xᵢ)* is set to 0 if *xᵢ* is 0.
///
/// [entropy]: https://en.wikipedia.org/wiki/Entropy_(information_theory)
/// [Information Theory]: https://en.wikipedia.org/wiki/Information_theory
fn entropy(&self) -> Result<A, EmptyInput>
where
A: Float;
/// Computes the [Kullback-Leibler divergence] *Dₖₗ(p,q)* between two arrays,
/// where `self`=*p*.
///
/// The Kullback-Leibler divergence is defined as:
///
/// ```text
/// n
/// Dₖₗ(p,q) = - ∑ pᵢ ln(qᵢ/pᵢ)
/// i=1
/// ```
///
/// If the arrays are empty, `Err(MultiInputError::EmptyInput)` is returned.
/// If the array shapes are not identical,
/// `Err(MultiInputError::ShapeMismatch)` is returned.
///
/// **Panics** if, for a pair of elements *(pᵢ, qᵢ)* from *p* and *q*, computing
/// *ln(qᵢ/pᵢ)* is a panic cause for `A`.
///
/// ## Remarks
///
/// The Kullback-Leibler divergence is a measure used in [Information Theory]
/// to describe the relationship between two probability distribution: it only make sense
/// when each array sums to 1 with entries between 0 and 1 (extremes included).
///
/// The array values are **not** normalised by this function before
/// computing the entropy to avoid introducing potentially
/// unnecessary numerical errors (e.g. if the array were to be already normalised).
///
/// By definition, *pᵢ ln(qᵢ/pᵢ)* is set to 0 if *pᵢ* is 0.
///
/// [Kullback-Leibler divergence]: https://en.wikipedia.org/wiki/Kullback%E2%80%93Leibler_divergence
/// [Information Theory]: https://en.wikipedia.org/wiki/Information_theory
fn kl_divergence<S2>(&self, q: &ArrayBase<S2, D>) -> Result<A, MultiInputError>
where
S2: Data<Elem = A>,
A: Float;
/// Computes the [cross entropy] *H(p,q)* between two arrays,
/// where `self`=*p*.
///
/// The cross entropy is defined as:
///
/// ```text
/// n
/// H(p,q) = - ∑ pᵢ ln(qᵢ)
/// i=1
/// ```
///
/// If the arrays are empty, `Err(MultiInputError::EmptyInput)` is returned.
/// If the array shapes are not identical,
/// `Err(MultiInputError::ShapeMismatch)` is returned.
///
/// **Panics** if any element in *q* is negative and taking the logarithm of a negative number
/// is a panic cause for `A`.
///
/// ## Remarks
///
/// The cross entropy is a measure used in [Information Theory]
/// to describe the relationship between two probability distributions: it only makes sense
/// when each array sums to 1 with entries between 0 and 1 (extremes included).
///
/// The array values are **not** normalised by this function before
/// computing the entropy to avoid introducing potentially
/// unnecessary numerical errors (e.g. if the array were to be already normalised).
///
/// The cross entropy is often used as an objective/loss function in
/// [optimization problems], including [machine learning].
///
/// By definition, *pᵢ ln(qᵢ)* is set to 0 if *pᵢ* is 0.
///
/// [cross entropy]: https://en.wikipedia.org/wiki/Cross-entropy
/// [Information Theory]: https://en.wikipedia.org/wiki/Information_theory
/// [optimization problems]: https://en.wikipedia.org/wiki/Cross-entropy_method
/// [machine learning]: https://en.wikipedia.org/wiki/Cross_entropy#Cross-entropy_error_function_and_logistic_regression
fn cross_entropy<S2>(&self, q: &ArrayBase<S2, D>) -> Result<A, MultiInputError>
where
S2: Data<Elem = A>,
A: Float;
private_decl! {}
}
impl<A, S, D> EntropyExt<A, S, D> for ArrayBase<S, D>
where
S: Data<Elem = A>,
D: Dimension,
{
fn entropy(&self) -> Result<A, EmptyInput>
where
A: Float,
{
if self.is_empty() {
Err(EmptyInput)
} else {
let entropy = -self
.mapv(|x| {
if x == A::zero() {
A::zero()
} else {
x * x.ln()
}
})
.sum();
Ok(entropy)
}
}
fn kl_divergence<S2>(&self, q: &ArrayBase<S2, D>) -> Result<A, MultiInputError>
where
A: Float,
S2: Data<Elem = A>,
{
if self.is_empty() {
return Err(MultiInputError::EmptyInput);
}
if self.shape() != q.shape() {
return Err(ShapeMismatch {
first_shape: self.shape().to_vec(),
second_shape: q.shape().to_vec(),
}
.into());
}
let mut temp = Array::zeros(self.raw_dim());
Zip::from(&mut temp)
.and(self)
.and(q)
.for_each(|result, &p, &q| {
*result = {
if p == A::zero() {
A::zero()
} else {
p * (q / p).ln()
}
}
});
let kl_divergence = -temp.sum();
Ok(kl_divergence)
}
fn cross_entropy<S2>(&self, q: &ArrayBase<S2, D>) -> Result<A, MultiInputError>
where
S2: Data<Elem = A>,
A: Float,
{
if self.is_empty() {
return Err(MultiInputError::EmptyInput);
}
if self.shape() != q.shape() {
return Err(ShapeMismatch {
first_shape: self.shape().to_vec(),
second_shape: q.shape().to_vec(),
}
.into());
}
let mut temp = Array::zeros(self.raw_dim());
Zip::from(&mut temp)
.and(self)
.and(q)
.for_each(|result, &p, &q| {
*result = {
if p == A::zero() {
A::zero()
} else {
p * q.ln()
}
}
});
let cross_entropy = -temp.sum();
Ok(cross_entropy)
}
private_impl! {}
}
#[cfg(test)]
mod tests {
use super::EntropyExt;
use crate::errors::{EmptyInput, MultiInputError};
use approx::assert_abs_diff_eq;
use ndarray::{array, Array1};
use noisy_float::types::n64;
use std::f64;
#[test]
fn test_entropy_with_nan_values() {
let a = array![f64::NAN, 1.];
assert!(a.entropy().unwrap().is_nan());
}
#[test]
fn test_entropy_with_empty_array_of_floats() {
let a: Array1<f64> = array![];
assert_eq!(a.entropy(), Err(EmptyInput));
}
#[test]
fn test_entropy_with_array_of_floats() {
// Array of probability values - normalized and positive.
let a: Array1<f64> = array![
0.03602474, 0.01900344, 0.03510129, 0.03414964, 0.00525311, 0.03368976, 0.00065396,
0.02906146, 0.00063687, 0.01597306, 0.00787625, 0.00208243, 0.01450896, 0.01803418,
0.02055336, 0.03029759, 0.03323628, 0.01218822, 0.0001873, 0.01734179, 0.03521668,
0.02564429, 0.02421992, 0.03540229, 0.03497635, 0.03582331, 0.026558, 0.02460495,
0.02437716, 0.01212838, 0.00058464, 0.00335236, 0.02146745, 0.00930306, 0.01821588,
0.02381928, 0.02055073, 0.01483779, 0.02284741, 0.02251385, 0.00976694, 0.02864634,
0.00802828, 0.03464088, 0.03557152, 0.01398894, 0.01831756, 0.0227171, 0.00736204,
0.01866295,
];
// Computed using scipy.stats.entropy
let expected_entropy = 3.721606155686918;
assert_abs_diff_eq!(a.entropy().unwrap(), expected_entropy, epsilon = 1e-6);
}
#[test]
fn test_cross_entropy_and_kl_with_nan_values() -> Result<(), MultiInputError> {
let a = array![f64::NAN, 1.];
let b = array![2., 1.];
assert!(a.cross_entropy(&b)?.is_nan());
assert!(b.cross_entropy(&a)?.is_nan());
assert!(a.kl_divergence(&b)?.is_nan());
assert!(b.kl_divergence(&a)?.is_nan());
Ok(())
}
#[test]
fn test_cross_entropy_and_kl_with_same_n_dimension_but_different_n_elements() {
let p = array![f64::NAN, 1.];
let q = array![2., 1., 5.];
assert!(q.cross_entropy(&p).is_err());
assert!(p.cross_entropy(&q).is_err());
assert!(q.kl_divergence(&p).is_err());
assert!(p.kl_divergence(&q).is_err());
}
#[test]
fn test_cross_entropy_and_kl_with_different_shape_but_same_n_elements() {
// p: 3x2, 6 elements
let p = array![[f64::NAN, 1.], [6., 7.], [10., 20.]];
// q: 2x3, 6 elements
let q = array![[2., 1., 5.], [1., 1., 7.],];
assert!(q.cross_entropy(&p).is_err());
assert!(p.cross_entropy(&q).is_err());
assert!(q.kl_divergence(&p).is_err());
assert!(p.kl_divergence(&q).is_err());
}
#[test]
fn test_cross_entropy_and_kl_with_empty_array_of_floats() {
let p: Array1<f64> = array![];
let q: Array1<f64> = array![];
assert!(p.cross_entropy(&q).unwrap_err().is_empty_input());
assert!(p.kl_divergence(&q).unwrap_err().is_empty_input());
}
#[test]
fn test_cross_entropy_and_kl_with_negative_qs() -> Result<(), MultiInputError> {
let p = array![1.];
let q = array![-1.];
let cross_entropy: f64 = p.cross_entropy(&q)?;
let kl_divergence: f64 = p.kl_divergence(&q)?;
assert!(cross_entropy.is_nan());
assert!(kl_divergence.is_nan());
Ok(())
}
#[test]
#[should_panic]
fn test_cross_entropy_with_noisy_negative_qs() {
let p = array![n64(1.)];
let q = array![n64(-1.)];
let _ = p.cross_entropy(&q);
}
#[test]
#[should_panic]
fn test_kl_with_noisy_negative_qs() {
let p = array![n64(1.)];
let q = array![n64(-1.)];
let _ = p.kl_divergence(&q);
}
#[test]
fn test_cross_entropy_and_kl_with_zeroes_p() -> Result<(), MultiInputError> {
let p = array![0., 0.];
let q = array![0., 0.5];
assert_eq!(p.cross_entropy(&q)?, 0.);
assert_eq!(p.kl_divergence(&q)?, 0.);
Ok(())
}
#[test]
fn test_cross_entropy_and_kl_with_zeroes_q_and_different_data_ownership(
) -> Result<(), MultiInputError> {
let p = array![0.5, 0.5];
let mut q = array![0.5, 0.];
assert_eq!(p.cross_entropy(&q.view_mut())?, f64::INFINITY);
assert_eq!(p.kl_divergence(&q.view_mut())?, f64::INFINITY);
Ok(())
}
#[test]
fn test_cross_entropy() -> Result<(), MultiInputError> {
// Arrays of probability values - normalized and positive.
let p: Array1<f64> = array![
0.05340169, 0.02508511, 0.03460454, 0.00352313, 0.07837615, 0.05859495, 0.05782189,
0.0471258, 0.05594036, 0.01630048, 0.07085162, 0.05365855, 0.01959158, 0.05020174,
0.03801479, 0.00092234, 0.08515856, 0.00580683, 0.0156542, 0.0860375, 0.0724246,
0.00727477, 0.01004402, 0.01854399, 0.03504082,
];
let q: Array1<f64> = array![
0.06622616, 0.0478948, 0.03227816, 0.06460884, 0.05795974, 0.01377489, 0.05604812,
0.01202684, 0.01647579, 0.03392697, 0.01656126, 0.00867528, 0.0625685, 0.07381292,
0.05489067, 0.01385491, 0.03639174, 0.00511611, 0.05700415, 0.05183825, 0.06703064,
0.01813342, 0.0007763, 0.0735472, 0.05857833,
];
// Computed using scipy.stats.entropy(p) + scipy.stats.entropy(p, q)
let expected_cross_entropy = 3.385347705020779;
assert_abs_diff_eq!(p.cross_entropy(&q)?, expected_cross_entropy, epsilon = 1e-6);
Ok(())
}
#[test]
fn test_kl() -> Result<(), MultiInputError> {
// Arrays of probability values - normalized and positive.
let p: Array1<f64> = array![
0.00150472, 0.01388706, 0.03495376, 0.03264211, 0.03067355, 0.02183501, 0.00137516,
0.02213802, 0.02745017, 0.02163975, 0.0324602, 0.03622766, 0.00782343, 0.00222498,
0.03028156, 0.02346124, 0.00071105, 0.00794496, 0.0127609, 0.02899124, 0.01281487,
0.0230803, 0.01531864, 0.00518158, 0.02233383, 0.0220279, 0.03196097, 0.03710063,
0.01817856, 0.03524661, 0.02902393, 0.00853364, 0.01255615, 0.03556958, 0.00400151,
0.01335932, 0.01864965, 0.02371322, 0.02026543, 0.0035375, 0.01988341, 0.02621831,
0.03564644, 0.01389121, 0.03151622, 0.03195532, 0.00717521, 0.03547256, 0.00371394,
0.01108706,
];
let q: Array1<f64> = array![
0.02038386, 0.03143914, 0.02630206, 0.0171595, 0.0067072, 0.00911324, 0.02635717,
0.01269113, 0.0302361, 0.02243133, 0.01902902, 0.01297185, 0.02118908, 0.03309548,
0.01266687, 0.0184529, 0.01830936, 0.03430437, 0.02898924, 0.02238251, 0.0139771,
0.01879774, 0.02396583, 0.03019978, 0.01421278, 0.02078981, 0.03542451, 0.02887438,
0.01261783, 0.01014241, 0.03263407, 0.0095969, 0.01923903, 0.0051315, 0.00924686,
0.00148845, 0.00341391, 0.01480373, 0.01920798, 0.03519871, 0.03315135, 0.02099325,
0.03251755, 0.00337555, 0.03432165, 0.01763753, 0.02038337, 0.01923023, 0.01438769,
0.02082707,
];
// Computed using scipy.stats.entropy(p, q)
let expected_kl = 0.3555862567800096;
assert_abs_diff_eq!(p.kl_divergence(&q)?, expected_kl, epsilon = 1e-6);
Ok(())
}
}