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Information radius : ウィキペディア英語版
Jensen–Shannon divergence
In probability theory and statistics, the JensenShannon divergence is a popular method of measuring the similarity between two probability distributions. It is also known as information radius (IRad) or total divergence to the average. It is based on the Kullback–Leibler divergence, with some notable (and useful) differences, including that it is symmetric and it is always a finite value. The square root of the Jensen–Shannon divergence is a metric often referred to as Jensen-Shannon distance.
==Definition==
Consider the set M_+^1(A) of probability distributions where A is a set provided with some σ-algebra of measurable subsets. In particular we can take A to be a finite or countable set with all subsets being measurable.
The Jensen–Shannon divergence (JSD) M_+^1(A) \times M_+^1(A) \rightarrow [0,\inftyD(P \parallel M)+\fracD(Q \parallel M)
where M=\frac(P+Q)
A more general definition, allowing for the comparison of more than two probability distributions, is:
:_(P_1, P_2, \ldots, P_n) = H\left(\sum_^n \pi_i P_i\right) - \sum_^n \pi_i H(P_i)
where \pi_1, \ldots, \pi_n are weights that are selected for the probability distributions P_1, P_2, \ldots, P_n and H(P) is the Shannon entropy for distribution P. For the two-distribution case described above,
:P_1=P, P_2=Q, \pi_1 = \pi_2 = \frac.\

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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