HMM & HMM: Get cross-entropy...

Calculates the cross-entropy between the two selected HMM models based on observation sequences.

Settings

Observation length
defines the number of observations that have to generated.
Symmetric
defines whether the symmetric formula is used in the calculation.

Algorithm

The cross-entropy is a measure of the distance between two models λ1 and λ2. It is defined as

D(λ1,λ2) = 1/N (log p(O2|λ1) - log p(O2|λ2)),

where O2 is an observation sequence of length N generated by model λ2.

The symmetrized version is:

Ds(λ1,λ2) = (D(λ1,λ2) + D(λ2,λ1))/2.

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© djmw 20101017