Create utils/information.py

utils/information.py

@@ -0,0 +1,16 @@
+import numpy as np
+
+def mutual_information(x, y, bins=30):
+    c_xy = np.histogram2d(x, y, bins)[0]
+    p_xy = c_xy / np.sum(c_xy)
+    p_x = np.sum(p_xy, axis=1)
+    p_y = np.sum(p_xy, axis=0)
+
+    mi = 0.0
+    for i in range(len(p_x)):
+        for j in range(len(p_y)):
+            if p_xy[i, j] > 0:
+                mi += p_xy[i, j] * np.log(
+                    p_xy[i, j] / (p_x[i] * p_y[j] + 1e-12)
+                )
+    return mi