Entropy & Rcpp

entropy_example.R

li(ggplot2)
theme_set(theme_classic())

entropy <- function(p) -sum(p * log(p))
n <- 1e6
p <- runif(n)
q <- 1 - p
z <- matrix(c(p, q), ncol = 2)
ent <- apply(z, 1, entropy)
qplot(q, ent, geom = "line") +
  xlab("Probability") +
  ylab("Entropy") +
  ggtitle("Entropy For Two Events")

# C++
apply_entropy <- rcpp_apply_generator("return -sum(x * log(x));")
bm <- bench::mark(
  base = apply(z, 1, entropy),
  rcpp = apply_entropy(z, 1)
)

summary(bm)
summary(bm, relative = TRUE)