Table 4 Simulation results for Example 1: Mean and standard deviations of the RMSE for three different estimators of xn,1, namely, O2, the posterior mean based on SIR and the posterior mean based on TS
From: A weighted likelihood criteria for learning importance densities in particle filtering
Exp. no. | (Q,R) | \(\frac {R_{}}{Q_{}}\) | RMSE for xn,1 | |||||
|---|---|---|---|---|---|---|---|---|
| Â | Â | Â | O 2 | SIR | TS | |||
| Â | Â | Â | Mean | SD | Mean | SD | Mean | SD |
1 | (0.1,0.1) | 1.0 | 0.0977 | 0.0093 | 0.1260 | 0.0728 | 0.0696 | 0.0238 |
2 | (0.2,0.1) | 0.5 | 0.1048 | 0.0128 | 0.2225 | 0.1305 | 0.0665 | 0.0075 |
3 | (0.4,0.1) | 0.25 | 0.0930 | 0.0126 | 0.4081 | 0.2352 | 0.0815 | 0.0212 |
4 | (0.8,0.1) | 0.125 | 0.0985 | 0.0123 | 0.6030 | 0.3530 | 0.0872 | 0.0327 |
5 | (1.0,0.1) | 0.100 | 0.0974 | 0.0127 | 0.6848 | 0.5169 | 0.1190 | 0.0538 |
6 | (0.1,1.0) | 10.0 | 1.0290 | 0.1465 | 0.4606 | 0.2287 | 0.3164 | 0.1152 |
7 | (0.4,1.0) | 2.5 | 0.9933 | 0.1684 | 0.6965 | 0.3935 | 0.4716 | 0.1602 |