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Table 7 Simulation results for Example 2: 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)

R/Q

RMSE for xn,1

   

O 2

SIR

TS

   

Mean

SD

Mean

SD

Mean

SD

1

(0.05,0.1)

2.0

0.0975

0.0092

0.0731

0.0247

0.0430

0.0046

2

(0.1,0.1)

1.0

0.0975

0.0092

0.1316

0.0562

0.0600

0.0054

3

(0.2,0.1)

0.5

0.0975

0.0092

0.2421

0.1286

0.1057

0.0354

4

(0.5,0.1)

0.2

0.0975

0.0092

0.5258

0.3407

0.2066

0.0958

5

(1.0,0.1)

0.1

0.0995

0.0118

1.0438

0.6207

0.2796

0.1236

6

(0.1,1.0)

10.0

1.0819

0.1884

0.1991

0.0474

0.1832

0.0432

7

(0.2,1.0)

5.0

1.0171

0.1087

0.3268

0.0854

0.2598

0.0376

8

(0.5,1.0)

2.0

1.0537

0.1222

1.2481

0.5182

0.5583

0.1881

9

(1.0,1.0)

1.0

1.0000

0.2104

1.3098

0.4975

0.5926

0.1279