Re: [Bayes++] Observation model for SIR scheme

[Michael S. <ma...@mi...>]

On Tuesday, 28. November 2006 21:05, Nicola Bellotto wrote:
> Hello,
> In the SIR_kalman_scheme, is it possible I have several weights much bigger
> that 1?

When you call SIR_kalman_scheme::observe() the weight for each particle is 
assigned from you Likelihood function. It is quite possible that several of 
these are much bigger then 1. For example the likelihood of a Gaussian with 
small variance near the mean will be >1.

For each subsequent SIR_kalman_scheme::observe()  the are simply the 
likelihoods multiplied together.

When SIR_kalman_scheme::update() is called the particles are resampled. First 
the cummulative sum of the weights is first computed. These are then 
normalised so the largest is 1. After resampling all weights are set to 1 
ready for the next observations.

Michael
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