- #1
sisyphuss
- 1
- 0
Hi all,
I know about these facts:
1- The variance of importance weights increases in SIR (also know as the degeneracy problem).
2- It's bad (lol), because in practice, there will be a particle with high normalized weight and many particles with insignificant (normalized) weights.
But I can not really understand the meaning of increasing variance of importance weights in sequential importance sampling (SIR) well.
Can you please explain it for me? And why the high variance is bad? Also, is there any intuitive proof for that?
Thanks.
I know about these facts:
1- The variance of importance weights increases in SIR (also know as the degeneracy problem).
2- It's bad (lol), because in practice, there will be a particle with high normalized weight and many particles with insignificant (normalized) weights.
But I can not really understand the meaning of increasing variance of importance weights in sequential importance sampling (SIR) well.
Can you please explain it for me? And why the high variance is bad? Also, is there any intuitive proof for that?
Thanks.