(Arne Babenhauserheide)
2014-12-15: ensemble estimation: harder settings ensemble estimation: harder settings
diff --git a/examples/ensemble-estimation.w b/examples/ensemble-estimation.w --- a/examples/ensemble-estimation.w +++ b/examples/ensemble-estimation.w @@ -84,8 +84,8 @@ define x^b : append-ec (: i (length x^se define P : make-covariance-matrix-from-standard-deviations : append-ec (: i (length x^seed)) '(0.5 0.1 0.3 0.1 0.2 0.2 0.2 0.2) ;; Then generate observations -define y⁰-num 1000 -define y⁰-pos-max 1000 +define y⁰-num 3000 +define y⁰-pos-max 100 ;; At the positions where they are measured. Drawn randomly to avoid ;; giving an undue weight to later values. define y⁰-pos : list-ec (: i y⁰-num) : * (random:uniform) y⁰-pos-max @@ -115,7 +115,7 @@ x are parameters to be optimized, pos is ;; the equivalent of measured observations define y^true : list-ec (: i y⁰-pos) : H x^true i ;; now we disturb the observations with a fixed standard deviation. This assumes uncorrelated observations. -define y⁰-std 30 +define y⁰-std 50 define y⁰ : list-ec (: i y^true) : + i : * y⁰-std : random:normal ;; and define the covariance matrix. This assumes uncorrelated observations. define R : make-covariance-matrix-from-standard-deviations : list-ec (: i y⁰-num) y⁰-std