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PDAF_diag_effsample
This page documents the routine PDAF_diag_effsample of PDAF, which was introduced with PDAF V1.12.
This routine computes the effective sample size of a particle filter as defined in Doucet et al. 2001 p. 333.
The effective sample size is a diagnostic quantity used in particle filter. It is defined as the inverse of the sum of the squared particle filter weights:
n_eff = 1 / (Sum_i=1,N w_i^2)
where w_i is the weight of particle with index i and N is the number of particles. If all weights are identical, it is n_eff=N and a particle file analysis step will have no influence. If n_eff=1, a single particle contains all weight, such that the sample of particle collapeses.
The routine is typically called during the analysis step of a particle filter, e.g. in the analysis step of NETF and LNETF.
The interface is the following:
SUBROUTINE PDAF_diag_effsample(dim_sample, weights, n_eff)
with the following arguments:
dim_sample:integer, intent(in)
Number of particlesweights:real, intent(in), dimension(dim_sample)
Weights of the particlesn_eff:real, intent(out)
Effective sample size
