If you are only trying to heat up
one room, Electric heating will probably be cheaper than central heating.
Central heating will (Even if the other radiators are switched off) have to heat itself up and will also tend to heat other parts of the building (You might not mind this, but that wasn't the question

) Also, some of the heat generated will go straight out the flue.
ALL electricity consumed within a room will end up as heat. It matters not whether the 500 Watts comes from a PC, an electric heater, Light-bulbs, TV's, whatever and, Unlike with a central heating system, 100% of the electricity coming down the wire will go towards heating the room.
Electricity may seem more expensive per unit than Gas, but when these efficiencies are taken into consideration. Heating a
single room is probably cheaper using electricity.