Optimal quadratic quantization for numerics: the Gaussian case

From MaRDI portal
Revision as of 03:36, 7 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:4432548

DOI10.1515/156939603322663321zbMath1029.65012OpenAlexW1979253219MaRDI QIDQ4432548

Jacques Printems, Gilles Pagès

Publication date: 27 October 2003

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939603322663321




Related Items (55)

Local Distortion andμ-Mass of the Cells of One Dimensional Asymptotically Optimal QuantizersProperties and generation of representative points of the exponential distributionA forward-backward probabilistic algorithm for the incompressible Navier-Stokes equationsAn empirical analysis of scenario generation methods for stochastic optimizationOptimal Delaunay and Voronoi Quantization Schemes for Pricing American Style OptionsMonte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing MethodsOptimal Information Blending with Measurements in the L2 SphereThe Jacobi stochastic volatility modelProbabilistic optimization via approximate \(p\)-efficient points and bundle methodsOptimal quantizers for Radon random vectors in a Banach spaceA comparison of four approaches from stochastic programming for large-scale unit-commitmentConditional quantile estimation based on optimal quantization: from theory to practiceMulti-asset American options and parallel quantizationA backward Monte Carlo approach to exotic option pricingConstructive quantization: approximation by empirical measuresProduct Markovian quantization of a diffusion process with applications to financeA constructive sharp approach to functional quantization of stochastic processesCompetitive facility location with random attractivenessMinimum energy representative pointsParallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methodsLimiting behavior of the gap between the largest two representative points of statistical distributionsOn conditional cuts for stochastic dual dynamic programmingOptimal Learning in Linear Regression with Combinatorial Feature SelectionLearning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricingSome new simulations schemes for the evaluation of Feynman–Kac representationsPerformance of a Markovian neural network versus dynamic programming on a fishing control problemOptimal quantization applied to sliced inverse regressionEfficient Monte Carlo simulation for integral functionals of Brownian motionConditional quantile estimation through optimal quantizationHow to speed up the quantization tree algorithm with an application to swing optionsSampling of probability measures in the convex order by Wasserstein projectionA versatile technique for the optimal approximation of random processes by functional quantizationImproved error bounds for quantization based numerical schemes for BSDE and nonlinear filteringMULTIFRACTIONAL STOCHASTIC VOLATILITY MODELSAN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMSAverage Competitive Learning Vector QuantizationAn approximation scheme for stochastic controls in continuous timeFunctional quantization of a class of Brownian diffusions: a constructive approachIntroduction to vector quantization and its applications for numericsQuasi-Monte Carlo quadratures for multivariate smooth functionsWHEN ARE SWING OPTIONS BANG-BANG?Recursive Marginal Quantization of the Euler Scheme of a Diffusion ProcessRegularized decomposition of large scale block-structured robust optimization problemsSolving stochastic optimal control problems by a Wiener chaos approachCharacterization of probability distribution convergence in Wasserstein distance by \(L^p\)-quantization error functionNew weak error bounds and expansions for optimal quantizationOn-line quantization in nonlinear filteringAsymptotically optimal quantization schemes for Gaussian processes on Hilbert spacesPointwise Convergence of the Lloyd I Algorithm in Higher DimensionOptimal Quantization for the Pricing of Swing OptionsValuation and pricing of electricity delivery contracts: the producer's viewEstimate nothingAdaptive Robust Control under Model UncertaintyConditional hitting time estimation in a nonlinear filtering model by the Brownian bridge methodOptimal quantization methods for nonlinear filtering with discrete-time observations




Cites Work




This page was built for publication: Optimal quadratic quantization for numerics: the Gaussian case