Distortion mismatch in the quantization of probability measures
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Abstract: We elucidate the asymptotics of the L^s-quantization error induced by a sequence of L^r-optimal n-quantizers of a probability distribution P on R^d when s>r. In particular we show that under natural assumptions, the optimal rate is preserved as long as s<r+d (and for every s in the case of a compactly supported distribution). We derive some applications of these results to the error bounds for quantization based quadrature formulae in numerical integration on R^d and on the Wiener space.
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Cites work
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Cited in
(26)- Limit theorems for multi-dimensional random quantizers
- Greedy vector quantization
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- New approach to greedy vector quantization
- Asymptotic uniformity of the quantization error for the Ahlfors-David probability measures
- A characterization of the optimal sets for self-similar measures with respect to the geometric mean error
- On the asymptotic uniformity of the quantization error for Moran measures on \(\mathbb{R}^1\)
- New weak error bounds and expansions for optimal quantization
- Computational methods for martingale optimal transport problems
- High-resolution product quantization for Gaussian processes under sup-norm distortion
- Quantization of probability distributions under norm-based distortion measures. II: Self-similar distributions
- When are swing options bang-bang?
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- Quantization of probability distributions under norm-based distortion measures
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- Multi-asset American options and parallel quantization
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- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
- An interpolated stochastic algorithm for quasi-linear PDEs
- UniversalLs-rate-optimality ofLr-optimal quantizers by dilatation and contraction
- Asymptotics of the quantization errors for some Markov-type measures with complete overlaps
- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
- Optimal approximation and quantisation
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