Intrinsic stationarity for vector quantization: foundation of dual quantization

DOI10.1137/110827041MaRDI QIDQ2903012zbMATH OpenOpenAlexFDO

Authors Gilles Pagès, Benedikt Wilbertz

Publication date 23 August 2012

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.4642

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25) Numerical quadrature and cubature formulas (65D32)

Abstract: We develop a new approach to vector quantization, which guarantees an intrinsic stationarity property that also holds, in contrast to regular quantization, for non-optimal quantization grids. This goal is achieved by replacing the usual nearest neighbor projection operator for Voronoi quantization by a random splitting operator, which maps the random source to the vertices of a triangle of $d$-simplex. In the quadratic Euclidean case, it is shown that these triangles or $d$-simplices make up a Delaunay triangulation of the underlying grid. Furthermore, we prove the existence of an optimal grid for this Delaunay -- or dual -- quantization procedure. We also provide a stochastic optimization method to compute such optimal grids, here for higher dimensional uniform and normal distributions. A crucial feature of this new approach is the fact that it automatically leads to a second order quadrature formula for computing expectations, regardless of the optimality of the underlying grid.

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