A versatile technique for the optimal approximation of random processes by functional quantization

DOI10.1016/J.AMC.2015.09.044MaRDI QIDQ1732258zbMATH OpenOpenAlexFDO

Authors Manuel Miranda, Paolo Bocchini

Publication date 22 March 2019

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2015.09.044

zbMATH Keywords

centroidal Voronoi tessellationfunctional quantizationLloyd's methodMonte Carlo simulationrandom process

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) General second-order stochastic processes (60G12) Gaussian processes (60G15)

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Cited in

(8)

• \(H_\infty\) and \(l_2 - l_\infty\) finite-horizon filtering with randomly occurring gain variations and quantization effects
• Functional quantization-based stratified sampling methods
• Data-driven stochastic inversion via functional quantization
• Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces
• Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications
• On the quantum and randomized approximation of linear functionals on function spaces
• A constructive sharp approach to functional quantization of stochastic processes
• Improved algorithm for the optimal quantization of single- and multivariate random functions

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