New weak error bounds and expansions for optimal quantization

DOI10.1016/J.CAM.2019.112670MaRDI QIDQ2297129zbMATH OpenOpenAlexFDO

Authors V. Lemaire, Thibaut Montes, Gilles Pagès

Publication date 18 February 2020

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1903.10330

zbMATH Keywords

numerical integrationvariance reductionMonte Carlo simulationRomberg extrapolationoptimal quantizationweak error

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Distribution theory (60E99) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We propose new weak error bounds and expansion in dimension one for optimal quantization-based cubature formula for different classes of functions, such that piecewise affine functions, Lipschitz convex functions or differentiable function with piecewise-defined locally Lipschitz or $alpha$-H"older derivatives. This new results rest on the local behaviors of optimal quantizers, the $L^r$-$L^s$ distribution mismatch problem and Zador's Theorem. This new expansion supports the definition of a Richardson-Romberg extrapolation yielding a better rate of convergence for the cubature formula. An extension of this expansion is then proposed in higher dimension for the first time. We then propose a novel variance reduction method for Monte Carlo estimators, based on one dimensional optimal quantizers.

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Cited in

(6)

• Properties and generation of representative points of the exponential distribution
• Three kinds of discrete approximations of statistical multivariate distributions and their applications
• Limiting behavior of the gap between the largest two representative points of statistical distributions
• scientific article; zbMATH DE number 5968919 (Why is no real title available?)
• Root-Exponential Accuracy for Coarse Quantization of Finite Frame Expansions
• scientific article; zbMATH DE number 5521328 (Why is no real title available?)

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