New weak error bounds and expansions for optimal quantization

DOI10.1016/J.CAM.2019.112670zbMATH Open1493.65012arXiv1903.10330OpenAlexW2994715412MaRDI QIDQ2297129FDOQ2297129

Gilles Pagès, Thibaut Montes, V. Lemaire

Publication date: 18 February 2020

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

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.

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

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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)

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Cited In (6)

• Properties and generation of representative points of the exponential distribution
• Title not available (Why is that?)
• Root-Exponential Accuracy for Coarse Quantization of Finite Frame Expansions
• Three kinds of discrete approximations of statistical multivariate distributions and their applications
• Title not available (Why is that?)
• Limiting behavior of the gap between the largest two representative points of statistical distributions

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