Uniform decomposition of probability measures: quantization, clustering and rate of convergence

DOI10.1017/JPR.2018.69MaRDI QIDQ4611267zbMATH OpenOpenAlexWikidataFDO

Authors Julien Chevallier

Publication date 17 January 2019

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.02871

zbMATH Keywords

clusteringrate of convergenceWasserstein distancequantizationuniform approximation

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Inequalities; stochastic orderings (60E15) Approximations to statistical distributions (nonasymptotic) (62E17) Limit theorems in probability theory (60F99)

Abstract: The study of finite approximations of probability measures has a long history. In (Xu and Berger, 2017), the authors focus on constrained finite approximations and, in particular, uniform ones in dimension $d=1$. The present paper gives an elementary construction of a uniform decomposition of probability measures in dimension $dgeq1$. This decomposition is then used to give upper-bounds on the rate of convergence of the optimal uniform approximation error. These bounds appear to be the generalization of the ones obtained in (Xu and Berger, 2017) and to be sharp for generic probability measures.

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Cited in

(11)

• Randomized Wasserstein barycenter computation: resampling with statistical guarantees
• Curve based approximation of measures on manifolds by discrepancy minimization
• Asymptotics of one-dimensional Lévy approximations
• Best finite constrained approximations of one-dimensional probabilities
• Random bit quadrature and approximation of distributions on Hilbert spaces
• From optimal transport to discrepancy
• Approximation rate in Wasserstein distance of probability measures on the real line by deterministic empirical measures
• Designing universal causal deep learning models: The geometric (Hyper)transformer
• Random bit multilevel algorithms for stochastic differential equations
• Universal regular conditional distributions via probabilistic transformers
• Vlasov equations on digraph measures

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