Sharp rate for the dual quantization problem

DOI10.1007/978-3-319-92420-5_11MaRDI QIDQ5126597zbMATH OpenOpenAlexFDO

Authors Gilles Pagès, Benedikt Wilbertz

Publication date 20 October 2020

Published in Séminaire de Probabilités XLIX (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1012.3441

zbMATH Keywords

Delaunay triangulationrandom quantizationZador theoremdual quantizationPierce lemma

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) (L^p)-limit theorems (60F25) Random operators and equations (aspects of stochastic analysis) (60H25) Geometric probability and stochastic geometry (60D99)

Abstract: In this paper we establish the sharp rate of the optimal dual quantization problem. The notion of dual quantization was recently introduced in the paper [8], where it was shown that, at least in an Euclidean setting, dual quantizers are based on a Delaunay triangulation, the dual counterpart of the Voronoi tessellation on which "regular" quantization relies. Moreover, this new approach shares an intrinsic stationarity property, which makes it very valuable for numerical applications. We establish in this paper the counterpart for dual quantization of the celebrated Zador theorem, which describes the sharp asymptotics for the quantization error when the quantizer size tends to infinity. The proof of this theorem relies among others on an extension of the so-called Pierce Lemma by means of a random quantization argument.

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Cites work

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(6)

• Convex order, quantization and monotone approximations of ARCH models
• Product Markovian quantization of a diffusion process with applications to finance
• Optimal Delaunay and Voronoi quantization schemes for pricing American style options
• Intrinsic stationarity for vector quantization: foundation of dual quantization
• Optimal dual quantizers of \(1 D\log \)-concave distributions: uniqueness and Lloyd like algorithm
• Quantization and martingale couplings

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