Greedy vector quantization

We investigate the greedy version of the $L^p$-optimal vector quantization problem for an $\mathbb{R}^d$-valued random vector $X\!\in L^p$. We show the existence of a sequence $(a_N)_{N\ge 1}$ such that $a_N$ minimizes $a\mapsto\big \|\min_{1\le i\le N-1}|X-a_i|\wedge |X-a|\big\|_{L^p}$ ($L^p$-mean quantization error at level $N$ induced by $(a_1,\ldots,a_{N-1},a)$). We show that this sequence produces $L^p$-rate optimal $N$-tuples $a^{(N)}=(a_1,\ldots,a_{_N})$ ($i.e.$ the $L^p$-mean quantization error at level $N$ induced by $a^{(N)}$ goes to $0$ at rate $N^{-\frac 1d}$). Greedy optimal sequences also satisfy, under natural additional assumptions, the distortion mismatch property: the $N$-tuples $a^{(N)}$ remain rate optimal with respect to the $L^q$-norms, $p\le q <p+d$. Finally, we propose optimization methods to compute greedy sequences, adapted from usual Lloyd's I and Competitive Learning Vector Quantization procedures, either in their deterministic (implementable when $d=1$) or stochastic versions.Comment: 31 pages, 4 figures, few typos corrected (now an extended version of an eponym paper to appear in Journal of Approximation

Quadratic optimal functional quantization of stochastic processes and numerical applications

In this paper, we present an overview of the recent developments of functional quantization of stochastic processes, with an emphasis on the quadratic case. Functional quantization is a way to approximate a process, viewed as a Hilbert-valued random variable, using a nearest neighbour projection on a finite codebook. A special emphasis is made on the computational aspects and the numerical applications, in particular the pricing of some path-dependent European options.Comment: 41 page

On optimum parameter modulation-estimation from a large deviations perspective

We consider the problem of jointly optimum modulation and estimation of a real-valued random parameter, conveyed over an additive white Gaussian noise (AWGN) channel, where the performance metric is the large deviations behavior of the estimator, namely, the exponential decay rate (as a function of the observation time) of the probability that the estimation error would exceed a certain threshold. Our basic result is in providing an exact characterization of the fastest achievable exponential decay rate, among all possible modulator-estimator (transmitter-receiver) pairs, where the modulator is limited only in the signal power, but not in bandwidth. This exponential rate turns out to be given by the reliability function of the AWGN channel. We also discuss several ways to achieve this optimum performance, and one of them is based on quantization of the parameter, followed by optimum channel coding and modulation, which gives rise to a separation-based transmitter, if one views this setting from the perspective of joint source-channel coding. This is in spite of the fact that, in general, when error exponents are considered, the source-channel separation theorem does not hold true. We also discuss several observations, modifications and extensions of this result in several directions, including other channels, and the case of multidimensional parameter vectors. One of our findings concerning the latter, is that there is an abrupt threshold effect in the dimensionality of the parameter vector: below a certain critical dimension, the probability of excess estimation error may still decay exponentially, but beyond this value, it must converge to unity.Comment: 26 pages; Submitted to the IEEE Transactions on Information Theor