DagSemProc.04401.4.pdf
- Filesize: 294 kB
- 15 pages
Document
Functional Quantization and Entropy for Stochastic Processes
Authors
-
Part of:
Volume:
Dagstuhl Seminar Proceedings, Volume 4401
Series: Dagstuhl Seminar Proceedings (DagSemProc) - License:
Creative Commons Attribution 4.0 International license
- Publication Date: 2005-04-19
Cite As Get BibTex
Harald Luschgy and Gilles Pagès. Functional Quantization and Entropy for Stochastic Processes. In Algorithms and Complexity for Continuous Problems. Dagstuhl Seminar Proceedings, Volume 4401, pp. 1-15, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2005)
https://doi.org/10.4230/DagSemProc.04401.4
Abstract
Let X be a Gaussian process and let U denote the Strassen ball of X. A precise link between the L^2-quantization error of X and the Kolmogorov (metric) entropy of U in a Hilbert space setting is established. In particular, the sharp asymptotics of the Kolmogorov entropy problem is derived. The condition imposed is regular variation of the eigenvalues of the covariance operator. Good computable quantizers for Gaussian and diffusion processes and their numerical efficieny are discussed. This is joint work with G. Pagès, Université de Paris 6.
Subject Classification
Keywords
- Functional quantization
- entropy
- product quantizers
Metrics
- Access Statistics
-
Total Accesses (updated on a weekly basis)
0PDF Downloads