Schloss Dagstuhl - Leibniz-Zentrum fuer Informatik GmbH Schloss Dagstuhl - Leibniz-Zentrum fuer Informatik GmbH scholarly article en Luschgy, Harald; Pagès, Gilles License
when quoting this document, please refer to the following
URN: urn:nbn:de:0030-drops-1446


Functional Quantization and Entropy for Stochastic Processes



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.

BibTeX - Entry

  author =	{Harald Luschgy and Gilles Pag{\`e}s},
  title =	{Functional Quantization and Entropy for Stochastic Processes},
  booktitle =	{Algorithms and Complexity for Continuous Problems},
  year =	{2005},
  editor =	{Thomas M{\"u}ller-Gronbach and Erich Novak and Knut Petras and Joseph F. Traub},
  number =	{04401},
  series =	{Dagstuhl Seminar Proceedings},
  ISSN =	{1862-4405},
  publisher =	{Internationales Begegnungs- und Forschungszentrum f{\"u}r Informatik (IBFI), Schloss Dagstuhl, Germany},
  address =	{Dagstuhl, Germany},
  URL =		{},
  annote =	{Keywords: Functional quantization , entropy , product quantizers}

Keywords: Functional quantization , entropy , product quantizers
Seminar: 04401 - Algorithms and Complexity for Continuous Problems
Issue date: 2005
Date of publication: 2005

DROPS-Home | Fulltext Search | Imprint Published by LZI