Optimal quantization : evolutionary algorithm vs stochastic gradient

TitleOptimal quantization : evolutionary algorithm vs stochastic gradient
Publication TypeJournal Article
Year of Publication2006
AuthorsMoez Mrad, and Sana Ben Hamida
JournalProceedings of the 9th Joint Conference on Information Sciences

We propose a new method based on evolutionary optimization for obtaining an optimal $ L^p $-quantizer of a multidimensional random variable. First, we remind briefly the main results about quantization. Then, we present the classical gradient-based approach (this approach is well detailed in [2] and [7] for $ p=2 $) used up to now to find a “local” optimal $ L^p $-quantizer. Then, we give an algorithm that permits to deal with the problem in the evolutionary optimization framework and illustrate a numerical comparison between the proposed method and the stochastic gradient method. Finally, a numerical application to option pricing in finance is provided.

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