title: |
Optimal Quantization : Evolutionary Algorithm vs Stochastic Gradient |
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publication: |
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part of series: |
Advances in Intelligent Systems Research | |
ISBN: |
978-90-78677-01-7 | |
ISSN: |
1951-6851 | |
DOI: |
doi:10.2991/jcis.2006.161 (how to use a DOI) | |
author(s): |
Moez MRAD, Sana BEN HAMIDA |
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corresponding author: |
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publication date: |
October 2006 |
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keywords: |
Evolutionary Optimization , Stochastic Gradient, Quantization |
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abstract: |
We propose a new method based on evolutionary optimization for obtaining an optimal Lp-quantizer of a multidimensional random variable. First, we remind briefly the main results about quantization. Then, we present the classical gradient-based approach used up to now to find a “local” optimal Lp-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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copyright: |
©
Atlantis Press. This article is distributed under the
terms of the Creative Commons Attribution License, which permits
non-commercial use, distribution and reproduction in any medium,
provided the original work is properly cited. |
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full text: |