Optimal Quantization : Evolutionary Algorithm vs Stochastic Gradient
Moez MRAD, Sana Ben Hamida · Advances in intelligent systems research/Advances in Intelligent Systems Research · 2006
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.