Optimal quantization for piecewise uniform distributions

Abstract

Quantization for a probability distribution refers to the idea of estimating a given probability by a discrete probability supported by a finite number of points. In this paper, firstly a general approach to this process is outlined using independent random variables and ergodic maps; these give asymptotically the optimal sets of $n$-means and the $n$th quantization errors for all positive integers $n$. Secondly two piecewise uniform distributions are considered on $\mathbb R$: one with infinite number of pieces and one with finite number of pieces. For these two probability measures, we describe the optimal sets of $n$-means and the $n$th quantization errors for all $n\in \mathbb N$. It is seen that for a uniform distribution with infinite number of pieces to determine the optimal sets of $n$-means for $n\geq 2$ one needs to know an optimal set of $(n-1)$-means, but for a uniform distribution with finite number of pieces one can directly determine the optimal sets of $n$-means and the $n$th quantization errors for all $n\in \mathbb N$.