An optimal approximation of discrete random variables with respect to the Kolmogorov distance

Abstract: We present an algorithm that takes a discrete random variable $X$ and a number $m$ and computes a random variable whose support (set of possible outcomes) is of size at most $m$ and whose Kolmogorov distance from $X$ is minimal. In addition to a formal theoretical analysis of the correctness and of the computational complexity of the algorithm, we present a detailed empirical evaluation that shows how the proposed approach performs in practice in different applications and domains.