Limited delay lossy coding schemes are considered for individual sequences. We address the problem of tracking the best code (from a given reference class) which is adaptively matched to the source sequence with piecewise different behavior. A general randomized algorithm is presented which can perform, on any source sequence, asymptotically as well as the best combined coding scheme matched to the sequence that is allowed to change the employed code (from a finite reference class of limited

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... ay codes) several times during the coding procedure. In particular, a low complexity algorithm is presented for the special case where the reference class is the set of scalar quantizers.