  We examine the coordinated and universal rate-efficient sampling of a subset
of correlated discrete memoryless sources followed by lossy compression of the
sampled sources. The goal is to reconstruct a predesignated subset of sources
within a specified level of distortion. The combined sampling mechanism and
rate distortion code are universal in that they are devised to perform robustly
without exact knowledge of the underlying joint probability distribution of the
sources. In Bayesian as well as nonBayesian settings, single-letter
characterizations are provided for the universal sampling rate distortion
function for fixed-set sampling, independent random sampling and memoryless
random sampling. It is illustrated how these sampling mechanisms are
successively better. Our achievability proofs bring forth new schemes for joint
source distribution-learning and lossy compression.
