Computing expectations with continuous \(p\)-boxes: univariate case (Q962898)

Given an imprecise probabilistic model over a continuous space, computing lower/upper expectations is often computationally hard to achieve, even in simple cases. Because expectations are essential in decision making and risk analysis, tractable methods to compute them are crucial in many applications involving imprecise probabilistic models. The authors concentrate on \(p\)-boxes (a simple and popular model), and on the computation of lower expectations of non-monotone functions. This paper is devoted to the univariate case, that is, where only one variable has uncertainty. The authors propose and compare two approaches: the first using general linear programming, and the second using the fact that \(p\)-boxes are special cases of random sets. They underline the complementarity of both approaches, as well as the differences.