Errors bounds for finite approximations of coherent lower previsions on finite probability spaces

DOI10.1016/J.IJAR.2018.11.011MaRDI QIDQ1726342zbMATH OpenOpenAlexWikidataFDO

Authors Damjan Škulj

Publication date 20 February 2019

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.05661

zbMATH Keywords

convex polyhedroncredal setlower previsionpartially specified lower previsionquadratic programming

Mathematics Subject Classification ID

Foundations of probability theory (60A99) Reasoning under uncertainty in the context of artificial intelligence (68T37) Quadratic programming (90C20)

Abstract: Coherent lower previsions are general probabilistic models allowing incompletely specified probability distributions. However, for complete description of a coherent lower prevision -- even on finite underlying sample spaces -- an infinite number of assessments is needed in general. Therefore, they are often only described approximately by some less general models, such as coherent lower probabilities or in terms of some other finite set of constraints. The magnitude of error induced by the approximations has often been neglected in the literature, despite the fact that it can be significant, with substantial impact on consequent decisions. An apparent reason is that no widely used general method for estimating the error seems to be available at the moment. This paper provides a practically applicable method that allows calculating an upper bound for the maximal error induced by approximating a coherent lower probability with its values on a finite set of gambles. An algorithm is also provided with an estimation of its computational complexity.

Recommendations

• Approximations of coherent lower probabilities by 2-monotone capacities
• 2-monotone outer approximations of coherent lower probabilities
• Outer Approximations of Coherent Lower Probabilities Using Belief Functions
• Outer approximating coherent lower probabilities with belief functions
• On the selection of an optimal outer approximation of a coherent lower probability

Cites work

• A pivoting algorithm for convex hulls and vertex enumeration of arrangements and polyhedra
• A Survey and Comparison of Methods for Finding All Vertices of Convex Polyhedral Sets
• A survey of the theory of coherent lower previsions
• An algorithm for determining all extreme points of a convex polytope
• An improved vertex enumeration algorithm
• Approximation of convex sets by polytopes
• Coefficients of ergodicity for Markov chains with uncertain parameters
• Convex and Discrete Geometry
• Discrete time Markov chains with interval probabilities
• Efficient computation of the bounds of continuous time imprecise Markov chains
• Extreme points of coherent probabilities in finite spaces
• Extreme points of credal sets generated by 2-alternating capacities
• Extreme points of the credal sets generated by comparative probabilities
• IMPRECISE MARKOV CHAINS AND THEIR LIMIT BEHAVIOR
• Introduction to imprecise probabilities
• Lower Previsions
• On-line and off-line vertex enumeration by adjacency lists
• The quickhull algorithm for convex hulls

Cited in

(7)

• Imprecise Monte Carlo simulation and iterative importance sampling for the estimation of lower previsions
• Normal cones corresponding to credal sets of lower probabilities
• A survey of the theory of coherent lower previsions
• Marginal extension in the theory of coherent lower previsions
• Characterizing coherence, correcting incoherence
• A complete characterization of normal cones and extreme points for p-boxes
• Finite approximations to coherent choice

Describes a project that uses

Uses Software

• Qhull

This page was built for publication: Errors bounds for finite approximations of coherent lower previsions on finite probability spaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1726342)