A simple proof for the convexity of the Choquet integral

DOI10.1016/J.SPL.2015.04.022MaRDI QIDQ491689zbMATH OpenOpenAlexFDO

Authors Aurélien Alfonsi

Publication date 19 August 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.01453

zbMATH Keywords

Choquet integralsubmodular set functionsLovász extension

Mathematics Subject Classification ID

Fuzzy measure theory (28E10)

Abstract: This note presents an elementary and direct proof for the convexity of the Choquet integral when the corresponding set function is submodular.

Cites work

• scientific article; zbMATH DE number 3904328 (Why is no real title available?)
• A Mazur-Orlicz type theorem for submodular set functions
• Non-additive measure and integral
• Simultaneously least favorable experiments
• Stochastic finance. An introduction in discrete time
• Subjective Probability and Expected Utility without Additivity
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Cited in

(4)

• Probability inequalities for decomposition integrals
• The convexity of \(A\) and \(B\) assures \(\text{int} A + B = \text{int}(A + B)\)
• Choquet type \(L^{1}\)-spaces of a vector capacity
• Submodular functions and rooted trees

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