A simple proof for the convexity of the Choquet integral

DOI10.1016/J.SPL.2015.04.022zbMATH Open1320.28024arXiv1501.01453OpenAlexW2952529896MaRDI QIDQ491689FDOQ491689

Authors: Aurélien Alfonsi 

Publication date: 19 August 2015

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

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

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

zbMATH Keywords

Choquet integral[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Lov%EF%BF%BD%EF%BF%BDsz+extension&go=Go Lov��sz extension]submodular set functions

Mathematics Subject Classification ID

Fuzzy measure theory (28E10)

Cites Work

• Non-additive measure and integral
• Subjective Probability and Expected Utility without Additivity
• Title not available (Why is that?)
• Stochastic finance. An introduction in discrete time
• Theory of capacities
• Theory of decision under uncertainty
• A Mazur-Orlicz type theorem for submodular set functions
• Simultaneously least favorable experiments

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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