Computing expectations with continuous p-boxes: univariate case

DOI10.1016/J.IJAR.2009.02.004MaRDI QIDQ962898zbMATH OpenOpenAlexFDO

Authors S. Destercke, Lev V. Utkin

Publication date 7 April 2010

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

Full work available at URL https://arxiv.org/abs/0906.1260

zbMATH Keywords

linear programmingrandom setsexpectations\(p\)-boxes

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Linear programming (90C05)

Abstract: 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. We 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. We 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. We underline the complementarity of both approaches, as well as the differences.

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Cited in

(8)

• A probabilistic representation method for interval uncertainty
• Computing posterior upper expectations
• On extreme points of p-boxes and belief functions
• Imprecise random variables, random sets, and Monte Carlo simulation
• Imprecise expectations for imprecise linear filtering
• Incremental discriminant analysis on interval-valued parameters for emitter identification
• Probability boxes on totally preordered spaces for multivariate modelling
• Reliability sensitivity analysis for structural systems in interval probability form

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