Computing expectations with continuous p-boxes: univariate case
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Publication:962898
DOI10.1016/J.IJAR.2009.02.004zbMATH Open1195.60027arXiv0906.1260OpenAlexW2053893191MaRDI QIDQ962898FDOQ962898
Authors: S. Destercke, Lev V. Utkin 
Publication date: 7 April 2010
Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/0906.1260
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Cited In (8)
- Computing posterior upper expectations
- On extreme points of p-boxes and belief functions
- Imprecise random variables, random sets, and Monte Carlo simulation
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