A simple proof for the convexity of the Choquet integral

Aurélien Alfonsi

doi:10.1016/j.spl.2015.04.022

A simple proof for the convexity of the Choquet integral

Aurélien Alfonsi

Research output: Contribution to journal › Article › peer-review

Abstract

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

Original language	English
Pages (from-to)	22-25
Number of pages	4
Journal	Statistics and Probability Letters
Volume	104
DOIs	https://doi.org/10.1016/j.spl.2015.04.022
Publication status	Published - 1 Sept 2015

Keywords

Choquet integral
Lovász extension
Submodular set functions

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10.1016/j.spl.2015.04.022

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title = "A simple proof for the convexity of the Choquet integral",

abstract = "This note presents an elementary and direct proof for the convexity of the Choquet integral when the corresponding set function is submodular.",

keywords = "Choquet integral, Lov{\'a}sz extension, Submodular set functions",

author = "Aur{\'e}lien Alfonsi",

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year = "2015",

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

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KW - Lovász extension

KW - Submodular set functions

UR - https://www.scopus.com/pages/publications/84929590760

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DO - 10.1016/j.spl.2015.04.022

M3 - Article

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VL - 104

SP - 22

EP - 25

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

A simple proof for the convexity of the Choquet integral

Abstract

Keywords

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