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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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

langue originale	Anglais
Pages (de - à)	22-25
Nombre de pages	4
journal	Statistics and Probability Letters
Volume	104
Les DOIs	https://doi.org/10.1016/j.spl.2015.04.022
état	Publié - 1 sept. 2015

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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",

month = sep,

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doi = "10.1016/j.spl.2015.04.022",

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AU - Alfonsi, Aurélien

PY - 2015/9/1

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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.

KW - Choquet integral

KW - Lovász extension

KW - Submodular set functions

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

U2 - 10.1016/j.spl.2015.04.022

DO - 10.1016/j.spl.2015.04.022

M3 - Article

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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

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