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.
Journal Articles
Statistics and Probability Letters
Year : 2015
Aurélien Alfonsi : Connect in order to contact the contributor
https://hal-enpc.archives-ouvertes.fr/hal-01101310
Submitted on : Thursday, January 8, 2015-1:00:45 PM
Last modification on : Wednesday, June 8, 2022-12:50:03 PM
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Aurélien Alfonsi. A simple proof for the convexity of the Choquet integral. Statistics and Probability Letters, 2015. ⟨hal-01101310⟩
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