Computing expectations with p-boxes: two views of the same problem

Abstract : Given an imprecise probabilistic model over a continuous space, computing lower (upper) expectations is often computationally hard to achieve, even in simple cases. Building tractable methods to do so is thus a crucial point in applications. In this paper, we concentrate on p-boxes (a simple and popular model), and on lower expectations computed over non-monotone functions. For various particular cases, we propose tractable methods to compute approximations or exact values of these lower expectations. We found interesting to put in evidence and to 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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Communication dans un congrès
The fifth international symposium on imprecise probability: theories and applications, 2007, Prague, Czech Republic. pp.435-445, 2007
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Contributeur : Sébastien Destercke <>
Soumis le : jeudi 13 décembre 2007 - 11:53:04
Dernière modification le : mercredi 12 septembre 2018 - 17:46:02
Document(s) archivé(s) le : lundi 12 avril 2010 - 07:20:47

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  • HAL Id : irsn-00196687, version 1

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Lev Utkin, Sébastien Destercke. Computing expectations with p-boxes: two views of the same problem. The fifth international symposium on imprecise probability: theories and applications, 2007, Prague, Czech Republic. pp.435-445, 2007. 〈irsn-00196687〉

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