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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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Contributor : Sébastien Destercke Connect in order to contact the contributor
Submitted on : Thursday, December 13, 2007 - 11:53:04 AM
Last modification on : Tuesday, November 15, 2022 - 10:58:34 AM
Long-term archiving on: : Monday, April 12, 2010 - 7:20:47 AM


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  • HAL Id : irsn-00196687, version 1


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. ⟨irsn-00196687⟩



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