Quasi-Monte Carlo methods for Choquet integrals

• Yumiharu Nakano ^[1]
  1. [1] Tokyo Institute of Technology

     Tokyo Institute of Technology

     Japón

     
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 287, Nº 1 (15 October 2015), 2015, págs. 63-66
• Idioma: inglés
• DOI: 10.1016/j.cam.2015.03.026
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• Resumen

  • We propose numerical integration methods for Choquet integrals where the capacities are given by distortion functions of an underlying probability measure. It relies on the explicit representation of the integrals for step functions and can be seen as quasi-Monte Carlo methods in this framework. We give bounds on the approximation errors in terms of the modulus of continuity of the integrand and the star discrepancy.