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Journal Articles Statistics and Probability Letters Year : 2015

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.

Dates and versions

hal-01101310 , version 1 (08-01-2015)

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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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