Computing expectations with p-boxes: two views of the same problem
Lev Vladimirovich Utkin, Sébastien Destercke · 2007
Given an imprecise probabilistic model over a con-tinuous 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 pa-per, we concentrate on p-boxes (a simple and popu-lar model), and on lower expectations computed over non-monotone functions. For various particular cases, we propose tractable methods to compute approxima-tions or exact values of these lower expectations. We found interesting to compare two approaches: the rst using general linear programming, and the second us-ing the fact that p-boxes are special cases of random sets. We underline the complementarity of both ap-proaches, as well as the dierences.