Representation of maxitive measures: an overview

Idempotent integration is an analogue of Lebesgue integration where $\sigma$-maxitive measures replace $\sigma$-additive measures. In addition to reviewing and unifying several Radon--Nikodym like theorems proven in the literature for the idempotent integral, we also prove new results of the same kind.Comment: 40 page

"The connection between distortion risk measures and ordered weighted averaging operators"

Distortion risk measures summarize the risk of a loss distribution by means of a single value. In fuzzy systems, the Ordered Weighted Averaging (OWA) and Weighted Ordered Weighted Averaging (WOWA) operators are used to aggregate a large number of fuzzy rules into a single value. We show that these concepts can be derived from the Choquet integral, and then the mathematical relationship between distortion risk measures and the OWA and WOWA operators for discrete and nite random variables is presented. This connection oers a new interpretation of distortion risk measures and, in particular, Value-at-Risk and Tail Value-at-Risk can be understood from an aggregation operator perspective. The theoretical results are illustrated in an example and the degree of orness concept is discussed.Fuzzy systems; Degree of orness; Risk quantification; Discrete random variable JEL classification:C02,C60

The Symmetric Sugeno Integral

We propose an extension of the Sugeno integral for negative numbers, in the spirit of the symmetric extension of Choquet integral, also called \Sipos\ integral. Our framework is purely ordinal, since the Sugeno integral has its interest when the underlying structure is ordinal. We begin by defining negative numbers on a linearly ordered set, and we endow this new structure with a suitable algebra, very close to the ring of real numbers. In a second step, we introduce the Möbius transform on this new structure. Lastly, we define the symmetric Sugeno integral, and show its similarity with the symmetric Choquet integral.

A Discrete Choquet Integral for Ordered Systems

A model for a Choquet integral for arbitrary finite set systems is presented. The model includes in particular the classical model on the system of all subsets of a finite set. The general model associates canonical non-negative and positively homogeneous superadditive functionals with generalized belief functions relative to an ordered system, which are then extended to arbitrary valuations on the set system. It is shown that the general Choquet integral can be computed by a simple Monge-type algorithm for so-called intersection systems, which include as a special case weakly union-closed families. Generalizing Lov\'asz' classical characterization, we give a characterization of the superadditivity of the Choquet integral relative to a capacity on a union-closed system in terms of an appropriate model of supermodularity of such capacities

Fuzzy measures and integrals in MCDA

This chapter aims at a unified presentation of various methods of MCDA based onfuzzy measures (capacity) and fuzzy integrals, essentially the Choquet andSugeno integral. A first section sets the position of the problem ofmulticriteria decision making, and describes the various possible scales ofmeasurement (difference, ratio, and ordinal). Then a whole section is devotedto each case in detail: after introducing necessary concepts, the methodologyis described, and the problem of the practical identification of fuzzy measuresis given. The important concept of interaction between criteria, central inthis chapter, is explained in details. It is shown how it leads to k-additivefuzzy measures. The case of bipolar scales leads to thegeneral model based on bi-capacities, encompassing usual models based oncapacities. A general definition of interaction for bipolar scales isintroduced. The case of ordinal scales leads to the use of Sugeno integral, andits symmetrized version when one considers symmetric ordinal scales. Apractical methodology for the identification of fuzzy measures in this contextis given. Lastly, we give a short description of some practical applications.Choquet integral; fuzzy measure; interaction; bi-capacities

An empirical study of statistical properties of Choquet and Sugeno integrals

This paper investigates the statistical properties of the Choquet and Sugeno integrals, used as multiattribute models. The investigation is done on an empirical basis, and focuses on two topics: the distribution of the output of these integrals when the input is corrupted with noise, and the robustness of these models, when they are identified using some set of learning data through some learning procedure.Choquet integral; Sugeno integral; output distribution