The Target-Based Utility Model. The role of Copulas and of Non-Additive Measures

My studies and my Ph.D. thesis deal with topics that recently emerged in the field of decisions under risk and uncertainty. In particular, I deal with the "target-based approach" to utility theory. A rich literature has been devoted in the last decade to this approach to economic decisions: originally, interest had been focused on the "single-attribute" case and, more recently, extensions to "multi-attribute" case have been studied. This literature is still growing, with a main focus on applied aspects. I will, on the contrary, focus attention on some aspects of theoretical type, related with the multi-attribute case. Various mathematical concepts, such as non-additive measures, aggregation functions, multivariate probability distributions, and notions of stochastic dependence emerge in the formulation and the analysis of target-based models. Notions in the field of non-additive measures and aggregation functions are quite common in the modern economic literature. They have been used to go beyond the classical principle of maximization of expected utility in decision theory. These notions, furthermore, are used in game theory and multi-criteria decision aid. Along my work, on the contrary, I show how non-additive measures and aggregation functions emerge in a natural way in the frame of the target-based approach to classical utility theory, when considering the multi-attribute case. Furthermore they combine with the analysis of multivariate probability distributions and with concepts of stochastic dependence. The concept of copula also constitutes a very important tool for this work, mainly for two purposes. The first one is linked to the analysis of target-based utilities, the other one is in the comparison between classical stochastic order and the concept of "stochastic precedence". This topic finds its application in statistics as well as in the study of Markov Models linked to waiting times to occurrences of words in random sampling of letters from an alphabet. In this work I give a generalization of the concept of stochastic precedence and we discuss its properties on the basis of properties of the connecting copulas of the variables. Along this work I also trace connections to reliability theory, whose aim is studying the lifetime of a system through the analysis of the lifetime of its components. The target-based model finds an application in representing the behavior of the whole system by means of the interaction of its components

The Target-Based Utility Model. The role of Copulas and of Non-Additive Measures

My studies and my Ph.D. thesis deal with topics that recently emerged in the field of decisions under risk and uncertainty. In particular, I deal with the "target-based approach" to utility theory. A rich literature has been devoted in the last decade to this approach to economic decisions: originally, interest had been focused on the "single-attribute" case and, more recently, extensions to "multi-attribute" case have been studied. This literature is still growing, with a main focus on applied aspects. I will, on the contrary, focus attention on some aspects of theoretical type, related with the multi-attribute case. Various mathematical concepts, such as non-additive measures, aggregation functions, multivariate probability distributions, and notions of stochastic dependence emerge in the formulation and the analysis of target-based models. Notions in the field of non-additive measures and aggregation functions are quite common in the modern economic literature. They have been used to go beyond the classical principle of maximization of expected utility in decision theory. These notions, furthermore, are used in game theory and multi-criteria decision aid. Along my work, on the contrary, I show how non-additive measures and aggregation functions emerge in a natural way in the frame of the target-based approach to classical utility theory, when considering the multi-attribute case. Furthermore they combine with the analysis of multivariate probability distributions and with concepts of stochastic dependence. The concept of copula also constitutes a very important tool for this work, mainly for two purposes. The first one is linked to the analysis of target-based utilities, the other one is in the comparison between classical stochastic order and the concept of "stochastic precedence". This topic finds its application in statistics as well as in the study of Markov Models linked to waiting times to occurrences of words in random sampling of letters from an alphabet. In this work I give a generalization of the concept of stochastic precedence and we discuss its properties on the basis of properties of the connecting copulas of the variables. Along this work I also trace connections to reliability theory, whose aim is studying the lifetime of a system through the analysis of the lifetime of its components. The target-based model finds an application in representing the behavior of the whole system by means of the interaction of its components

Measure and integral with purely ordinal scales

We develop a purely ordinal model for aggregation functionals for lattice valued functions, comprising as special cases quantiles, the Ky Fan metric and the Sugeno integral. For modeling findings of psychological experiments like the reflection effect in decision behaviour under risk or uncertainty, we introduce reflection lattices. These are complete linear lattices endowed with an order reversing bijection like the reflection at $0$ on the real interval $[-1,1]$. Mathematically we investigate the lattice of non-void intervals in a complete linear lattice, then the class of monotone interval-valued functions and

A Fairness Relation Based on the Asymmetric Choquet Integral and Its Application in Network Resource Allocation Problems

The recent problem of network resource allocation is studied where pairs of users could be in a favourable situation, given that the allocation scheme is refined by some add-on technology. The general question here is whether the additional effort can be effective with regard to the user’s experience of fairness. The computational approach proposed in this paper to handle this question is based on the framework of relational optimization. For representing different weightings for different pairs of users, the use of a fuzzy measure appears to be reasonable. The generalized Choquet integrals are discussed from the viewpoint of representing fairness and it is concluded that the asymmetric Choquet integral is the most suitable approach. A binary relation using the asymmetric Choquet integral is proposed. In case of a supermodular fuzzy measure, this is a transitive and cycle-free relation. The price of fairness with regard to a wireless channel allocation problem taking channel interference into account is experimentally studied and it can be seen that the asymmetric on relation actually selects allocations that perform on average between maxmin fairness and proportional fairness, and being more close to maxmin fairness as long as channel interference is not high

Use of aggregation functions in decision making

A key component of many decision making processes is the aggregation step, whereby a set of numbers is summarised with a single representative value. This research showed that aggregation functions can provide a mathematical formalism to deal with issues like vagueness and uncertainty, which arise naturally in various decision contexts

Estructura Combinatoria de Politopos asociados a Medidas Difusas

Tesis inédita de la Universidad Complutense de Madrid, Facultad de Ciencias Matemáticas, leída el 23-11-2020This PhD thesis is devoted to the study of geometric and combinatorial aspects of polytopes associated to fuzzy measures. Fuzzy measures are an essential tool, since they generalize the concept of probability. This greater generality allows applications to be developed in various elds, from the Decision Theory to the Game Theory. The set formed by all fuzzy measures on a referential set is a polytope. In the same way, many of the most relevant subfamilies of fuzzy measures are also polytopes. Studying the combinatorial structure of these polytopes arises as a natural problem that allows us to better understand the properties of the associated fuzzy measures. Knowing the combinatorial structure of these polytopes helps us to develop algorithms to generate points uniformly at random inside these polytopes. Generating points uniformly inside a polytope is a complex problem from both a theoretical and a computational point of view. Having algorithms that allow us to sample uniformly in polytopes associated to fuzzy measures allows us to solve many problems, among them the identi cation problem, i.e. estimate the fuzzy measure that underlies an observed data set...La presente tesis doctoral esta dedicada al estudio de distintas propiedades geometricas y combinatorias de politopos de medidas difusas. Las medidas difusas son una herramienta esencial puesto que generalizan el concepto de probabilidad. Esta mayor generalidad permite desarrollar aplicaciones en diversos campos, desde la Teoría de la Decision a laTeoría de Juegos. El conjunto formado por todas las medidas difusas sobre un referencial tiene estructura de politopo. De la misma forma, la mayora de las subfamilias mas relevantes de medidas difusas son tambien politopos. Estudiar la estructura combinatoria de estos politopos surge como un problema natural que nos permite comprender mejor las propiedades delas medidas difusas asociadas. Conocer la estructura combinatoria de estos politopos tambien nos ayuda a desarrollar algoritmos para generar aleatoria y uniformemente puntos dentro de estos politopos. Generar puntos de forma uniforme dentro de un politopo es un problema complejo desde el punto de vista tanto teorico como computacional. Disponer de algoritmos que nos permitan generar uniformemente en politopos asociados a medidas difusas nos permite resolver muchos problemas, entre ellos el problema de identificacion que trata de estimarla medida difusa que subyace a un conjunto de datos observado...Fac. de Ciencias MatemáticasTRUEunpu