A decade of application of the Choquet and Sugeno integrals in multi-criteria decision aid

The main advances regarding the use of the Choquet and Sugeno integrals in multi-criteria decision aid over the last decade are reviewed. They concern mainly a bipolar extension of both the Choquet integral and the Sugeno integral, interesting particular submodels, new learning techniques, a better interpretation of the models and a better use of the Choquet integral in multi-criteria decision aid. Parallel to these theoretical works, the Choquet integral has been applied to many new fields, and several softwares and libraries dedicated to this model have been developed.Choquet integral, Sugeno integral, capacity, bipolarity, preferences

What attitudes to risk underlie distortion risk measure choices?

Understanding the attitude to risk implicit within a risk measure sheds some light on the way in which decision makers perceive losses. In this paper, a two-stage strategy is developed to characterize the underlying risk attitude involved in a risk evaluation, when executed by the family of distortion risk measures. First, we show that aggregation indicators defined for Choquet integrals provide information about the implicit global risk attitude of the agent. Second, an analysis of the distortion function offers a local description of the agent's stance on risk in relation to the occurrence of accumulated losses. Here, the concepts of absolute risk attitude and local risk attitude arise naturally. An example is provided to illustrate the usefulness of this strategy for characterizing risk attitudes in an insurance company

Weighted lattice polynomials of independent random variables

We give the cumulative distribution functions, the expected values, and the moments of weighted lattice polynomials when regarded as real functions of independent random variables. Since weighted lattice polynomial functions include ordinary lattice polynomial functions and, particularly, order statistics, our results encompass the corresponding formulas for these particular functions. We also provide an application to the reliability analysis of coherent systems.Comment: 14 page

A review of methods for capacity identification in Choquet integral based multi-attribute utility theory: Applications of the Kappalab R package

The application of multi-attribute utility theory whose aggregation process is based on the Choquet integral requires the prior identification of a capacity. The main approaches to capacity identification proposed in the literature are reviewed and their advantages and inconveniences are discussed. All the reviewed methods have been implemented within the Kappalab R package. Their application is illustrated on a detailed example.Multi-criteria decision aiding; Multi-attribute utility theory; Choquet integral; Free software

On the relationship between the Crescent Method and SUOWA operators

Producción CientíficaDifferent families of functions have been proposed in the literature with the purpose of simultaneously generalizing weighted means and OWA operators (see, for instance, WOWA and SUOWA operators). Recently, Jin, Mesiar, and Yager [L. Jin, R. Mesiar, and R. R. Yager, Melting probability measure with OWA operator to generate fuzzy measure: the Crescent Method, IEEE Transactions on Fuzzy Systems, in press] have introduced in the literature a new procedure called The Crescent Method to melt additive capacities with those of OWA operators. The main aim of this paper is to establish a relationship between the Crescent Method and SUOWA operators. From this relationship we give closed-form expressions for some well-known indices such as the Shapley values, the veto and favor indices, and the k-conjunctiveness and k-disjunctiveness indices.Este trabajo forma parte del proyecto de investigación: MEC-FEDER Grant ECO2016-77900-P

Fitting fuzzy measures by linear programming. Programming library fmtools

We discuss the problem of learning fuzzy measures from empirical data. Values of the discrete Choquet integral are fitted to the data in the least absolute deviation sense. This problem is solved by linear programming techniques. We consider the cases when the data are given on the numerical and interval scales. An open source programming library which facilitates calculations involving fuzzy measures and their learning from data is presented. <br /

A review of methods for capacity identification in Choquet integral based multi-attribute utility theory: Applications of the Kappalab R package

International audienceThe application of multi-attribute utility theory whose aggregation process is based on the Choquet integral requires the prior identification of a capacity. The main approaches to capacity identification proposed in the literature are reviewed and their advantages and inconveniences are discussed. All the reviewed methods have been implemented within the Kappalab R package. Their application is illustrated on a detailed example

"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

On the relationships between some games associated with SUOWA and Semi-SUOWA operators

Producción CientíficaThe construction of functions that simultaneously generalize weighted means and OWA operators is an interesting topic that has received special attention in recent years. Due to the properties they satisfy, one of the most interesting generalization are SUOWA operators, which have been widely studied in the literature. In a recent paper, a new generalization has been introduced, the Semi-SUOWA operators, which have a close relationship with SUOWA operators. The main aim of this paper is to analyze the games associated with Semi-SUOWA operators. In this respect, we give conditions under which we can guarantee the monotonicity of these games. Moreover, we establish some relationships between some games associated with SUOWA and Semi-SUOWA operators and show the pointwise convergence of certain games.Este trabajo forma parte del proyecto de investigación: MEC-FEDER Grant ECO2016- 77900-

Generalizations of weighted means and OWA operators by using unimodal weighting vectors

Producción CientíficaWeighted means and OWA operators are two families of functions well known in the literature. Given that both are specific cases of the Choquet integral, several procedures for constructing capacities that generalize simultaneously those of the weighted means and the OWA operators have been suggested in recent years. In this paper we propose two methods that allow us to address the previous issue and that provide us with a wide variety of capacities when the weighting vector associated with the OWA operator is unimodal.Este trabajo forma parte del proyecto de investigación: MEC-FEDER Grant ECO2016-77900-P