Quasi-Monte Carlo methods for Choquet integrals

被引：2
|
作者：
Nakano, Yumiharu [1 ]
机构：
[1] Tokyo Inst Technol, Meguro Ku, Tokyo, Japan
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2015年 / 287卷
关键词：
Choquet integrals; Quasi-Monte Carlo methods; Risk measures;
D O I：
10.1016/j.cam.2015.03.026
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We propose numerical integration methods for Choquet integrals where the capacities are given by distortion functions of an underlying probability measure. It relies on the explicit representation of the integrals for step functions and can be seen as quasi-Monte Carlo methods in this framework. We give bounds on the approximation errors in terms of the modulus of continuity of the integrand and the star discrepancy. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：63 / 66
页数：4
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