A simple proof for the convexity of the Choquet integral
Functional Analysis
2015-01-08 v1 Probability
Abstract
This note presents an elementary and direct proof for the convexity of the Choquet integral when the corresponding set function is submodular.
Cite
@article{arxiv.1501.01453,
title = {A simple proof for the convexity of the Choquet integral},
author = {Aurélien Alfonsi},
journal= {arXiv preprint arXiv:1501.01453},
year = {2015}
}