Monte Carlo Integration For Choquet Integral

Hamzeh Agahi,Hossein Mehri‐Dehnavi,Radko Mesiar

INTERNATIONAL JOURNAL OF INTELLIGENT SYSTEMS（2019）

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摘要

In this paper, a numerical Monte Carlo integration for Choquet integrals is proposed by using a generalized version of mean value theorem based on Choquet integral. In special cases, this generalization can help us to have the classical Monte Carlo integration and the mean value theorem over some unbounded regions.

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关键词

Choquet integral, mean value theorem, Monte Carlo integration, simulation

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