Function Repository Resource:

ChoquetIntegral

Compute numerically the Choquet integral of a function with respect to a probability distribution

Contributed by: Carl Woll

ResourceFunction["ChoquetIntegral"][f, dist]

gives the Choquet integral of f with respect to the probability distribution dist.

Details and Options

A Choquet integral is an integral sometimes used to denote the expected utility of a function.

The function f should be a pure function or a symbol with DownValues.

The Choquet integral of f(x)=x² with respect to a uniform distribution:

In[1]:=

Out[1]=