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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.


Basic Examples (1) 

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

ResourceFunction["ChoquetIntegral"][#^2 &, UniformDistribution[]]


Carl Woll

Version History

  • 1.0.0 – 16 October 2019

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