Which Distributions (or Families of Distributions) Best Represent Interval Uncertainty: Case of Permutation-Invariant Criteria



Beer, Michael ORCID: 0000-0002-0611-0345, Urenda, Julio, Kosheleva, Olga ORCID: 0000-0003-2587-4209 and Kreinovich, Vladik ORCID: 0000-0002-1244-1650
(2020) Which Distributions (or Families of Distributions) Best Represent Interval Uncertainty: Case of Permutation-Invariant Criteria. .

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Abstract

In many practical situations, we only know the interval containing the quantity of interest, we have no information about the probabilities of different values within this interval. In contrast to the cases when we know the distributions and can thus use Monte-Carlo simulations, processing such interval uncertainty is difficult – crudely speaking, because we need to try all possible distributions on this interval. Sometimes, the problem can be simplified: namely, for estimating the range of values of some characteristics of the distribution, it is possible to select a single distribution (or a small family of distributions) whose analysis provides a good understanding of the situation. The most known case is when we are estimating the largest possible value of Shannon’s entropy: in this case, it is sufficient to consider the uniform distribution on the interval. Interesting, estimating other characteristics leads to the selection of the same uniform distribution: e.g., estimating the largest possible values of generalized entropy or of some sensitivity-related characteristics. In this paper, we provide a general explanation of why uniform distribution appears in different situations – namely, it appears every time we have a permutation-invariant optimization problem with the unique optimum. We also discuss what happens if we have an optimization problem that attains its optimum at several different distributions – this happens, e.g., when we are estimating the smallest possible value of Shannon’s entropy (or of its generalizations).

Item Type: Conference or Workshop Item (Unspecified)
Depositing User: Symplectic Admin
Date Deposited: 21 Jul 2020 08:01
Last Modified: 18 Jan 2023 23:40
DOI: 10.1007/978-3-030-50146-4_6
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3094351