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Imprecise probability

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775:. In simple terms, a decision maker's lower prevision is the highest price at which the decision maker is sure he or she would buy a gamble, and the upper prevision is the lowest price at which the decision maker is sure he or she would buy the opposite of the gamble (which is equivalent to selling the original gamble). If the upper and lower previsions are equal, then they jointly represent the decision maker's 78:, and many others. However, this has not been unanimously accepted by scientists, statisticians, and probabilists: it has been argued that some modification or broadening of probability theory is required, because one may not always be able to provide a probability for every event, particularly when only little information or data is available—an early example of such criticism is 816:, or threshold of acceptance. This is not as much of a problem for intervals that are lower and upper bounds derived from a set of probability distributions, e.g., a set of priors followed by conditionalization on each member of the set. However, it can lead to the question why some distributions are included in the set of priors and some are not. 819:
Another issue is why one can be precise about two numbers, a lower bound and an upper bound, rather than a single number, a point probability. This issue may be merely rhetorical, as the robustness of a model with intervals is inherently greater than that of a model with point-valued probabilities.
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The term "imprecise probability" is somewhat misleading in that precision is often mistaken for accuracy, whereas an imprecise representation may be more accurate than a spuriously precise representation. In any case, the term appears to have become established in the 1990s, and covers a wide range
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Standard consistency conditions relate upper and lower probability assignments to non-empty closed convex sets of probability distributions. Therefore, as a welcome by-product, the theory also provides a formal framework for models used in
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One issue with imprecise probabilities is that there is often an independent degree of caution or boldness inherent in the use of one interval, rather than a wider or narrower one. This may be a degree of confidence, degree of
827:. For convex sets of distributions, Levi's works are instructive. Another approach asks whether the threshold controlling the boldness of the interval matters more to a decision than simply taking the average or using a 782:
The allowance for imprecision, or a gap between a decision maker's upper and lower previsions, is the primary difference between precise and imprecise probability theories. Such gaps arise naturally in
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A unification of many of the above-mentioned imprecise probability theories was proposed by Walley, although this is in no way the first attempt to formalize imprecise probabilities. In terms of
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formulated and applied an explicit interval estimate approach to probability. Work on imprecise probability models proceeded fitfully throughout the 20th century, with important contributions by
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for the gamble, the price at which the decision maker is willing to take either side of the gamble. The existence of a fair price leads to precise probabilities.
636:. Walley's theory extends the traditional subjective probability theory via buying and selling prices for gambles, whereas Weichselberger's approach generalizes 632:(which is also where the term "imprecise probability" originates). The 1990s also saw important works by Kuznetsov, and by Weichselberger, who both use the term 496: 249: 560: 570:
The idea to use imprecise probability has a long history. The first formal treatment dates back at least to the middle of the nineteenth century, by
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of probability. Walley defines upper and lower probabilities as special cases of upper and lower previsions and the gambling framework advanced by
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may be hard to identify. Thereby, the theory aims to represent the available knowledge more accurately. Imprecision is useful for dealing with
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to allow for partial probability specifications, and is applicable when information is scarce, vague, or conflicting, in which case a unique
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A more practical issue is what kind of decision theory can make use of imprecise probabilities. For fuzzy measures, there is the work of
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People have a limited ability to determine their own subjective probabilities and might find that they can only provide an interval.
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but not necessarily additive, whereas an upper probability is subadditive. To get a general understanding of the theory, consider:
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Elementare Grundbegriffe einer allgemeineren Wahrscheinlichkeitsrechnung I - Intervallwahrscheinlichkeit als umfassendes Konzept
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As an interval is compatible with a range of opinions, the analysis ought to be more convincing to a range of different people.
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Caselton, W. F.; Luo, W. (1992). "Decision making with imprecise probabilities: Dempster‐Shafer theory and application".
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Perhaps the most common generalization is to replace a single probability specification with an interval specification.
165:, or more generally, lower and upper expectations (previsions), aim to fill this gap. A lower probability function is 2002: 1140:"Imprecise Probabilities > Historical appendix: Theories of imprecise belief (Stanford Encyclopedia of Philosophy)" 850: 764: 593: 713: 665: 1383:
de Cooman, G.; Hermans, F. (2008). "Imprecise probability trees: Bridging two theories of imprecise probability".
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An investigation of the laws of thought on which are founded the mathematical theories of logic and probabilities
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It does raise concerns about inappropriate claims of precision at endpoints, as well as for point values.
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GĂ€rdenfors, P.; Sahlin, N. E. (1982). "Unreliable probabilities, risk taking, and decision making".
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also give other reasons for intervals, or sets of distributions, representing states of belief.
703: 624:. At the start of the 1990s, the field started to gather some momentum, with the publication of 1987: 1792: 1705: 1701: 1659: 1605: 1541: 1508: 1363: 1026: 784: 708: 645: 637: 55: 1943: 1893: 1858: 1821: 1769: 1734: 1693: 1638: 1576: 1533: 1464: 1456: 1404: 1323: 1287: 1246: 1199: 1079: 988: 813: 772: 723: 653: 621: 63: 454: 824: 747: 589: 340: 166: 67: 1911:
Breese, J. S.; Fertig, K. W. (2013). "Decision making with interval influence diagrams".
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de Cooman, G.; Troffaes, M. C. M.; Miranda, E. (2008). "n-Monotone exact functionals".
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for all non-trivial events represents no constraint at all on the specification of
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Berger, James O. (1984). "The robust Bayesian viewpoint". In Kadane, J. B. (ed.).
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Smith, Cedric A. B. (1961). "Consistency in statistical inference and decision".
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We then have a flexible continuum of more or less precise models in between.
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Open source implementation of a classifier based on Imprecise Probabilities
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Guo, P.; Tanaka, H. (2010). "Decision making with interval probabilities".
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Yager, R. R. (1978). "Fuzzy decision making including unequal objectives".
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Possibility Theory - An Approach to Computerized Processing of Uncertainty
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Zadeh, L. A. (1978). "Fuzzy sets as a basis for a theory of possibility".
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Seidenfeld, Teddy (1983). "Decisions with indeterminate probabilities".
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Stanford Encyclopedia of Philosophy article on Imprecise Probabilities
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Loui, R. P. (1986). "Decisions with indeterminate probabilities".
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The Society for Imprecise Probability: Theories and Applications
1312:"Upper and lower probabilities induced by a multivalued mapping" 498:. Other related concepts understand the corresponding intervals 1664:"Constructing Probability Boxes and Dempster-Shafer Structures" 1185:"Nonparametric predictive inference and interval probability" 444:{\displaystyle {\underline {P}}(A^{c})=1-{\overline {P}}(A)} 380:, assuming the other one to be naturally defined such that 1274:"Minimax tests and the Neyman-Pearson lemma for capacities" 831:
decision rule. Other approaches appear in the literature.
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repeatedly for his interval probabilities, though he and
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lower and upper probabilities, or interval probabilities
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Hard choices: Decision making under unresolved conflict
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Archived from 1563:"Sul significato soggettivo della probabilitĂ " 1072:International Journal of Approximate Reasoning 980:International Journal of Approximate Reasoning 968: 966: 964: 948: 946: 944: 640:'s axioms without imposing an interpretation. 1349: 1347: 1192:Journal of Statistical Planning and Inference 1117: 1115: 1113: 8: 1012: 1010: 1008: 1006: 1004: 668:. Moreover, there is a strong connection to 905: 903: 901: 372:Some approaches, summarized under the name 50:Uncertainty is traditionally modelled by a 1432:Probability and Finance: It's Only a Game! 1916: 1642: 1580: 1468: 1398: 1327: 1291: 1232: 1083: 992: 759:Interpretation of imprecise probabilities 574:, who aimed to reconcile the theories of 530: 508: 503: 483: 462: 456: 422: 404: 387: 385: 342: 302: 300: 260: 258: 236: 202: 180: 178: 136: 134: 100: 98: 1983:The imprecise probability group at IDSIA 1850:European Journal of Operational Research 930:Journal of the Royal Statistical Society 873:Foundations of the Theory of Probability 1183:Augustin, T.; Coolen, F. P. A. (2004). 876:. New York: Chelsea Publishing Company. 862: 16:Probability theory for low quality data 1627:"The axioms of subjective probability" 700:, or sets of probability distributions 652:. 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(1967). 1279:The Annals of Statistics 1170:Robust Bayesian Analysis 28:probability distribution 1600:Theories of Probability 1582:10.4064/fm-17-1-298-329 1568:Fundamenta Mathematicae 1486:ThĂ©orie des possibilitĂ© 1386:Artificial Intelligence 1329:10.1214/aoms/1177698950 662:artificial intelligence 1762:Fuzzy Sets and Systems 1448:Fuzzy Sets and Systems 1354:Shafer, Glenn (1976). 1293:10.1214/aos/1176342363 1106:. Heidelberg: Physica. 1017:Walley, Peter (1991). 910:Boole, George (1854). 846:Robust decision making 793:asymmetric information 556: 492: 472: 445: 360: 331: 289: 245: 225: 173:the special case with 159: 123: 1644:10.1214/ss/1177013611 1538:10.1002/9781118762622 892:Theory of Probability 557: 493: 473: 471:{\displaystyle A^{c}} 446: 361: 332: 290: 246: 226: 160: 124: 20:Imprecise probability 1050:. Dordrecht: Kluwer. 753:robust Bayes methods 634:interval probability 502: 482: 455: 384: 359:{\displaystyle P(A)} 341: 299: 257: 235: 177: 133: 97: 1814:Theory and Decision 1631:Statistical Science 1243:2008JMAA..347..143D 684:Mathematical models 654:Choquet integration 2003:Probability theory 1948:10.1007/BF00486156 1826:10.1007/BF00134099 1470:10338.dmlcz/135193 894:. New York: Wiley. 841:Ambiguity aversion 552: 516: 488: 478:the complement of 468: 441: 395: 356: 327: 285: 268: 241: 221: 188: 155: 119: 108: 32:expert elicitation 24:probability theory 1898:10.1029/92WR01818 1892:(12): 3071–3083. 1787:Levi, I. (1990). 1711:978-0-444-86209-9 1660:Vladik Kreinovich 1611:978-0-12-256450-5 1547:978-0-470-72377-7 1514:978-0-306-42520-2 1393:(11): 1400–1427. 1369:978-0-691-08175-5 1032:978-0-412-28660-5 709:Random set theory 646:robust statistics 610:Peter M. Williams 538: 509: 491:{\displaystyle A} 430: 388: 310: 261: 244:{\displaystyle A} 210: 181: 144: 101: 2015: 1960: 1959: 1929: 1923: 1922: 1920: 1908: 1902: 1901: 1881: 1875: 1874: 1844: 1838: 1837: 1809: 1803: 1802: 1784: 1778: 1777: 1757: 1751: 1750: 1722: 1716: 1715: 1699: 1689: 1683: 1682: 1680: 1679: 1655: 1649: 1648: 1646: 1622: 1616: 1615: 1603: 1593: 1587: 1586: 1584: 1558: 1552: 1551: 1530:Lower previsions 1525: 1519: 1518: 1506: 1496: 1490: 1489: 1488:. 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Index

probability theory
probability distribution
expert elicitation
probability
Kolmogorov
Laplace
de Finetti
Ramsey
Cox
Lindley
Boole
Laplace
Lower and upper probabilities
superadditive
set functions
George Boole
logic
A Treatise on Probability
Keynes
Bernard Koopman
C.A.B. Smith
I.J. Good
Arthur Dempster
Glenn Shafer
Peter M. Williams
Henry Kyburg
Isaac Levi
Teddy Seidenfeld
Peter Walley
Kolmogorov

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