SMAA-Choquet: Stochastic Multicriteria Acceptability Analysis for the Choquet Integral

In this paper, we extend the Choquet integral decision model in the same spirit of the Stochastic Multicriteria Acceptability Analysis (SMAA) method that takes into account a probability distribution over the preference parameters of multiple criteria decision methods. In order to enrich the set of parameters (the capacities) compatible with the DM's preference information on the importance of criteria and interaction between couples of criteria, we put together Choquet integral with SMAA. The sampling of the compatible preference parameters (the capacities) is obtained by a Hit-and-Run procedure. Finally, we evaluate a set of capacities contributing to the evaluation of the rank acceptability indices and of the central preference parameters as done in the SMAA methods.