Minimum variance capacity identification

In the framework of multi-criteria decision making whose aggregation process is based on the Choquet integral, we present a maximum entropy like method enabling to determine, if it exists, the “least specific” capacity compatible with the initial preferences of the decision maker. The proposed approach consists in solving a strictly convex quadratic program whose objective function is equivalently either the opposite of a generalized entropy measure or the variance of the capacity. The application of the proposed approach is illustrated on two examples.