A note on the Sobol' indices and interactive criteria

Abstract

The Choquet integral and the Owen extension (or multilinear extension) are the most popular tools in multicriteria decision making to take into account the interaction between criteria. It is known that the interaction transform and the Banzhaf interaction transform arise as the average total variation of the Choquet integral and multilinear extension respectively. We consider in this note another approach to define interaction, by using the Sobol' indices which are related to the analysis of variance of a multivariate model. We prove that the Sobol' indices of the multilinear extension give the square of the Fourier transform, a well-known concept in computer sciences. We also relate the latter to the Banzhaf interaction transform and compute the Sobol' indices for the 2-additive Choquet integral.