Consider a nonempty set \(\varGamma \) as a universal set and a \(\sigma \)-algebra \({\mathcal {L}}\) over \(\varGamma \) consisting of its subsets. The pair \((\varGamma ,{\mathcal {L}})\) is called a measurable space, and each element of \({\mathcal {L}}\) is called an event. A measurable function f is a function from the measurable space \((\varGamma ,{\mathcal {L}})\) to \({\mathbb {R}}\) if \(f^{-1}(B)=\{\nu \in \varGamma \mid f(\nu )\in B\}\in {\mathcal {L}}\) for any Borel set B of real numbers.
An uncertain measure \({\mathcal {M}}\) is defined as a function from the \(\sigma \)-algebra \({\mathcal {L}}\) to [0, 1] satisfying the following axioms. Here, \({\mathcal {M}}\{\varLambda \}\) represents the belief degree that the event \(\varLambda \) will happen.
Axiom 1
(Normality) \({\mathcal {M}}\{\varGamma \}=1\) for the universal set \(\varGamma \).
Axiom 2
(Duality) \(\displaystyle {\mathcal {M}}\{\varLambda \}+{\mathcal {M}}\{\varLambda ^c\}=1\) for any event \(\varLambda .\)
Axiom 3
(Subadditivity) \(\displaystyle {\mathcal {M}}\Big \{\bigcup\nolimits ^{\infty }_{k=1}\varLambda _k\Big \}\le \sum\nolimits^{\infty }_{k=1}{\mathcal {M}}\{\varLambda _k\}\) for every countable sequence of events \(\displaystyle \varLambda _k,k\ge 1.\)
The triplet \((\varGamma ,{\mathcal {L}},{\mathcal {M}})\) is referred to as an uncertainty space. Let \(\displaystyle (\varGamma _{k},{\mathcal {L}}_{k},{\mathcal {M}}_{k})\) be uncertainty spaces for \(k=1,2,\ldots \). Set \(\varGamma =\varGamma _1\times \varGamma _2\times \cdots \), a measurable rectangle in \(\varGamma \) is defined as \(\varLambda =\varLambda _1\times \varLambda _2\times \cdots \), where \(\varLambda _k\in \varGamma _k\) for \(k=1,2,\ldots \). The product \(\sigma \)-algebra \({\mathcal {L}}={\mathcal {L}}_1\times {\mathcal {L}}_2\times \cdots \) is the smallest \(\sigma \)-algebra containing all measurable rectangles of \(\varGamma \). The product uncertain measure \({\mathcal {M}}\) on the product \(\sigma \)-algebra \({\mathcal {L}}\) is defined by Liu (2010) as follows.
Axiom 4
(Product) For uncertainty spaces \(\displaystyle (\varGamma _{k},{\mathcal {L}}_{k},{\mathcal {M}}_{k})~k=1,2,\ldots \), the product uncertain measure \({\mathcal {M}}\) is the one satisfying
$$\begin{aligned} {\mathcal {M}}\Big \{\prod ^{\infty }_{k=1}\varLambda _k\Big \}=\bigwedge ^{\infty }_{k=1}{\mathcal {M}}_k\{\varLambda _k\}, \end{aligned}$$
where \(\varLambda _k\) is an event in \({\mathcal {L}}_k,~k=1,2,\ldots .\)
It is important to notice that this axiom differentiates the probability measure from the uncertainty measure Liu (2015).
Uncertain variable
Expression of quantities in an uncertain environment is fulfilled by the concept of uncertain variables. An uncertain variable \(\xi \) is a measurable function on an uncertainty space \((\varGamma ,{\mathcal {L}},{\mathcal {M}})\) Liu (2007). An uncertain variable \(\xi \) is called nonnegative if \({\mathcal {M}}\{\xi <0\}=0\), and positive if \({\mathcal {M}}\{\xi \le 0\}=0\). Incomplete information on uncertain variables is described by uncertainty distribution. For uncertain variable \(\xi \), a real-valued function \(\varPhi \) defined by
$$\begin{aligned} \varPhi (x)={\mathcal {M}}\{\xi \le x\},~\forall x\in {\mathbb {R}}, \end{aligned}$$
(6)
is called uncertainty distribution of \(\xi \) Liu (2007). For a continuous uncertainty distribution \(\varPhi \), \({\mathcal {M}}\{\xi < x\}=\varPhi (x)\) also is satisfied. A continuous and strictly increasing uncertainty distribution with respect to x that \(0<\varPhi (x)<1,~\lim _{x\rightarrow -\infty }\varPhi (x)=0\) and \(\lim _{x\rightarrow +\infty }\varPhi (x)=1\) is said to be regular Liu (2010). A regular uncertainty distribution \(\varPhi (x)\) for which \(\varPhi (x)\in (0,1)\) has a well-defined inverse function \(\varPhi ^{-1}(\alpha )\) on (0, 1) and is called inverse uncertainty distribution of \(\xi \). Some uncertain variables which can be separately defined on different uncertainty spaces are independent. Formally, independency is defined as follows Liu (2009). Uncertain variables \(\xi _1,\ldots ,\xi _n\) satisfying
$$\begin{aligned} {\mathcal {M}}\Big \{\bigcap ^n_{k=1}(\xi _k\in B_k)\Big \}=\bigwedge ^n_{k=1}{\mathcal {M}}\{\xi _k\in B_k\}, \end{aligned}$$
(7)
for any Borel sets \(B_1,\ldots ,B_n\) are said to be independent.
The following theorem plays a key role in reducing our uncertainty model to a deterministic optimization problem.
Theorem 1
Liu (2015) Let \(\xi _1,\ldots ,\xi _n\) be independent uncertain variables with inverse uncertainty distributions \(\varPhi _1^{-1},\ldots ,\varPhi _n^{-1}\), respectively. Let the function \(f(\xi _1,\ldots ,\xi _n)\) be strictly increasing with respect to \(\xi _1,\ldots ,\xi _m\), \(m\le n,\) and strictly decreasing with respect to \(\xi _{m+1},\ldots ,\xi _n.\) Then, \(\displaystyle {\mathcal {M}}\{f(\xi _1,\ldots ,\xi _n )\le 0\}\ge \alpha \) if and only if
$$\begin{aligned} \displaystyle f\big (\varPhi ^{-1}_1(\alpha ),\ldots ,\varPhi ^{-1}_m(\alpha ),\varPhi ^{-1}_{m+1}(1-\alpha ),\ldots ,\varPhi ^{-1}_n(1-\alpha )\big )\le 0. \end{aligned}$$
The expected value of an uncertain variable \(\xi \) is defined by Liu (2007)
$$\begin{aligned} E[\xi ] = \int _0^{+\infty } M\{\xi > r\} \hbox {d}r - \int _{-\infty }^0 M\{\xi \le r\} \hbox {d}r, \end{aligned}$$
provided that at least one of the two integrals is finite. For more details on uncertainty theory, the interested reader is referred to Liu (2015).
There are different uncertain variables in the literature. Without loss of generality, we only consider the linear uncertain variable, defined as
$$\begin{aligned} \varPhi (x) = \left\{ \begin{array}{lcl} 0 &{} &{}\quad \mathrm{if} x\le a \\ \displaystyle \frac{x-a}{b-a} &{} &{}\quad \mathrm{if} a\le x \le b \\ 1 &{} &{}\quad \mathrm{if} x\ge b, \end{array} \right. \end{aligned}$$
and denoted by \({\mathcal {L}}(a,b)\), provided that \(a<b\). Its inverse is \(\varPhi ^{-1}(\alpha ) = (1-\alpha ) a + \alpha b,\) and its expected value is \(\displaystyle \frac{b+a}{2}\).