2-Monotone outer approximations of coherent lower probabilities

We investigate the problem of approximating a coherent lower probability on a finite space by a 2-monotone capacity that is at the same time as close as possible while not including additional information. We show that this can be tackled by means of a linear programming problem, and investigate the features of the set of undominated solutions. While our approach is based on a distance proposed by Baroni and Vicig, we also discuss a number of alternatives: quadratic programming, extensions of the total variation distance, and the Weber set from game theory. Finally, we show that our work applies to the more general problem of approximating coherent lower previsions.