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AI techniques have been applied in games since the beginning of the field. Fuzzy measures and fuzzy integrals, a powerful tool for decision making, have potentiality in games for the evaluation of strategies. We explore the use of such soft computing techniques and show their interest in decision making and modeling auctions. We describe the role of fuzzy measures and integrals in decision making and reviews some computational aspects that are important for the application of such methods in real applications. We also gives a short overview on the methods for learning the parameters for these integrals from examples.