src/HOL/Library/Convex.thy
author hoelzl
Tue Apr 09 14:04:47 2013 +0200 (2013-04-09)
changeset 51642 400ec5ae7f8f
parent 49609 89e10ed7668b
child 53596 d29d63460d84
permissions -rw-r--r--
move FrechetDeriv from the Library to HOL/Deriv; base DERIV on FDERIV and both derivatives allow a restricted support set; FDERIV is now an abbreviation of has_derivative
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(*  Title:      HOL/Library/Convex.thy
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    Author:     Armin Heller, TU Muenchen
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    Author:     Johannes Hoelzl, TU Muenchen
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*)
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header {* Convexity in real vector spaces *}
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theory Convex
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imports Product_Vector
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begin
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subsection {* Convexity. *}
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definition convex :: "'a::real_vector set \<Rightarrow> bool"
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  where "convex s \<longleftrightarrow> (\<forall>x\<in>s. \<forall>y\<in>s. \<forall>u\<ge>0. \<forall>v\<ge>0. u + v = 1 \<longrightarrow> u *\<^sub>R x + v *\<^sub>R y \<in> s)"
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lemma convex_alt:
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  "convex s \<longleftrightarrow> (\<forall>x\<in>s. \<forall>y\<in>s. \<forall>u. 0 \<le> u \<and> u \<le> 1 \<longrightarrow> ((1 - u) *\<^sub>R x + u *\<^sub>R y) \<in> s)"
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  (is "_ \<longleftrightarrow> ?alt")
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proof
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  assume alt[rule_format]: ?alt
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  { fix x y and u v :: real assume mem: "x \<in> s" "y \<in> s"
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    assume "0 \<le> u" "0 \<le> v"
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    moreover assume "u + v = 1" then have "u = 1 - v" by auto
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    ultimately have "u *\<^sub>R x + v *\<^sub>R y \<in> s" using alt[OF mem] by auto }
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  then show "convex s" unfolding convex_def by auto
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qed (auto simp: convex_def)
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lemma mem_convex:
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  assumes "convex s" "a \<in> s" "b \<in> s" "0 \<le> u" "u \<le> 1"
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  shows "((1 - u) *\<^sub>R a + u *\<^sub>R b) \<in> s"
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  using assms unfolding convex_alt by auto
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lemma convex_empty[intro]: "convex {}"
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  unfolding convex_def by simp
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lemma convex_singleton[intro]: "convex {a}"
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  unfolding convex_def by (auto simp: scaleR_left_distrib[symmetric])
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lemma convex_UNIV[intro]: "convex UNIV"
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  unfolding convex_def by auto
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lemma convex_Inter: "(\<forall>s\<in>f. convex s) ==> convex(\<Inter> f)"
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  unfolding convex_def by auto
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lemma convex_Int: "convex s \<Longrightarrow> convex t \<Longrightarrow> convex (s \<inter> t)"
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  unfolding convex_def by auto
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lemma convex_halfspace_le: "convex {x. inner a x \<le> b}"
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  unfolding convex_def
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  by (auto simp: inner_add intro!: convex_bound_le)
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lemma convex_halfspace_ge: "convex {x. inner a x \<ge> b}"
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proof -
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  have *: "{x. inner a x \<ge> b} = {x. inner (-a) x \<le> -b}" by auto
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  show ?thesis unfolding * using convex_halfspace_le[of "-a" "-b"] by auto
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qed
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lemma convex_hyperplane: "convex {x. inner a x = b}"
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proof -
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  have *: "{x. inner a x = b} = {x. inner a x \<le> b} \<inter> {x. inner a x \<ge> b}" by auto
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  show ?thesis using convex_halfspace_le convex_halfspace_ge
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    by (auto intro!: convex_Int simp: *)
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qed
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lemma convex_halfspace_lt: "convex {x. inner a x < b}"
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  unfolding convex_def
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  by (auto simp: convex_bound_lt inner_add)
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lemma convex_halfspace_gt: "convex {x. inner a x > b}"
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   using convex_halfspace_lt[of "-a" "-b"] by auto
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lemma convex_real_interval:
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  fixes a b :: "real"
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  shows "convex {a..}" and "convex {..b}"
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    and "convex {a<..}" and "convex {..<b}"
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    and "convex {a..b}" and "convex {a<..b}"
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    and "convex {a..<b}" and "convex {a<..<b}"
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proof -
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  have "{a..} = {x. a \<le> inner 1 x}" by auto
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  then show 1: "convex {a..}" by (simp only: convex_halfspace_ge)
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  have "{..b} = {x. inner 1 x \<le> b}" by auto
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  then show 2: "convex {..b}" by (simp only: convex_halfspace_le)
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  have "{a<..} = {x. a < inner 1 x}" by auto
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  then show 3: "convex {a<..}" by (simp only: convex_halfspace_gt)
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  have "{..<b} = {x. inner 1 x < b}" by auto
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  then show 4: "convex {..<b}" by (simp only: convex_halfspace_lt)
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  have "{a..b} = {a..} \<inter> {..b}" by auto
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  then show "convex {a..b}" by (simp only: convex_Int 1 2)
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  have "{a<..b} = {a<..} \<inter> {..b}" by auto
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  then show "convex {a<..b}" by (simp only: convex_Int 3 2)
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  have "{a..<b} = {a..} \<inter> {..<b}" by auto
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  then show "convex {a..<b}" by (simp only: convex_Int 1 4)
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  have "{a<..<b} = {a<..} \<inter> {..<b}" by auto
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  then show "convex {a<..<b}" by (simp only: convex_Int 3 4)
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qed
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subsection {* Explicit expressions for convexity in terms of arbitrary sums. *}
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lemma convex_setsum:
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  fixes C :: "'a::real_vector set"
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  assumes "finite s" and "convex C" and "(\<Sum> i \<in> s. a i) = 1"
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  assumes "\<And>i. i \<in> s \<Longrightarrow> a i \<ge> 0" and "\<And>i. i \<in> s \<Longrightarrow> y i \<in> C"
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  shows "(\<Sum> j \<in> s. a j *\<^sub>R y j) \<in> C"
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  using assms
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proof (induct s arbitrary:a rule: finite_induct)
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  case empty
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  then show ?case by auto
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next
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  case (insert i s) note asms = this
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  { assume "a i = 1"
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    then have "(\<Sum> j \<in> s. a j) = 0"
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      using asms by auto
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    then have "\<And>j. j \<in> s \<Longrightarrow> a j = 0"
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      using setsum_nonneg_0[where 'b=real] asms by fastforce
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    then have ?case using asms by auto }
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  moreover
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  { assume asm: "a i \<noteq> 1"
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    from asms have yai: "y i \<in> C" "a i \<ge> 0" by auto
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    have fis: "finite (insert i s)" using asms by auto
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    then have ai1: "a i \<le> 1" using setsum_nonneg_leq_bound[of "insert i s" a 1] asms by simp
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    then have "a i < 1" using asm by auto
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    then have i0: "1 - a i > 0" by auto
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    let ?a = "\<lambda>j. a j / (1 - a i)"
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    { fix j assume "j \<in> s"
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      then have "?a j \<ge> 0"
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        using i0 asms divide_nonneg_pos
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        by fastforce
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    } note a_nonneg = this
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    have "(\<Sum> j \<in> insert i s. a j) = 1" using asms by auto
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    then have "(\<Sum> j \<in> s. a j) = 1 - a i" using setsum.insert asms by fastforce
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    then have "(\<Sum> j \<in> s. a j) / (1 - a i) = 1" using i0 by auto
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    then have a1: "(\<Sum> j \<in> s. ?a j) = 1" unfolding setsum_divide_distrib by simp
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    with asms have "(\<Sum>j\<in>s. ?a j *\<^sub>R y j) \<in> C" using a_nonneg by fastforce
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    then have "a i *\<^sub>R y i + (1 - a i) *\<^sub>R (\<Sum> j \<in> s. ?a j *\<^sub>R y j) \<in> C"
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      using asms[unfolded convex_def, rule_format] yai ai1 by auto
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    then have "a i *\<^sub>R y i + (\<Sum> j \<in> s. (1 - a i) *\<^sub>R (?a j *\<^sub>R y j)) \<in> C"
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      using scaleR_right.setsum[of "(1 - a i)" "\<lambda> j. ?a j *\<^sub>R y j" s] by auto
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    then have "a i *\<^sub>R y i + (\<Sum> j \<in> s. a j *\<^sub>R y j) \<in> C" using i0 by auto
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    then have ?case using setsum.insert asms by auto
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  }
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  ultimately show ?case by auto
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qed
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lemma convex:
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  "convex s \<longleftrightarrow> (\<forall>(k::nat) u x. (\<forall>i. 1\<le>i \<and> i\<le>k \<longrightarrow> 0 \<le> u i \<and> x i \<in>s) \<and> (setsum u {1..k} = 1)
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      \<longrightarrow> setsum (\<lambda>i. u i *\<^sub>R x i) {1..k} \<in> s)"
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proof safe
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  fix k :: nat
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  fix u :: "nat \<Rightarrow> real"
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  fix x
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  assume "convex s"
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    "\<forall>i. 1 \<le> i \<and> i \<le> k \<longrightarrow> 0 \<le> u i \<and> x i \<in> s"
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    "setsum u {1..k} = 1"
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  from this convex_setsum[of "{1 .. k}" s]
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  show "(\<Sum>j\<in>{1 .. k}. u j *\<^sub>R x j) \<in> s" by auto
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next
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  assume asm: "\<forall>k u x. (\<forall> i :: nat. 1 \<le> i \<and> i \<le> k \<longrightarrow> 0 \<le> u i \<and> x i \<in> s) \<and> setsum u {1..k} = 1
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    \<longrightarrow> (\<Sum>i = 1..k. u i *\<^sub>R (x i :: 'a)) \<in> s"
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  { fix \<mu> :: real
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    fix x y :: 'a
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    assume xy: "x \<in> s" "y \<in> s"
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    assume mu: "\<mu> \<ge> 0" "\<mu> \<le> 1"
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    let ?u = "\<lambda>i. if (i :: nat) = 1 then \<mu> else 1 - \<mu>"
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    let ?x = "\<lambda>i. if (i :: nat) = 1 then x else y"
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    have "{1 :: nat .. 2} \<inter> - {x. x = 1} = {2}" by auto
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    then have card: "card ({1 :: nat .. 2} \<inter> - {x. x = 1}) = 1" by simp
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    then have "setsum ?u {1 .. 2} = 1"
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      using setsum_cases[of "{(1 :: nat) .. 2}" "\<lambda> x. x = 1" "\<lambda> x. \<mu>" "\<lambda> x. 1 - \<mu>"]
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      by auto
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    with asm[rule_format, of "2" ?u ?x] have s: "(\<Sum>j \<in> {1..2}. ?u j *\<^sub>R ?x j) \<in> s"
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      using mu xy by auto
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    have grarr: "(\<Sum>j \<in> {Suc (Suc 0)..2}. ?u j *\<^sub>R ?x j) = (1 - \<mu>) *\<^sub>R y"
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      using setsum_head_Suc[of "Suc (Suc 0)" 2 "\<lambda> j. (1 - \<mu>) *\<^sub>R y"] by auto
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    from setsum_head_Suc[of "Suc 0" 2 "\<lambda> j. ?u j *\<^sub>R ?x j", simplified this]
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    have "(\<Sum>j \<in> {1..2}. ?u j *\<^sub>R ?x j) = \<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y" by auto
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    then have "(1 - \<mu>) *\<^sub>R y + \<mu> *\<^sub>R x \<in> s" using s by (auto simp:add_commute)
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  }
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  then show "convex s" unfolding convex_alt by auto
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qed
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lemma convex_explicit:
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  fixes s :: "'a::real_vector set"
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  shows "convex s \<longleftrightarrow>
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    (\<forall>t u. finite t \<and> t \<subseteq> s \<and> (\<forall>x\<in>t. 0 \<le> u x) \<and> setsum u t = 1 \<longrightarrow> setsum (\<lambda>x. u x *\<^sub>R x) t \<in> s)"
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proof safe
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  fix t
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  fix u :: "'a \<Rightarrow> real"
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  assume "convex s" "finite t"
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    "t \<subseteq> s" "\<forall>x\<in>t. 0 \<le> u x" "setsum u t = 1"
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  then show "(\<Sum>x\<in>t. u x *\<^sub>R x) \<in> s"
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    using convex_setsum[of t s u "\<lambda> x. x"] by auto
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next
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  assume asm0: "\<forall>t. \<forall> u. finite t \<and> t \<subseteq> s \<and> (\<forall>x\<in>t. 0 \<le> u x)
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    \<and> setsum u t = 1 \<longrightarrow> (\<Sum>x\<in>t. u x *\<^sub>R x) \<in> s"
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  show "convex s"
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    unfolding convex_alt
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  proof safe
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    fix x y
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    fix \<mu> :: real
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    assume asm: "x \<in> s" "y \<in> s" "0 \<le> \<mu>" "\<mu> \<le> 1"
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    { assume "x \<noteq> y"
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      then have "(1 - \<mu>) *\<^sub>R x + \<mu> *\<^sub>R y \<in> s"
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        using asm0[rule_format, of "{x, y}" "\<lambda> z. if z = x then 1 - \<mu> else \<mu>"]
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          asm by auto }
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    moreover
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    { assume "x = y"
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      then have "(1 - \<mu>) *\<^sub>R x + \<mu> *\<^sub>R y \<in> s"
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        using asm0[rule_format, of "{x, y}" "\<lambda> z. 1"]
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          asm by (auto simp:field_simps real_vector.scale_left_diff_distrib) }
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    ultimately show "(1 - \<mu>) *\<^sub>R x + \<mu> *\<^sub>R y \<in> s" by blast
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  qed
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qed
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lemma convex_finite:
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  assumes "finite s"
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  shows "convex s \<longleftrightarrow> (\<forall>u. (\<forall>x\<in>s. 0 \<le> u x) \<and> setsum u s = 1
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                      \<longrightarrow> setsum (\<lambda>x. u x *\<^sub>R x) s \<in> s)"
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  unfolding convex_explicit
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proof safe
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  fix t u
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  assume sum: "\<forall>u. (\<forall>x\<in>s. 0 \<le> u x) \<and> setsum u s = 1 \<longrightarrow> (\<Sum>x\<in>s. u x *\<^sub>R x) \<in> s"
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    and as: "finite t" "t \<subseteq> s" "\<forall>x\<in>t. 0 \<le> u x" "setsum u t = (1::real)"
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  have *: "s \<inter> t = t" using as(2) by auto
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  have if_distrib_arg: "\<And>P f g x. (if P then f else g) x = (if P then f x else g x)"
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    by simp
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  show "(\<Sum>x\<in>t. u x *\<^sub>R x) \<in> s"
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   using sum[THEN spec[where x="\<lambda>x. if x\<in>t then u x else 0"]] as *
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   by (auto simp: assms setsum_cases if_distrib if_distrib_arg)
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qed (erule_tac x=s in allE, erule_tac x=u in allE, auto)
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definition convex_on :: "'a::real_vector set \<Rightarrow> ('a \<Rightarrow> real) \<Rightarrow> bool"
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  where "convex_on s f \<longleftrightarrow>
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    (\<forall>x\<in>s. \<forall>y\<in>s. \<forall>u\<ge>0. \<forall>v\<ge>0. u + v = 1 \<longrightarrow> f (u *\<^sub>R x + v *\<^sub>R y) \<le> u * f x + v * f y)"
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lemma convex_on_subset: "convex_on t f \<Longrightarrow> s \<subseteq> t \<Longrightarrow> convex_on s f"
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  unfolding convex_on_def by auto
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lemma convex_add[intro]:
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  assumes "convex_on s f" "convex_on s g"
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  shows "convex_on s (\<lambda>x. f x + g x)"
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proof -
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  { fix x y
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    assume "x\<in>s" "y\<in>s"
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    moreover
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    fix u v :: real
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    assume "0 \<le> u" "0 \<le> v" "u + v = 1"
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    ultimately
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   251
    have "f (u *\<^sub>R x + v *\<^sub>R y) + g (u *\<^sub>R x + v *\<^sub>R y) \<le> (u * f x + v * f y) + (u * g x + v * g y)"
wenzelm@49609
   252
      using assms unfolding convex_on_def by (auto simp add: add_mono)
wenzelm@49609
   253
    then have "f (u *\<^sub>R x + v *\<^sub>R y) + g (u *\<^sub>R x + v *\<^sub>R y) \<le> u * (f x + g x) + v * (f y + g y)"
wenzelm@49609
   254
      by (simp add: field_simps)
wenzelm@49609
   255
  }
wenzelm@49609
   256
  then show ?thesis unfolding convex_on_def by auto
hoelzl@36623
   257
qed
hoelzl@36623
   258
hoelzl@36623
   259
lemma convex_cmul[intro]:
hoelzl@36623
   260
  assumes "0 \<le> (c::real)" "convex_on s f"
hoelzl@36623
   261
  shows "convex_on s (\<lambda>x. c * f x)"
hoelzl@36623
   262
proof-
wenzelm@49609
   263
  have *: "\<And>u c fx v fy ::real. u * (c * fx) + v * (c * fy) = c * (u * fx + v * fy)"
wenzelm@49609
   264
    by (simp add: field_simps)
wenzelm@49609
   265
  show ?thesis using assms(2) and mult_left_mono [OF _ assms(1)]
wenzelm@49609
   266
    unfolding convex_on_def and * by auto
hoelzl@36623
   267
qed
hoelzl@36623
   268
hoelzl@36623
   269
lemma convex_lower:
hoelzl@36623
   270
  assumes "convex_on s f"  "x\<in>s"  "y \<in> s"  "0 \<le> u"  "0 \<le> v"  "u + v = 1"
hoelzl@36623
   271
  shows "f (u *\<^sub>R x + v *\<^sub>R y) \<le> max (f x) (f y)"
hoelzl@36623
   272
proof-
hoelzl@36623
   273
  let ?m = "max (f x) (f y)"
hoelzl@36623
   274
  have "u * f x + v * f y \<le> u * max (f x) (f y) + v * max (f x) (f y)"
haftmann@38642
   275
    using assms(4,5) by (auto simp add: mult_left_mono add_mono)
wenzelm@49609
   276
  also have "\<dots> = max (f x) (f y)" using assms(6) unfolding distrib[symmetric] by auto
hoelzl@36623
   277
  finally show ?thesis
nipkow@44890
   278
    using assms unfolding convex_on_def by fastforce
hoelzl@36623
   279
qed
hoelzl@36623
   280
hoelzl@36623
   281
lemma convex_distance[intro]:
hoelzl@36623
   282
  fixes s :: "'a::real_normed_vector set"
hoelzl@36623
   283
  shows "convex_on s (\<lambda>x. dist a x)"
wenzelm@49609
   284
proof (auto simp add: convex_on_def dist_norm)
wenzelm@49609
   285
  fix x y
wenzelm@49609
   286
  assume "x\<in>s" "y\<in>s"
wenzelm@49609
   287
  fix u v :: real
wenzelm@49609
   288
  assume "0 \<le> u" "0 \<le> v" "u + v = 1"
wenzelm@49609
   289
  have "a = u *\<^sub>R a + v *\<^sub>R a"
wenzelm@49609
   290
    unfolding scaleR_left_distrib[symmetric] and `u+v=1` by simp
wenzelm@49609
   291
  then have *: "a - (u *\<^sub>R x + v *\<^sub>R y) = (u *\<^sub>R (a - x)) + (v *\<^sub>R (a - y))"
hoelzl@36623
   292
    by (auto simp add: algebra_simps)
hoelzl@36623
   293
  show "norm (a - (u *\<^sub>R x + v *\<^sub>R y)) \<le> u * norm (a - x) + v * norm (a - y)"
hoelzl@36623
   294
    unfolding * using norm_triangle_ineq[of "u *\<^sub>R (a - x)" "v *\<^sub>R (a - y)"]
hoelzl@36623
   295
    using `0 \<le> u` `0 \<le> v` by auto
hoelzl@36623
   296
qed
hoelzl@36623
   297
wenzelm@49609
   298
hoelzl@36623
   299
subsection {* Arithmetic operations on sets preserve convexity. *}
wenzelm@49609
   300
hoelzl@36623
   301
lemma convex_scaling:
hoelzl@36623
   302
  assumes "convex s"
hoelzl@36623
   303
  shows"convex ((\<lambda>x. c *\<^sub>R x) ` s)"
wenzelm@49609
   304
  using assms unfolding convex_def image_iff
hoelzl@36623
   305
proof safe
wenzelm@49609
   306
  fix x xa y xb :: "'a::real_vector"
wenzelm@49609
   307
  fix u v :: real
hoelzl@36623
   308
  assume asm: "\<forall>x\<in>s. \<forall>y\<in>s. \<forall>u\<ge>0. \<forall>v\<ge>0. u + v = 1 \<longrightarrow> u *\<^sub>R x + v *\<^sub>R y \<in> s"
hoelzl@36623
   309
    "xa \<in> s" "xb \<in> s" "0 \<le> u" "0 \<le> v" "u + v = 1"
hoelzl@36623
   310
  show "\<exists>x\<in>s. u *\<^sub>R c *\<^sub>R xa + v *\<^sub>R c *\<^sub>R xb = c *\<^sub>R x"
hoelzl@36623
   311
    using bexI[of _ "u *\<^sub>R xa +v *\<^sub>R xb"] asm by (auto simp add: algebra_simps)
hoelzl@36623
   312
qed
hoelzl@36623
   313
hoelzl@36623
   314
lemma convex_negations: "convex s \<Longrightarrow> convex ((\<lambda>x. -x)` s)"
wenzelm@49609
   315
  using assms unfolding convex_def image_iff
hoelzl@36623
   316
proof safe
wenzelm@49609
   317
  fix x xa y xb :: "'a::real_vector"
wenzelm@49609
   318
  fix u v :: real
hoelzl@36623
   319
  assume asm: "\<forall>x\<in>s. \<forall>y\<in>s. \<forall>u\<ge>0. \<forall>v\<ge>0. u + v = 1 \<longrightarrow> u *\<^sub>R x + v *\<^sub>R y \<in> s"
hoelzl@36623
   320
    "xa \<in> s" "xb \<in> s" "0 \<le> u" "0 \<le> v" "u + v = 1"
hoelzl@36623
   321
  show "\<exists>x\<in>s. u *\<^sub>R - xa + v *\<^sub>R - xb = - x"
hoelzl@36623
   322
    using bexI[of _ "u *\<^sub>R xa +v *\<^sub>R xb"] asm by auto
hoelzl@36623
   323
qed
hoelzl@36623
   324
hoelzl@36623
   325
lemma convex_sums:
hoelzl@36623
   326
  assumes "convex s" "convex t"
hoelzl@36623
   327
  shows "convex {x + y| x y. x \<in> s \<and> y \<in> t}"
wenzelm@49609
   328
  using assms unfolding convex_def image_iff
hoelzl@36623
   329
proof safe
wenzelm@49609
   330
  fix xa xb ya yb
wenzelm@49609
   331
  assume xy:"xa\<in>s" "xb\<in>s" "ya\<in>t" "yb\<in>t"
wenzelm@49609
   332
  fix u v :: real
wenzelm@49609
   333
  assume uv: "0 \<le> u" "0 \<le> v" "u + v = 1"
hoelzl@36623
   334
  show "\<exists>x y. u *\<^sub>R (xa + ya) + v *\<^sub>R (xb + yb) = x + y \<and> x \<in> s \<and> y \<in> t"
hoelzl@36623
   335
    using exI[of _ "u *\<^sub>R xa + v *\<^sub>R xb"] exI[of _ "u *\<^sub>R ya + v *\<^sub>R yb"]
hoelzl@36623
   336
      assms[unfolded convex_def] uv xy by (auto simp add:scaleR_right_distrib)
hoelzl@36623
   337
qed
hoelzl@36623
   338
hoelzl@36623
   339
lemma convex_differences:
hoelzl@36623
   340
  assumes "convex s" "convex t"
hoelzl@36623
   341
  shows "convex {x - y| x y. x \<in> s \<and> y \<in> t}"
hoelzl@36623
   342
proof -
hoelzl@36623
   343
  have "{x - y| x y. x \<in> s \<and> y \<in> t} = {x + y |x y. x \<in> s \<and> y \<in> uminus ` t}"
hoelzl@36623
   344
  proof safe
wenzelm@49609
   345
    fix x x' y
wenzelm@49609
   346
    assume "x' \<in> s" "y \<in> t"
wenzelm@49609
   347
    then show "\<exists>x y'. x' - y = x + y' \<and> x \<in> s \<and> y' \<in> uminus ` t"
hoelzl@36623
   348
      using exI[of _ x'] exI[of _ "-y"] by auto
hoelzl@36623
   349
  next
wenzelm@49609
   350
    fix x x' y y'
wenzelm@49609
   351
    assume "x' \<in> s" "y' \<in> t"
wenzelm@49609
   352
    then show "\<exists>x y. x' + - y' = x - y \<and> x \<in> s \<and> y \<in> t"
hoelzl@36623
   353
      using exI[of _ x'] exI[of _ y'] by auto
hoelzl@36623
   354
  qed
wenzelm@49609
   355
  then show ?thesis
wenzelm@49609
   356
    using convex_sums[OF assms(1) convex_negations[OF assms(2)]] by auto
hoelzl@36623
   357
qed
hoelzl@36623
   358
wenzelm@49609
   359
lemma convex_translation:
wenzelm@49609
   360
  assumes "convex s"
wenzelm@49609
   361
  shows "convex ((\<lambda>x. a + x) ` s)"
wenzelm@49609
   362
proof -
wenzelm@49609
   363
  have "{a + y |y. y \<in> s} = (\<lambda>x. a + x) ` s" by auto
wenzelm@49609
   364
  then show ?thesis
wenzelm@49609
   365
    using convex_sums[OF convex_singleton[of a] assms] by auto
wenzelm@49609
   366
qed
hoelzl@36623
   367
wenzelm@49609
   368
lemma convex_affinity:
wenzelm@49609
   369
  assumes "convex s"
wenzelm@49609
   370
  shows "convex ((\<lambda>x. a + c *\<^sub>R x) ` s)"
wenzelm@49609
   371
proof -
wenzelm@49609
   372
  have "(\<lambda>x. a + c *\<^sub>R x) ` s = op + a ` op *\<^sub>R c ` s" by auto
wenzelm@49609
   373
  then show ?thesis
wenzelm@49609
   374
    using convex_translation[OF convex_scaling[OF assms], of a c] by auto
wenzelm@49609
   375
qed
hoelzl@36623
   376
hoelzl@36623
   377
lemma convex_linear_image:
hoelzl@36623
   378
  assumes c:"convex s" and l:"bounded_linear f"
hoelzl@36623
   379
  shows "convex(f ` s)"
wenzelm@49609
   380
proof (auto simp add: convex_def)
hoelzl@36623
   381
  interpret f: bounded_linear f by fact
wenzelm@49609
   382
  fix x y
wenzelm@49609
   383
  assume xy: "x \<in> s" "y \<in> s"
wenzelm@49609
   384
  fix u v :: real
wenzelm@49609
   385
  assume uv: "0 \<le> u" "0 \<le> v" "u + v = 1"
hoelzl@36623
   386
  show "u *\<^sub>R f x + v *\<^sub>R f y \<in> f ` s" unfolding image_iff
hoelzl@36623
   387
    using bexI[of _ "u *\<^sub>R x + v *\<^sub>R y"] f.add f.scaleR
hoelzl@36623
   388
      c[unfolded convex_def] xy uv by auto
hoelzl@36623
   389
qed
hoelzl@36623
   390
hoelzl@36623
   391
wenzelm@49609
   392
lemma pos_is_convex: "convex {0 :: real <..}"
wenzelm@49609
   393
  unfolding convex_alt
hoelzl@36623
   394
proof safe
hoelzl@36623
   395
  fix y x \<mu> :: real
hoelzl@36623
   396
  assume asms: "y > 0" "x > 0" "\<mu> \<ge> 0" "\<mu> \<le> 1"
hoelzl@36623
   397
  { assume "\<mu> = 0"
wenzelm@49609
   398
    then have "\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y = y" by simp
wenzelm@49609
   399
    then have "\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y > 0" using asms by simp }
hoelzl@36623
   400
  moreover
hoelzl@36623
   401
  { assume "\<mu> = 1"
wenzelm@49609
   402
    then have "\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y > 0" using asms by simp }
hoelzl@36623
   403
  moreover
hoelzl@36623
   404
  { assume "\<mu> \<noteq> 1" "\<mu> \<noteq> 0"
wenzelm@49609
   405
    then have "\<mu> > 0" "(1 - \<mu>) > 0" using asms by auto
wenzelm@49609
   406
    then have "\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y > 0" using asms
huffman@36778
   407
      by (auto simp add: add_pos_pos mult_pos_pos) }
nipkow@44890
   408
  ultimately show "(1 - \<mu>) *\<^sub>R y + \<mu> *\<^sub>R x > 0" using assms by fastforce
hoelzl@36623
   409
qed
hoelzl@36623
   410
hoelzl@36623
   411
lemma convex_on_setsum:
hoelzl@36623
   412
  fixes a :: "'a \<Rightarrow> real"
wenzelm@49609
   413
    and y :: "'a \<Rightarrow> 'b::real_vector"
wenzelm@49609
   414
    and f :: "'b \<Rightarrow> real"
hoelzl@36623
   415
  assumes "finite s" "s \<noteq> {}"
wenzelm@49609
   416
    and "convex_on C f"
wenzelm@49609
   417
    and "convex C"
wenzelm@49609
   418
    and "(\<Sum> i \<in> s. a i) = 1"
wenzelm@49609
   419
    and "\<And>i. i \<in> s \<Longrightarrow> a i \<ge> 0"
wenzelm@49609
   420
    and "\<And>i. i \<in> s \<Longrightarrow> y i \<in> C"
hoelzl@36623
   421
  shows "f (\<Sum> i \<in> s. a i *\<^sub>R y i) \<le> (\<Sum> i \<in> s. a i * f (y i))"
wenzelm@49609
   422
  using assms
wenzelm@49609
   423
proof (induct s arbitrary: a rule: finite_ne_induct)
hoelzl@36623
   424
  case (singleton i)
wenzelm@49609
   425
  then have ai: "a i = 1" by auto
wenzelm@49609
   426
  then show ?case by auto
hoelzl@36623
   427
next
hoelzl@36623
   428
  case (insert i s) note asms = this
wenzelm@49609
   429
  then have "convex_on C f" by simp
hoelzl@36623
   430
  from this[unfolded convex_on_def, rule_format]
wenzelm@49609
   431
  have conv: "\<And>x y \<mu>. x \<in> C \<Longrightarrow> y \<in> C \<Longrightarrow> 0 \<le> \<mu> \<Longrightarrow> \<mu> \<le> 1
wenzelm@49609
   432
      \<Longrightarrow> f (\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y) \<le> \<mu> * f x + (1 - \<mu>) * f y"
hoelzl@36623
   433
    by simp
hoelzl@36623
   434
  { assume "a i = 1"
wenzelm@49609
   435
    then have "(\<Sum> j \<in> s. a j) = 0"
hoelzl@36623
   436
      using asms by auto
wenzelm@49609
   437
    then have "\<And>j. j \<in> s \<Longrightarrow> a j = 0"
nipkow@44890
   438
      using setsum_nonneg_0[where 'b=real] asms by fastforce
wenzelm@49609
   439
    then have ?case using asms by auto }
hoelzl@36623
   440
  moreover
hoelzl@36623
   441
  { assume asm: "a i \<noteq> 1"
hoelzl@36623
   442
    from asms have yai: "y i \<in> C" "a i \<ge> 0" by auto
hoelzl@36623
   443
    have fis: "finite (insert i s)" using asms by auto
wenzelm@49609
   444
    then have ai1: "a i \<le> 1" using setsum_nonneg_leq_bound[of "insert i s" a] asms by simp
wenzelm@49609
   445
    then have "a i < 1" using asm by auto
wenzelm@49609
   446
    then have i0: "1 - a i > 0" by auto
wenzelm@49609
   447
    let ?a = "\<lambda>j. a j / (1 - a i)"
hoelzl@36623
   448
    { fix j assume "j \<in> s"
wenzelm@49609
   449
      then have "?a j \<ge> 0"
hoelzl@36623
   450
        using i0 asms divide_nonneg_pos
wenzelm@49609
   451
        by fastforce }
wenzelm@49609
   452
    note a_nonneg = this
hoelzl@36623
   453
    have "(\<Sum> j \<in> insert i s. a j) = 1" using asms by auto
wenzelm@49609
   454
    then have "(\<Sum> j \<in> s. a j) = 1 - a i" using setsum.insert asms by fastforce
wenzelm@49609
   455
    then have "(\<Sum> j \<in> s. a j) / (1 - a i) = 1" using i0 by auto
wenzelm@49609
   456
    then have a1: "(\<Sum> j \<in> s. ?a j) = 1" unfolding setsum_divide_distrib by simp
hoelzl@36623
   457
    have "convex C" using asms by auto
wenzelm@49609
   458
    then have asum: "(\<Sum> j \<in> s. ?a j *\<^sub>R y j) \<in> C"
hoelzl@36623
   459
      using asms convex_setsum[OF `finite s`
hoelzl@36623
   460
        `convex C` a1 a_nonneg] by auto
hoelzl@36623
   461
    have asum_le: "f (\<Sum> j \<in> s. ?a j *\<^sub>R y j) \<le> (\<Sum> j \<in> s. ?a j * f (y j))"
hoelzl@36623
   462
      using a_nonneg a1 asms by blast
hoelzl@36623
   463
    have "f (\<Sum> j \<in> insert i s. a j *\<^sub>R y j) = f ((\<Sum> j \<in> s. a j *\<^sub>R y j) + a i *\<^sub>R y i)"
hoelzl@36623
   464
      using setsum.insert[of s i "\<lambda> j. a j *\<^sub>R y j", OF `finite s` `i \<notin> s`] asms
hoelzl@36623
   465
      by (auto simp only:add_commute)
hoelzl@36623
   466
    also have "\<dots> = f (((1 - a i) * inverse (1 - a i)) *\<^sub>R (\<Sum> j \<in> s. a j *\<^sub>R y j) + a i *\<^sub>R y i)"
hoelzl@36623
   467
      using i0 by auto
hoelzl@36623
   468
    also have "\<dots> = f ((1 - a i) *\<^sub>R (\<Sum> j \<in> s. (a j * inverse (1 - a i)) *\<^sub>R y j) + a i *\<^sub>R y i)"
wenzelm@49609
   469
      using scaleR_right.setsum[of "inverse (1 - a i)" "\<lambda> j. a j *\<^sub>R y j" s, symmetric]
wenzelm@49609
   470
      by (auto simp:algebra_simps)
hoelzl@36623
   471
    also have "\<dots> = f ((1 - a i) *\<^sub>R (\<Sum> j \<in> s. ?a j *\<^sub>R y j) + a i *\<^sub>R y i)"
huffman@36778
   472
      by (auto simp: divide_inverse)
hoelzl@36623
   473
    also have "\<dots> \<le> (1 - a i) *\<^sub>R f ((\<Sum> j \<in> s. ?a j *\<^sub>R y j)) + a i * f (y i)"
hoelzl@36623
   474
      using conv[of "y i" "(\<Sum> j \<in> s. ?a j *\<^sub>R y j)" "a i", OF yai(1) asum yai(2) ai1]
hoelzl@36623
   475
      by (auto simp add:add_commute)
hoelzl@36623
   476
    also have "\<dots> \<le> (1 - a i) * (\<Sum> j \<in> s. ?a j * f (y j)) + a i * f (y i)"
hoelzl@36623
   477
      using add_right_mono[OF mult_left_mono[of _ _ "1 - a i",
hoelzl@36623
   478
        OF asum_le less_imp_le[OF i0]], of "a i * f (y i)"] by simp
hoelzl@36623
   479
    also have "\<dots> = (\<Sum> j \<in> s. (1 - a i) * ?a j * f (y j)) + a i * f (y i)"
huffman@44282
   480
      unfolding setsum_right_distrib[of "1 - a i" "\<lambda> j. ?a j * f (y j)"] using i0 by auto
hoelzl@36623
   481
    also have "\<dots> = (\<Sum> j \<in> s. a j * f (y j)) + a i * f (y i)" using i0 by auto
hoelzl@36623
   482
    also have "\<dots> = (\<Sum> j \<in> insert i s. a j * f (y j))" using asms by auto
hoelzl@36623
   483
    finally have "f (\<Sum> j \<in> insert i s. a j *\<^sub>R y j) \<le> (\<Sum> j \<in> insert i s. a j * f (y j))"
hoelzl@36623
   484
      by simp }
hoelzl@36623
   485
  ultimately show ?case by auto
hoelzl@36623
   486
qed
hoelzl@36623
   487
hoelzl@36623
   488
lemma convex_on_alt:
hoelzl@36623
   489
  fixes C :: "'a::real_vector set"
hoelzl@36623
   490
  assumes "convex C"
hoelzl@36623
   491
  shows "convex_on C f =
hoelzl@36623
   492
  (\<forall> x \<in> C. \<forall> y \<in> C. \<forall> \<mu> :: real. \<mu> \<ge> 0 \<and> \<mu> \<le> 1
hoelzl@36623
   493
      \<longrightarrow> f (\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y) \<le> \<mu> * f x + (1 - \<mu>) * f y)"
hoelzl@36623
   494
proof safe
wenzelm@49609
   495
  fix x y
wenzelm@49609
   496
  fix \<mu> :: real
hoelzl@36623
   497
  assume asms: "convex_on C f" "x \<in> C" "y \<in> C" "0 \<le> \<mu>" "\<mu> \<le> 1"
hoelzl@36623
   498
  from this[unfolded convex_on_def, rule_format]
wenzelm@49609
   499
  have "\<And>u v. \<lbrakk>0 \<le> u; 0 \<le> v; u + v = 1\<rbrakk> \<Longrightarrow> f (u *\<^sub>R x + v *\<^sub>R y) \<le> u * f x + v * f y" by auto
hoelzl@36623
   500
  from this[of "\<mu>" "1 - \<mu>", simplified] asms
wenzelm@49609
   501
  show "f (\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y) \<le> \<mu> * f x + (1 - \<mu>) * f y" by auto
hoelzl@36623
   502
next
hoelzl@36623
   503
  assume asm: "\<forall>x\<in>C. \<forall>y\<in>C. \<forall>\<mu>. 0 \<le> \<mu> \<and> \<mu> \<le> 1 \<longrightarrow> f (\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y) \<le> \<mu> * f x + (1 - \<mu>) * f y"
wenzelm@49609
   504
  { fix x y
wenzelm@49609
   505
    fix u v :: real
hoelzl@36623
   506
    assume lasm: "x \<in> C" "y \<in> C" "u \<ge> 0" "v \<ge> 0" "u + v = 1"
wenzelm@49609
   507
    then have[simp]: "1 - u = v" by auto
hoelzl@36623
   508
    from asm[rule_format, of x y u]
wenzelm@49609
   509
    have "f (u *\<^sub>R x + v *\<^sub>R y) \<le> u * f x + v * f y" using lasm by auto
wenzelm@49609
   510
  }
wenzelm@49609
   511
  then show "convex_on C f" unfolding convex_on_def by auto
hoelzl@36623
   512
qed
hoelzl@36623
   513
hoelzl@43337
   514
lemma convex_on_diff:
hoelzl@43337
   515
  fixes f :: "real \<Rightarrow> real"
hoelzl@43337
   516
  assumes f: "convex_on I f" and I: "x\<in>I" "y\<in>I" and t: "x < t" "t < y"
wenzelm@49609
   517
  shows "(f x - f t) / (x - t) \<le> (f x - f y) / (x - y)"
wenzelm@49609
   518
    "(f x - f y) / (x - y) \<le> (f t - f y) / (t - y)"
hoelzl@43337
   519
proof -
hoelzl@43337
   520
  def a \<equiv> "(t - y) / (x - y)"
hoelzl@43337
   521
  with t have "0 \<le> a" "0 \<le> 1 - a" by (auto simp: field_simps)
hoelzl@43337
   522
  with f `x \<in> I` `y \<in> I` have cvx: "f (a * x + (1 - a) * y) \<le> a * f x + (1 - a) * f y"
hoelzl@43337
   523
    by (auto simp: convex_on_def)
hoelzl@43337
   524
  have "a * x + (1 - a) * y = a * (x - y) + y" by (simp add: field_simps)
hoelzl@43337
   525
  also have "\<dots> = t" unfolding a_def using `x < t` `t < y` by simp
hoelzl@43337
   526
  finally have "f t \<le> a * f x + (1 - a) * f y" using cvx by simp
hoelzl@43337
   527
  also have "\<dots> = a * (f x - f y) + f y" by (simp add: field_simps)
hoelzl@43337
   528
  finally have "f t - f y \<le> a * (f x - f y)" by simp
hoelzl@43337
   529
  with t show "(f x - f t) / (x - t) \<le> (f x - f y) / (x - y)"
huffman@44142
   530
    by (simp add: le_divide_eq divide_le_eq field_simps a_def)
hoelzl@43337
   531
  with t show "(f x - f y) / (x - y) \<le> (f t - f y) / (t - y)"
huffman@44142
   532
    by (simp add: le_divide_eq divide_le_eq field_simps)
hoelzl@43337
   533
qed
hoelzl@36623
   534
hoelzl@36623
   535
lemma pos_convex_function:
hoelzl@36623
   536
  fixes f :: "real \<Rightarrow> real"
hoelzl@36623
   537
  assumes "convex C"
wenzelm@49609
   538
    and leq: "\<And>x y. \<lbrakk>x \<in> C ; y \<in> C\<rbrakk> \<Longrightarrow> f' x * (y - x) \<le> f y - f x"
hoelzl@36623
   539
  shows "convex_on C f"
wenzelm@49609
   540
  unfolding convex_on_alt[OF assms(1)]
wenzelm@49609
   541
  using assms
hoelzl@36623
   542
proof safe
hoelzl@36623
   543
  fix x y \<mu> :: real
hoelzl@36623
   544
  let ?x = "\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y"
hoelzl@36623
   545
  assume asm: "convex C" "x \<in> C" "y \<in> C" "\<mu> \<ge> 0" "\<mu> \<le> 1"
wenzelm@49609
   546
  then have "1 - \<mu> \<ge> 0" by auto
wenzelm@49609
   547
  then have xpos: "?x \<in> C" using asm unfolding convex_alt by fastforce
hoelzl@36623
   548
  have geq: "\<mu> * (f x - f ?x) + (1 - \<mu>) * (f y - f ?x)
hoelzl@36623
   549
            \<ge> \<mu> * f' ?x * (x - ?x) + (1 - \<mu>) * f' ?x * (y - ?x)"
haftmann@38642
   550
    using add_mono[OF mult_left_mono[OF leq[OF xpos asm(2)] `\<mu> \<ge> 0`]
haftmann@38642
   551
      mult_left_mono[OF leq[OF xpos asm(3)] `1 - \<mu> \<ge> 0`]] by auto
wenzelm@49609
   552
  then have "\<mu> * f x + (1 - \<mu>) * f y - f ?x \<ge> 0"
wenzelm@49609
   553
    by (auto simp add: field_simps)
wenzelm@49609
   554
  then show "f (\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y) \<le> \<mu> * f x + (1 - \<mu>) * f y"
hoelzl@36623
   555
    using convex_on_alt by auto
hoelzl@36623
   556
qed
hoelzl@36623
   557
hoelzl@36623
   558
lemma atMostAtLeast_subset_convex:
hoelzl@36623
   559
  fixes C :: "real set"
hoelzl@36623
   560
  assumes "convex C"
wenzelm@49609
   561
    and "x \<in> C" "y \<in> C" "x < y"
hoelzl@36623
   562
  shows "{x .. y} \<subseteq> C"
hoelzl@36623
   563
proof safe
hoelzl@36623
   564
  fix z assume zasm: "z \<in> {x .. y}"
hoelzl@36623
   565
  { assume asm: "x < z" "z < y"
wenzelm@49609
   566
    let ?\<mu> = "(y - z) / (y - x)"
wenzelm@49609
   567
    have "0 \<le> ?\<mu>" "?\<mu> \<le> 1" using assms asm by (auto simp add: field_simps)
wenzelm@49609
   568
    then have comb: "?\<mu> * x + (1 - ?\<mu>) * y \<in> C"
wenzelm@49609
   569
      using assms iffD1[OF convex_alt, rule_format, of C y x ?\<mu>]
wenzelm@49609
   570
      by (simp add: algebra_simps)
hoelzl@36623
   571
    have "?\<mu> * x + (1 - ?\<mu>) * y = (y - z) * x / (y - x) + (1 - (y - z) / (y - x)) * y"
wenzelm@49609
   572
      by (auto simp add: field_simps)
hoelzl@36623
   573
    also have "\<dots> = ((y - z) * x + (y - x - (y - z)) * y) / (y - x)"
wenzelm@49609
   574
      using assms unfolding add_divide_distrib by (auto simp: field_simps)
hoelzl@36623
   575
    also have "\<dots> = z"
wenzelm@49609
   576
      using assms by (auto simp: field_simps)
hoelzl@36623
   577
    finally have "z \<in> C"
wenzelm@49609
   578
      using comb by auto }
wenzelm@49609
   579
  note less = this
hoelzl@36623
   580
  show "z \<in> C" using zasm less assms
hoelzl@36623
   581
    unfolding atLeastAtMost_iff le_less by auto
hoelzl@36623
   582
qed
hoelzl@36623
   583
hoelzl@36623
   584
lemma f''_imp_f':
hoelzl@36623
   585
  fixes f :: "real \<Rightarrow> real"
hoelzl@36623
   586
  assumes "convex C"
wenzelm@49609
   587
    and f': "\<And>x. x \<in> C \<Longrightarrow> DERIV f x :> (f' x)"
wenzelm@49609
   588
    and f'': "\<And>x. x \<in> C \<Longrightarrow> DERIV f' x :> (f'' x)"
wenzelm@49609
   589
    and pos: "\<And>x. x \<in> C \<Longrightarrow> f'' x \<ge> 0"
wenzelm@49609
   590
    and "x \<in> C" "y \<in> C"
hoelzl@36623
   591
  shows "f' x * (y - x) \<le> f y - f x"
wenzelm@49609
   592
  using assms
hoelzl@36623
   593
proof -
wenzelm@49609
   594
  { fix x y :: real
wenzelm@49609
   595
    assume asm: "x \<in> C" "y \<in> C" "y > x"
wenzelm@49609
   596
    then have ge: "y - x > 0" "y - x \<ge> 0" by auto
hoelzl@36623
   597
    from asm have le: "x - y < 0" "x - y \<le> 0" by auto
hoelzl@36623
   598
    then obtain z1 where z1: "z1 > x" "z1 < y" "f y - f x = (y - x) * f' z1"
hoelzl@36623
   599
      using subsetD[OF atMostAtLeast_subset_convex[OF `convex C` `x \<in> C` `y \<in> C` `x < y`],
hoelzl@36623
   600
        THEN f', THEN MVT2[OF `x < y`, rule_format, unfolded atLeastAtMost_iff[symmetric]]]
hoelzl@36623
   601
      by auto
wenzelm@49609
   602
    then have "z1 \<in> C" using atMostAtLeast_subset_convex
nipkow@44890
   603
      `convex C` `x \<in> C` `y \<in> C` `x < y` by fastforce
hoelzl@36623
   604
    from z1 have z1': "f x - f y = (x - y) * f' z1"
hoelzl@36623
   605
      by (simp add:field_simps)
hoelzl@36623
   606
    obtain z2 where z2: "z2 > x" "z2 < z1" "f' z1 - f' x = (z1 - x) * f'' z2"
hoelzl@36623
   607
      using subsetD[OF atMostAtLeast_subset_convex[OF `convex C` `x \<in> C` `z1 \<in> C` `x < z1`],
hoelzl@36623
   608
        THEN f'', THEN MVT2[OF `x < z1`, rule_format, unfolded atLeastAtMost_iff[symmetric]]] z1
hoelzl@36623
   609
      by auto
hoelzl@36623
   610
    obtain z3 where z3: "z3 > z1" "z3 < y" "f' y - f' z1 = (y - z1) * f'' z3"
hoelzl@36623
   611
      using subsetD[OF atMostAtLeast_subset_convex[OF `convex C` `z1 \<in> C` `y \<in> C` `z1 < y`],
hoelzl@36623
   612
        THEN f'', THEN MVT2[OF `z1 < y`, rule_format, unfolded atLeastAtMost_iff[symmetric]]] z1
hoelzl@36623
   613
      by auto
hoelzl@36623
   614
    have "f' y - (f x - f y) / (x - y) = f' y - f' z1"
hoelzl@36623
   615
      using asm z1' by auto
hoelzl@36623
   616
    also have "\<dots> = (y - z1) * f'' z3" using z3 by auto
hoelzl@36623
   617
    finally have cool': "f' y - (f x - f y) / (x - y) = (y - z1) * f'' z3" by simp
hoelzl@36623
   618
    have A': "y - z1 \<ge> 0" using z1 by auto
hoelzl@36623
   619
    have "z3 \<in> C" using z3 asm atMostAtLeast_subset_convex
nipkow@44890
   620
      `convex C` `x \<in> C` `z1 \<in> C` `x < z1` by fastforce
wenzelm@49609
   621
    then have B': "f'' z3 \<ge> 0" using assms by auto
hoelzl@36623
   622
    from A' B' have "(y - z1) * f'' z3 \<ge> 0" using mult_nonneg_nonneg by auto
hoelzl@36623
   623
    from cool' this have "f' y - (f x - f y) / (x - y) \<ge> 0" by auto
hoelzl@36623
   624
    from mult_right_mono_neg[OF this le(2)]
hoelzl@36623
   625
    have "f' y * (x - y) - (f x - f y) / (x - y) * (x - y) \<le> 0 * (x - y)"
huffman@36778
   626
      by (simp add: algebra_simps)
wenzelm@49609
   627
    then have "f' y * (x - y) - (f x - f y) \<le> 0" using le by auto
wenzelm@49609
   628
    then have res: "f' y * (x - y) \<le> f x - f y" by auto
hoelzl@36623
   629
    have "(f y - f x) / (y - x) - f' x = f' z1 - f' x"
hoelzl@36623
   630
      using asm z1 by auto
hoelzl@36623
   631
    also have "\<dots> = (z1 - x) * f'' z2" using z2 by auto
hoelzl@36623
   632
    finally have cool: "(f y - f x) / (y - x) - f' x = (z1 - x) * f'' z2" by simp
hoelzl@36623
   633
    have A: "z1 - x \<ge> 0" using z1 by auto
hoelzl@36623
   634
    have "z2 \<in> C" using z2 z1 asm atMostAtLeast_subset_convex
nipkow@44890
   635
      `convex C` `z1 \<in> C` `y \<in> C` `z1 < y` by fastforce
wenzelm@49609
   636
    then have B: "f'' z2 \<ge> 0" using assms by auto
hoelzl@36623
   637
    from A B have "(z1 - x) * f'' z2 \<ge> 0" using mult_nonneg_nonneg by auto
hoelzl@36623
   638
    from cool this have "(f y - f x) / (y - x) - f' x \<ge> 0" by auto
hoelzl@36623
   639
    from mult_right_mono[OF this ge(2)]
hoelzl@36623
   640
    have "(f y - f x) / (y - x) * (y - x) - f' x * (y - x) \<ge> 0 * (y - x)"
huffman@36778
   641
      by (simp add: algebra_simps)
wenzelm@49609
   642
    then have "f y - f x - f' x * (y - x) \<ge> 0" using ge by auto
wenzelm@49609
   643
    then have "f y - f x \<ge> f' x * (y - x)" "f' y * (x - y) \<le> f x - f y"
hoelzl@36623
   644
      using res by auto } note less_imp = this
wenzelm@49609
   645
  { fix x y :: real
wenzelm@49609
   646
    assume "x \<in> C" "y \<in> C" "x \<noteq> y"
wenzelm@49609
   647
    then have"f y - f x \<ge> f' x * (y - x)"
hoelzl@36623
   648
    unfolding neq_iff using less_imp by auto } note neq_imp = this
hoelzl@36623
   649
  moreover
wenzelm@49609
   650
  { fix x y :: real
wenzelm@49609
   651
    assume asm: "x \<in> C" "y \<in> C" "x = y"
wenzelm@49609
   652
    then have "f y - f x \<ge> f' x * (y - x)" by auto }
hoelzl@36623
   653
  ultimately show ?thesis using assms by blast
hoelzl@36623
   654
qed
hoelzl@36623
   655
hoelzl@36623
   656
lemma f''_ge0_imp_convex:
hoelzl@36623
   657
  fixes f :: "real \<Rightarrow> real"
hoelzl@36623
   658
  assumes conv: "convex C"
wenzelm@49609
   659
    and f': "\<And>x. x \<in> C \<Longrightarrow> DERIV f x :> (f' x)"
wenzelm@49609
   660
    and f'': "\<And>x. x \<in> C \<Longrightarrow> DERIV f' x :> (f'' x)"
wenzelm@49609
   661
    and pos: "\<And>x. x \<in> C \<Longrightarrow> f'' x \<ge> 0"
hoelzl@36623
   662
  shows "convex_on C f"
nipkow@44890
   663
using f''_imp_f'[OF conv f' f'' pos] assms pos_convex_function by fastforce
hoelzl@36623
   664
hoelzl@36623
   665
lemma minus_log_convex:
hoelzl@36623
   666
  fixes b :: real
hoelzl@36623
   667
  assumes "b > 1"
hoelzl@36623
   668
  shows "convex_on {0 <..} (\<lambda> x. - log b x)"
hoelzl@36623
   669
proof -
wenzelm@49609
   670
  have "\<And>z. z > 0 \<Longrightarrow> DERIV (log b) z :> 1 / (ln b * z)" using DERIV_log by auto
wenzelm@49609
   671
  then have f': "\<And>z. z > 0 \<Longrightarrow> DERIV (\<lambda> z. - log b z) z :> - 1 / (ln b * z)"
hoelzl@51642
   672
    by (auto simp: DERIV_minus)
wenzelm@49609
   673
  have "\<And>z :: real. z > 0 \<Longrightarrow> DERIV inverse z :> - (inverse z ^ Suc (Suc 0))"
hoelzl@36623
   674
    using less_imp_neq[THEN not_sym, THEN DERIV_inverse] by auto
hoelzl@36623
   675
  from this[THEN DERIV_cmult, of _ "- 1 / ln b"]
wenzelm@49609
   676
  have "\<And>z :: real. z > 0 \<Longrightarrow>
wenzelm@49609
   677
    DERIV (\<lambda> z. (- 1 / ln b) * inverse z) z :> (- 1 / ln b) * (- (inverse z ^ Suc (Suc 0)))"
hoelzl@36623
   678
    by auto
wenzelm@49609
   679
  then have f''0: "\<And>z :: real. z > 0 \<Longrightarrow> DERIV (\<lambda> z. - 1 / (ln b * z)) z :> 1 / (ln b * z * z)"
huffman@36778
   680
    unfolding inverse_eq_divide by (auto simp add: mult_assoc)
wenzelm@49609
   681
  have f''_ge0: "\<And>z :: real. z > 0 \<Longrightarrow> 1 / (ln b * z * z) \<ge> 0"
wenzelm@49609
   682
    using `b > 1` by (auto intro!:less_imp_le simp add: divide_pos_pos[of 1] mult_pos_pos)
hoelzl@36623
   683
  from f''_ge0_imp_convex[OF pos_is_convex,
hoelzl@36623
   684
    unfolded greaterThan_iff, OF f' f''0 f''_ge0]
hoelzl@36623
   685
  show ?thesis by auto
hoelzl@36623
   686
qed
hoelzl@36623
   687
hoelzl@36623
   688
end