src/HOL/Probability/Projective_Family.thy
author immler@in.tum.de
Fri Nov 09 14:31:26 2012 +0100 (2012-11-09)
changeset 50042 6fe18351e9dd
parent 50041 afe886a04198
child 50087 635d73673b5e
permissions -rw-r--r--
moved lemmas into projective_family; added header for theory Projective_Family
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(*  Title:      HOL/Probability/Projective_Family.thy
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    Author:     Fabian Immler, TU München
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    Author:     Johannes Hölzl, TU München
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*)
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header {*Projective Family*}
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theory Projective_Family
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imports Finite_Product_Measure Probability_Measure
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begin
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definition
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  PiP :: "'i set \<Rightarrow> ('i \<Rightarrow> 'a measure) \<Rightarrow> ('i set \<Rightarrow> ('i \<Rightarrow> 'a) measure) \<Rightarrow> ('i \<Rightarrow> 'a) measure" where
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  "PiP I M P = extend_measure (\<Pi>\<^isub>E i\<in>I. space (M i))
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    {(J, X). (J \<noteq> {} \<or> I = {}) \<and> finite J \<and> J \<subseteq> I \<and> X \<in> (\<Pi> j\<in>J. sets (M j))}
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    (\<lambda>(J, X). prod_emb I M J (\<Pi>\<^isub>E j\<in>J. X j))
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    (\<lambda>(J, X). emeasure (P J) (Pi\<^isub>E J X))"
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lemma space_PiP[simp]: "space (PiP I M P) = space (PiM I M)"
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  by (auto simp add: PiP_def space_PiM prod_emb_def intro!: space_extend_measure)
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lemma sets_PiP[simp]: "sets (PiP I M P) = sets (PiM I M)"
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  by (auto simp add: PiP_def sets_PiM prod_algebra_def prod_emb_def intro!: sets_extend_measure)
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lemma measurable_PiP1[simp]: "measurable (PiP I M P) M' = measurable (\<Pi>\<^isub>M i\<in>I. M i) M'"
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  unfolding measurable_def by auto
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lemma measurable_PiP2[simp]: "measurable M' (PiP I M P) = measurable M' (\<Pi>\<^isub>M i\<in>I. M i)"
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  unfolding measurable_def by auto
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locale projective_family =
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  fixes I::"'i set" and P::"'i set \<Rightarrow> ('i \<Rightarrow> 'a) measure" and M::"('i \<Rightarrow> 'a measure)"
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  assumes projective: "\<And>J H X. J \<noteq> {} \<Longrightarrow> J \<subseteq> H \<Longrightarrow> H \<subseteq> I \<Longrightarrow> finite H \<Longrightarrow> X \<in> sets (PiM J M) \<Longrightarrow>
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     (P H) (prod_emb H M J X) = (P J) X"
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  assumes prob_space: "\<And>J. finite J \<Longrightarrow> prob_space (P J)"
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  assumes proj_space: "\<And>J. finite J \<Longrightarrow> space (P J) = space (PiM J M)"
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  assumes proj_sets: "\<And>J. finite J \<Longrightarrow> sets (P J) = sets (PiM J M)"
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begin
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lemma emeasure_PiP:
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  assumes "finite J"
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  assumes "J \<subseteq> I"
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  assumes A: "\<And>i. i\<in>J \<Longrightarrow> A i \<in> sets (M i)"
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  shows "emeasure (PiP J M P) (Pi\<^isub>E J A) = emeasure (P J) (Pi\<^isub>E J A)"
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proof -
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  have "Pi\<^isub>E J (restrict A J) \<subseteq> (\<Pi>\<^isub>E i\<in>J. space (M i))"
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  proof safe
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    fix x j assume "x \<in> Pi J (restrict A J)" "j \<in> J"
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    hence "x j \<in> restrict A J j" by (auto simp: Pi_def)
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    also have "\<dots> \<subseteq> space (M j)" using sets_into_space A `j \<in> J` by auto
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    finally show "x j \<in> space (M j)" .
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  qed
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  hence "emeasure (PiP J M P) (Pi\<^isub>E J A) =
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    emeasure (PiP J M P) (prod_emb J M J (Pi\<^isub>E J A))"
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    using assms(1-3) sets_into_space by (auto simp add: prod_emb_id Pi_def)
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  also have "\<dots> = emeasure (P J) (Pi\<^isub>E J A)"
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  proof (rule emeasure_extend_measure_Pair[OF PiP_def])
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    show "positive (sets (PiP J M P)) (P J)" unfolding positive_def by auto
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    show "countably_additive (sets (PiP J M P)) (P J)" unfolding countably_additive_def
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      by (auto simp: suminf_emeasure proj_sets[OF `finite J`])
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    show "(J \<noteq> {} \<or> J = {}) \<and> finite J \<and> J \<subseteq> J \<and> A \<in> (\<Pi> j\<in>J. sets (M j))"
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      using assms by auto
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    fix K and X::"'i \<Rightarrow> 'a set"
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    show "prod_emb J M K (Pi\<^isub>E K X) \<in> Pow (\<Pi>\<^isub>E i\<in>J. space (M i))"
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      by (auto simp: prod_emb_def)
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    assume JX: "(K \<noteq> {} \<or> J = {}) \<and> finite K \<and> K \<subseteq> J \<and> X \<in> (\<Pi> j\<in>K. sets (M j))"
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    thus "emeasure (P J) (prod_emb J M K (Pi\<^isub>E K X)) = emeasure (P K) (Pi\<^isub>E K X)"
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      using assms
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      apply (cases "J = {}")
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      apply (simp add: prod_emb_id)
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      apply (fastforce simp add: intro!: projective sets_PiM_I_finite)
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      done
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  qed
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  finally show ?thesis .
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qed
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lemma PiP_finite:
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  assumes "finite J"
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  assumes "J \<subseteq> I"
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  shows "PiP J M P = P J" (is "?P = _")
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proof (rule measure_eqI_generator_eq)
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  let ?J = "{Pi\<^isub>E J E | E. \<forall>i\<in>J. E i \<in> sets (M i)}"
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  let ?F = "\<lambda>i. \<Pi>\<^isub>E k\<in>J. space (M k)"
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  let ?\<Omega> = "(\<Pi>\<^isub>E k\<in>J. space (M k))"
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  show "Int_stable ?J"
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    by (rule Int_stable_PiE)
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  interpret prob_space "P J" using prob_space `finite J` by simp
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  show "emeasure ?P (?F _) \<noteq> \<infinity>" using assms `finite J` by (auto simp: emeasure_PiP)
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  show "?J \<subseteq> Pow ?\<Omega>" by (auto simp: Pi_iff dest: sets_into_space)
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  show "sets (PiP J M P) = sigma_sets ?\<Omega> ?J" "sets (P J) = sigma_sets ?\<Omega> ?J"
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    using `finite J` proj_sets by (simp_all add: sets_PiM prod_algebra_eq_finite Pi_iff)
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  fix X assume "X \<in> ?J"
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  then obtain E where X: "X = Pi\<^isub>E J E" and E: "\<forall>i\<in>J. E i \<in> sets (M i)" by auto
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  with `finite J` have "X \<in> sets (PiP J M P)" by simp
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  have emb_self: "prod_emb J M J (Pi\<^isub>E J E) = Pi\<^isub>E J E"
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    using E sets_into_space
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    by (auto intro!: prod_emb_PiE_same_index)
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  show "emeasure (PiP J M P) X = emeasure (P J) X"
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    unfolding X using E
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    by (intro emeasure_PiP assms) simp
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qed (insert `finite J`, auto intro!: prod_algebraI_finite)
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lemma emeasure_fun_emb[simp]:
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  assumes L: "J \<noteq> {}" "J \<subseteq> L" "finite L" "L \<subseteq> I" and X: "X \<in> sets (PiM J M)"
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  shows "emeasure (PiP L M P) (prod_emb L M J X) = emeasure (PiP J M P) X"
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  using assms
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  by (subst PiP_finite) (auto simp: PiP_finite finite_subset projective)
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lemma prod_emb_injective:
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  assumes "J \<noteq> {}" "J \<subseteq> L" "finite J" and sets: "X \<in> sets (Pi\<^isub>M J M)" "Y \<in> sets (Pi\<^isub>M J M)"
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  assumes "prod_emb L M J X = prod_emb L M J Y"
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  shows "X = Y"
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proof (rule injective_vimage_restrict)
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  show "X \<subseteq> (\<Pi>\<^isub>E i\<in>J. space (M i))" "Y \<subseteq> (\<Pi>\<^isub>E i\<in>J. space (M i))"
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    using sets[THEN sets_into_space] by (auto simp: space_PiM)
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  have "\<forall>i\<in>L. \<exists>x. x \<in> space (M i)"
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  proof
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    fix i assume "i \<in> L"
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    interpret prob_space "P {i}" using prob_space by simp
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    from not_empty show "\<exists>x. x \<in> space (M i)" by (auto simp add: proj_space space_PiM)
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  qed
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  from bchoice[OF this]
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  show "(\<Pi>\<^isub>E i\<in>L. space (M i)) \<noteq> {}" by auto
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  show "(\<lambda>x. restrict x J) -` X \<inter> (\<Pi>\<^isub>E i\<in>L. space (M i)) = (\<lambda>x. restrict x J) -` Y \<inter> (\<Pi>\<^isub>E i\<in>L. space (M i))"
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    using `prod_emb L M J X = prod_emb L M J Y` by (simp add: prod_emb_def)
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qed fact
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abbreviation
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  "emb L K X \<equiv> prod_emb L M K X"
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definition generator :: "('i \<Rightarrow> 'a) set set" where
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  "generator = (\<Union>J\<in>{J. J \<noteq> {} \<and> finite J \<and> J \<subseteq> I}. emb I J ` sets (Pi\<^isub>M J M))"
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lemma generatorI':
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  "J \<noteq> {} \<Longrightarrow> finite J \<Longrightarrow> J \<subseteq> I \<Longrightarrow> X \<in> sets (Pi\<^isub>M J M) \<Longrightarrow> emb I J X \<in> generator"
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  unfolding generator_def by auto
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lemma algebra_generator:
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  assumes "I \<noteq> {}" shows "algebra (\<Pi>\<^isub>E i\<in>I. space (M i)) generator" (is "algebra ?\<Omega> ?G")
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  unfolding algebra_def algebra_axioms_def ring_of_sets_iff
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proof (intro conjI ballI)
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  let ?G = generator
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  show "?G \<subseteq> Pow ?\<Omega>"
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    by (auto simp: generator_def prod_emb_def)
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  from `I \<noteq> {}` obtain i where "i \<in> I" by auto
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  then show "{} \<in> ?G"
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    by (auto intro!: exI[of _ "{i}"] image_eqI[where x="\<lambda>i. {}"]
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             simp: sigma_sets.Empty generator_def prod_emb_def)
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  from `i \<in> I` show "?\<Omega> \<in> ?G"
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    by (auto intro!: exI[of _ "{i}"] image_eqI[where x="Pi\<^isub>E {i} (\<lambda>i. space (M i))"]
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             simp: generator_def prod_emb_def)
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  fix A assume "A \<in> ?G"
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  then obtain JA XA where XA: "JA \<noteq> {}" "finite JA" "JA \<subseteq> I" "XA \<in> sets (Pi\<^isub>M JA M)" and A: "A = emb I JA XA"
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    by (auto simp: generator_def)
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  fix B assume "B \<in> ?G"
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  then obtain JB XB where XB: "JB \<noteq> {}" "finite JB" "JB \<subseteq> I" "XB \<in> sets (Pi\<^isub>M JB M)" and B: "B = emb I JB XB"
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    by (auto simp: generator_def)
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  let ?RA = "emb (JA \<union> JB) JA XA"
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  let ?RB = "emb (JA \<union> JB) JB XB"
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  have *: "A - B = emb I (JA \<union> JB) (?RA - ?RB)" "A \<union> B = emb I (JA \<union> JB) (?RA \<union> ?RB)"
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    using XA A XB B by auto
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  show "A - B \<in> ?G" "A \<union> B \<in> ?G"
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    unfolding * using XA XB by (safe intro!: generatorI') auto
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qed
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lemma sets_PiM_generator:
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  "sets (PiM I M) = sigma_sets (\<Pi>\<^isub>E i\<in>I. space (M i)) generator"
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proof cases
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  assume "I = {}" then show ?thesis
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    unfolding generator_def
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    by (auto simp: sets_PiM_empty sigma_sets_empty_eq cong: conj_cong)
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next
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  assume "I \<noteq> {}"
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  show ?thesis
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  proof
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    show "sets (Pi\<^isub>M I M) \<subseteq> sigma_sets (\<Pi>\<^isub>E i\<in>I. space (M i)) generator"
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      unfolding sets_PiM
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    proof (safe intro!: sigma_sets_subseteq)
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      fix A assume "A \<in> prod_algebra I M" with `I \<noteq> {}` show "A \<in> generator"
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        by (auto intro!: generatorI' sets_PiM_I_finite elim!: prod_algebraE)
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    qed
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  qed (auto simp: generator_def space_PiM[symmetric] intro!: sigma_sets_subset)
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qed
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lemma generatorI:
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  "J \<noteq> {} \<Longrightarrow> finite J \<Longrightarrow> J \<subseteq> I \<Longrightarrow> X \<in> sets (Pi\<^isub>M J M) \<Longrightarrow> A = emb I J X \<Longrightarrow> A \<in> generator"
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  unfolding generator_def by auto
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definition
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  "\<mu>G A =
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    (THE x. \<forall>J. J \<noteq> {} \<longrightarrow> finite J \<longrightarrow> J \<subseteq> I \<longrightarrow> (\<forall>X\<in>sets (Pi\<^isub>M J M). A = emb I J X \<longrightarrow> x = emeasure (PiP J M P) X))"
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lemma \<mu>G_spec:
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  assumes J: "J \<noteq> {}" "finite J" "J \<subseteq> I" "A = emb I J X" "X \<in> sets (Pi\<^isub>M J M)"
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  shows "\<mu>G A = emeasure (PiP J M P) X"
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  unfolding \<mu>G_def
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proof (intro the_equality allI impI ballI)
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  fix K Y assume K: "K \<noteq> {}" "finite K" "K \<subseteq> I" "A = emb I K Y" "Y \<in> sets (Pi\<^isub>M K M)"
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  have "emeasure (PiP K M P) Y = emeasure (PiP (K \<union> J) M P) (emb (K \<union> J) K Y)"
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    using K J by simp
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  also have "emb (K \<union> J) K Y = emb (K \<union> J) J X"
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    using K J by (simp add: prod_emb_injective[of "K \<union> J" I])
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  also have "emeasure (PiP (K \<union> J) M P) (emb (K \<union> J) J X) = emeasure (PiP J M P) X"
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    using K J by simp
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  finally show "emeasure (PiP J M P) X = emeasure (PiP K M P) Y" ..
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qed (insert J, force)
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lemma \<mu>G_eq:
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  "J \<noteq> {} \<Longrightarrow> finite J \<Longrightarrow> J \<subseteq> I \<Longrightarrow> X \<in> sets (Pi\<^isub>M J M) \<Longrightarrow> \<mu>G (emb I J X) = emeasure (PiP J M P) X"
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  by (intro \<mu>G_spec) auto
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lemma generator_Ex:
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  assumes *: "A \<in> generator"
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  shows "\<exists>J X. J \<noteq> {} \<and> finite J \<and> J \<subseteq> I \<and> X \<in> sets (Pi\<^isub>M J M) \<and> A = emb I J X \<and> \<mu>G A = emeasure (PiP J M P) X"
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proof -
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  from * obtain J X where J: "J \<noteq> {}" "finite J" "J \<subseteq> I" "A = emb I J X" "X \<in> sets (Pi\<^isub>M J M)"
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    unfolding generator_def by auto
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  with \<mu>G_spec[OF this] show ?thesis by auto
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qed
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lemma generatorE:
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  assumes A: "A \<in> generator"
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  obtains J X where "J \<noteq> {}" "finite J" "J \<subseteq> I" "X \<in> sets (Pi\<^isub>M J M)" "emb I J X = A" "\<mu>G A = emeasure (PiP J M P) X"
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proof -
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  from generator_Ex[OF A] obtain X J where "J \<noteq> {}" "finite J" "J \<subseteq> I" "X \<in> sets (Pi\<^isub>M J M)" "emb I J X = A"
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    "\<mu>G A = emeasure (PiP J M P) X" by auto
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  then show thesis by (intro that) auto
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qed
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lemma merge_sets:
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  "J \<inter> K = {} \<Longrightarrow> A \<in> sets (Pi\<^isub>M (J \<union> K) M) \<Longrightarrow> x \<in> space (Pi\<^isub>M J M) \<Longrightarrow> (\<lambda>y. merge J K (x,y)) -` A \<inter> space (Pi\<^isub>M K M) \<in> sets (Pi\<^isub>M K M)"
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  by simp
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lemma merge_emb:
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  assumes "K \<subseteq> I" "J \<subseteq> I" and y: "y \<in> space (Pi\<^isub>M J M)"
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  shows "((\<lambda>x. merge J (I - J) (y, x)) -` emb I K X \<inter> space (Pi\<^isub>M I M)) =
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    emb I (K - J) ((\<lambda>x. merge J (K - J) (y, x)) -` emb (J \<union> K) K X \<inter> space (Pi\<^isub>M (K - J) M))"
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proof -
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  have [simp]: "\<And>x J K L. merge J K (y, restrict x L) = merge J (K \<inter> L) (y, x)"
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    by (auto simp: restrict_def merge_def)
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  have [simp]: "\<And>x J K L. restrict (merge J K (y, x)) L = merge (J \<inter> L) (K \<inter> L) (y, x)"
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    by (auto simp: restrict_def merge_def)
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  have [simp]: "(I - J) \<inter> K = K - J" using `K \<subseteq> I` `J \<subseteq> I` by auto
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  have [simp]: "(K - J) \<inter> (K \<union> J) = K - J" by auto
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  have [simp]: "(K - J) \<inter> K = K - J" by auto
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  from y `K \<subseteq> I` `J \<subseteq> I` show ?thesis
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    by (simp split: split_merge add: prod_emb_def Pi_iff extensional_merge_sub set_eq_iff space_PiM)
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       auto
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qed
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lemma positive_\<mu>G:
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  assumes "I \<noteq> {}"
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  shows "positive generator \<mu>G"
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proof -
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  interpret G!: algebra "\<Pi>\<^isub>E i\<in>I. space (M i)" generator by (rule algebra_generator) fact
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  show ?thesis
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  proof (intro positive_def[THEN iffD2] conjI ballI)
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    from generatorE[OF G.empty_sets] guess J X . note this[simp]
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    have "X = {}"
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      by (rule prod_emb_injective[of J I]) simp_all
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    then show "\<mu>G {} = 0" by simp
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  next
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    fix A assume "A \<in> generator"
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    from generatorE[OF this] guess J X . note this[simp]
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    show "0 \<le> \<mu>G A" by (simp add: emeasure_nonneg)
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  qed
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qed
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lemma additive_\<mu>G:
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  assumes "I \<noteq> {}"
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  shows "additive generator \<mu>G"
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proof -
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  interpret G!: algebra "\<Pi>\<^isub>E i\<in>I. space (M i)" generator by (rule algebra_generator) fact
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  show ?thesis
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  proof (intro additive_def[THEN iffD2] ballI impI)
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    fix A assume "A \<in> generator" with generatorE guess J X . note J = this
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    fix B assume "B \<in> generator" with generatorE guess K Y . note K = this
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    assume "A \<inter> B = {}"
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    have JK: "J \<union> K \<noteq> {}" "J \<union> K \<subseteq> I" "finite (J \<union> K)"
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      using J K by auto
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    have JK_disj: "emb (J \<union> K) J X \<inter> emb (J \<union> K) K Y = {}"
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      apply (rule prod_emb_injective[of "J \<union> K" I])
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      apply (insert `A \<inter> B = {}` JK J K)
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      apply (simp_all add: Int prod_emb_Int)
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      done
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    have AB: "A = emb I (J \<union> K) (emb (J \<union> K) J X)" "B = emb I (J \<union> K) (emb (J \<union> K) K Y)"
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      using J K by simp_all
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    then have "\<mu>G (A \<union> B) = \<mu>G (emb I (J \<union> K) (emb (J \<union> K) J X \<union> emb (J \<union> K) K Y))"
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      by simp
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    also have "\<dots> = emeasure (PiP (J \<union> K) M P) (emb (J \<union> K) J X \<union> emb (J \<union> K) K Y)"
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      using JK J(1, 4) K(1, 4) by (simp add: \<mu>G_eq Un del: prod_emb_Un)
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    also have "\<dots> = \<mu>G A + \<mu>G B"
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      using J K JK_disj by (simp add: plus_emeasure[symmetric])
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    finally show "\<mu>G (A \<union> B) = \<mu>G A + \<mu>G B" .
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  qed
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qed
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   297
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   298
end
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   300
end