src/HOL/Probability/Probability_Mass_Function.thy
author Andreas Lochbihler
Fri Jan 09 09:16:51 2015 +0100 (2015-01-09)
changeset 59325 922d31f5c3f5
parent 59134 a71f2e256ee2
child 59327 8a779359df67
permissions -rw-r--r--
simplify construction for distribution of rel_pmf over op OO
hoelzl@58606
     1
(*  Title:      HOL/Probability/Probability_Mass_Function.thy
Andreas@59023
     2
    Author:     Johannes Hölzl, TU München 
Andreas@59023
     3
    Author:     Andreas Lochbihler, ETH Zurich
Andreas@59023
     4
*)
hoelzl@58606
     5
hoelzl@59000
     6
section \<open> Probability mass function \<close>
hoelzl@59000
     7
hoelzl@58587
     8
theory Probability_Mass_Function
hoelzl@59000
     9
imports
hoelzl@59000
    10
  Giry_Monad
hoelzl@59093
    11
  "~~/src/HOL/Number_Theory/Binomial"
hoelzl@59000
    12
  "~~/src/HOL/Library/Multiset"
hoelzl@58587
    13
begin
hoelzl@58587
    14
hoelzl@59052
    15
lemma bind_return'': "sets M = sets N \<Longrightarrow> M \<guillemotright>= return N = M"
hoelzl@59052
    16
   by (cases "space M = {}")
hoelzl@59052
    17
      (simp_all add: bind_empty space_empty[symmetric] bind_nonempty join_return'
hoelzl@59052
    18
                cong: subprob_algebra_cong)
hoelzl@59052
    19
hoelzl@59052
    20
hoelzl@59052
    21
lemma (in prob_space) distr_const[simp]:
hoelzl@59052
    22
  "c \<in> space N \<Longrightarrow> distr M N (\<lambda>x. c) = return N c"
hoelzl@59052
    23
  by (rule measure_eqI) (auto simp: emeasure_distr emeasure_space_1)
hoelzl@59052
    24
hoelzl@59052
    25
lemma (in finite_measure) countable_support:
hoelzl@58587
    26
  "countable {x. measure M {x} \<noteq> 0}"
hoelzl@59000
    27
proof cases
hoelzl@59000
    28
  assume "measure M (space M) = 0"
hoelzl@59000
    29
  with bounded_measure measure_le_0_iff have "{x. measure M {x} \<noteq> 0} = {}"
hoelzl@59000
    30
    by auto
hoelzl@59000
    31
  then show ?thesis
hoelzl@59000
    32
    by simp
hoelzl@59000
    33
next
hoelzl@59000
    34
  let ?M = "measure M (space M)" and ?m = "\<lambda>x. measure M {x}"
hoelzl@59000
    35
  assume "?M \<noteq> 0"
hoelzl@59000
    36
  then have *: "{x. ?m x \<noteq> 0} = (\<Union>n. {x. ?M / Suc n < ?m x})"
hoelzl@59000
    37
    using reals_Archimedean[of "?m x / ?M" for x]
hoelzl@59000
    38
    by (auto simp: field_simps not_le[symmetric] measure_nonneg divide_le_0_iff measure_le_0_iff)
hoelzl@59000
    39
  have **: "\<And>n. finite {x. ?M / Suc n < ?m x}"
hoelzl@58587
    40
  proof (rule ccontr)
hoelzl@59000
    41
    fix n assume "infinite {x. ?M / Suc n < ?m x}" (is "infinite ?X")
hoelzl@58587
    42
    then obtain X where "finite X" "card X = Suc (Suc n)" "X \<subseteq> ?X"
hoelzl@58606
    43
      by (metis infinite_arbitrarily_large)
hoelzl@59000
    44
    from this(3) have *: "\<And>x. x \<in> X \<Longrightarrow> ?M / Suc n \<le> ?m x" 
hoelzl@59000
    45
      by auto
hoelzl@58587
    46
    { fix x assume "x \<in> X"
hoelzl@59000
    47
      from `?M \<noteq> 0` *[OF this] have "?m x \<noteq> 0" by (auto simp: field_simps measure_le_0_iff)
hoelzl@58587
    48
      then have "{x} \<in> sets M" by (auto dest: measure_notin_sets) }
hoelzl@58587
    49
    note singleton_sets = this
hoelzl@59000
    50
    have "?M < (\<Sum>x\<in>X. ?M / Suc n)"
hoelzl@59000
    51
      using `?M \<noteq> 0` 
hoelzl@59000
    52
      by (simp add: `card X = Suc (Suc n)` real_eq_of_nat[symmetric] real_of_nat_Suc field_simps less_le measure_nonneg)
hoelzl@58587
    53
    also have "\<dots> \<le> (\<Sum>x\<in>X. ?m x)"
hoelzl@58587
    54
      by (rule setsum_mono) fact
hoelzl@58587
    55
    also have "\<dots> = measure M (\<Union>x\<in>X. {x})"
hoelzl@58587
    56
      using singleton_sets `finite X`
hoelzl@58587
    57
      by (intro finite_measure_finite_Union[symmetric]) (auto simp: disjoint_family_on_def)
hoelzl@59000
    58
    finally have "?M < measure M (\<Union>x\<in>X. {x})" .
hoelzl@59000
    59
    moreover have "measure M (\<Union>x\<in>X. {x}) \<le> ?M"
hoelzl@59000
    60
      using singleton_sets[THEN sets.sets_into_space] by (intro finite_measure_mono) auto
hoelzl@59000
    61
    ultimately show False by simp
hoelzl@58587
    62
  qed
hoelzl@58587
    63
  show ?thesis
hoelzl@58587
    64
    unfolding * by (intro countable_UN countableI_type countable_finite[OF **])
hoelzl@58587
    65
qed
hoelzl@58587
    66
hoelzl@59000
    67
lemma (in finite_measure) AE_support_countable:
hoelzl@59000
    68
  assumes [simp]: "sets M = UNIV"
hoelzl@59000
    69
  shows "(AE x in M. measure M {x} \<noteq> 0) \<longleftrightarrow> (\<exists>S. countable S \<and> (AE x in M. x \<in> S))"
hoelzl@59000
    70
proof
hoelzl@59000
    71
  assume "\<exists>S. countable S \<and> (AE x in M. x \<in> S)"
hoelzl@59000
    72
  then obtain S where S[intro]: "countable S" and ae: "AE x in M. x \<in> S"
hoelzl@59000
    73
    by auto
hoelzl@59000
    74
  then have "emeasure M (\<Union>x\<in>{x\<in>S. emeasure M {x} \<noteq> 0}. {x}) = 
hoelzl@59000
    75
    (\<integral>\<^sup>+ x. emeasure M {x} * indicator {x\<in>S. emeasure M {x} \<noteq> 0} x \<partial>count_space UNIV)"
hoelzl@59000
    76
    by (subst emeasure_UN_countable)
hoelzl@59000
    77
       (auto simp: disjoint_family_on_def nn_integral_restrict_space[symmetric] restrict_count_space)
hoelzl@59000
    78
  also have "\<dots> = (\<integral>\<^sup>+ x. emeasure M {x} * indicator S x \<partial>count_space UNIV)"
hoelzl@59000
    79
    by (auto intro!: nn_integral_cong split: split_indicator)
hoelzl@59000
    80
  also have "\<dots> = emeasure M (\<Union>x\<in>S. {x})"
hoelzl@59000
    81
    by (subst emeasure_UN_countable)
hoelzl@59000
    82
       (auto simp: disjoint_family_on_def nn_integral_restrict_space[symmetric] restrict_count_space)
hoelzl@59000
    83
  also have "\<dots> = emeasure M (space M)"
hoelzl@59000
    84
    using ae by (intro emeasure_eq_AE) auto
hoelzl@59000
    85
  finally have "emeasure M {x \<in> space M. x\<in>S \<and> emeasure M {x} \<noteq> 0} = emeasure M (space M)"
hoelzl@59000
    86
    by (simp add: emeasure_single_in_space cong: rev_conj_cong)
hoelzl@59000
    87
  with finite_measure_compl[of "{x \<in> space M. x\<in>S \<and> emeasure M {x} \<noteq> 0}"]
hoelzl@59000
    88
  have "AE x in M. x \<in> S \<and> emeasure M {x} \<noteq> 0"
hoelzl@59000
    89
    by (intro AE_I[OF order_refl]) (auto simp: emeasure_eq_measure set_diff_eq cong: conj_cong)
hoelzl@59000
    90
  then show "AE x in M. measure M {x} \<noteq> 0"
hoelzl@59000
    91
    by (auto simp: emeasure_eq_measure)
hoelzl@59000
    92
qed (auto intro!: exI[of _ "{x. measure M {x} \<noteq> 0}"] countable_support)
hoelzl@59000
    93
hoelzl@59000
    94
subsection {* PMF as measure *}
hoelzl@59000
    95
hoelzl@58587
    96
typedef 'a pmf = "{M :: 'a measure. prob_space M \<and> sets M = UNIV \<and> (AE x in M. measure M {x} \<noteq> 0)}"
hoelzl@58587
    97
  morphisms measure_pmf Abs_pmf
hoelzl@58606
    98
  by (intro exI[of _ "uniform_measure (count_space UNIV) {undefined}"])
hoelzl@58606
    99
     (auto intro!: prob_space_uniform_measure AE_uniform_measureI)
hoelzl@58587
   100
hoelzl@58587
   101
declare [[coercion measure_pmf]]
hoelzl@58587
   102
hoelzl@58587
   103
lemma prob_space_measure_pmf: "prob_space (measure_pmf p)"
hoelzl@58587
   104
  using pmf.measure_pmf[of p] by auto
hoelzl@58587
   105
hoelzl@58587
   106
interpretation measure_pmf!: prob_space "measure_pmf M" for M
hoelzl@58587
   107
  by (rule prob_space_measure_pmf)
hoelzl@58587
   108
hoelzl@59000
   109
interpretation measure_pmf!: subprob_space "measure_pmf M" for M
hoelzl@59000
   110
  by (rule prob_space_imp_subprob_space) unfold_locales
hoelzl@59000
   111
hoelzl@59048
   112
lemma subprob_space_measure_pmf: "subprob_space (measure_pmf x)"
hoelzl@59048
   113
  by unfold_locales
hoelzl@59048
   114
hoelzl@58587
   115
locale pmf_as_measure
hoelzl@58587
   116
begin
hoelzl@58587
   117
hoelzl@58587
   118
setup_lifting type_definition_pmf
hoelzl@58587
   119
hoelzl@58587
   120
end
hoelzl@58587
   121
hoelzl@58587
   122
context
hoelzl@58587
   123
begin
hoelzl@58587
   124
hoelzl@58587
   125
interpretation pmf_as_measure .
hoelzl@58587
   126
hoelzl@58587
   127
lift_definition pmf :: "'a pmf \<Rightarrow> 'a \<Rightarrow> real" is "\<lambda>M x. measure M {x}" .
hoelzl@58587
   128
hoelzl@58587
   129
lift_definition set_pmf :: "'a pmf \<Rightarrow> 'a set" is "\<lambda>M. {x. measure M {x} \<noteq> 0}" .
hoelzl@58587
   130
hoelzl@58587
   131
lift_definition map_pmf :: "('a \<Rightarrow> 'b) \<Rightarrow> 'a pmf \<Rightarrow> 'b pmf" is
hoelzl@58587
   132
  "\<lambda>f M. distr M (count_space UNIV) f"
hoelzl@58587
   133
proof safe
hoelzl@58587
   134
  fix M and f :: "'a \<Rightarrow> 'b"
hoelzl@58587
   135
  let ?D = "distr M (count_space UNIV) f"
hoelzl@58587
   136
  assume "prob_space M" and [simp]: "sets M = UNIV" and ae: "AE x in M. measure M {x} \<noteq> 0"
hoelzl@58587
   137
  interpret prob_space M by fact
hoelzl@58587
   138
  from ae have "AE x in M. measure M (f -` {f x}) \<noteq> 0"
hoelzl@58587
   139
  proof eventually_elim
hoelzl@58587
   140
    fix x
hoelzl@58587
   141
    have "measure M {x} \<le> measure M (f -` {f x})"
hoelzl@58587
   142
      by (intro finite_measure_mono) auto
hoelzl@58587
   143
    then show "measure M {x} \<noteq> 0 \<Longrightarrow> measure M (f -` {f x}) \<noteq> 0"
hoelzl@58587
   144
      using measure_nonneg[of M "{x}"] by auto
hoelzl@58587
   145
  qed
hoelzl@58587
   146
  then show "AE x in ?D. measure ?D {x} \<noteq> 0"
hoelzl@58587
   147
    by (simp add: AE_distr_iff measure_distr measurable_def)
hoelzl@58587
   148
qed (auto simp: measurable_def prob_space.prob_space_distr)
hoelzl@58587
   149
hoelzl@58587
   150
declare [[coercion set_pmf]]
hoelzl@58587
   151
Andreas@59023
   152
lemma countable_set_pmf [simp]: "countable (set_pmf p)"
hoelzl@59000
   153
  by transfer (metis prob_space.finite_measure finite_measure.countable_support)
hoelzl@58587
   154
hoelzl@58587
   155
lemma sets_measure_pmf[simp]: "sets (measure_pmf p) = UNIV"
hoelzl@58587
   156
  by transfer metis
hoelzl@58587
   157
hoelzl@59048
   158
lemma sets_measure_pmf_count_space[measurable_cong]:
hoelzl@59048
   159
  "sets (measure_pmf M) = sets (count_space UNIV)"
hoelzl@59000
   160
  by simp
hoelzl@59000
   161
hoelzl@58587
   162
lemma space_measure_pmf[simp]: "space (measure_pmf p) = UNIV"
hoelzl@58587
   163
  using sets_eq_imp_space_eq[of "measure_pmf p" "count_space UNIV"] by simp
hoelzl@58587
   164
hoelzl@59048
   165
lemma measure_pmf_in_subprob_algebra[measurable (raw)]: "measure_pmf x \<in> space (subprob_algebra (count_space UNIV))"
hoelzl@59048
   166
  by (simp add: space_subprob_algebra subprob_space_measure_pmf)
hoelzl@59048
   167
hoelzl@58587
   168
lemma measurable_pmf_measure1[simp]: "measurable (M :: 'a pmf) N = UNIV \<rightarrow> space N"
hoelzl@58587
   169
  by (auto simp: measurable_def)
hoelzl@58587
   170
hoelzl@58587
   171
lemma measurable_pmf_measure2[simp]: "measurable N (M :: 'a pmf) = measurable N (count_space UNIV)"
hoelzl@58587
   172
  by (intro measurable_cong_sets) simp_all
hoelzl@58587
   173
hoelzl@58587
   174
lemma pmf_positive: "x \<in> set_pmf p \<Longrightarrow> 0 < pmf p x"
hoelzl@58587
   175
  by transfer (simp add: less_le measure_nonneg)
hoelzl@58587
   176
hoelzl@58587
   177
lemma pmf_nonneg: "0 \<le> pmf p x"
hoelzl@58587
   178
  by transfer (simp add: measure_nonneg)
hoelzl@58587
   179
hoelzl@59000
   180
lemma pmf_le_1: "pmf p x \<le> 1"
hoelzl@59000
   181
  by (simp add: pmf.rep_eq)
hoelzl@59000
   182
hoelzl@58587
   183
lemma emeasure_pmf_single:
hoelzl@58587
   184
  fixes M :: "'a pmf"
hoelzl@58587
   185
  shows "emeasure M {x} = pmf M x"
hoelzl@58587
   186
  by transfer (simp add: finite_measure.emeasure_eq_measure[OF prob_space.finite_measure])
hoelzl@58587
   187
hoelzl@58587
   188
lemma AE_measure_pmf: "AE x in (M::'a pmf). x \<in> M"
hoelzl@58587
   189
  by transfer simp
hoelzl@58587
   190
hoelzl@58587
   191
lemma emeasure_pmf_single_eq_zero_iff:
hoelzl@58587
   192
  fixes M :: "'a pmf"
hoelzl@58587
   193
  shows "emeasure M {y} = 0 \<longleftrightarrow> y \<notin> M"
hoelzl@58587
   194
  by transfer (simp add: finite_measure.emeasure_eq_measure[OF prob_space.finite_measure])
hoelzl@58587
   195
hoelzl@58587
   196
lemma AE_measure_pmf_iff: "(AE x in measure_pmf M. P x) \<longleftrightarrow> (\<forall>y\<in>M. P y)"
hoelzl@58587
   197
proof -
hoelzl@58587
   198
  { fix y assume y: "y \<in> M" and P: "AE x in M. P x" "\<not> P y"
hoelzl@58587
   199
    with P have "AE x in M. x \<noteq> y"
hoelzl@58587
   200
      by auto
hoelzl@58587
   201
    with y have False
hoelzl@58587
   202
      by (simp add: emeasure_pmf_single_eq_zero_iff AE_iff_measurable[OF _ refl]) }
hoelzl@58587
   203
  then show ?thesis
hoelzl@58587
   204
    using AE_measure_pmf[of M] by auto
hoelzl@58587
   205
qed
hoelzl@58587
   206
hoelzl@58587
   207
lemma set_pmf_not_empty: "set_pmf M \<noteq> {}"
hoelzl@58587
   208
  using AE_measure_pmf[of M] by (intro notI) simp
hoelzl@58587
   209
hoelzl@58587
   210
lemma set_pmf_iff: "x \<in> set_pmf M \<longleftrightarrow> pmf M x \<noteq> 0"
hoelzl@58587
   211
  by transfer simp
hoelzl@58587
   212
hoelzl@59000
   213
lemma emeasure_measure_pmf_finite: "finite S \<Longrightarrow> emeasure (measure_pmf M) S = (\<Sum>s\<in>S. pmf M s)"
hoelzl@59000
   214
  by (subst emeasure_eq_setsum_singleton) (auto simp: emeasure_pmf_single)
hoelzl@59000
   215
Andreas@59023
   216
lemma measure_measure_pmf_finite: "finite S \<Longrightarrow> measure (measure_pmf M) S = setsum (pmf M) S"
Andreas@59023
   217
using emeasure_measure_pmf_finite[of S M]
Andreas@59023
   218
by(simp add: measure_pmf.emeasure_eq_measure)
Andreas@59023
   219
hoelzl@59000
   220
lemma nn_integral_measure_pmf_support:
hoelzl@59000
   221
  fixes f :: "'a \<Rightarrow> ereal"
hoelzl@59000
   222
  assumes f: "finite A" and nn: "\<And>x. x \<in> A \<Longrightarrow> 0 \<le> f x" "\<And>x. x \<in> set_pmf M \<Longrightarrow> x \<notin> A \<Longrightarrow> f x = 0"
hoelzl@59000
   223
  shows "(\<integral>\<^sup>+x. f x \<partial>measure_pmf M) = (\<Sum>x\<in>A. f x * pmf M x)"
hoelzl@59000
   224
proof -
hoelzl@59000
   225
  have "(\<integral>\<^sup>+x. f x \<partial>M) = (\<integral>\<^sup>+x. f x * indicator A x \<partial>M)"
hoelzl@59000
   226
    using nn by (intro nn_integral_cong_AE) (auto simp: AE_measure_pmf_iff split: split_indicator)
hoelzl@59000
   227
  also have "\<dots> = (\<Sum>x\<in>A. f x * emeasure M {x})"
hoelzl@59000
   228
    using assms by (intro nn_integral_indicator_finite) auto
hoelzl@59000
   229
  finally show ?thesis
hoelzl@59000
   230
    by (simp add: emeasure_measure_pmf_finite)
hoelzl@59000
   231
qed
hoelzl@59000
   232
hoelzl@59000
   233
lemma nn_integral_measure_pmf_finite:
hoelzl@59000
   234
  fixes f :: "'a \<Rightarrow> ereal"
hoelzl@59000
   235
  assumes f: "finite (set_pmf M)" and nn: "\<And>x. x \<in> set_pmf M \<Longrightarrow> 0 \<le> f x"
hoelzl@59000
   236
  shows "(\<integral>\<^sup>+x. f x \<partial>measure_pmf M) = (\<Sum>x\<in>set_pmf M. f x * pmf M x)"
hoelzl@59000
   237
  using assms by (intro nn_integral_measure_pmf_support) auto
hoelzl@59000
   238
lemma integrable_measure_pmf_finite:
hoelzl@59000
   239
  fixes f :: "'a \<Rightarrow> 'b::{banach, second_countable_topology}"
hoelzl@59000
   240
  shows "finite (set_pmf M) \<Longrightarrow> integrable M f"
hoelzl@59000
   241
  by (auto intro!: integrableI_bounded simp: nn_integral_measure_pmf_finite)
hoelzl@59000
   242
hoelzl@59000
   243
lemma integral_measure_pmf:
hoelzl@59000
   244
  assumes [simp]: "finite A" and "\<And>a. a \<in> set_pmf M \<Longrightarrow> f a \<noteq> 0 \<Longrightarrow> a \<in> A"
hoelzl@59000
   245
  shows "(\<integral>x. f x \<partial>measure_pmf M) = (\<Sum>a\<in>A. f a * pmf M a)"
hoelzl@59000
   246
proof -
hoelzl@59000
   247
  have "(\<integral>x. f x \<partial>measure_pmf M) = (\<integral>x. f x * indicator A x \<partial>measure_pmf M)"
hoelzl@59000
   248
    using assms(2) by (intro integral_cong_AE) (auto split: split_indicator simp: AE_measure_pmf_iff)
hoelzl@59000
   249
  also have "\<dots> = (\<Sum>a\<in>A. f a * pmf M a)"
hoelzl@59000
   250
    by (subst integral_indicator_finite_real) (auto simp: measure_def emeasure_measure_pmf_finite)
hoelzl@59000
   251
  finally show ?thesis .
hoelzl@59000
   252
qed
hoelzl@59000
   253
hoelzl@59000
   254
lemma integrable_pmf: "integrable (count_space X) (pmf M)"
hoelzl@59000
   255
proof -
hoelzl@59000
   256
  have " (\<integral>\<^sup>+ x. pmf M x \<partial>count_space X) = (\<integral>\<^sup>+ x. pmf M x \<partial>count_space (M \<inter> X))"
hoelzl@59000
   257
    by (auto simp add: nn_integral_count_space_indicator set_pmf_iff intro!: nn_integral_cong split: split_indicator)
hoelzl@59000
   258
  then have "integrable (count_space X) (pmf M) = integrable (count_space (M \<inter> X)) (pmf M)"
hoelzl@59000
   259
    by (simp add: integrable_iff_bounded pmf_nonneg)
hoelzl@59000
   260
  then show ?thesis
Andreas@59023
   261
    by (simp add: pmf.rep_eq measure_pmf.integrable_measure disjoint_family_on_def)
hoelzl@59000
   262
qed
hoelzl@59000
   263
hoelzl@59000
   264
lemma integral_pmf: "(\<integral>x. pmf M x \<partial>count_space X) = measure M X"
hoelzl@59000
   265
proof -
hoelzl@59000
   266
  have "(\<integral>x. pmf M x \<partial>count_space X) = (\<integral>\<^sup>+x. pmf M x \<partial>count_space X)"
hoelzl@59000
   267
    by (simp add: pmf_nonneg integrable_pmf nn_integral_eq_integral)
hoelzl@59000
   268
  also have "\<dots> = (\<integral>\<^sup>+x. emeasure M {x} \<partial>count_space (X \<inter> M))"
hoelzl@59000
   269
    by (auto intro!: nn_integral_cong_AE split: split_indicator
hoelzl@59000
   270
             simp: pmf.rep_eq measure_pmf.emeasure_eq_measure nn_integral_count_space_indicator
hoelzl@59000
   271
                   AE_count_space set_pmf_iff)
hoelzl@59000
   272
  also have "\<dots> = emeasure M (X \<inter> M)"
hoelzl@59000
   273
    by (rule emeasure_countable_singleton[symmetric]) (auto intro: countable_set_pmf)
hoelzl@59000
   274
  also have "\<dots> = emeasure M X"
hoelzl@59000
   275
    by (auto intro!: emeasure_eq_AE simp: AE_measure_pmf_iff)
hoelzl@59000
   276
  finally show ?thesis
hoelzl@59000
   277
    by (simp add: measure_pmf.emeasure_eq_measure)
hoelzl@59000
   278
qed
hoelzl@59000
   279
hoelzl@59000
   280
lemma integral_pmf_restrict:
hoelzl@59000
   281
  "(f::'a \<Rightarrow> 'b::{banach, second_countable_topology}) \<in> borel_measurable (count_space UNIV) \<Longrightarrow>
hoelzl@59000
   282
    (\<integral>x. f x \<partial>measure_pmf M) = (\<integral>x. f x \<partial>restrict_space M M)"
hoelzl@59000
   283
  by (auto intro!: integral_cong_AE simp add: integral_restrict_space AE_measure_pmf_iff)
hoelzl@59000
   284
hoelzl@58587
   285
lemma emeasure_pmf: "emeasure (M::'a pmf) M = 1"
hoelzl@58587
   286
proof -
hoelzl@58587
   287
  have "emeasure (M::'a pmf) M = emeasure (M::'a pmf) (space M)"
hoelzl@58587
   288
    by (intro emeasure_eq_AE) (simp_all add: AE_measure_pmf)
hoelzl@58587
   289
  then show ?thesis
hoelzl@58587
   290
    using measure_pmf.emeasure_space_1 by simp
hoelzl@58587
   291
qed
hoelzl@58587
   292
Andreas@59023
   293
lemma in_null_sets_measure_pmfI:
Andreas@59023
   294
  "A \<inter> set_pmf p = {} \<Longrightarrow> A \<in> null_sets (measure_pmf p)"
Andreas@59023
   295
using emeasure_eq_0_AE[where ?P="\<lambda>x. x \<in> A" and M="measure_pmf p"]
Andreas@59023
   296
by(auto simp add: null_sets_def AE_measure_pmf_iff)
Andreas@59023
   297
hoelzl@58587
   298
lemma map_pmf_id[simp]: "map_pmf id = id"
hoelzl@58587
   299
  by (rule, transfer) (auto simp: emeasure_distr measurable_def intro!: measure_eqI)
hoelzl@58587
   300
hoelzl@59053
   301
lemma map_pmf_ident[simp]: "map_pmf (\<lambda>x. x) = (\<lambda>x. x)"
hoelzl@59053
   302
  using map_pmf_id unfolding id_def .
hoelzl@59053
   303
hoelzl@58587
   304
lemma map_pmf_compose: "map_pmf (f \<circ> g) = map_pmf f \<circ> map_pmf g"
hoelzl@58587
   305
  by (rule, transfer) (simp add: distr_distr[symmetric, where N="count_space UNIV"] measurable_def) 
hoelzl@58587
   306
hoelzl@59000
   307
lemma map_pmf_comp: "map_pmf f (map_pmf g M) = map_pmf (\<lambda>x. f (g x)) M"
hoelzl@59000
   308
  using map_pmf_compose[of f g] by (simp add: comp_def)
hoelzl@59000
   309
hoelzl@58587
   310
lemma map_pmf_cong:
hoelzl@58587
   311
  assumes "p = q"
hoelzl@58587
   312
  shows "(\<And>x. x \<in> set_pmf q \<Longrightarrow> f x = g x) \<Longrightarrow> map_pmf f p = map_pmf g q"
hoelzl@58587
   313
  unfolding `p = q`[symmetric] measure_pmf_inject[symmetric] map_pmf.rep_eq
hoelzl@58587
   314
  by (auto simp add: emeasure_distr AE_measure_pmf_iff intro!: emeasure_eq_AE measure_eqI)
hoelzl@58587
   315
hoelzl@59002
   316
lemma emeasure_map_pmf[simp]: "emeasure (map_pmf f M) X = emeasure M (f -` X)"
hoelzl@59002
   317
  unfolding map_pmf.rep_eq by (subst emeasure_distr) auto
hoelzl@59002
   318
hoelzl@59002
   319
lemma nn_integral_map_pmf[simp]: "(\<integral>\<^sup>+x. f x \<partial>map_pmf g M) = (\<integral>\<^sup>+x. f (g x) \<partial>M)"
hoelzl@59002
   320
  unfolding map_pmf.rep_eq by (intro nn_integral_distr) auto
hoelzl@59002
   321
Andreas@59023
   322
lemma ereal_pmf_map: "pmf (map_pmf f p) x = (\<integral>\<^sup>+ y. indicator (f -` {x}) y \<partial>measure_pmf p)"
Andreas@59023
   323
proof(transfer fixing: f x)
Andreas@59023
   324
  fix p :: "'b measure"
Andreas@59023
   325
  presume "prob_space p"
Andreas@59023
   326
  then interpret prob_space p .
Andreas@59023
   327
  presume "sets p = UNIV"
Andreas@59023
   328
  then show "ereal (measure (distr p (count_space UNIV) f) {x}) = integral\<^sup>N p (indicator (f -` {x}))"
Andreas@59023
   329
    by(simp add: measure_distr measurable_def emeasure_eq_measure)
Andreas@59023
   330
qed simp_all
Andreas@59023
   331
hoelzl@58587
   332
lemma pmf_set_map: 
hoelzl@58587
   333
  fixes f :: "'a \<Rightarrow> 'b"
hoelzl@58587
   334
  shows "set_pmf \<circ> map_pmf f = op ` f \<circ> set_pmf"
hoelzl@58587
   335
proof (rule, transfer, clarsimp simp add: measure_distr measurable_def)
hoelzl@58587
   336
  fix f :: "'a \<Rightarrow> 'b" and M :: "'a measure"
hoelzl@58587
   337
  assume "prob_space M" and ae: "AE x in M. measure M {x} \<noteq> 0" and [simp]: "sets M = UNIV"
hoelzl@58587
   338
  interpret prob_space M by fact
hoelzl@58587
   339
  show "{x. measure M (f -` {x}) \<noteq> 0} = f ` {x. measure M {x} \<noteq> 0}"
hoelzl@58587
   340
  proof safe
hoelzl@58587
   341
    fix x assume "measure M (f -` {x}) \<noteq> 0"
hoelzl@58587
   342
    moreover have "measure M (f -` {x}) = measure M {y. f y = x \<and> measure M {y} \<noteq> 0}"
hoelzl@58587
   343
      using ae by (intro finite_measure_eq_AE) auto
hoelzl@58587
   344
    ultimately have "{y. f y = x \<and> measure M {y} \<noteq> 0} \<noteq> {}"
hoelzl@58587
   345
      by (metis measure_empty)
hoelzl@58587
   346
    then show "x \<in> f ` {x. measure M {x} \<noteq> 0}"
hoelzl@58587
   347
      by auto
hoelzl@58587
   348
  next
hoelzl@58587
   349
    fix x assume "measure M {x} \<noteq> 0"
hoelzl@58587
   350
    then have "0 < measure M {x}"
hoelzl@58587
   351
      using measure_nonneg[of M "{x}"] by auto
hoelzl@58587
   352
    also have "measure M {x} \<le> measure M (f -` {f x})"
hoelzl@58587
   353
      by (intro finite_measure_mono) auto
hoelzl@58587
   354
    finally show "measure M (f -` {f x}) = 0 \<Longrightarrow> False"
hoelzl@58587
   355
      by simp
hoelzl@58587
   356
  qed
hoelzl@58587
   357
qed
hoelzl@58587
   358
hoelzl@59000
   359
lemma set_map_pmf: "set_pmf (map_pmf f M) = f`set_pmf M"
hoelzl@59000
   360
  using pmf_set_map[of f] by (auto simp: comp_def fun_eq_iff)
hoelzl@59000
   361
Andreas@59023
   362
lemma nn_integral_pmf: "(\<integral>\<^sup>+ x. pmf p x \<partial>count_space A) = emeasure (measure_pmf p) A"
Andreas@59023
   363
proof -
Andreas@59023
   364
  have "(\<integral>\<^sup>+ x. pmf p x \<partial>count_space A) = (\<integral>\<^sup>+ x. pmf p x \<partial>count_space (A \<inter> set_pmf p))"
Andreas@59023
   365
    by(auto simp add: nn_integral_count_space_indicator indicator_def set_pmf_iff intro: nn_integral_cong)
Andreas@59023
   366
  also have "\<dots> = emeasure (measure_pmf p) (\<Union>x\<in>A \<inter> set_pmf p. {x})"
Andreas@59023
   367
    by(subst emeasure_UN_countable)(auto simp add: emeasure_pmf_single disjoint_family_on_def)
Andreas@59023
   368
  also have "\<dots> = emeasure (measure_pmf p) ((\<Union>x\<in>A \<inter> set_pmf p. {x}) \<union> {x. x \<in> A \<and> x \<notin> set_pmf p})"
Andreas@59023
   369
    by(rule emeasure_Un_null_set[symmetric])(auto intro: in_null_sets_measure_pmfI)
Andreas@59023
   370
  also have "\<dots> = emeasure (measure_pmf p) A"
Andreas@59023
   371
    by(auto intro: arg_cong2[where f=emeasure])
Andreas@59023
   372
  finally show ?thesis .
Andreas@59023
   373
qed
Andreas@59023
   374
hoelzl@59000
   375
subsection {* PMFs as function *}
hoelzl@59000
   376
hoelzl@58587
   377
context
hoelzl@58587
   378
  fixes f :: "'a \<Rightarrow> real"
hoelzl@58587
   379
  assumes nonneg: "\<And>x. 0 \<le> f x"
hoelzl@58587
   380
  assumes prob: "(\<integral>\<^sup>+x. f x \<partial>count_space UNIV) = 1"
hoelzl@58587
   381
begin
hoelzl@58587
   382
hoelzl@58587
   383
lift_definition embed_pmf :: "'a pmf" is "density (count_space UNIV) (ereal \<circ> f)"
hoelzl@58587
   384
proof (intro conjI)
hoelzl@58587
   385
  have *[simp]: "\<And>x y. ereal (f y) * indicator {x} y = ereal (f x) * indicator {x} y"
hoelzl@58587
   386
    by (simp split: split_indicator)
hoelzl@58587
   387
  show "AE x in density (count_space UNIV) (ereal \<circ> f).
hoelzl@58587
   388
    measure (density (count_space UNIV) (ereal \<circ> f)) {x} \<noteq> 0"
hoelzl@59092
   389
    by (simp add: AE_density nonneg measure_def emeasure_density max_def)
hoelzl@58587
   390
  show "prob_space (density (count_space UNIV) (ereal \<circ> f))"
hoelzl@58587
   391
    by default (simp add: emeasure_density prob)
hoelzl@58587
   392
qed simp
hoelzl@58587
   393
hoelzl@58587
   394
lemma pmf_embed_pmf: "pmf embed_pmf x = f x"
hoelzl@58587
   395
proof transfer
hoelzl@58587
   396
  have *[simp]: "\<And>x y. ereal (f y) * indicator {x} y = ereal (f x) * indicator {x} y"
hoelzl@58587
   397
    by (simp split: split_indicator)
hoelzl@58587
   398
  fix x show "measure (density (count_space UNIV) (ereal \<circ> f)) {x} = f x"
hoelzl@59092
   399
    by transfer (simp add: measure_def emeasure_density nonneg max_def)
hoelzl@58587
   400
qed
hoelzl@58587
   401
hoelzl@58587
   402
end
hoelzl@58587
   403
hoelzl@58587
   404
lemma embed_pmf_transfer:
hoelzl@58730
   405
  "rel_fun (eq_onp (\<lambda>f. (\<forall>x. 0 \<le> f x) \<and> (\<integral>\<^sup>+x. ereal (f x) \<partial>count_space UNIV) = 1)) pmf_as_measure.cr_pmf (\<lambda>f. density (count_space UNIV) (ereal \<circ> f)) embed_pmf"
hoelzl@58587
   406
  by (auto simp: rel_fun_def eq_onp_def embed_pmf.transfer)
hoelzl@58587
   407
hoelzl@59000
   408
lemma measure_pmf_eq_density: "measure_pmf p = density (count_space UNIV) (pmf p)"
hoelzl@59000
   409
proof (transfer, elim conjE)
hoelzl@59000
   410
  fix M :: "'a measure" assume [simp]: "sets M = UNIV" and ae: "AE x in M. measure M {x} \<noteq> 0"
hoelzl@59000
   411
  assume "prob_space M" then interpret prob_space M .
hoelzl@59000
   412
  show "M = density (count_space UNIV) (\<lambda>x. ereal (measure M {x}))"
hoelzl@59000
   413
  proof (rule measure_eqI)
hoelzl@59000
   414
    fix A :: "'a set"
hoelzl@59000
   415
    have "(\<integral>\<^sup>+ x. ereal (measure M {x}) * indicator A x \<partial>count_space UNIV) = 
hoelzl@59000
   416
      (\<integral>\<^sup>+ x. emeasure M {x} * indicator (A \<inter> {x. measure M {x} \<noteq> 0}) x \<partial>count_space UNIV)"
hoelzl@59000
   417
      by (auto intro!: nn_integral_cong simp: emeasure_eq_measure split: split_indicator)
hoelzl@59000
   418
    also have "\<dots> = (\<integral>\<^sup>+ x. emeasure M {x} \<partial>count_space (A \<inter> {x. measure M {x} \<noteq> 0}))"
hoelzl@59000
   419
      by (subst nn_integral_restrict_space[symmetric]) (auto simp: restrict_count_space)
hoelzl@59000
   420
    also have "\<dots> = emeasure M (\<Union>x\<in>(A \<inter> {x. measure M {x} \<noteq> 0}). {x})"
hoelzl@59000
   421
      by (intro emeasure_UN_countable[symmetric] countable_Int2 countable_support)
hoelzl@59000
   422
         (auto simp: disjoint_family_on_def)
hoelzl@59000
   423
    also have "\<dots> = emeasure M A"
hoelzl@59000
   424
      using ae by (intro emeasure_eq_AE) auto
hoelzl@59000
   425
    finally show " emeasure M A = emeasure (density (count_space UNIV) (\<lambda>x. ereal (measure M {x}))) A"
hoelzl@59000
   426
      using emeasure_space_1 by (simp add: emeasure_density)
hoelzl@59000
   427
  qed simp
hoelzl@59000
   428
qed
hoelzl@59000
   429
hoelzl@58587
   430
lemma td_pmf_embed_pmf:
hoelzl@58587
   431
  "type_definition pmf embed_pmf {f::'a \<Rightarrow> real. (\<forall>x. 0 \<le> f x) \<and> (\<integral>\<^sup>+x. ereal (f x) \<partial>count_space UNIV) = 1}"
hoelzl@58587
   432
  unfolding type_definition_def
hoelzl@58587
   433
proof safe
hoelzl@58587
   434
  fix p :: "'a pmf"
hoelzl@58587
   435
  have "(\<integral>\<^sup>+ x. 1 \<partial>measure_pmf p) = 1"
hoelzl@58587
   436
    using measure_pmf.emeasure_space_1[of p] by simp
hoelzl@58587
   437
  then show *: "(\<integral>\<^sup>+ x. ereal (pmf p x) \<partial>count_space UNIV) = 1"
hoelzl@58587
   438
    by (simp add: measure_pmf_eq_density nn_integral_density pmf_nonneg del: nn_integral_const)
hoelzl@58587
   439
hoelzl@58587
   440
  show "embed_pmf (pmf p) = p"
hoelzl@58587
   441
    by (intro measure_pmf_inject[THEN iffD1])
hoelzl@58587
   442
       (simp add: * embed_pmf.rep_eq pmf_nonneg measure_pmf_eq_density[of p] comp_def)
hoelzl@58587
   443
next
hoelzl@58587
   444
  fix f :: "'a \<Rightarrow> real" assume "\<forall>x. 0 \<le> f x" "(\<integral>\<^sup>+x. f x \<partial>count_space UNIV) = 1"
hoelzl@58587
   445
  then show "pmf (embed_pmf f) = f"
hoelzl@58587
   446
    by (auto intro!: pmf_embed_pmf)
hoelzl@58587
   447
qed (rule pmf_nonneg)
hoelzl@58587
   448
hoelzl@58587
   449
end
hoelzl@58587
   450
hoelzl@58587
   451
locale pmf_as_function
hoelzl@58587
   452
begin
hoelzl@58587
   453
hoelzl@58587
   454
setup_lifting td_pmf_embed_pmf
hoelzl@58587
   455
hoelzl@58730
   456
lemma set_pmf_transfer[transfer_rule]: 
hoelzl@58730
   457
  assumes "bi_total A"
hoelzl@58730
   458
  shows "rel_fun (pcr_pmf A) (rel_set A) (\<lambda>f. {x. f x \<noteq> 0}) set_pmf"  
hoelzl@58730
   459
  using `bi_total A`
hoelzl@58730
   460
  by (auto simp: pcr_pmf_def cr_pmf_def rel_fun_def rel_set_def bi_total_def Bex_def set_pmf_iff)
hoelzl@58730
   461
     metis+
hoelzl@58730
   462
hoelzl@59000
   463
end
hoelzl@59000
   464
hoelzl@59000
   465
context
hoelzl@59000
   466
begin
hoelzl@59000
   467
hoelzl@59000
   468
interpretation pmf_as_function .
hoelzl@59000
   469
hoelzl@59000
   470
lemma pmf_eqI: "(\<And>i. pmf M i = pmf N i) \<Longrightarrow> M = N"
hoelzl@59000
   471
  by transfer auto
hoelzl@59000
   472
hoelzl@59000
   473
lemma pmf_eq_iff: "M = N \<longleftrightarrow> (\<forall>i. pmf M i = pmf N i)"
hoelzl@59000
   474
  by (auto intro: pmf_eqI)
hoelzl@59000
   475
hoelzl@59000
   476
end
hoelzl@59000
   477
hoelzl@59000
   478
context
hoelzl@59000
   479
begin
hoelzl@59000
   480
hoelzl@59000
   481
interpretation pmf_as_function .
hoelzl@59000
   482
hoelzl@59093
   483
subsubsection \<open> Bernoulli Distribution \<close>
hoelzl@59093
   484
hoelzl@59000
   485
lift_definition bernoulli_pmf :: "real \<Rightarrow> bool pmf" is
hoelzl@59000
   486
  "\<lambda>p b. ((\<lambda>p. if b then p else 1 - p) \<circ> min 1 \<circ> max 0) p"
hoelzl@59000
   487
  by (auto simp: nn_integral_count_space_finite[where A="{False, True}"] UNIV_bool
hoelzl@59000
   488
           split: split_max split_min)
hoelzl@59000
   489
hoelzl@59000
   490
lemma pmf_bernoulli_True[simp]: "0 \<le> p \<Longrightarrow> p \<le> 1 \<Longrightarrow> pmf (bernoulli_pmf p) True = p"
hoelzl@59000
   491
  by transfer simp
hoelzl@59000
   492
hoelzl@59000
   493
lemma pmf_bernoulli_False[simp]: "0 \<le> p \<Longrightarrow> p \<le> 1 \<Longrightarrow> pmf (bernoulli_pmf p) False = 1 - p"
hoelzl@59000
   494
  by transfer simp
hoelzl@59000
   495
hoelzl@59000
   496
lemma set_pmf_bernoulli: "0 < p \<Longrightarrow> p < 1 \<Longrightarrow> set_pmf (bernoulli_pmf p) = UNIV"
hoelzl@59000
   497
  by (auto simp add: set_pmf_iff UNIV_bool)
hoelzl@59000
   498
hoelzl@59002
   499
lemma nn_integral_bernoulli_pmf[simp]: 
hoelzl@59002
   500
  assumes [simp]: "0 \<le> p" "p \<le> 1" "\<And>x. 0 \<le> f x"
hoelzl@59002
   501
  shows "(\<integral>\<^sup>+x. f x \<partial>bernoulli_pmf p) = f True * p + f False * (1 - p)"
hoelzl@59002
   502
  by (subst nn_integral_measure_pmf_support[of UNIV])
hoelzl@59002
   503
     (auto simp: UNIV_bool field_simps)
hoelzl@59002
   504
hoelzl@59002
   505
lemma integral_bernoulli_pmf[simp]: 
hoelzl@59002
   506
  assumes [simp]: "0 \<le> p" "p \<le> 1"
hoelzl@59002
   507
  shows "(\<integral>x. f x \<partial>bernoulli_pmf p) = f True * p + f False * (1 - p)"
hoelzl@59002
   508
  by (subst integral_measure_pmf[of UNIV]) (auto simp: UNIV_bool)
hoelzl@59002
   509
hoelzl@59093
   510
subsubsection \<open> Geometric Distribution \<close>
hoelzl@59093
   511
hoelzl@59000
   512
lift_definition geometric_pmf :: "nat pmf" is "\<lambda>n. 1 / 2^Suc n"
hoelzl@59000
   513
proof
hoelzl@59000
   514
  note geometric_sums[of "1 / 2"]
hoelzl@59000
   515
  note sums_mult[OF this, of "1 / 2"]
hoelzl@59000
   516
  from sums_suminf_ereal[OF this]
hoelzl@59000
   517
  show "(\<integral>\<^sup>+ x. ereal (1 / 2 ^ Suc x) \<partial>count_space UNIV) = 1"
hoelzl@59000
   518
    by (simp add: nn_integral_count_space_nat field_simps)
hoelzl@59000
   519
qed simp
hoelzl@59000
   520
hoelzl@59000
   521
lemma pmf_geometric[simp]: "pmf geometric_pmf n = 1 / 2^Suc n"
hoelzl@59000
   522
  by transfer rule
hoelzl@59000
   523
hoelzl@59002
   524
lemma set_pmf_geometric[simp]: "set_pmf geometric_pmf = UNIV"
hoelzl@59000
   525
  by (auto simp: set_pmf_iff)
hoelzl@59000
   526
hoelzl@59093
   527
subsubsection \<open> Uniform Multiset Distribution \<close>
hoelzl@59093
   528
hoelzl@59000
   529
context
hoelzl@59000
   530
  fixes M :: "'a multiset" assumes M_not_empty: "M \<noteq> {#}"
hoelzl@59000
   531
begin
hoelzl@59000
   532
hoelzl@59000
   533
lift_definition pmf_of_multiset :: "'a pmf" is "\<lambda>x. count M x / size M"
hoelzl@59000
   534
proof
hoelzl@59000
   535
  show "(\<integral>\<^sup>+ x. ereal (real (count M x) / real (size M)) \<partial>count_space UNIV) = 1"  
hoelzl@59000
   536
    using M_not_empty
hoelzl@59000
   537
    by (simp add: zero_less_divide_iff nn_integral_count_space nonempty_has_size
hoelzl@59000
   538
                  setsum_divide_distrib[symmetric])
hoelzl@59000
   539
       (auto simp: size_multiset_overloaded_eq intro!: setsum.cong)
hoelzl@59000
   540
qed simp
hoelzl@59000
   541
hoelzl@59000
   542
lemma pmf_of_multiset[simp]: "pmf pmf_of_multiset x = count M x / size M"
hoelzl@59000
   543
  by transfer rule
hoelzl@59000
   544
hoelzl@59000
   545
lemma set_pmf_of_multiset[simp]: "set_pmf pmf_of_multiset = set_of M"
hoelzl@59000
   546
  by (auto simp: set_pmf_iff)
hoelzl@59000
   547
hoelzl@59000
   548
end
hoelzl@59000
   549
hoelzl@59093
   550
subsubsection \<open> Uniform Distribution \<close>
hoelzl@59093
   551
hoelzl@59000
   552
context
hoelzl@59000
   553
  fixes S :: "'a set" assumes S_not_empty: "S \<noteq> {}" and S_finite: "finite S"
hoelzl@59000
   554
begin
hoelzl@59000
   555
hoelzl@59000
   556
lift_definition pmf_of_set :: "'a pmf" is "\<lambda>x. indicator S x / card S"
hoelzl@59000
   557
proof
hoelzl@59000
   558
  show "(\<integral>\<^sup>+ x. ereal (indicator S x / real (card S)) \<partial>count_space UNIV) = 1"  
hoelzl@59000
   559
    using S_not_empty S_finite by (subst nn_integral_count_space'[of S]) auto
hoelzl@59000
   560
qed simp
hoelzl@59000
   561
hoelzl@59000
   562
lemma pmf_of_set[simp]: "pmf pmf_of_set x = indicator S x / card S"
hoelzl@59000
   563
  by transfer rule
hoelzl@59000
   564
hoelzl@59000
   565
lemma set_pmf_of_set[simp]: "set_pmf pmf_of_set = S"
hoelzl@59000
   566
  using S_finite S_not_empty by (auto simp: set_pmf_iff)
hoelzl@59000
   567
hoelzl@59002
   568
lemma emeasure_pmf_of_set[simp]: "emeasure pmf_of_set S = 1"
hoelzl@59002
   569
  by (rule measure_pmf.emeasure_eq_1_AE) (auto simp: AE_measure_pmf_iff)
hoelzl@59002
   570
hoelzl@59000
   571
end
hoelzl@59000
   572
hoelzl@59093
   573
subsubsection \<open> Poisson Distribution \<close>
hoelzl@59093
   574
hoelzl@59093
   575
context
hoelzl@59093
   576
  fixes rate :: real assumes rate_pos: "0 < rate"
hoelzl@59093
   577
begin
hoelzl@59093
   578
hoelzl@59093
   579
lift_definition poisson_pmf :: "nat pmf" is "\<lambda>k. rate ^ k / fact k * exp (-rate)"
hoelzl@59093
   580
proof
hoelzl@59093
   581
  (* Proof by Manuel Eberl *)
hoelzl@59093
   582
hoelzl@59093
   583
  have summable: "summable (\<lambda>x::nat. rate ^ x / fact x)" using summable_exp
hoelzl@59093
   584
    by (simp add: field_simps field_divide_inverse[symmetric])
hoelzl@59093
   585
  have "(\<integral>\<^sup>+(x::nat). rate ^ x / fact x * exp (-rate) \<partial>count_space UNIV) =
hoelzl@59093
   586
          exp (-rate) * (\<integral>\<^sup>+(x::nat). rate ^ x / fact x \<partial>count_space UNIV)"
hoelzl@59093
   587
    by (simp add: field_simps nn_integral_cmult[symmetric])
hoelzl@59093
   588
  also from rate_pos have "(\<integral>\<^sup>+(x::nat). rate ^ x / fact x \<partial>count_space UNIV) = (\<Sum>x. rate ^ x / fact x)"
hoelzl@59093
   589
    by (simp_all add: nn_integral_count_space_nat suminf_ereal summable suminf_ereal_finite)
hoelzl@59093
   590
  also have "... = exp rate" unfolding exp_def
hoelzl@59093
   591
    by (simp add: field_simps field_divide_inverse[symmetric] transfer_int_nat_factorial)
hoelzl@59093
   592
  also have "ereal (exp (-rate)) * ereal (exp rate) = 1"
hoelzl@59093
   593
    by (simp add: mult_exp_exp)
hoelzl@59093
   594
  finally show "(\<integral>\<^sup>+ x. ereal (rate ^ x / real (fact x) * exp (- rate)) \<partial>count_space UNIV) = 1" .
hoelzl@59093
   595
qed (simp add: rate_pos[THEN less_imp_le])
hoelzl@59093
   596
hoelzl@59093
   597
lemma pmf_poisson[simp]: "pmf poisson_pmf k = rate ^ k / fact k * exp (-rate)"
hoelzl@59093
   598
  by transfer rule
hoelzl@59093
   599
hoelzl@59093
   600
lemma set_pmf_poisson[simp]: "set_pmf poisson_pmf = UNIV"
hoelzl@59093
   601
  using rate_pos by (auto simp: set_pmf_iff)
hoelzl@59093
   602
hoelzl@59000
   603
end
hoelzl@59000
   604
hoelzl@59093
   605
subsubsection \<open> Binomial Distribution \<close>
hoelzl@59093
   606
hoelzl@59093
   607
context
hoelzl@59093
   608
  fixes n :: nat and p :: real assumes p_nonneg: "0 \<le> p" and p_le_1: "p \<le> 1"
hoelzl@59093
   609
begin
hoelzl@59093
   610
hoelzl@59093
   611
lift_definition binomial_pmf :: "nat pmf" is "\<lambda>k. (n choose k) * p^k * (1 - p)^(n - k)"
hoelzl@59093
   612
proof
hoelzl@59093
   613
  have "(\<integral>\<^sup>+k. ereal (real (n choose k) * p ^ k * (1 - p) ^ (n - k)) \<partial>count_space UNIV) =
hoelzl@59093
   614
    ereal (\<Sum>k\<le>n. real (n choose k) * p ^ k * (1 - p) ^ (n - k))"
hoelzl@59093
   615
    using p_le_1 p_nonneg by (subst nn_integral_count_space') auto
hoelzl@59093
   616
  also have "(\<Sum>k\<le>n. real (n choose k) * p ^ k * (1 - p) ^ (n - k)) = (p + (1 - p)) ^ n"
hoelzl@59093
   617
    by (subst binomial_ring) (simp add: atLeast0AtMost real_of_nat_def)
hoelzl@59093
   618
  finally show "(\<integral>\<^sup>+ x. ereal (real (n choose x) * p ^ x * (1 - p) ^ (n - x)) \<partial>count_space UNIV) = 1"
hoelzl@59093
   619
    by simp
hoelzl@59093
   620
qed (insert p_nonneg p_le_1, simp)
hoelzl@59093
   621
hoelzl@59093
   622
lemma pmf_binomial[simp]: "pmf binomial_pmf k = (n choose k) * p^k * (1 - p)^(n - k)"
hoelzl@59093
   623
  by transfer rule
hoelzl@59093
   624
hoelzl@59093
   625
lemma set_pmf_binomial_eq: "set_pmf binomial_pmf = (if p = 0 then {0} else if p = 1 then {n} else {.. n})"
hoelzl@59093
   626
  using p_nonneg p_le_1 unfolding set_eq_iff set_pmf_iff pmf_binomial by (auto simp: set_pmf_iff)
hoelzl@59093
   627
hoelzl@59093
   628
end
hoelzl@59093
   629
hoelzl@59093
   630
end
hoelzl@59093
   631
hoelzl@59093
   632
lemma set_pmf_binomial_0[simp]: "set_pmf (binomial_pmf n 0) = {0}"
hoelzl@59093
   633
  by (simp add: set_pmf_binomial_eq)
hoelzl@59093
   634
hoelzl@59093
   635
lemma set_pmf_binomial_1[simp]: "set_pmf (binomial_pmf n 1) = {n}"
hoelzl@59093
   636
  by (simp add: set_pmf_binomial_eq)
hoelzl@59093
   637
hoelzl@59093
   638
lemma set_pmf_binomial[simp]: "0 < p \<Longrightarrow> p < 1 \<Longrightarrow> set_pmf (binomial_pmf n p) = {..n}"
hoelzl@59093
   639
  by (simp add: set_pmf_binomial_eq)
hoelzl@59093
   640
hoelzl@59093
   641
subsection \<open> Monad Interpretation \<close>
hoelzl@59000
   642
hoelzl@59000
   643
lemma measurable_measure_pmf[measurable]:
hoelzl@59000
   644
  "(\<lambda>x. measure_pmf (M x)) \<in> measurable (count_space UNIV) (subprob_algebra (count_space UNIV))"
hoelzl@59000
   645
  by (auto simp: space_subprob_algebra intro!: prob_space_imp_subprob_space) unfold_locales
hoelzl@59000
   646
hoelzl@59000
   647
lemma bind_pmf_cong:
hoelzl@59000
   648
  assumes "\<And>x. A x \<in> space (subprob_algebra N)" "\<And>x. B x \<in> space (subprob_algebra N)"
hoelzl@59000
   649
  assumes "\<And>i. i \<in> set_pmf x \<Longrightarrow> A i = B i"
hoelzl@59000
   650
  shows "bind (measure_pmf x) A = bind (measure_pmf x) B"
hoelzl@59000
   651
proof (rule measure_eqI)
hoelzl@59000
   652
  show "sets (measure_pmf x \<guillemotright>= A) = sets (measure_pmf x \<guillemotright>= B)"
hoelzl@59048
   653
    using assms by (subst (1 2) sets_bind) (auto simp: space_subprob_algebra)
hoelzl@59000
   654
next
hoelzl@59000
   655
  fix X assume "X \<in> sets (measure_pmf x \<guillemotright>= A)"
hoelzl@59000
   656
  then have X: "X \<in> sets N"
hoelzl@59048
   657
    using assms by (subst (asm) sets_bind) (auto simp: space_subprob_algebra)
hoelzl@59000
   658
  show "emeasure (measure_pmf x \<guillemotright>= A) X = emeasure (measure_pmf x \<guillemotright>= B) X"
hoelzl@59000
   659
    using assms
hoelzl@59000
   660
    by (subst (1 2) emeasure_bind[where N=N, OF _ _ X])
hoelzl@59000
   661
       (auto intro!: nn_integral_cong_AE simp: AE_measure_pmf_iff)
hoelzl@59000
   662
qed
hoelzl@59000
   663
hoelzl@59000
   664
context
hoelzl@59000
   665
begin
hoelzl@59000
   666
hoelzl@59000
   667
interpretation pmf_as_measure .
hoelzl@59000
   668
hoelzl@59000
   669
lift_definition join_pmf :: "'a pmf pmf \<Rightarrow> 'a pmf" is "\<lambda>M. measure_pmf M \<guillemotright>= measure_pmf"
hoelzl@59000
   670
proof (intro conjI)
hoelzl@59000
   671
  fix M :: "'a pmf pmf"
hoelzl@59000
   672
hoelzl@59000
   673
  interpret bind: prob_space "measure_pmf M \<guillemotright>= measure_pmf"
hoelzl@59048
   674
    apply (intro measure_pmf.prob_space_bind[where S="count_space UNIV"] AE_I2)
hoelzl@59048
   675
    apply (auto intro!: subprob_space_measure_pmf simp: space_subprob_algebra)
hoelzl@59000
   676
    apply unfold_locales
hoelzl@59000
   677
    done
hoelzl@59000
   678
  show "prob_space (measure_pmf M \<guillemotright>= measure_pmf)"
hoelzl@59000
   679
    by intro_locales
hoelzl@59000
   680
  show "sets (measure_pmf M \<guillemotright>= measure_pmf) = UNIV"
hoelzl@59048
   681
    by (subst sets_bind) auto
hoelzl@59000
   682
  have "AE x in measure_pmf M \<guillemotright>= measure_pmf. emeasure (measure_pmf M \<guillemotright>= measure_pmf) {x} \<noteq> 0"
hoelzl@59048
   683
    by (auto simp: AE_bind[where B="count_space UNIV"] measure_pmf_in_subprob_algebra
hoelzl@59048
   684
                   emeasure_bind[where N="count_space UNIV"] AE_measure_pmf_iff nn_integral_0_iff_AE
hoelzl@59048
   685
                   measure_pmf.emeasure_eq_measure measure_le_0_iff set_pmf_iff pmf.rep_eq)
hoelzl@59000
   686
  then show "AE x in measure_pmf M \<guillemotright>= measure_pmf. measure (measure_pmf M \<guillemotright>= measure_pmf) {x} \<noteq> 0"
hoelzl@59000
   687
    unfolding bind.emeasure_eq_measure by simp
hoelzl@59000
   688
qed
hoelzl@59000
   689
hoelzl@59000
   690
lemma pmf_join: "pmf (join_pmf N) i = (\<integral>M. pmf M i \<partial>measure_pmf N)"
hoelzl@59000
   691
proof (transfer fixing: N i)
hoelzl@59000
   692
  have N: "subprob_space (measure_pmf N)"
hoelzl@59000
   693
    by (rule prob_space_imp_subprob_space) intro_locales
hoelzl@59000
   694
  show "measure (measure_pmf N \<guillemotright>= measure_pmf) {i} = integral\<^sup>L (measure_pmf N) (\<lambda>M. measure M {i})"
hoelzl@59000
   695
    using measurable_measure_pmf[of "\<lambda>x. x"]
hoelzl@59000
   696
    by (intro subprob_space.measure_bind[where N="count_space UNIV", OF N]) auto
hoelzl@59000
   697
qed (auto simp: Transfer.Rel_def rel_fun_def cr_pmf_def)
hoelzl@59000
   698
Andreas@59024
   699
lemma set_pmf_join_pmf: "set_pmf (join_pmf f) = (\<Union>p\<in>set_pmf f. set_pmf p)"
Andreas@59024
   700
apply(simp add: set_eq_iff set_pmf_iff pmf_join)
Andreas@59024
   701
apply(subst integral_nonneg_eq_0_iff_AE)
Andreas@59024
   702
apply(auto simp add: pmf_le_1 pmf_nonneg AE_measure_pmf_iff intro!: measure_pmf.integrable_const_bound[where B=1])
Andreas@59024
   703
done
Andreas@59024
   704
hoelzl@59000
   705
lift_definition return_pmf :: "'a \<Rightarrow> 'a pmf" is "return (count_space UNIV)"
hoelzl@59000
   706
  by (auto intro!: prob_space_return simp: AE_return measure_return)
hoelzl@59000
   707
hoelzl@59000
   708
lemma join_return_pmf: "join_pmf (return_pmf M) = M"
hoelzl@59000
   709
  by (simp add: integral_return pmf_eq_iff pmf_join return_pmf.rep_eq)
hoelzl@59000
   710
hoelzl@59000
   711
lemma map_return_pmf: "map_pmf f (return_pmf x) = return_pmf (f x)"
hoelzl@59000
   712
  by transfer (simp add: distr_return)
hoelzl@59000
   713
hoelzl@59052
   714
lemma map_pmf_const[simp]: "map_pmf (\<lambda>_. c) M = return_pmf c"
hoelzl@59052
   715
  by transfer (auto simp: prob_space.distr_const)
hoelzl@59052
   716
hoelzl@59002
   717
lemma set_return_pmf: "set_pmf (return_pmf x) = {x}"
hoelzl@59000
   718
  by transfer (auto simp add: measure_return split: split_indicator)
hoelzl@59000
   719
hoelzl@59000
   720
lemma pmf_return: "pmf (return_pmf x) y = indicator {y} x"
hoelzl@59000
   721
  by transfer (simp add: measure_return)
hoelzl@59000
   722
hoelzl@59002
   723
lemma nn_integral_return_pmf[simp]: "0 \<le> f x \<Longrightarrow> (\<integral>\<^sup>+x. f x \<partial>return_pmf x) = f x"
hoelzl@59002
   724
  unfolding return_pmf.rep_eq by (intro nn_integral_return) auto
hoelzl@59002
   725
hoelzl@59002
   726
lemma emeasure_return_pmf[simp]: "emeasure (return_pmf x) X = indicator X x"
hoelzl@59002
   727
  unfolding return_pmf.rep_eq by (intro emeasure_return) auto
hoelzl@59002
   728
hoelzl@59000
   729
end
hoelzl@59000
   730
hoelzl@59000
   731
definition "bind_pmf M f = join_pmf (map_pmf f M)"
hoelzl@59000
   732
hoelzl@59000
   733
lemma (in pmf_as_measure) bind_transfer[transfer_rule]:
hoelzl@59000
   734
  "rel_fun pmf_as_measure.cr_pmf (rel_fun (rel_fun op = pmf_as_measure.cr_pmf) pmf_as_measure.cr_pmf) op \<guillemotright>= bind_pmf"
hoelzl@59000
   735
proof (auto simp: pmf_as_measure.cr_pmf_def rel_fun_def bind_pmf_def join_pmf.rep_eq map_pmf.rep_eq)
hoelzl@59000
   736
  fix M f and g :: "'a \<Rightarrow> 'b pmf" assume "\<forall>x. f x = measure_pmf (g x)"
hoelzl@59000
   737
  then have f: "f = (\<lambda>x. measure_pmf (g x))"
hoelzl@59000
   738
    by auto
hoelzl@59000
   739
  show "measure_pmf M \<guillemotright>= f = distr (measure_pmf M) (count_space UNIV) g \<guillemotright>= measure_pmf"
hoelzl@59000
   740
    unfolding f by (subst bind_distr[OF _ measurable_measure_pmf]) auto
hoelzl@59000
   741
qed
hoelzl@59000
   742
hoelzl@59000
   743
lemma pmf_bind: "pmf (bind_pmf N f) i = (\<integral>x. pmf (f x) i \<partial>measure_pmf N)"
hoelzl@59000
   744
  by (auto intro!: integral_distr simp: bind_pmf_def pmf_join map_pmf.rep_eq)
hoelzl@59000
   745
hoelzl@59000
   746
lemma bind_return_pmf: "bind_pmf (return_pmf x) f = f x"
hoelzl@59000
   747
  unfolding bind_pmf_def map_return_pmf join_return_pmf ..
hoelzl@59000
   748
hoelzl@59052
   749
lemma join_eq_bind_pmf: "join_pmf M = bind_pmf M id"
hoelzl@59052
   750
  by (simp add: bind_pmf_def)
hoelzl@59052
   751
hoelzl@59052
   752
lemma bind_pmf_const[simp]: "bind_pmf M (\<lambda>x. c) = c"
hoelzl@59052
   753
  unfolding bind_pmf_def map_pmf_const join_return_pmf ..
hoelzl@59052
   754
hoelzl@59002
   755
lemma set_bind_pmf: "set_pmf (bind_pmf M N) = (\<Union>M\<in>set_pmf M. set_pmf (N M))"
hoelzl@59002
   756
  apply (simp add: set_eq_iff set_pmf_iff pmf_bind)
hoelzl@59002
   757
  apply (subst integral_nonneg_eq_0_iff_AE)
hoelzl@59002
   758
  apply (auto simp: pmf_nonneg pmf_le_1 AE_measure_pmf_iff
hoelzl@59002
   759
              intro!: measure_pmf.integrable_const_bound[where B=1])
hoelzl@59002
   760
  done
hoelzl@59002
   761
hoelzl@59002
   762
lemma measurable_pair_restrict_pmf2:
hoelzl@59002
   763
  assumes "countable A"
hoelzl@59002
   764
  assumes "\<And>y. y \<in> A \<Longrightarrow> (\<lambda>x. f (x, y)) \<in> measurable M L"
hoelzl@59002
   765
  shows "f \<in> measurable (M \<Otimes>\<^sub>M restrict_space (measure_pmf N) A) L"
hoelzl@59002
   766
  apply (subst measurable_cong_sets)
hoelzl@59002
   767
  apply (rule sets_pair_measure_cong sets_restrict_space_cong sets_measure_pmf_count_space refl)+
hoelzl@59002
   768
  apply (simp_all add: restrict_count_space)
hoelzl@59002
   769
  apply (subst split_eta[symmetric])
hoelzl@59002
   770
  unfolding measurable_split_conv
hoelzl@59002
   771
  apply (rule measurable_compose_countable'[OF _ measurable_snd `countable A`])
hoelzl@59002
   772
  apply (rule measurable_compose[OF measurable_fst])
hoelzl@59002
   773
  apply fact
hoelzl@59002
   774
  done
hoelzl@59002
   775
hoelzl@59002
   776
lemma measurable_pair_restrict_pmf1:
hoelzl@59002
   777
  assumes "countable A"
hoelzl@59002
   778
  assumes "\<And>x. x \<in> A \<Longrightarrow> (\<lambda>y. f (x, y)) \<in> measurable N L"
hoelzl@59002
   779
  shows "f \<in> measurable (restrict_space (measure_pmf M) A \<Otimes>\<^sub>M N) L"
hoelzl@59002
   780
  apply (subst measurable_cong_sets)
hoelzl@59002
   781
  apply (rule sets_pair_measure_cong sets_restrict_space_cong sets_measure_pmf_count_space refl)+
hoelzl@59002
   782
  apply (simp_all add: restrict_count_space)
hoelzl@59002
   783
  apply (subst split_eta[symmetric])
hoelzl@59002
   784
  unfolding measurable_split_conv
hoelzl@59002
   785
  apply (rule measurable_compose_countable'[OF _ measurable_fst `countable A`])
hoelzl@59002
   786
  apply (rule measurable_compose[OF measurable_snd])
hoelzl@59002
   787
  apply fact
hoelzl@59002
   788
  done
hoelzl@59002
   789
                                
hoelzl@59000
   790
lemma bind_commute_pmf: "bind_pmf A (\<lambda>x. bind_pmf B (C x)) = bind_pmf B (\<lambda>y. bind_pmf A (\<lambda>x. C x y))"
hoelzl@59000
   791
  unfolding pmf_eq_iff pmf_bind
hoelzl@59000
   792
proof
hoelzl@59000
   793
  fix i
hoelzl@59000
   794
  interpret B: prob_space "restrict_space B B"
hoelzl@59000
   795
    by (intro prob_space_restrict_space measure_pmf.emeasure_eq_1_AE)
hoelzl@59000
   796
       (auto simp: AE_measure_pmf_iff)
hoelzl@59000
   797
  interpret A: prob_space "restrict_space A A"
hoelzl@59000
   798
    by (intro prob_space_restrict_space measure_pmf.emeasure_eq_1_AE)
hoelzl@59000
   799
       (auto simp: AE_measure_pmf_iff)
hoelzl@59000
   800
hoelzl@59000
   801
  interpret AB: pair_prob_space "restrict_space A A" "restrict_space B B"
hoelzl@59000
   802
    by unfold_locales
hoelzl@59000
   803
hoelzl@59000
   804
  have "(\<integral> x. \<integral> y. pmf (C x y) i \<partial>B \<partial>A) = (\<integral> x. (\<integral> y. pmf (C x y) i \<partial>restrict_space B B) \<partial>A)"
hoelzl@59000
   805
    by (rule integral_cong) (auto intro!: integral_pmf_restrict)
hoelzl@59000
   806
  also have "\<dots> = (\<integral> x. (\<integral> y. pmf (C x y) i \<partial>restrict_space B B) \<partial>restrict_space A A)"
hoelzl@59002
   807
    by (intro integral_pmf_restrict B.borel_measurable_lebesgue_integral measurable_pair_restrict_pmf2
hoelzl@59002
   808
              countable_set_pmf borel_measurable_count_space)
hoelzl@59000
   809
  also have "\<dots> = (\<integral> y. \<integral> x. pmf (C x y) i \<partial>restrict_space A A \<partial>restrict_space B B)"
hoelzl@59002
   810
    by (rule AB.Fubini_integral[symmetric])
hoelzl@59002
   811
       (auto intro!: AB.integrable_const_bound[where B=1] measurable_pair_restrict_pmf2
Andreas@59023
   812
             simp: pmf_nonneg pmf_le_1 measurable_restrict_space1)
hoelzl@59000
   813
  also have "\<dots> = (\<integral> y. \<integral> x. pmf (C x y) i \<partial>restrict_space A A \<partial>B)"
hoelzl@59002
   814
    by (intro integral_pmf_restrict[symmetric] A.borel_measurable_lebesgue_integral measurable_pair_restrict_pmf2
hoelzl@59002
   815
              countable_set_pmf borel_measurable_count_space)
hoelzl@59000
   816
  also have "\<dots> = (\<integral> y. \<integral> x. pmf (C x y) i \<partial>A \<partial>B)"
hoelzl@59000
   817
    by (rule integral_cong) (auto intro!: integral_pmf_restrict[symmetric])
hoelzl@59000
   818
  finally show "(\<integral> x. \<integral> y. pmf (C x y) i \<partial>B \<partial>A) = (\<integral> y. \<integral> x. pmf (C x y) i \<partial>A \<partial>B)" .
hoelzl@59000
   819
qed
hoelzl@59000
   820
hoelzl@59000
   821
hoelzl@59000
   822
context
hoelzl@59000
   823
begin
hoelzl@59000
   824
hoelzl@59000
   825
interpretation pmf_as_measure .
hoelzl@59000
   826
hoelzl@59002
   827
lemma measure_pmf_bind: "measure_pmf (bind_pmf M f) = (measure_pmf M \<guillemotright>= (\<lambda>x. measure_pmf (f x)))"
hoelzl@59002
   828
  by transfer simp
hoelzl@59002
   829
hoelzl@59002
   830
lemma nn_integral_bind_pmf[simp]: "(\<integral>\<^sup>+x. f x \<partial>bind_pmf M N) = (\<integral>\<^sup>+x. \<integral>\<^sup>+y. f y \<partial>N x \<partial>M)"
hoelzl@59002
   831
  using measurable_measure_pmf[of N]
hoelzl@59002
   832
  unfolding measure_pmf_bind
hoelzl@59002
   833
  apply (subst (1 3) nn_integral_max_0[symmetric])
hoelzl@59002
   834
  apply (intro nn_integral_bind[where B="count_space UNIV"])
hoelzl@59002
   835
  apply auto
hoelzl@59002
   836
  done
hoelzl@59002
   837
hoelzl@59002
   838
lemma emeasure_bind_pmf[simp]: "emeasure (bind_pmf M N) X = (\<integral>\<^sup>+x. emeasure (N x) X \<partial>M)"
hoelzl@59002
   839
  using measurable_measure_pmf[of N]
hoelzl@59002
   840
  unfolding measure_pmf_bind
hoelzl@59002
   841
  by (subst emeasure_bind[where N="count_space UNIV"]) auto
hoelzl@59002
   842
hoelzl@59000
   843
lemma bind_return_pmf': "bind_pmf N return_pmf = N"
hoelzl@59000
   844
proof (transfer, clarify)
hoelzl@59000
   845
  fix N :: "'a measure" assume "sets N = UNIV" then show "N \<guillemotright>= return (count_space UNIV) = N"
hoelzl@59000
   846
    by (subst return_sets_cong[where N=N]) (simp_all add: bind_return')
hoelzl@59000
   847
qed
hoelzl@59000
   848
hoelzl@59000
   849
lemma bind_return_pmf'': "bind_pmf N (\<lambda>x. return_pmf (f x)) = map_pmf f N"
hoelzl@59000
   850
proof (transfer, clarify)
hoelzl@59000
   851
  fix N :: "'b measure" and f :: "'b \<Rightarrow> 'a" assume "prob_space N" "sets N = UNIV"
hoelzl@59000
   852
  then show "N \<guillemotright>= (\<lambda>x. return (count_space UNIV) (f x)) = distr N (count_space UNIV) f"
hoelzl@59000
   853
    by (subst bind_return_distr[symmetric])
hoelzl@59000
   854
       (auto simp: prob_space.not_empty measurable_def comp_def)
hoelzl@59000
   855
qed
hoelzl@59000
   856
hoelzl@59000
   857
lemma bind_assoc_pmf: "bind_pmf (bind_pmf A B) C = bind_pmf A (\<lambda>x. bind_pmf (B x) C)"
hoelzl@59000
   858
  by transfer
hoelzl@59000
   859
     (auto intro!: bind_assoc[where N="count_space UNIV" and R="count_space UNIV"]
hoelzl@59000
   860
           simp: measurable_def space_subprob_algebra prob_space_imp_subprob_space)
hoelzl@59000
   861
hoelzl@59000
   862
end
hoelzl@59000
   863
hoelzl@59052
   864
lemma map_join_pmf: "map_pmf f (join_pmf AA) = join_pmf (map_pmf (map_pmf f) AA)"
hoelzl@59052
   865
  unfolding bind_pmf_def[symmetric]
hoelzl@59052
   866
  unfolding bind_return_pmf''[symmetric] join_eq_bind_pmf bind_assoc_pmf
hoelzl@59052
   867
  by (simp add: bind_return_pmf'')
hoelzl@59052
   868
hoelzl@59000
   869
definition "pair_pmf A B = bind_pmf A (\<lambda>x. bind_pmf B (\<lambda>y. return_pmf (x, y)))"
hoelzl@59000
   870
hoelzl@59000
   871
lemma pmf_pair: "pmf (pair_pmf M N) (a, b) = pmf M a * pmf N b"
hoelzl@59000
   872
  unfolding pair_pmf_def pmf_bind pmf_return
hoelzl@59000
   873
  apply (subst integral_measure_pmf[where A="{b}"])
hoelzl@59000
   874
  apply (auto simp: indicator_eq_0_iff)
hoelzl@59000
   875
  apply (subst integral_measure_pmf[where A="{a}"])
hoelzl@59000
   876
  apply (auto simp: indicator_eq_0_iff setsum_nonneg_eq_0_iff pmf_nonneg)
hoelzl@59000
   877
  done
hoelzl@59000
   878
hoelzl@59002
   879
lemma set_pair_pmf: "set_pmf (pair_pmf A B) = set_pmf A \<times> set_pmf B"
hoelzl@59002
   880
  unfolding pair_pmf_def set_bind_pmf set_return_pmf by auto
hoelzl@59002
   881
hoelzl@59048
   882
lemma measure_pmf_in_subprob_space[measurable (raw)]:
hoelzl@59048
   883
  "measure_pmf M \<in> space (subprob_algebra (count_space UNIV))"
hoelzl@59048
   884
  by (simp add: space_subprob_algebra) intro_locales
hoelzl@59048
   885
hoelzl@59134
   886
lemma nn_integral_pair_pmf': "(\<integral>\<^sup>+x. f x \<partial>pair_pmf A B) = (\<integral>\<^sup>+a. \<integral>\<^sup>+b. f (a, b) \<partial>B \<partial>A)"
hoelzl@59134
   887
proof -
hoelzl@59134
   888
  have "(\<integral>\<^sup>+x. f x \<partial>pair_pmf A B) = (\<integral>\<^sup>+x. max 0 (f x) * indicator (A \<times> B) x \<partial>pair_pmf A B)"
hoelzl@59134
   889
    by (subst nn_integral_max_0[symmetric])
hoelzl@59134
   890
       (auto simp: AE_measure_pmf_iff set_pair_pmf intro!: nn_integral_cong_AE)
hoelzl@59134
   891
  also have "\<dots> = (\<integral>\<^sup>+a. \<integral>\<^sup>+b. max 0 (f (a, b)) * indicator (A \<times> B) (a, b) \<partial>B \<partial>A)"
hoelzl@59134
   892
    by (simp add: pair_pmf_def)
hoelzl@59134
   893
  also have "\<dots> = (\<integral>\<^sup>+a. \<integral>\<^sup>+b. max 0 (f (a, b)) \<partial>B \<partial>A)"
hoelzl@59134
   894
    by (auto intro!: nn_integral_cong_AE simp: AE_measure_pmf_iff)
hoelzl@59134
   895
  finally show ?thesis
hoelzl@59134
   896
    unfolding nn_integral_max_0 .
hoelzl@59134
   897
qed
hoelzl@59134
   898
hoelzl@59134
   899
lemma pair_map_pmf1: "pair_pmf (map_pmf f A) B = map_pmf (apfst f) (pair_pmf A B)"
hoelzl@59134
   900
proof (safe intro!: pmf_eqI)
hoelzl@59134
   901
  fix a :: "'a" and b :: "'b"
hoelzl@59134
   902
  have [simp]: "\<And>c d. indicator (apfst f -` {(a, b)}) (c, d) = indicator (f -` {a}) c * (indicator {b} d::ereal)"
hoelzl@59134
   903
    by (auto split: split_indicator)
hoelzl@59134
   904
hoelzl@59134
   905
  have "ereal (pmf (pair_pmf (map_pmf f A) B) (a, b)) =
hoelzl@59134
   906
         ereal (pmf (map_pmf (apfst f) (pair_pmf A B)) (a, b))"
hoelzl@59134
   907
    unfolding pmf_pair ereal_pmf_map
hoelzl@59134
   908
    by (simp add: nn_integral_pair_pmf' max_def emeasure_pmf_single nn_integral_multc pmf_nonneg
hoelzl@59134
   909
                  emeasure_map_pmf[symmetric] del: emeasure_map_pmf)
hoelzl@59134
   910
  then show "pmf (pair_pmf (map_pmf f A) B) (a, b) = pmf (map_pmf (apfst f) (pair_pmf A B)) (a, b)"
hoelzl@59134
   911
    by simp
hoelzl@59134
   912
qed
hoelzl@59134
   913
hoelzl@59134
   914
lemma pair_map_pmf2: "pair_pmf A (map_pmf f B) = map_pmf (apsnd f) (pair_pmf A B)"
hoelzl@59134
   915
proof (safe intro!: pmf_eqI)
hoelzl@59134
   916
  fix a :: "'a" and b :: "'b"
hoelzl@59134
   917
  have [simp]: "\<And>c d. indicator (apsnd f -` {(a, b)}) (c, d) = indicator {a} c * (indicator (f -` {b}) d::ereal)"
hoelzl@59134
   918
    by (auto split: split_indicator)
hoelzl@59134
   919
hoelzl@59134
   920
  have "ereal (pmf (pair_pmf A (map_pmf f B)) (a, b)) =
hoelzl@59134
   921
         ereal (pmf (map_pmf (apsnd f) (pair_pmf A B)) (a, b))"
hoelzl@59134
   922
    unfolding pmf_pair ereal_pmf_map
hoelzl@59134
   923
    by (simp add: nn_integral_pair_pmf' max_def emeasure_pmf_single nn_integral_cmult nn_integral_multc pmf_nonneg
hoelzl@59134
   924
                  emeasure_map_pmf[symmetric] del: emeasure_map_pmf)
hoelzl@59134
   925
  then show "pmf (pair_pmf A (map_pmf f B)) (a, b) = pmf (map_pmf (apsnd f) (pair_pmf A B)) (a, b)"
hoelzl@59134
   926
    by simp
hoelzl@59134
   927
qed
hoelzl@59134
   928
hoelzl@59134
   929
lemma map_pair: "map_pmf (\<lambda>(a, b). (f a, g b)) (pair_pmf A B) = pair_pmf (map_pmf f A) (map_pmf g B)"
hoelzl@59134
   930
  by (simp add: pair_map_pmf2 pair_map_pmf1 map_pmf_comp split_beta')
hoelzl@59134
   931
hoelzl@59000
   932
lemma bind_pair_pmf:
hoelzl@59000
   933
  assumes M[measurable]: "M \<in> measurable (count_space UNIV \<Otimes>\<^sub>M count_space UNIV) (subprob_algebra N)"
hoelzl@59000
   934
  shows "measure_pmf (pair_pmf A B) \<guillemotright>= M = (measure_pmf A \<guillemotright>= (\<lambda>x. measure_pmf B \<guillemotright>= (\<lambda>y. M (x, y))))"
hoelzl@59000
   935
    (is "?L = ?R")
hoelzl@59000
   936
proof (rule measure_eqI)
hoelzl@59000
   937
  have M'[measurable]: "M \<in> measurable (pair_pmf A B) (subprob_algebra N)"
hoelzl@59000
   938
    using M[THEN measurable_space] by (simp_all add: space_pair_measure)
hoelzl@59000
   939
hoelzl@59048
   940
  note measurable_bind[where N="count_space UNIV", measurable]
hoelzl@59048
   941
  note measure_pmf_in_subprob_space[simp]
hoelzl@59048
   942
hoelzl@59000
   943
  have sets_eq_N: "sets ?L = N"
hoelzl@59048
   944
    by (subst sets_bind[OF sets_kernel[OF M']]) auto
hoelzl@59000
   945
  show "sets ?L = sets ?R"
hoelzl@59048
   946
    using measurable_space[OF M]
hoelzl@59048
   947
    by (simp add: sets_eq_N space_pair_measure space_subprob_algebra)
hoelzl@59000
   948
  fix X assume "X \<in> sets ?L"
hoelzl@59000
   949
  then have X[measurable]: "X \<in> sets N"
hoelzl@59000
   950
    unfolding sets_eq_N .
hoelzl@59000
   951
  then show "emeasure ?L X = emeasure ?R X"
hoelzl@59000
   952
    apply (simp add: emeasure_bind[OF _ M' X])
hoelzl@59048
   953
    apply (simp add: nn_integral_bind[where B="count_space UNIV"] pair_pmf_def measure_pmf_bind[of A]
hoelzl@59048
   954
      nn_integral_measure_pmf_finite set_return_pmf emeasure_nonneg pmf_return one_ereal_def[symmetric])
hoelzl@59048
   955
    apply (subst emeasure_bind[OF _ _ X])
hoelzl@59000
   956
    apply measurable
hoelzl@59000
   957
    apply (subst emeasure_bind[OF _ _ X])
hoelzl@59000
   958
    apply measurable
hoelzl@59000
   959
    done
hoelzl@59000
   960
qed
hoelzl@59000
   961
hoelzl@59052
   962
lemma join_map_return_pmf: "join_pmf (map_pmf return_pmf A) = A"
hoelzl@59052
   963
  unfolding bind_pmf_def[symmetric] bind_return_pmf' ..
hoelzl@59052
   964
hoelzl@59052
   965
lemma map_fst_pair_pmf: "map_pmf fst (pair_pmf A B) = A"
hoelzl@59052
   966
  by (simp add: pair_pmf_def bind_return_pmf''[symmetric] bind_assoc_pmf bind_return_pmf bind_return_pmf')
hoelzl@59052
   967
hoelzl@59052
   968
lemma map_snd_pair_pmf: "map_pmf snd (pair_pmf A B) = B"
hoelzl@59052
   969
  by (simp add: pair_pmf_def bind_return_pmf''[symmetric] bind_assoc_pmf bind_return_pmf bind_return_pmf')
hoelzl@59052
   970
hoelzl@59053
   971
lemma nn_integral_pmf':
hoelzl@59053
   972
  "inj_on f A \<Longrightarrow> (\<integral>\<^sup>+x. pmf p (f x) \<partial>count_space A) = emeasure p (f ` A)"
hoelzl@59053
   973
  by (subst nn_integral_bij_count_space[where g=f and B="f`A"])
hoelzl@59053
   974
     (auto simp: bij_betw_def nn_integral_pmf)
hoelzl@59053
   975
hoelzl@59053
   976
lemma pmf_le_0_iff[simp]: "pmf M p \<le> 0 \<longleftrightarrow> pmf M p = 0"
hoelzl@59053
   977
  using pmf_nonneg[of M p] by simp
hoelzl@59053
   978
hoelzl@59053
   979
lemma min_pmf_0[simp]: "min (pmf M p) 0 = 0" "min 0 (pmf M p) = 0"
hoelzl@59053
   980
  using pmf_nonneg[of M p] by simp_all
hoelzl@59053
   981
hoelzl@59053
   982
lemma pmf_eq_0_set_pmf: "pmf M p = 0 \<longleftrightarrow> p \<notin> set_pmf M"
hoelzl@59053
   983
  unfolding set_pmf_iff by simp
hoelzl@59053
   984
hoelzl@59053
   985
lemma pmf_map_inj: "inj_on f (set_pmf M) \<Longrightarrow> x \<in> set_pmf M \<Longrightarrow> pmf (map_pmf f M) (f x) = pmf M x"
hoelzl@59053
   986
  by (auto simp: pmf.rep_eq map_pmf.rep_eq measure_distr AE_measure_pmf_iff inj_onD
hoelzl@59053
   987
           intro!: measure_pmf.finite_measure_eq_AE)
hoelzl@59053
   988
Andreas@59023
   989
inductive rel_pmf :: "('a \<Rightarrow> 'b \<Rightarrow> bool) \<Rightarrow> 'a pmf \<Rightarrow> 'b pmf \<Rightarrow> bool"
Andreas@59023
   990
for R p q
Andreas@59023
   991
where
Andreas@59023
   992
  "\<lbrakk> \<And>x y. (x, y) \<in> set_pmf pq \<Longrightarrow> R x y; 
Andreas@59023
   993
     map_pmf fst pq = p; map_pmf snd pq = q \<rbrakk>
Andreas@59023
   994
  \<Longrightarrow> rel_pmf R p q"
hoelzl@58587
   995
Andreas@59023
   996
bnf pmf: "'a pmf" map: map_pmf sets: set_pmf bd : "natLeq" rel: rel_pmf
hoelzl@58587
   997
proof -
hoelzl@58587
   998
  show "map_pmf id = id" by (rule map_pmf_id)
hoelzl@58587
   999
  show "\<And>f g. map_pmf (f \<circ> g) = map_pmf f \<circ> map_pmf g" by (rule map_pmf_compose) 
hoelzl@58587
  1000
  show "\<And>f g::'a \<Rightarrow> 'b. \<And>p. (\<And>x. x \<in> set_pmf p \<Longrightarrow> f x = g x) \<Longrightarrow> map_pmf f p = map_pmf g p"
Andreas@59023
  1001
    by (intro map_pmf_cong refl)
hoelzl@58587
  1002
hoelzl@58587
  1003
  show "\<And>f::'a \<Rightarrow> 'b. set_pmf \<circ> map_pmf f = op ` f \<circ> set_pmf"
hoelzl@58587
  1004
    by (rule pmf_set_map)
hoelzl@58587
  1005
hoelzl@58587
  1006
  { fix p :: "'s pmf"
hoelzl@58587
  1007
    have "(card_of (set_pmf p), card_of (UNIV :: nat set)) \<in> ordLeq"
hoelzl@58587
  1008
      by (rule card_of_ordLeqI[where f="to_nat_on (set_pmf p)"])
hoelzl@59053
  1009
         (auto intro: countable_set_pmf)
hoelzl@58587
  1010
    also have "(card_of (UNIV :: nat set), natLeq) \<in> ordLeq"
hoelzl@58587
  1011
      by (metis Field_natLeq card_of_least natLeq_Well_order)
hoelzl@58587
  1012
    finally show "(card_of (set_pmf p), natLeq) \<in> ordLeq" . }
hoelzl@58587
  1013
Andreas@59023
  1014
  show "\<And>R. rel_pmf R =
Andreas@59023
  1015
         (BNF_Def.Grp {x. set_pmf x \<subseteq> {(x, y). R x y}} (map_pmf fst))\<inverse>\<inverse> OO
Andreas@59023
  1016
         BNF_Def.Grp {x. set_pmf x \<subseteq> {(x, y). R x y}} (map_pmf snd)"
Andreas@59023
  1017
     by (auto simp add: fun_eq_iff BNF_Def.Grp_def OO_def rel_pmf.simps)
Andreas@59023
  1018
Andreas@59023
  1019
  { fix p :: "'a pmf" and f :: "'a \<Rightarrow> 'b" and g x
Andreas@59023
  1020
    assume p: "\<And>z. z \<in> set_pmf p \<Longrightarrow> f z = g z"
Andreas@59023
  1021
      and x: "x \<in> set_pmf p"
Andreas@59023
  1022
    thus "f x = g x" by simp }
Andreas@59023
  1023
Andreas@59023
  1024
  fix R :: "'a => 'b \<Rightarrow> bool" and S :: "'b \<Rightarrow> 'c \<Rightarrow> bool"
Andreas@59023
  1025
  { fix p q r
Andreas@59023
  1026
    assume pq: "rel_pmf R p q"
Andreas@59023
  1027
      and qr:"rel_pmf S q r"
Andreas@59023
  1028
    from pq obtain pq where pq: "\<And>x y. (x, y) \<in> set_pmf pq \<Longrightarrow> R x y"
Andreas@59023
  1029
      and p: "p = map_pmf fst pq" and q: "q = map_pmf snd pq" by cases auto
Andreas@59023
  1030
    from qr obtain qr where qr: "\<And>y z. (y, z) \<in> set_pmf qr \<Longrightarrow> S y z"
Andreas@59023
  1031
      and q': "q = map_pmf fst qr" and r: "r = map_pmf snd qr" by cases auto
Andreas@59023
  1032
hoelzl@59053
  1033
    note pmf_nonneg[intro, simp]
Andreas@59023
  1034
hoelzl@59053
  1035
    def A \<equiv> "\<lambda>y. {x. (x, y) \<in> set_pmf pq}"
hoelzl@59053
  1036
    then have "\<And>y. A y \<subseteq> set_pmf p" by (auto simp add: p set_map_pmf intro: rev_image_eqI)
hoelzl@59053
  1037
    then have [simp]: "\<And>y. countable (A y)" by (rule countable_subset) simp
hoelzl@59053
  1038
    have A: "\<And>x y. (x, y) \<in> set_pmf pq \<longleftrightarrow> x \<in> A y"
hoelzl@59053
  1039
      by (simp add: A_def)
Andreas@59023
  1040
hoelzl@59053
  1041
    let ?P = "\<lambda>y. to_nat_on (A y)"
hoelzl@59053
  1042
    def pp \<equiv> "map_pmf (\<lambda>(x, y). (y, ?P y x)) pq"
hoelzl@59053
  1043
    let ?pp = "\<lambda>y x. pmf pp (y, x)"
Andreas@59325
  1044
    { fix x y have "x \<in> A y \<Longrightarrow> ?pp y (?P y x) = pmf pq (x, y)"
hoelzl@59053
  1045
        unfolding pp_def
hoelzl@59053
  1046
        by (intro pmf_map_inj[of "\<lambda>(x, y). (y, ?P y x)" pq "(x, y)", simplified])
hoelzl@59053
  1047
           (auto simp: inj_on_def A) }
hoelzl@59053
  1048
    note pmf_pp = this
Andreas@59325
  1049
    have pp_0: "\<And>y x. pmf q y = 0 \<Longrightarrow> ?pp y x = 0"
Andreas@59325
  1050
    proof(erule contrapos_pp)
Andreas@59325
  1051
      fix y x
Andreas@59325
  1052
      assume "?pp y x \<noteq> 0"
Andreas@59325
  1053
      hence "(y, x) \<in> set_pmf pp" by(simp add: set_pmf_iff)
Andreas@59325
  1054
      hence "y \<in> set_pmf q" by(auto simp add: pp_def q set_map_pmf intro: rev_image_eqI)
Andreas@59325
  1055
      thus "pmf q y \<noteq> 0" by(simp add: set_pmf_iff)
Andreas@59325
  1056
    qed
Andreas@59023
  1057
hoelzl@59053
  1058
    def B \<equiv> "\<lambda>y. {z. (y, z) \<in> set_pmf qr}"
hoelzl@59053
  1059
    then have "\<And>y. B y \<subseteq> set_pmf r" by (auto simp add: r set_map_pmf intro: rev_image_eqI)
hoelzl@59053
  1060
    then have [simp]: "\<And>y. countable (B y)" by (rule countable_subset) simp
hoelzl@59053
  1061
    have B: "\<And>y z. (y, z) \<in> set_pmf qr \<longleftrightarrow> z \<in> B y"
hoelzl@59053
  1062
      by (simp add: B_def)
Andreas@59023
  1063
hoelzl@59053
  1064
    let ?R = "\<lambda>y. to_nat_on (B y)"
hoelzl@59053
  1065
    def rr \<equiv> "map_pmf (\<lambda>(y, z). (y, ?R y z)) qr"
hoelzl@59053
  1066
    let ?rr = "\<lambda>y z. pmf rr (y, z)"
Andreas@59325
  1067
    { fix y z have "z \<in> B y \<Longrightarrow> ?rr y (?R y z) = pmf qr (y, z)"
hoelzl@59053
  1068
        unfolding rr_def
hoelzl@59053
  1069
        by (intro pmf_map_inj[of "\<lambda>(y, z). (y, ?R y z)" qr "(y, z)", simplified])
hoelzl@59053
  1070
           (auto simp: inj_on_def B) }
hoelzl@59053
  1071
    note pmf_rr = this
Andreas@59325
  1072
    have rr_0: "\<And>y z. pmf q y = 0 \<Longrightarrow> ?rr y z = 0"
Andreas@59325
  1073
    proof(erule contrapos_pp)
Andreas@59325
  1074
      fix y z
Andreas@59325
  1075
      assume "?rr y z \<noteq> 0"
Andreas@59325
  1076
      hence "(y, z) \<in> set_pmf rr" by(simp add: set_pmf_iff)
Andreas@59325
  1077
      hence "y \<in> set_pmf q" by(auto simp add: rr_def q' set_map_pmf intro: rev_image_eqI)
Andreas@59325
  1078
      thus "pmf q y \<noteq> 0" by(simp add: set_pmf_iff)
Andreas@59023
  1079
    qed
hoelzl@58587
  1080
Andreas@59325
  1081
    have nn_integral_pp2: "\<And>y. (\<integral>\<^sup>+ x. ?pp y x \<partial>count_space UNIV) = pmf q y"
Andreas@59325
  1082
      by (simp add: nn_integral_pmf' inj_on_def pp_def q)
Andreas@59325
  1083
         (auto simp add: ereal_pmf_map intro!: arg_cong2[where f=emeasure])
Andreas@59325
  1084
    have nn_integral_rr1: "\<And>y. (\<integral>\<^sup>+ x. ?rr y x \<partial>count_space UNIV) = pmf q y"
Andreas@59325
  1085
      by (simp add: nn_integral_pmf' inj_on_def rr_def q')
Andreas@59325
  1086
         (auto simp add: ereal_pmf_map intro!: arg_cong2[where f=emeasure])
Andreas@59325
  1087
    have eq: "\<And>y. (\<integral>\<^sup>+ x. ?pp y x \<partial>count_space UNIV) = (\<integral>\<^sup>+ z. ?rr y z \<partial>count_space UNIV)"
Andreas@59325
  1088
      by(simp add: nn_integral_pp2 nn_integral_rr1)
Andreas@59023
  1089
Andreas@59325
  1090
    def assign \<equiv> "\<lambda>y x z. ?pp y x * ?rr y z / pmf q y"
Andreas@59325
  1091
    have assign_nonneg [simp]: "\<And>y x z. 0 \<le> assign y x z" by(simp add: assign_def)
hoelzl@59053
  1092
    have assign_eq_0_outside: "\<And>y x z. \<lbrakk> ?pp y x = 0 \<or> ?rr y z = 0 \<rbrakk> \<Longrightarrow> assign y x z = 0"
Andreas@59325
  1093
      by(auto simp add: assign_def)
hoelzl@59053
  1094
    have nn_integral_assign1: "\<And>y z. (\<integral>\<^sup>+ x. assign y x z \<partial>count_space UNIV) = ?rr y z"
Andreas@59023
  1095
    proof -
Andreas@59023
  1096
      fix y z
Andreas@59325
  1097
      have "(\<integral>\<^sup>+ x. assign y x z \<partial>count_space UNIV) = 
Andreas@59325
  1098
            (\<integral>\<^sup>+ x. ?pp y x \<partial>count_space UNIV) * (?rr y z / pmf q y)"
Andreas@59325
  1099
        by(simp add: assign_def nn_integral_multc times_ereal.simps(1)[symmetric] divide_real_def mult.assoc del: times_ereal.simps(1))
Andreas@59325
  1100
      also have "\<dots> = ?rr y z" by(simp add: rr_0 nn_integral_pp2)
Andreas@59023
  1101
      finally show "?thesis y z" .
Andreas@59023
  1102
    qed
Andreas@59325
  1103
    have nn_integral_assign2: "\<And>y x. (\<integral>\<^sup>+ z. assign y x z \<partial>count_space UNIV) = ?pp y x"
Andreas@59325
  1104
    proof -
Andreas@59325
  1105
      fix x y
Andreas@59325
  1106
      have "(\<integral>\<^sup>+ z. assign y x z \<partial>count_space UNIV) = (\<integral>\<^sup>+ z. ?rr y z \<partial>count_space UNIV) * (?pp y x / pmf q y)"
Andreas@59325
  1107
        by(simp add: assign_def divide_real_def mult.commute[where a="?pp y x"] mult.assoc nn_integral_multc times_ereal.simps(1)[symmetric] del: times_ereal.simps(1))
Andreas@59325
  1108
      also have "\<dots> = ?pp y x" by(simp add: nn_integral_rr1 pp_0)
Andreas@59325
  1109
      finally show "?thesis y x" .
Andreas@59325
  1110
    qed
Andreas@59023
  1111
hoelzl@59053
  1112
    def a \<equiv> "embed_pmf (\<lambda>(y, x, z). assign y x z)"
Andreas@59023
  1113
    { fix y x z
hoelzl@59053
  1114
      have "assign y x z = pmf a (y, x, z)"
hoelzl@59053
  1115
        unfolding a_def
hoelzl@59053
  1116
      proof (subst pmf_embed_pmf)
hoelzl@59053
  1117
        have "(\<integral>\<^sup>+ x. ereal ((\<lambda>(y, x, z). assign y x z) x) \<partial>count_space UNIV) =
hoelzl@59053
  1118
          (\<integral>\<^sup>+ x. ereal ((\<lambda>(y, x, z). assign y x z) x) \<partial>(count_space ((\<lambda>((y, x), z). (y, x, z)) ` (pp \<times> UNIV))))"
hoelzl@59053
  1119
          by (force simp add: nn_integral_count_space_indicator pmf_eq_0_set_pmf split: split_indicator
hoelzl@59053
  1120
                    intro!: nn_integral_cong assign_eq_0_outside)
hoelzl@59053
  1121
        also have "\<dots> = (\<integral>\<^sup>+ x. ereal ((\<lambda>((y, x), z). assign y x z) x) \<partial>(count_space (pp \<times> UNIV)))"
hoelzl@59053
  1122
          by (subst nn_integral_bij_count_space[OF inj_on_imp_bij_betw, symmetric])
hoelzl@59053
  1123
             (auto simp: inj_on_def intro!: nn_integral_cong)
hoelzl@59053
  1124
        also have "\<dots> = (\<integral>\<^sup>+ y. \<integral>\<^sup>+z. ereal ((\<lambda>((y, x), z). assign y x z) (y, z)) \<partial>count_space UNIV \<partial>count_space pp)"
hoelzl@59053
  1125
          by (subst sigma_finite_measure.nn_integral_fst)
hoelzl@59053
  1126
             (auto simp: pair_measure_countable sigma_finite_measure_count_space_countable)
hoelzl@59053
  1127
        also have "\<dots> = (\<integral>\<^sup>+ z. ?pp (fst z) (snd z) \<partial>count_space pp)"
hoelzl@59053
  1128
          by (subst nn_integral_assign2[symmetric]) (auto intro!: nn_integral_cong)
hoelzl@59053
  1129
        finally show "(\<integral>\<^sup>+ x. ereal ((\<lambda>(y, x, z). assign y x z) x) \<partial>count_space UNIV) = 1"
hoelzl@59053
  1130
          by (simp add: nn_integral_pmf emeasure_pmf)
hoelzl@59053
  1131
      qed auto }
hoelzl@59053
  1132
    note a = this
Andreas@59023
  1133
hoelzl@59053
  1134
    def pr \<equiv> "map_pmf (\<lambda>(y, x, z). (from_nat_into (A y) x, from_nat_into (B y) z)) a"
Andreas@59023
  1135
hoelzl@59053
  1136
    have "rel_pmf (R OO S) p r"
Andreas@59023
  1137
    proof
hoelzl@59053
  1138
      have pp_eq: "pp = map_pmf (\<lambda>(y, x, z). (y, x)) a"
hoelzl@59053
  1139
      proof (rule pmf_eqI)
hoelzl@59053
  1140
        fix i
hoelzl@59053
  1141
        show "pmf pp i = pmf (map_pmf (\<lambda>(y, x, z). (y, x)) a) i"
hoelzl@59053
  1142
          using nn_integral_assign2[of "fst i" "snd i", symmetric]
hoelzl@59053
  1143
          by (auto simp add: a nn_integral_pmf' inj_on_def ereal.inject[symmetric] ereal_pmf_map 
hoelzl@59053
  1144
                   simp del: ereal.inject intro!: arg_cong2[where f=emeasure])
hoelzl@59053
  1145
      qed
hoelzl@59053
  1146
      moreover have pq_eq: "pq = map_pmf (\<lambda>(y, x). (from_nat_into (A y) x, y)) pp"
hoelzl@59053
  1147
        by (simp add: pp_def map_pmf_comp split_beta A[symmetric] cong: map_pmf_cong)
hoelzl@59053
  1148
      ultimately show "map_pmf fst pr = p"
hoelzl@59053
  1149
        unfolding p pr_def by (simp add: map_pmf_comp split_beta)
hoelzl@59053
  1150
hoelzl@59053
  1151
      have rr_eq: "rr = map_pmf (\<lambda>(y, x, z). (y, z)) a"
hoelzl@59053
  1152
      proof (rule pmf_eqI)
hoelzl@59053
  1153
        fix i show "pmf rr i = pmf (map_pmf (\<lambda>(y, x, z). (y, z)) a) i"
hoelzl@59053
  1154
          using nn_integral_assign1[of "fst i" "snd i", symmetric]
hoelzl@59053
  1155
          by (auto simp add: a nn_integral_pmf' inj_on_def ereal.inject[symmetric] ereal_pmf_map 
hoelzl@59053
  1156
                   simp del: ereal.inject intro!: arg_cong2[where f=emeasure])
hoelzl@59053
  1157
      qed
hoelzl@59053
  1158
      moreover have qr_eq: "qr = map_pmf (\<lambda>(y, z). (y, from_nat_into (B y) z)) rr"
hoelzl@59053
  1159
        by (simp add: rr_def map_pmf_comp split_beta B[symmetric] cong: map_pmf_cong)
hoelzl@59053
  1160
      ultimately show "map_pmf snd pr = r"
hoelzl@59053
  1161
        unfolding r pr_def by (simp add: map_pmf_comp split_beta)
hoelzl@59053
  1162
hoelzl@59053
  1163
      fix x z assume "(x, z) \<in> set_pmf pr"
hoelzl@59053
  1164
      then have "\<exists>y. (x, y) \<in> set_pmf pq \<and> (y, z) \<in> set_pmf qr"
hoelzl@59053
  1165
        by (force simp add: pp_eq pq_eq rr_eq qr_eq set_map_pmf pr_def image_image)
hoelzl@59053
  1166
      with pq qr show "(R OO S) x z"
hoelzl@59053
  1167
        by blast
hoelzl@59053
  1168
    qed }
Andreas@59023
  1169
  then show "rel_pmf R OO rel_pmf S \<le> rel_pmf (R OO S)"
Andreas@59023
  1170
    by(auto simp add: le_fun_def)
Andreas@59023
  1171
qed (fact natLeq_card_order natLeq_cinfinite)+
hoelzl@58587
  1172
hoelzl@59134
  1173
lemma rel_pmf_return_pmf1: "rel_pmf R (return_pmf x) M \<longleftrightarrow> (\<forall>a\<in>M. R x a)"
hoelzl@59134
  1174
proof safe
hoelzl@59134
  1175
  fix a assume "a \<in> M" "rel_pmf R (return_pmf x) M"
hoelzl@59134
  1176
  then obtain pq where *: "\<And>a b. (a, b) \<in> set_pmf pq \<Longrightarrow> R a b"
hoelzl@59134
  1177
    and eq: "return_pmf x = map_pmf fst pq" "M = map_pmf snd pq"
hoelzl@59134
  1178
    by (force elim: rel_pmf.cases)
hoelzl@59134
  1179
  moreover have "set_pmf (return_pmf x) = {x}"
hoelzl@59134
  1180
    by (simp add: set_return_pmf)
hoelzl@59134
  1181
  with `a \<in> M` have "(x, a) \<in> pq"
hoelzl@59134
  1182
    by (force simp: eq set_map_pmf)
hoelzl@59134
  1183
  with * show "R x a"
hoelzl@59134
  1184
    by auto
hoelzl@59134
  1185
qed (auto intro!: rel_pmf.intros[where pq="pair_pmf (return_pmf x) M"]
hoelzl@59134
  1186
          simp: map_fst_pair_pmf map_snd_pair_pmf set_pair_pmf set_return_pmf)
hoelzl@59134
  1187
hoelzl@59134
  1188
lemma rel_pmf_return_pmf2: "rel_pmf R M (return_pmf x) \<longleftrightarrow> (\<forall>a\<in>M. R a x)"
hoelzl@59134
  1189
  by (subst pmf.rel_flip[symmetric]) (simp add: rel_pmf_return_pmf1)
hoelzl@59134
  1190
hoelzl@59134
  1191
lemma rel_pmf_rel_prod:
hoelzl@59134
  1192
  "rel_pmf (rel_prod R S) (pair_pmf A A') (pair_pmf B B') \<longleftrightarrow> rel_pmf R A B \<and> rel_pmf S A' B'"
hoelzl@59134
  1193
proof safe
hoelzl@59134
  1194
  assume "rel_pmf (rel_prod R S) (pair_pmf A A') (pair_pmf B B')"
hoelzl@59134
  1195
  then obtain pq where pq: "\<And>a b c d. ((a, c), (b, d)) \<in> set_pmf pq \<Longrightarrow> R a b \<and> S c d"
hoelzl@59134
  1196
    and eq: "map_pmf fst pq = pair_pmf A A'" "map_pmf snd pq = pair_pmf B B'"
hoelzl@59134
  1197
    by (force elim: rel_pmf.cases)
hoelzl@59134
  1198
  show "rel_pmf R A B"
hoelzl@59134
  1199
  proof (rule rel_pmf.intros)
hoelzl@59134
  1200
    let ?f = "\<lambda>(a, b). (fst a, fst b)"
hoelzl@59134
  1201
    have [simp]: "(\<lambda>x. fst (?f x)) = fst o fst" "(\<lambda>x. snd (?f x)) = fst o snd"
hoelzl@59134
  1202
      by auto
hoelzl@59134
  1203
hoelzl@59134
  1204
    show "map_pmf fst (map_pmf ?f pq) = A"
hoelzl@59134
  1205
      by (simp add: map_pmf_comp pmf.map_comp[symmetric] eq map_fst_pair_pmf)
hoelzl@59134
  1206
    show "map_pmf snd (map_pmf ?f pq) = B"
hoelzl@59134
  1207
      by (simp add: map_pmf_comp pmf.map_comp[symmetric] eq map_fst_pair_pmf)
hoelzl@59134
  1208
hoelzl@59134
  1209
    fix a b assume "(a, b) \<in> set_pmf (map_pmf ?f pq)"
hoelzl@59134
  1210
    then obtain c d where "((a, c), (b, d)) \<in> set_pmf pq"
hoelzl@59134
  1211
      by (auto simp: set_map_pmf)
hoelzl@59134
  1212
    from pq[OF this] show "R a b" ..
hoelzl@59134
  1213
  qed
hoelzl@59134
  1214
  show "rel_pmf S A' B'"
hoelzl@59134
  1215
  proof (rule rel_pmf.intros)
hoelzl@59134
  1216
    let ?f = "\<lambda>(a, b). (snd a, snd b)"
hoelzl@59134
  1217
    have [simp]: "(\<lambda>x. fst (?f x)) = snd o fst" "(\<lambda>x. snd (?f x)) = snd o snd"
hoelzl@59134
  1218
      by auto
hoelzl@59134
  1219
hoelzl@59134
  1220
    show "map_pmf fst (map_pmf ?f pq) = A'"
hoelzl@59134
  1221
      by (simp add: map_pmf_comp pmf.map_comp[symmetric] eq map_snd_pair_pmf)
hoelzl@59134
  1222
    show "map_pmf snd (map_pmf ?f pq) = B'"
hoelzl@59134
  1223
      by (simp add: map_pmf_comp pmf.map_comp[symmetric] eq map_snd_pair_pmf)
hoelzl@59134
  1224
hoelzl@59134
  1225
    fix c d assume "(c, d) \<in> set_pmf (map_pmf ?f pq)"
hoelzl@59134
  1226
    then obtain a b where "((a, c), (b, d)) \<in> set_pmf pq"
hoelzl@59134
  1227
      by (auto simp: set_map_pmf)
hoelzl@59134
  1228
    from pq[OF this] show "S c d" ..
hoelzl@59134
  1229
  qed
hoelzl@59134
  1230
next
hoelzl@59134
  1231
  assume "rel_pmf R A B" "rel_pmf S A' B'"
hoelzl@59134
  1232
  then obtain Rpq Spq
hoelzl@59134
  1233
    where Rpq: "\<And>a b. (a, b) \<in> set_pmf Rpq \<Longrightarrow> R a b"
hoelzl@59134
  1234
        "map_pmf fst Rpq = A" "map_pmf snd Rpq = B"
hoelzl@59134
  1235
      and Spq: "\<And>a b. (a, b) \<in> set_pmf Spq \<Longrightarrow> S a b"
hoelzl@59134
  1236
        "map_pmf fst Spq = A'" "map_pmf snd Spq = B'"
hoelzl@59134
  1237
    by (force elim: rel_pmf.cases)
hoelzl@59134
  1238
hoelzl@59134
  1239
  let ?f = "(\<lambda>((a, c), (b, d)). ((a, b), (c, d)))"
hoelzl@59134
  1240
  let ?pq = "map_pmf ?f (pair_pmf Rpq Spq)"
hoelzl@59134
  1241
  have [simp]: "(\<lambda>x. fst (?f x)) = (\<lambda>(a, b). (fst a, fst b))" "(\<lambda>x. snd (?f x)) = (\<lambda>(a, b). (snd a, snd b))"
hoelzl@59134
  1242
    by auto
hoelzl@59134
  1243
hoelzl@59134
  1244
  show "rel_pmf (rel_prod R S) (pair_pmf A A') (pair_pmf B B')"
hoelzl@59134
  1245
    by (rule rel_pmf.intros[where pq="?pq"])
hoelzl@59134
  1246
       (auto simp: map_snd_pair_pmf map_fst_pair_pmf set_pair_pmf set_map_pmf map_pmf_comp Rpq Spq
hoelzl@59134
  1247
                   map_pair)
hoelzl@59134
  1248
qed
hoelzl@59134
  1249
hoelzl@58587
  1250
end
hoelzl@58587
  1251