(*  Title:      HOL/Library/Convex.thy

     Author:     Armin Heller, TU Muenchen

     Author:     Johannes Hoelzl, TU Muenchen

 *)

 header {* Convexity in real vector spaces *}

 theory Convex

 imports Product_Vector

 begin

 subsection {* Convexity. *}

 definition

   convex :: "'a::real_vector set \<Rightarrow> bool" where

   "convex s \<longleftrightarrow> (\<forall>x\<in>s. \<forall>y\<in>s. \<forall>u\<ge>0. \<forall>v\<ge>0. u + v = 1 \<longrightarrow> u *\<^sub>R x + v *\<^sub>R y \<in> s)"

 lemma convex_alt:

   "convex s \<longleftrightarrow> (\<forall>x\<in>s. \<forall>y\<in>s. \<forall>u. 0 \<le> u \<and> u \<le> 1 \<longrightarrow> ((1 - u) *\<^sub>R x + u *\<^sub>R y) \<in> s)"

   (is "_ \<longleftrightarrow> ?alt")

 proof

   assume alt[rule_format]: ?alt

   { fix x y and u v :: real assume mem: "x \<in> s" "y \<in> s"

     assume "0 \<le> u" "0 \<le> v" "u + v = 1"

     moreover hence "u = 1 - v" by auto

     ultimately have "u *\<^sub>R x + v *\<^sub>R y \<in> s" using alt[OF mem] by auto }

   thus "convex s" unfolding convex_def by auto

 qed (auto simp: convex_def)

 lemma mem_convex:

   assumes "convex s" "a \<in> s" "b \<in> s" "0 \<le> u" "u \<le> 1"

   shows "((1 - u) *\<^sub>R a + u *\<^sub>R b) \<in> s"

   using assms unfolding convex_alt by auto

 lemma convex_empty[intro]: "convex {}"

   unfolding convex_def by simp

 lemma convex_singleton[intro]: "convex {a}"

   unfolding convex_def by (auto simp: scaleR_left_distrib[symmetric])

 lemma convex_UNIV[intro]: "convex UNIV"

   unfolding convex_def by auto

 lemma convex_Inter: "(\<forall>s\<in>f. convex s) ==> convex(\<Inter> f)"

   unfolding convex_def by auto

 lemma convex_Int: "convex s \<Longrightarrow> convex t \<Longrightarrow> convex (s \<inter> t)"

   unfolding convex_def by auto

 lemma convex_halfspace_le: "convex {x. inner a x \<le> b}"

   unfolding convex_def

   by (auto simp: inner_add intro!: convex_bound_le)

 lemma convex_halfspace_ge: "convex {x. inner a x \<ge> b}"

 proof -

   have *:"{x. inner a x \<ge> b} = {x. inner (-a) x \<le> -b}" by auto

   show ?thesis unfolding * using convex_halfspace_le[of "-a" "-b"] by auto

 qed

 lemma convex_hyperplane: "convex {x. inner a x = b}"

 proof-

   have *:"{x. inner a x = b} = {x. inner a x \<le> b} \<inter> {x. inner a x \<ge> b}" by auto

   show ?thesis using convex_halfspace_le convex_halfspace_ge

     by (auto intro!: convex_Int simp: *)

 qed

 lemma convex_halfspace_lt: "convex {x. inner a x < b}"

   unfolding convex_def

   by (auto simp: convex_bound_lt inner_add)

 lemma convex_halfspace_gt: "convex {x. inner a x > b}"

    using convex_halfspace_lt[of "-a" "-b"] by auto

 lemma convex_real_interval:

   fixes a b :: "real"

   shows "convex {a..}" and "convex {..b}"

   and "convex {a<..}" and "convex {..<b}"

   and "convex {a..b}" and "convex {a<..b}"

   and "convex {a..<b}" and "convex {a<..<b}"

 proof -

   have "{a..} = {x. a \<le> inner 1 x}" by auto

   thus 1: "convex {a..}" by (simp only: convex_halfspace_ge)

   have "{..b} = {x. inner 1 x \<le> b}" by auto

   thus 2: "convex {..b}" by (simp only: convex_halfspace_le)

   have "{a<..} = {x. a < inner 1 x}" by auto

   thus 3: "convex {a<..}" by (simp only: convex_halfspace_gt)

   have "{..<b} = {x. inner 1 x < b}" by auto

   thus 4: "convex {..<b}" by (simp only: convex_halfspace_lt)

   have "{a..b} = {a..} \<inter> {..b}" by auto

   thus "convex {a..b}" by (simp only: convex_Int 1 2)

   have "{a<..b} = {a<..} \<inter> {..b}" by auto

   thus "convex {a<..b}" by (simp only: convex_Int 3 2)

   have "{a..<b} = {a..} \<inter> {..<b}" by auto

   thus "convex {a..<b}" by (simp only: convex_Int 1 4)

   have "{a<..<b} = {a<..} \<inter> {..<b}" by auto

   thus "convex {a<..<b}" by (simp only: convex_Int 3 4)

 qed

 subsection {* Explicit expressions for convexity in terms of arbitrary sums. *}

 lemma convex_setsum:

   fixes C :: "'a::real_vector set"

   assumes "finite s" and "convex C" and "(\<Sum> i \<in> s. a i) = 1"

   assumes "\<And> i. i \<in> s \<Longrightarrow> a i \<ge> 0" and "\<And> i. i \<in> s \<Longrightarrow> y i \<in> C"

   shows "(\<Sum> j \<in> s. a j *\<^sub>R y j) \<in> C"

 using assms

 proof (induct s arbitrary:a rule:finite_induct)

   case empty thus ?case by auto

 next

   case (insert i s) note asms = this

   { assume "a i = 1"

     hence "(\<Sum> j \<in> s. a j) = 0"

       using asms by auto

     hence "\<And> j. j \<in> s \<Longrightarrow> a j = 0"

       using setsum_nonneg_0[where 'b=real] asms by fastforce

     hence ?case using asms by auto }

   moreover

   { assume asm: "a i \<noteq> 1"

     from asms have yai: "y i \<in> C" "a i \<ge> 0" by auto

     have fis: "finite (insert i s)" using asms by auto

     hence ai1: "a i \<le> 1" using setsum_nonneg_leq_bound[of "insert i s" a 1] asms by simp

     hence "a i < 1" using asm by auto

     hence i0: "1 - a i > 0" by auto

     let "?a j" = "a j / (1 - a i)"

     { fix j assume "j \<in> s"

       hence "?a j \<ge> 0"

         using i0 asms divide_nonneg_pos

         by fastforce } note a_nonneg = this

     have "(\<Sum> j \<in> insert i s. a j) = 1" using asms by auto

     hence "(\<Sum> j \<in> s. a j) = 1 - a i" using setsum.insert asms by fastforce

     hence "(\<Sum> j \<in> s. a j) / (1 - a i) = 1" using i0 by auto

     hence a1: "(\<Sum> j \<in> s. ?a j) = 1" unfolding setsum_divide_distrib by simp

     from this asms

     have "(\<Sum>j\<in>s. ?a j *\<^sub>R y j) \<in> C" using a_nonneg by fastforce

     hence "a i *\<^sub>R y i + (1 - a i) *\<^sub>R (\<Sum> j \<in> s. ?a j *\<^sub>R y j) \<in> C"

       using asms[unfolded convex_def, rule_format] yai ai1 by auto

     hence "a i *\<^sub>R y i + (\<Sum> j \<in> s. (1 - a i) *\<^sub>R (?a j *\<^sub>R y j)) \<in> C"

       using scaleR_right.setsum[of "(1 - a i)" "\<lambda> j. ?a j *\<^sub>R y j" s] by auto

     hence "a i *\<^sub>R y i + (\<Sum> j \<in> s. a j *\<^sub>R y j) \<in> C" using i0 by auto

     hence ?case using setsum.insert asms by auto }

   ultimately show ?case by auto

 qed

 lemma convex:

   shows "convex s \<longleftrightarrow> (\<forall>(k::nat) u x. (\<forall>i. 1\<le>i \<and> i\<le>k \<longrightarrow> 0 \<le> u i \<and> x i \<in>s) \<and> (setsum u {1..k} = 1)

            \<longrightarrow> setsum (\<lambda>i. u i *\<^sub>R x i) {1..k} \<in> s)"

 proof safe

   fix k :: nat fix u :: "nat \<Rightarrow> real" fix x

   assume "convex s"

     "\<forall>i. 1 \<le> i \<and> i \<le> k \<longrightarrow> 0 \<le> u i \<and> x i \<in> s"

     "setsum u {1..k} = 1"

   from this convex_setsum[of "{1 .. k}" s]

   show "(\<Sum>j\<in>{1 .. k}. u j *\<^sub>R x j) \<in> s" by auto

 next

   assume asm: "\<forall>k u x. (\<forall> i :: nat. 1 \<le> i \<and> i \<le> k \<longrightarrow> 0 \<le> u i \<and> x i \<in> s) \<and> setsum u {1..k} = 1

     \<longrightarrow> (\<Sum>i = 1..k. u i *\<^sub>R (x i :: 'a)) \<in> s"

   { fix \<mu> :: real fix x y :: 'a assume xy: "x \<in> s" "y \<in> s" assume mu: "\<mu> \<ge> 0" "\<mu> \<le> 1"

     let "?u i" = "if (i :: nat) = 1 then \<mu> else 1 - \<mu>"

     let "?x i" = "if (i :: nat) = 1 then x else y"

     have "{1 :: nat .. 2} \<inter> - {x. x = 1} = {2}" by auto

     hence card: "card ({1 :: nat .. 2} \<inter> - {x. x = 1}) = 1" by simp

     hence "setsum ?u {1 .. 2} = 1"

       using setsum_cases[of "{(1 :: nat) .. 2}" "\<lambda> x. x = 1" "\<lambda> x. \<mu>" "\<lambda> x. 1 - \<mu>"]

       by auto

     from this asm[rule_format, of "2" ?u ?x]

     have s: "(\<Sum>j \<in> {1..2}. ?u j *\<^sub>R ?x j) \<in> s"

       using mu xy by auto

     have grarr: "(\<Sum>j \<in> {Suc (Suc 0)..2}. ?u j *\<^sub>R ?x j) = (1 - \<mu>) *\<^sub>R y"

       using setsum_head_Suc[of "Suc (Suc 0)" 2 "\<lambda> j. (1 - \<mu>) *\<^sub>R y"] by auto

     from setsum_head_Suc[of "Suc 0" 2 "\<lambda> j. ?u j *\<^sub>R ?x j", simplified this]

     have "(\<Sum>j \<in> {1..2}. ?u j *\<^sub>R ?x j) = \<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y" by auto

     hence "(1 - \<mu>) *\<^sub>R y + \<mu> *\<^sub>R x \<in> s" using s by (auto simp:add_commute) }

   thus "convex s" unfolding convex_alt by auto

 qed

 lemma convex_explicit:

   fixes s :: "'a::real_vector set"

   shows "convex s \<longleftrightarrow>

   (\<forall>t u. finite t \<and> t \<subseteq> s \<and> (\<forall>x\<in>t. 0 \<le> u x) \<and> setsum u t = 1 \<longrightarrow> setsum (\<lambda>x. u x *\<^sub>R x) t \<in> s)"

 proof safe

   fix t fix u :: "'a \<Rightarrow> real"

   assume "convex s" "finite t"

     "t \<subseteq> s" "\<forall>x\<in>t. 0 \<le> u x" "setsum u t = 1"

   thus "(\<Sum>x\<in>t. u x *\<^sub>R x) \<in> s"

     using convex_setsum[of t s u "\<lambda> x. x"] by auto

 next

   assume asm0: "\<forall>t. \<forall> u. finite t \<and> t \<subseteq> s \<and> (\<forall>x\<in>t. 0 \<le> u x)

     \<and> setsum u t = 1 \<longrightarrow> (\<Sum>x\<in>t. u x *\<^sub>R x) \<in> s"

   show "convex s"

     unfolding convex_alt

   proof safe

     fix x y fix \<mu> :: real

     assume asm: "x \<in> s" "y \<in> s" "0 \<le> \<mu>" "\<mu> \<le> 1"

     { assume "x \<noteq> y"

       hence "(1 - \<mu>) *\<^sub>R x + \<mu> *\<^sub>R y \<in> s"

         using asm0[rule_format, of "{x, y}" "\<lambda> z. if z = x then 1 - \<mu> else \<mu>"]

           asm by auto }

     moreover

     { assume "x = y"

       hence "(1 - \<mu>) *\<^sub>R x + \<mu> *\<^sub>R y \<in> s"

         using asm0[rule_format, of "{x, y}" "\<lambda> z. 1"]

           asm by (auto simp:field_simps real_vector.scale_left_diff_distrib) }

     ultimately show "(1 - \<mu>) *\<^sub>R x + \<mu> *\<^sub>R y \<in> s" by blast

   qed

 qed

 lemma convex_finite: assumes "finite s"

   shows "convex s \<longleftrightarrow> (\<forall>u. (\<forall>x\<in>s. 0 \<le> u x) \<and> setsum u s = 1

                       \<longrightarrow> setsum (\<lambda>x. u x *\<^sub>R x) s \<in> s)"

   unfolding convex_explicit

 proof (safe)

   fix t u assume sum: "\<forall>u. (\<forall>x\<in>s. 0 \<le> u x) \<and> setsum u s = 1 \<longrightarrow> (\<Sum>x\<in>s. u x *\<^sub>R x) \<in> s"

     and as: "finite t" "t \<subseteq> s" "\<forall>x\<in>t. 0 \<le> u x" "setsum u t = (1::real)"

   have *:"s \<inter> t = t" using as(2) by auto

   have if_distrib_arg: "\<And>P f g x. (if P then f else g) x = (if P then f x else g x)" by simp

   show "(\<Sum>x\<in>t. u x *\<^sub>R x) \<in> s"

    using sum[THEN spec[where x="\<lambda>x. if x\<in>t then u x else 0"]] as *

    by (auto simp: assms setsum_cases if_distrib if_distrib_arg)

 qed (erule_tac x=s in allE, erule_tac x=u in allE, auto)

 definition

   convex_on :: "'a::real_vector set \<Rightarrow> ('a \<Rightarrow> real) \<Rightarrow> bool" where

   "convex_on s f \<longleftrightarrow>

   (\<forall>x\<in>s. \<forall>y\<in>s. \<forall>u\<ge>0. \<forall>v\<ge>0. u + v = 1 \<longrightarrow> f (u *\<^sub>R x + v *\<^sub>R y) \<le> u * f x + v * f y)"

 lemma convex_on_subset: "convex_on t f \<Longrightarrow> s \<subseteq> t \<Longrightarrow> convex_on s f"

   unfolding convex_on_def by auto

 lemma convex_add[intro]:

   assumes "convex_on s f" "convex_on s g"

   shows "convex_on s (\<lambda>x. f x + g x)"

 proof-

   { fix x y assume "x\<in>s" "y\<in>s" moreover

     fix u v ::real assume "0 \<le> u" "0 \<le> v" "u + v = 1"

     ultimately have "f (u *\<^sub>R x + v *\<^sub>R y) + g (u *\<^sub>R x + v *\<^sub>R y) \<le> (u * f x + v * f y) + (u * g x + v * g y)"

       using assms unfolding convex_on_def by (auto simp add:add_mono)

     hence "f (u *\<^sub>R x + v *\<^sub>R y) + g (u *\<^sub>R x + v *\<^sub>R y) \<le> u * (f x + g x) + v * (f y + g y)" by (simp add: field_simps)  }

   thus ?thesis unfolding convex_on_def by auto

 qed

 lemma convex_cmul[intro]:

   assumes "0 \<le> (c::real)" "convex_on s f"

   shows "convex_on s (\<lambda>x. c * f x)"

 proof-

   have *:"\<And>u c fx v fy ::real. u * (c * fx) + v * (c * fy) = c * (u * fx + v * fy)" by (simp add: field_simps)

   show ?thesis using assms(2) and mult_left_mono [OF _ assms(1)] unfolding convex_on_def and * by auto

 qed

 lemma convex_lower:

   assumes "convex_on s f"  "x\<in>s"  "y \<in> s"  "0 \<le> u"  "0 \<le> v"  "u + v = 1"

   shows "f (u *\<^sub>R x + v *\<^sub>R y) \<le> max (f x) (f y)"

 proof-

   let ?m = "max (f x) (f y)"

   have "u * f x + v * f y \<le> u * max (f x) (f y) + v * max (f x) (f y)"

     using assms(4,5) by (auto simp add: mult_left_mono add_mono)

   also have "\<dots> = max (f x) (f y)" using assms(6) unfolding distrib[THEN sym] by auto

   finally show ?thesis

     using assms unfolding convex_on_def by fastforce

 qed

 lemma convex_distance[intro]:

   fixes s :: "'a::real_normed_vector set"

   shows "convex_on s (\<lambda>x. dist a x)"

 proof(auto simp add: convex_on_def dist_norm)

   fix x y assume "x\<in>s" "y\<in>s"

   fix u v ::real assume "0 \<le> u" "0 \<le> v" "u + v = 1"

   have "a = u *\<^sub>R a + v *\<^sub>R a" unfolding scaleR_left_distrib[THEN sym] and `u+v=1` by simp

   hence *:"a - (u *\<^sub>R x + v *\<^sub>R y) = (u *\<^sub>R (a - x)) + (v *\<^sub>R (a - y))"

     by (auto simp add: algebra_simps)

   show "norm (a - (u *\<^sub>R x + v *\<^sub>R y)) \<le> u * norm (a - x) + v * norm (a - y)"

     unfolding * using norm_triangle_ineq[of "u *\<^sub>R (a - x)" "v *\<^sub>R (a - y)"]

     using `0 \<le> u` `0 \<le> v` by auto

 qed

 subsection {* Arithmetic operations on sets preserve convexity. *}

 lemma convex_scaling:

   assumes "convex s"

   shows"convex ((\<lambda>x. c *\<^sub>R x) ` s)"

 using assms unfolding convex_def image_iff

 proof safe

   fix x xa y xb :: "'a::real_vector" fix u v :: real

   assume asm: "\<forall>x\<in>s. \<forall>y\<in>s. \<forall>u\<ge>0. \<forall>v\<ge>0. u + v = 1 \<longrightarrow> u *\<^sub>R x + v *\<^sub>R y \<in> s"

     "xa \<in> s" "xb \<in> s" "0 \<le> u" "0 \<le> v" "u + v = 1"

   show "\<exists>x\<in>s. u *\<^sub>R c *\<^sub>R xa + v *\<^sub>R c *\<^sub>R xb = c *\<^sub>R x"

     using bexI[of _ "u *\<^sub>R xa +v *\<^sub>R xb"] asm by (auto simp add: algebra_simps)

 qed

 lemma convex_negations: "convex s \<Longrightarrow> convex ((\<lambda>x. -x)` s)"

 using assms unfolding convex_def image_iff

 proof safe

   fix x xa y xb :: "'a::real_vector" fix u v :: real

   assume asm: "\<forall>x\<in>s. \<forall>y\<in>s. \<forall>u\<ge>0. \<forall>v\<ge>0. u + v = 1 \<longrightarrow> u *\<^sub>R x + v *\<^sub>R y \<in> s"

     "xa \<in> s" "xb \<in> s" "0 \<le> u" "0 \<le> v" "u + v = 1"

   show "\<exists>x\<in>s. u *\<^sub>R - xa + v *\<^sub>R - xb = - x"

     using bexI[of _ "u *\<^sub>R xa +v *\<^sub>R xb"] asm by auto

 qed

 lemma convex_sums:

   assumes "convex s" "convex t"

   shows "convex {x + y| x y. x \<in> s \<and> y \<in> t}"

 using assms unfolding convex_def image_iff

 proof safe

   fix xa xb ya yb assume xy:"xa\<in>s" "xb\<in>s" "ya\<in>t" "yb\<in>t"

   fix u v ::real assume uv:"0 \<le> u" "0 \<le> v" "u + v = 1"

   show "\<exists>x y. u *\<^sub>R (xa + ya) + v *\<^sub>R (xb + yb) = x + y \<and> x \<in> s \<and> y \<in> t"

     using exI[of _ "u *\<^sub>R xa + v *\<^sub>R xb"] exI[of _ "u *\<^sub>R ya + v *\<^sub>R yb"]

       assms[unfolded convex_def] uv xy by (auto simp add:scaleR_right_distrib)

 qed

 lemma convex_differences:

   assumes "convex s" "convex t"

   shows "convex {x - y| x y. x \<in> s \<and> y \<in> t}"

 proof -

   have "{x - y| x y. x \<in> s \<and> y \<in> t} = {x + y |x y. x \<in> s \<and> y \<in> uminus ` t}"

   proof safe

     fix x x' y assume "x' \<in> s" "y \<in> t"

     thus "\<exists>x y'. x' - y = x + y' \<and> x \<in> s \<and> y' \<in> uminus ` t"

       using exI[of _ x'] exI[of _ "-y"] by auto

   next

     fix x x' y y' assume "x' \<in> s" "y' \<in> t"

     thus "\<exists>x y. x' + - y' = x - y \<and> x \<in> s \<and> y \<in> t"

       using exI[of _ x'] exI[of _ y'] by auto

   qed

   thus ?thesis using convex_sums[OF assms(1)  convex_negations[OF assms(2)]] by auto

 qed

 lemma convex_translation: assumes "convex s" shows "convex ((\<lambda>x. a + x) ` s)"

 proof- have "{a + y |y. y \<in> s} = (\<lambda>x. a + x) ` s" by auto

   thus ?thesis using convex_sums[OF convex_singleton[of a] assms] by auto qed

 lemma convex_affinity: assumes "convex s" shows "convex ((\<lambda>x. a + c *\<^sub>R x) ` s)"

 proof- have "(\<lambda>x. a + c *\<^sub>R x) ` s = op + a ` op *\<^sub>R c ` s" by auto

   thus ?thesis using convex_translation[OF convex_scaling[OF assms], of a c] by auto qed

 lemma convex_linear_image:

   assumes c:"convex s" and l:"bounded_linear f"

   shows "convex(f ` s)"

 proof(auto simp add: convex_def)

   interpret f: bounded_linear f by fact

   fix x y assume xy:"x \<in> s" "y \<in> s"

   fix u v ::real assume uv:"0 \<le> u" "0 \<le> v" "u + v = 1"

   show "u *\<^sub>R f x + v *\<^sub>R f y \<in> f ` s" unfolding image_iff

     using bexI[of _ "u *\<^sub>R x + v *\<^sub>R y"] f.add f.scaleR

       c[unfolded convex_def] xy uv by auto

 qed

 lemma pos_is_convex:

   shows "convex {0 :: real <..}"

 unfolding convex_alt

 proof safe

   fix y x \<mu> :: real

   assume asms: "y > 0" "x > 0" "\<mu> \<ge> 0" "\<mu> \<le> 1"

   { assume "\<mu> = 0"

     hence "\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y = y" by simp

     hence "\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y > 0" using asms by simp }

   moreover

   { assume "\<mu> = 1"

     hence "\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y > 0" using asms by simp }

   moreover

   { assume "\<mu> \<noteq> 1" "\<mu> \<noteq> 0"

     hence "\<mu> > 0" "(1 - \<mu>) > 0" using asms by auto

     hence "\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y > 0" using asms

       by (auto simp add: add_pos_pos mult_pos_pos) }

   ultimately show "(1 - \<mu>) *\<^sub>R y + \<mu> *\<^sub>R x > 0" using assms by fastforce

 qed

 lemma convex_on_setsum:

   fixes a :: "'a \<Rightarrow> real"

   fixes y :: "'a \<Rightarrow> 'b::real_vector"

   fixes f :: "'b \<Rightarrow> real"

   assumes "finite s" "s \<noteq> {}"

   assumes "convex_on C f"

   assumes "convex C"

   assumes "(\<Sum> i \<in> s. a i) = 1"

   assumes "\<And> i. i \<in> s \<Longrightarrow> a i \<ge> 0"

   assumes "\<And> i. i \<in> s \<Longrightarrow> y i \<in> C"

   shows "f (\<Sum> i \<in> s. a i *\<^sub>R y i) \<le> (\<Sum> i \<in> s. a i * f (y i))"

 using assms

 proof (induct s arbitrary:a rule:finite_ne_induct)

   case (singleton i)

   hence ai: "a i = 1" by auto

   thus ?case by auto

 next

   case (insert i s) note asms = this

   hence "convex_on C f" by simp

   from this[unfolded convex_on_def, rule_format]

   have conv: "\<And> x y \<mu>. \<lbrakk>x \<in> C; y \<in> C; 0 \<le> \<mu>; \<mu> \<le> 1\<rbrakk>

   \<Longrightarrow> f (\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y) \<le> \<mu> * f x + (1 - \<mu>) * f y"

     by simp

   { assume "a i = 1"

     hence "(\<Sum> j \<in> s. a j) = 0"

       using asms by auto

     hence "\<And> j. j \<in> s \<Longrightarrow> a j = 0"

       using setsum_nonneg_0[where 'b=real] asms by fastforce

     hence ?case using asms by auto }

   moreover

   { assume asm: "a i \<noteq> 1"

     from asms have yai: "y i \<in> C" "a i \<ge> 0" by auto

     have fis: "finite (insert i s)" using asms by auto

     hence ai1: "a i \<le> 1" using setsum_nonneg_leq_bound[of "insert i s" a] asms by simp

     hence "a i < 1" using asm by auto

     hence i0: "1 - a i > 0" by auto

     let "?a j" = "a j / (1 - a i)"

     { fix j assume "j \<in> s"

       hence "?a j \<ge> 0"

         using i0 asms divide_nonneg_pos

         by fastforce } note a_nonneg = this

     have "(\<Sum> j \<in> insert i s. a j) = 1" using asms by auto

     hence "(\<Sum> j \<in> s. a j) = 1 - a i" using setsum.insert asms by fastforce

     hence "(\<Sum> j \<in> s. a j) / (1 - a i) = 1" using i0 by auto

     hence a1: "(\<Sum> j \<in> s. ?a j) = 1" unfolding setsum_divide_distrib by simp

     have "convex C" using asms by auto

     hence asum: "(\<Sum> j \<in> s. ?a j *\<^sub>R y j) \<in> C"

       using asms convex_setsum[OF `finite s`

         `convex C` a1 a_nonneg] by auto

     have asum_le: "f (\<Sum> j \<in> s. ?a j *\<^sub>R y j) \<le> (\<Sum> j \<in> s. ?a j * f (y j))"

       using a_nonneg a1 asms by blast

     have "f (\<Sum> j \<in> insert i s. a j *\<^sub>R y j) = f ((\<Sum> j \<in> s. a j *\<^sub>R y j) + a i *\<^sub>R y i)"

       using setsum.insert[of s i "\<lambda> j. a j *\<^sub>R y j", OF `finite s` `i \<notin> s`] asms

       by (auto simp only:add_commute)

     also have "\<dots> = f (((1 - a i) * inverse (1 - a i)) *\<^sub>R (\<Sum> j \<in> s. a j *\<^sub>R y j) + a i *\<^sub>R y i)"

       using i0 by auto

     also have "\<dots> = f ((1 - a i) *\<^sub>R (\<Sum> j \<in> s. (a j * inverse (1 - a i)) *\<^sub>R y j) + a i *\<^sub>R y i)"

       using scaleR_right.setsum[of "inverse (1 - a i)" "\<lambda> j. a j *\<^sub>R y j" s, symmetric] by (auto simp:algebra_simps)

     also have "\<dots> = f ((1 - a i) *\<^sub>R (\<Sum> j \<in> s. ?a j *\<^sub>R y j) + a i *\<^sub>R y i)"

       by (auto simp: divide_inverse)

     also have "\<dots> \<le> (1 - a i) *\<^sub>R f ((\<Sum> j \<in> s. ?a j *\<^sub>R y j)) + a i * f (y i)"

       using conv[of "y i" "(\<Sum> j \<in> s. ?a j *\<^sub>R y j)" "a i", OF yai(1) asum yai(2) ai1]

       by (auto simp add:add_commute)

     also have "\<dots> \<le> (1 - a i) * (\<Sum> j \<in> s. ?a j * f (y j)) + a i * f (y i)"

       using add_right_mono[OF mult_left_mono[of _ _ "1 - a i",

         OF asum_le less_imp_le[OF i0]], of "a i * f (y i)"] by simp

     also have "\<dots> = (\<Sum> j \<in> s. (1 - a i) * ?a j * f (y j)) + a i * f (y i)"

       unfolding setsum_right_distrib[of "1 - a i" "\<lambda> j. ?a j * f (y j)"] using i0 by auto

     also have "\<dots> = (\<Sum> j \<in> s. a j * f (y j)) + a i * f (y i)" using i0 by auto

     also have "\<dots> = (\<Sum> j \<in> insert i s. a j * f (y j))" using asms by auto

     finally have "f (\<Sum> j \<in> insert i s. a j *\<^sub>R y j) \<le> (\<Sum> j \<in> insert i s. a j * f (y j))"

       by simp }

   ultimately show ?case by auto

 qed

 lemma convex_on_alt:

   fixes C :: "'a::real_vector set"

   assumes "convex C"

   shows "convex_on C f =

   (\<forall> x \<in> C. \<forall> y \<in> C. \<forall> \<mu> :: real. \<mu> \<ge> 0 \<and> \<mu> \<le> 1

       \<longrightarrow> f (\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y) \<le> \<mu> * f x + (1 - \<mu>) * f y)"

 proof safe

   fix x y fix \<mu> :: real

   assume asms: "convex_on C f" "x \<in> C" "y \<in> C" "0 \<le> \<mu>" "\<mu> \<le> 1"

   from this[unfolded convex_on_def, rule_format]

   have "\<And> u v. \<lbrakk>0 \<le> u; 0 \<le> v; u + v = 1\<rbrakk> \<Longrightarrow> f (u *\<^sub>R x + v *\<^sub>R y) \<le> u * f x + v * f y" by auto

   from this[of "\<mu>" "1 - \<mu>", simplified] asms

   show "f (\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y)

           \<le> \<mu> * f x + (1 - \<mu>) * f y" by auto

 next

   assume asm: "\<forall>x\<in>C. \<forall>y\<in>C. \<forall>\<mu>. 0 \<le> \<mu> \<and> \<mu> \<le> 1 \<longrightarrow> f (\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y) \<le> \<mu> * f x + (1 - \<mu>) * f y"

   {fix x y fix u v :: real

     assume lasm: "x \<in> C" "y \<in> C" "u \<ge> 0" "v \<ge> 0" "u + v = 1"

     hence[simp]: "1 - u = v" by auto

     from asm[rule_format, of x y u]

     have "f (u *\<^sub>R x + v *\<^sub>R y) \<le> u * f x + v * f y" using lasm by auto }

   thus "convex_on C f" unfolding convex_on_def by auto

 qed

 lemma convex_on_diff:

   fixes f :: "real \<Rightarrow> real"

   assumes f: "convex_on I f" and I: "x\<in>I" "y\<in>I" and t: "x < t" "t < y"

   shows "(f x - f t) / (x - t) \<le> (f x - f y) / (x - y)" "(f x - f y) / (x - y) \<le> (f t - f y) / (t - y)"

 proof -

   def a \<equiv> "(t - y) / (x - y)"

   with t have "0 \<le> a" "0 \<le> 1 - a" by (auto simp: field_simps)

   with f `x \<in> I` `y \<in> I` have cvx: "f (a * x + (1 - a) * y) \<le> a * f x + (1 - a) * f y"

     by (auto simp: convex_on_def)

   have "a * x + (1 - a) * y = a * (x - y) + y" by (simp add: field_simps)

   also have "\<dots> = t" unfolding a_def using `x < t` `t < y` by simp

   finally have "f t \<le> a * f x + (1 - a) * f y" using cvx by simp

   also have "\<dots> = a * (f x - f y) + f y" by (simp add: field_simps)

   finally have "f t - f y \<le> a * (f x - f y)" by simp

   with t show "(f x - f t) / (x - t) \<le> (f x - f y) / (x - y)"

     by (simp add: le_divide_eq divide_le_eq field_simps a_def)

   with t show "(f x - f y) / (x - y) \<le> (f t - f y) / (t - y)"

     by (simp add: le_divide_eq divide_le_eq field_simps)

 qed

 lemma pos_convex_function:

   fixes f :: "real \<Rightarrow> real"

   assumes "convex C"

   assumes leq: "\<And> x y. \<lbrakk>x \<in> C ; y \<in> C\<rbrakk> \<Longrightarrow> f' x * (y - x) \<le> f y - f x"

   shows "convex_on C f"

 unfolding convex_on_alt[OF assms(1)]

 using assms

 proof safe

   fix x y \<mu> :: real

   let ?x = "\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y"

   assume asm: "convex C" "x \<in> C" "y \<in> C" "\<mu> \<ge> 0" "\<mu> \<le> 1"

   hence "1 - \<mu> \<ge> 0" by auto

   hence xpos: "?x \<in> C" using asm unfolding convex_alt by fastforce

   have geq: "\<mu> * (f x - f ?x) + (1 - \<mu>) * (f y - f ?x)

             \<ge> \<mu> * f' ?x * (x - ?x) + (1 - \<mu>) * f' ?x * (y - ?x)"

     using add_mono[OF mult_left_mono[OF leq[OF xpos asm(2)] `\<mu> \<ge> 0`]

       mult_left_mono[OF leq[OF xpos asm(3)] `1 - \<mu> \<ge> 0`]] by auto

   hence "\<mu> * f x + (1 - \<mu>) * f y - f ?x \<ge> 0"

     by (auto simp add:field_simps)

   thus "f (\<mu> *\<^sub>R x + (1 - \<mu>) *\<^sub>R y) \<le> \<mu> * f x + (1 - \<mu>) * f y"

     using convex_on_alt by auto

 qed

 lemma atMostAtLeast_subset_convex:

   fixes C :: "real set"

   assumes "convex C"

   assumes "x \<in> C" "y \<in> C" "x < y"

   shows "{x .. y} \<subseteq> C"

 proof safe

   fix z assume zasm: "z \<in> {x .. y}"

   { assume asm: "x < z" "z < y"

     let "?\<mu>" = "(y - z) / (y - x)"

     have "0 \<le> ?\<mu>" "?\<mu> \<le> 1" using assms asm by (auto simp add:field_simps)

     hence comb: "?\<mu> * x + (1 - ?\<mu>) * y \<in> C"

       using assms iffD1[OF convex_alt, rule_format, of C y x ?\<mu>] by (simp add:algebra_simps)

     have "?\<mu> * x + (1 - ?\<mu>) * y = (y - z) * x / (y - x) + (1 - (y - z) / (y - x)) * y"

       by (auto simp add:field_simps)

     also have "\<dots> = ((y - z) * x + (y - x - (y - z)) * y) / (y - x)"

       using assms unfolding add_divide_distrib by (auto simp:field_simps)

     also have "\<dots> = z"

       using assms by (auto simp:field_simps)

     finally have "z \<in> C"

       using comb by auto } note less = this

   show "z \<in> C" using zasm less assms

     unfolding atLeastAtMost_iff le_less by auto

 qed

 lemma f''_imp_f':

   fixes f :: "real \<Rightarrow> real"

   assumes "convex C"

   assumes f': "\<And> x. x \<in> C \<Longrightarrow> DERIV f x :> (f' x)"

   assumes f'': "\<And> x. x \<in> C \<Longrightarrow> DERIV f' x :> (f'' x)"

   assumes pos: "\<And> x. x \<in> C \<Longrightarrow> f'' x \<ge> 0"

   assumes "x \<in> C" "y \<in> C"

   shows "f' x * (y - x) \<le> f y - f x"

 using assms

 proof -

   { fix x y :: real assume asm: "x \<in> C" "y \<in> C" "y > x"

     hence ge: "y - x > 0" "y - x \<ge> 0" by auto

     from asm have le: "x - y < 0" "x - y \<le> 0" by auto

     then obtain z1 where z1: "z1 > x" "z1 < y" "f y - f x = (y - x) * f' z1"

       using subsetD[OF atMostAtLeast_subset_convex[OF `convex C` `x \<in> C` `y \<in> C` `x < y`],

         THEN f', THEN MVT2[OF `x < y`, rule_format, unfolded atLeastAtMost_iff[symmetric]]]

       by auto

     hence "z1 \<in> C" using atMostAtLeast_subset_convex

       `convex C` `x \<in> C` `y \<in> C` `x < y` by fastforce

     from z1 have z1': "f x - f y = (x - y) * f' z1"

       by (simp add:field_simps)

     obtain z2 where z2: "z2 > x" "z2 < z1" "f' z1 - f' x = (z1 - x) * f'' z2"

       using subsetD[OF atMostAtLeast_subset_convex[OF `convex C` `x \<in> C` `z1 \<in> C` `x < z1`],

         THEN f'', THEN MVT2[OF `x < z1`, rule_format, unfolded atLeastAtMost_iff[symmetric]]] z1

       by auto

     obtain z3 where z3: "z3 > z1" "z3 < y" "f' y - f' z1 = (y - z1) * f'' z3"

       using subsetD[OF atMostAtLeast_subset_convex[OF `convex C` `z1 \<in> C` `y \<in> C` `z1 < y`],

         THEN f'', THEN MVT2[OF `z1 < y`, rule_format, unfolded atLeastAtMost_iff[symmetric]]] z1

       by auto

     have "f' y - (f x - f y) / (x - y) = f' y - f' z1"

       using asm z1' by auto

     also have "\<dots> = (y - z1) * f'' z3" using z3 by auto

     finally have cool': "f' y - (f x - f y) / (x - y) = (y - z1) * f'' z3" by simp

     have A': "y - z1 \<ge> 0" using z1 by auto

     have "z3 \<in> C" using z3 asm atMostAtLeast_subset_convex

       `convex C` `x \<in> C` `z1 \<in> C` `x < z1` by fastforce

     hence B': "f'' z3 \<ge> 0" using assms by auto

     from A' B' have "(y - z1) * f'' z3 \<ge> 0" using mult_nonneg_nonneg by auto

     from cool' this have "f' y - (f x - f y) / (x - y) \<ge> 0" by auto

     from mult_right_mono_neg[OF this le(2)]

     have "f' y * (x - y) - (f x - f y) / (x - y) * (x - y) \<le> 0 * (x - y)"

       by (simp add: algebra_simps)

     hence "f' y * (x - y) - (f x - f y) \<le> 0" using le by auto

     hence res: "f' y * (x - y) \<le> f x - f y" by auto

     have "(f y - f x) / (y - x) - f' x = f' z1 - f' x"

       using asm z1 by auto

     also have "\<dots> = (z1 - x) * f'' z2" using z2 by auto

     finally have cool: "(f y - f x) / (y - x) - f' x = (z1 - x) * f'' z2" by simp

     have A: "z1 - x \<ge> 0" using z1 by auto

     have "z2 \<in> C" using z2 z1 asm atMostAtLeast_subset_convex

       `convex C` `z1 \<in> C` `y \<in> C` `z1 < y` by fastforce

     hence B: "f'' z2 \<ge> 0" using assms by auto

     from A B have "(z1 - x) * f'' z2 \<ge> 0" using mult_nonneg_nonneg by auto

     from cool this have "(f y - f x) / (y - x) - f' x \<ge> 0" by auto

     from mult_right_mono[OF this ge(2)]

     have "(f y - f x) / (y - x) * (y - x) - f' x * (y - x) \<ge> 0 * (y - x)"

       by (simp add: algebra_simps)

     hence "f y - f x - f' x * (y - x) \<ge> 0" using ge by auto

     hence "f y - f x \<ge> f' x * (y - x)" "f' y * (x - y) \<le> f x - f y"

       using res by auto } note less_imp = this

   { fix x y :: real assume "x \<in> C" "y \<in> C" "x \<noteq> y"

     hence"f y - f x \<ge> f' x * (y - x)"

     unfolding neq_iff using less_imp by auto } note neq_imp = this

   moreover

   { fix x y :: real assume asm: "x \<in> C" "y \<in> C" "x = y"

     hence "f y - f x \<ge> f' x * (y - x)" by auto }

   ultimately show ?thesis using assms by blast

 qed

 lemma f''_ge0_imp_convex:

   fixes f :: "real \<Rightarrow> real"

   assumes conv: "convex C"

   assumes f': "\<And> x. x \<in> C \<Longrightarrow> DERIV f x :> (f' x)"

   assumes f'': "\<And> x. x \<in> C \<Longrightarrow> DERIV f' x :> (f'' x)"

   assumes pos: "\<And> x. x \<in> C \<Longrightarrow> f'' x \<ge> 0"

   shows "convex_on C f"

 using f''_imp_f'[OF conv f' f'' pos] assms pos_convex_function by fastforce

 lemma minus_log_convex:

   fixes b :: real

   assumes "b > 1"

   shows "convex_on {0 <..} (\<lambda> x. - log b x)"

 proof -

   have "\<And> z. z > 0 \<Longrightarrow> DERIV (log b) z :> 1 / (ln b * z)" using DERIV_log by auto

   hence f': "\<And> z. z > 0 \<Longrightarrow> DERIV (\<lambda> z. - log b z) z :> - 1 / (ln b * z)"

     using DERIV_minus by auto

   have "\<And> z :: real. z > 0 \<Longrightarrow> DERIV inverse z :> - (inverse z ^ Suc (Suc 0))"

     using less_imp_neq[THEN not_sym, THEN DERIV_inverse] by auto

   from this[THEN DERIV_cmult, of _ "- 1 / ln b"]

   have "\<And> z :: real. z > 0 \<Longrightarrow> DERIV (\<lambda> z. (- 1 / ln b) * inverse z) z :> (- 1 / ln b) * (- (inverse z ^ Suc (Suc 0)))"

     by auto

   hence f''0: "\<And> z :: real. z > 0 \<Longrightarrow> DERIV (\<lambda> z. - 1 / (ln b * z)) z :> 1 / (ln b * z * z)"

     unfolding inverse_eq_divide by (auto simp add: mult_assoc)

   have f''_ge0: "\<And> z :: real. z > 0 \<Longrightarrow> 1 / (ln b * z * z) \<ge> 0"

     using `b > 1` by (auto intro!:less_imp_le simp add:divide_pos_pos[of 1] mult_pos_pos)

   from f''_ge0_imp_convex[OF pos_is_convex,

     unfolded greaterThan_iff, OF f' f''0 f''_ge0]

   show ?thesis by auto

 qed

 end