author | hoelzl |
Tue, 11 May 2010 19:21:05 +0200 | |
changeset 36844 | 5f9385ecc1a7 |
parent 36778 | 739a9379e29b |
child 37032 | 58a0757031dd |
permissions | -rw-r--r-- |
35582 | 1 |
header {*Lebesgue Integration*} |
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theory Lebesgue |
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imports Measure Borel |
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begin |
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text{*From the HOL4 Hurd/Coble Lebesgue integration, translated by Armin Heller and Johannes Hoelzl.*} |
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definition |
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"pos_part f = (\<lambda>x. max 0 (f x))" |
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definition |
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"neg_part f = (\<lambda>x. - min 0 (f x))" |
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definition |
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"nonneg f = (\<forall>x. 0 \<le> f x)" |
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lemma nonneg_pos_part[intro!]: |
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fixes f :: "'c \<Rightarrow> 'd\<Colon>{linorder,zero}" |
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shows "nonneg (pos_part f)" |
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unfolding nonneg_def pos_part_def by auto |
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lemma nonneg_neg_part[intro!]: |
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fixes f :: "'c \<Rightarrow> 'd\<Colon>{linorder,ordered_ab_group_add}" |
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shows "nonneg (neg_part f)" |
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unfolding nonneg_def neg_part_def min_def by auto |
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36624 | 28 |
lemma pos_neg_part_abs: |
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fixes f :: "'a \<Rightarrow> real" |
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shows "pos_part f x + neg_part f x = \<bar>f x\<bar>" |
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36778
739a9379e29b
avoid using real-specific versions of generic lemmas
huffman
parents:
36725
diff
changeset
|
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unfolding abs_if pos_part_def neg_part_def by auto |
36624 | 32 |
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lemma pos_part_abs: |
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fixes f :: "'a \<Rightarrow> real" |
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shows "pos_part (\<lambda> x. \<bar>f x\<bar>) y = \<bar>f y\<bar>" |
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36778
739a9379e29b
avoid using real-specific versions of generic lemmas
huffman
parents:
36725
diff
changeset
|
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unfolding pos_part_def abs_if by auto |
36624 | 37 |
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lemma neg_part_abs: |
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fixes f :: "'a \<Rightarrow> real" |
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shows "neg_part (\<lambda> x. \<bar>f x\<bar>) y = 0" |
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36778
739a9379e29b
avoid using real-specific versions of generic lemmas
huffman
parents:
36725
diff
changeset
|
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unfolding neg_part_def abs_if by auto |
36624 | 42 |
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35692 | 43 |
lemma (in measure_space) |
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assumes "f \<in> borel_measurable M" |
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shows pos_part_borel_measurable: "pos_part f \<in> borel_measurable M" |
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and neg_part_borel_measurable: "neg_part f \<in> borel_measurable M" |
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using assms |
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proof - |
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{ fix a :: real |
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{ assume asm: "0 \<le> a" |
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from asm have pp: "\<And> w. (pos_part f w \<le> a) = (f w \<le> a)" unfolding pos_part_def by auto |
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have "{w | w. w \<in> space M \<and> f w \<le> a} \<in> sets M" |
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unfolding pos_part_def using assms borel_measurable_le_iff by auto |
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hence "{w . w \<in> space M \<and> pos_part f w \<le> a} \<in> sets M" using pp by auto } |
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moreover have "a < 0 \<Longrightarrow> {w \<in> space M. pos_part f w \<le> a} \<in> sets M" |
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unfolding pos_part_def using empty_sets by auto |
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ultimately have "{w . w \<in> space M \<and> pos_part f w \<le> a} \<in> sets M" |
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using le_less_linear by auto |
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} hence pos: "pos_part f \<in> borel_measurable M" using borel_measurable_le_iff by auto |
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{ fix a :: real |
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{ assume asm: "0 \<le> a" |
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from asm have pp: "\<And> w. (neg_part f w \<le> a) = (f w \<ge> - a)" unfolding neg_part_def by auto |
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have "{w | w. w \<in> space M \<and> f w \<ge> - a} \<in> sets M" |
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unfolding neg_part_def using assms borel_measurable_ge_iff by auto |
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hence "{w . w \<in> space M \<and> neg_part f w \<le> a} \<in> sets M" using pp by auto } |
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moreover have "a < 0 \<Longrightarrow> {w \<in> space M. neg_part f w \<le> a} = {}" unfolding neg_part_def by auto |
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moreover hence "a < 0 \<Longrightarrow> {w \<in> space M. neg_part f w \<le> a} \<in> sets M" by (simp only: empty_sets) |
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ultimately have "{w . w \<in> space M \<and> neg_part f w \<le> a} \<in> sets M" |
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using le_less_linear by auto |
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} hence neg: "neg_part f \<in> borel_measurable M" using borel_measurable_le_iff by auto |
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from pos neg show "pos_part f \<in> borel_measurable M" and "neg_part f \<in> borel_measurable M" by auto |
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qed |
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lemma (in measure_space) pos_part_neg_part_borel_measurable_iff: |
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"f \<in> borel_measurable M \<longleftrightarrow> |
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pos_part f \<in> borel_measurable M \<and> neg_part f \<in> borel_measurable M" |
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proof - |
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{ fix x |
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have "f x = pos_part f x - neg_part f x" |
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unfolding pos_part_def neg_part_def unfolding max_def min_def |
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by auto } |
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hence "(\<lambda> x. f x) = (\<lambda> x. pos_part f x - neg_part f x)" by auto |
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hence "f = (\<lambda> x. pos_part f x - neg_part f x)" by blast |
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from pos_part_borel_measurable[of f] neg_part_borel_measurable[of f] |
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borel_measurable_diff_borel_measurable[of "pos_part f" "neg_part f"] |
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this |
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show ?thesis by auto |
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qed |
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35582 | 90 |
context measure_space |
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begin |
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35692 | 93 |
section "Simple discrete step function" |
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35582 | 95 |
definition |
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"pos_simple f = |
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{ (s :: nat set, a, x). |
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finite s \<and> nonneg f \<and> nonneg x \<and> a ` s \<subseteq> sets M \<and> |
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(\<forall>t \<in> space M. (\<exists>!i\<in>s. t\<in>a i) \<and> (\<forall>i\<in>s. t \<in> a i \<longrightarrow> f t = x i)) }" |
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definition |
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"pos_simple_integral \<equiv> \<lambda>(s, a, x). \<Sum> i \<in> s. x i * measure M (a i)" |
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definition |
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"psfis f = pos_simple_integral ` (pos_simple f)" |
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lemma pos_simpleE[consumes 1]: |
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assumes ps: "(s, a, x) \<in> pos_simple f" |
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obtains "finite s" and "nonneg f" and "nonneg x" |
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and "a ` s \<subseteq> sets M" and "(\<Union>i\<in>s. a i) = space M" |
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and "disjoint_family_on a s" |
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and "\<And>t. t \<in> space M \<Longrightarrow> (\<exists>!i. i \<in> s \<and> t \<in> a i)" |
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and "\<And>t i. \<lbrakk> t \<in> space M ; i \<in> s ; t \<in> a i \<rbrakk> \<Longrightarrow> f t = x i" |
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proof |
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show "finite s" and "nonneg f" and "nonneg x" |
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and as_in_M: "a ` s \<subseteq> sets M" |
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and *: "\<And>t. t \<in> space M \<Longrightarrow> (\<exists>!i. i \<in> s \<and> t \<in> a i)" |
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and **: "\<And>t i. \<lbrakk> t \<in> space M ; i \<in> s ; t \<in> a i \<rbrakk> \<Longrightarrow> f t = x i" |
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using ps unfolding pos_simple_def by auto |
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thus t: "(\<Union>i\<in>s. a i) = space M" |
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proof safe |
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fix x assume "x \<in> space M" |
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from *[OF this] show "x \<in> (\<Union>i\<in>s. a i)" by auto |
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next |
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fix t i assume "i \<in> s" |
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hence "a i \<in> sets M" using as_in_M by auto |
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moreover assume "t \<in> a i" |
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ultimately show "t \<in> space M" using sets_into_space by blast |
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qed |
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show "disjoint_family_on a s" unfolding disjoint_family_on_def |
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proof safe |
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fix i j and t assume "i \<in> s" "t \<in> a i" and "j \<in> s" "t \<in> a j" and "i \<noteq> j" |
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with t * show "t \<in> {}" by auto |
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qed |
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qed |
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138 |
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lemma pos_simple_cong: |
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assumes "nonneg f" and "nonneg g" and "\<And>t. t \<in> space M \<Longrightarrow> f t = g t" |
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shows "pos_simple f = pos_simple g" |
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unfolding pos_simple_def using assms by auto |
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143 |
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lemma psfis_cong: |
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assumes "nonneg f" and "nonneg g" and "\<And>t. t \<in> space M \<Longrightarrow> f t = g t" |
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shows "psfis f = psfis g" |
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unfolding psfis_def using pos_simple_cong[OF assms] by simp |
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35692 | 149 |
lemma psfis_0: "0 \<in> psfis (\<lambda>x. 0)" |
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unfolding psfis_def pos_simple_def pos_simple_integral_def |
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by (auto simp: nonneg_def |
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intro: image_eqI[where x="({0}, (\<lambda>i. space M), (\<lambda>i. 0))"]) |
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35582 | 154 |
lemma pos_simple_setsum_indicator_fn: |
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assumes ps: "(s, a, x) \<in> pos_simple f" |
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and "t \<in> space M" |
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shows "(\<Sum>i\<in>s. x i * indicator_fn (a i) t) = f t" |
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proof - |
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from assms obtain i where *: "i \<in> s" "t \<in> a i" |
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and "finite s" and xi: "x i = f t" by (auto elim!: pos_simpleE) |
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161 |
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162 |
have **: "(\<Sum>i\<in>s. x i * indicator_fn (a i) t) = |
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(\<Sum>j\<in>s. if j \<in> {i} then x i else 0)" |
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unfolding indicator_fn_def using assms * |
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by (auto intro!: setsum_cong elim!: pos_simpleE) |
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show ?thesis unfolding ** setsum_cases[OF `finite s`] xi |
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using `i \<in> s` by simp |
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qed |
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35692 | 170 |
lemma pos_simple_common_partition: |
35582 | 171 |
assumes psf: "(s, a, x) \<in> pos_simple f" |
172 |
assumes psg: "(s', b, y) \<in> pos_simple g" |
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obtains z z' c k where "(k, c, z) \<in> pos_simple f" "(k, c, z') \<in> pos_simple g" |
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proof - |
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(* definitions *) |
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176 |
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177 |
def k == "{0 ..< card (s \<times> s')}" |
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178 |
have fs: "finite s" "finite s'" "finite k" unfolding k_def |
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179 |
using psf psg unfolding pos_simple_def by auto |
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hence "finite (s \<times> s')" by simp |
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then obtain p where p: "p ` k = s \<times> s'" "inj_on p k" |
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using ex_bij_betw_nat_finite[of "s \<times> s'"] unfolding bij_betw_def k_def by blast |
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def c == "\<lambda> i. a (fst (p i)) \<inter> b (snd (p i))" |
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def z == "\<lambda> i. x (fst (p i))" |
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def z' == "\<lambda> i. y (snd (p i))" |
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186 |
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187 |
have "finite k" unfolding k_def by simp |
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188 |
||
189 |
have "nonneg z" and "nonneg z'" |
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190 |
using psf psg unfolding z_def z'_def pos_simple_def nonneg_def by auto |
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191 |
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192 |
have ck_subset_M: "c ` k \<subseteq> sets M" |
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193 |
proof |
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194 |
fix x assume "x \<in> c ` k" |
|
195 |
then obtain j where "j \<in> k" and "x = c j" by auto |
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196 |
hence "p j \<in> s \<times> s'" using p(1) by auto |
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197 |
hence "a (fst (p j)) \<in> sets M" (is "?a \<in> _") |
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and "b (snd (p j)) \<in> sets M" (is "?b \<in> _") |
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199 |
using psf psg unfolding pos_simple_def by auto |
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200 |
thus "x \<in> sets M" unfolding `x = c j` c_def using Int by simp |
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201 |
qed |
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202 |
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{ fix t assume "t \<in> space M" |
|
204 |
hence ex1s: "\<exists>!i\<in>s. t \<in> a i" and ex1s': "\<exists>!i\<in>s'. t \<in> b i" |
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205 |
using psf psg unfolding pos_simple_def by auto |
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206 |
then obtain j j' where j: "j \<in> s" "t \<in> a j" and j': "j' \<in> s'" "t \<in> b j'" |
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207 |
by auto |
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208 |
then obtain i :: nat where i: "(j,j') = p i" and "i \<in> k" using p by auto |
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209 |
have "\<exists>!i\<in>k. t \<in> c i" |
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210 |
proof (rule ex1I[of _ i]) |
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211 |
show "\<And>x. x \<in> k \<Longrightarrow> t \<in> c x \<Longrightarrow> x = i" |
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212 |
proof - |
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213 |
fix l assume "l \<in> k" "t \<in> c l" |
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214 |
hence "p l \<in> s \<times> s'" and t_in: "t \<in> a (fst (p l))" "t \<in> b (snd (p l))" |
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215 |
using p unfolding c_def by auto |
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216 |
hence "fst (p l) \<in> s" and "snd (p l) \<in> s'" by auto |
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217 |
with t_in j j' ex1s ex1s' have "p l = (j, j')" by (cases "p l", auto) |
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218 |
thus "l = i" |
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219 |
using `(j, j') = p i` p(2)[THEN inj_onD] `l \<in> k` `i \<in> k` by auto |
|
220 |
qed |
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221 |
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222 |
show "i \<in> k \<and> t \<in> c i" |
|
223 |
using `i \<in> k` `t \<in> a j` `t \<in> b j'` c_def i[symmetric] by auto |
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224 |
qed auto |
|
225 |
} note ex1 = this |
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226 |
||
227 |
show thesis |
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228 |
proof (rule that) |
|
229 |
{ fix t i assume "t \<in> space M" and "i \<in> k" |
|
230 |
hence "p i \<in> s \<times> s'" using p(1) by auto |
|
231 |
hence "fst (p i) \<in> s" by auto |
|
232 |
moreover |
|
233 |
assume "t \<in> c i" |
|
234 |
hence "t \<in> a (fst (p i))" unfolding c_def by auto |
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235 |
ultimately have "f t = z i" using psf `t \<in> space M` |
|
236 |
unfolding z_def pos_simple_def by auto |
|
237 |
} |
|
238 |
thus "(k, c, z) \<in> pos_simple f" |
|
239 |
using psf `finite k` `nonneg z` ck_subset_M ex1 |
|
240 |
unfolding pos_simple_def by auto |
|
241 |
||
242 |
{ fix t i assume "t \<in> space M" and "i \<in> k" |
|
243 |
hence "p i \<in> s \<times> s'" using p(1) by auto |
|
244 |
hence "snd (p i) \<in> s'" by auto |
|
245 |
moreover |
|
246 |
assume "t \<in> c i" |
|
247 |
hence "t \<in> b (snd (p i))" unfolding c_def by auto |
|
248 |
ultimately have "g t = z' i" using psg `t \<in> space M` |
|
249 |
unfolding z'_def pos_simple_def by auto |
|
250 |
} |
|
251 |
thus "(k, c, z') \<in> pos_simple g" |
|
252 |
using psg `finite k` `nonneg z'` ck_subset_M ex1 |
|
253 |
unfolding pos_simple_def by auto |
|
254 |
qed |
|
255 |
qed |
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256 |
||
35692 | 257 |
lemma pos_simple_integral_equal: |
35582 | 258 |
assumes psx: "(s, a, x) \<in> pos_simple f" |
259 |
assumes psy: "(s', b, y) \<in> pos_simple f" |
|
260 |
shows "pos_simple_integral (s, a, x) = pos_simple_integral (s', b, y)" |
|
261 |
unfolding pos_simple_integral_def |
|
262 |
proof simp |
|
263 |
have "(\<Sum>i\<in>s. x i * measure M (a i)) = |
|
264 |
(\<Sum>i\<in>s. (\<Sum>j \<in> s'. x i * measure M (a i \<inter> b j)))" (is "?left = _") |
|
265 |
using psy psx unfolding setsum_right_distrib[symmetric] |
|
266 |
by (auto intro!: setsum_cong measure_setsum_split elim!: pos_simpleE) |
|
267 |
also have "... = (\<Sum>i\<in>s. (\<Sum>j \<in> s'. y j * measure M (a i \<inter> b j)))" |
|
268 |
proof (rule setsum_cong, simp, rule setsum_cong, simp_all) |
|
269 |
fix i j assume i: "i \<in> s" and j: "j \<in> s'" |
|
270 |
hence "a i \<in> sets M" using psx by (auto elim!: pos_simpleE) |
|
271 |
||
272 |
show "measure M (a i \<inter> b j) = 0 \<or> x i = y j" |
|
273 |
proof (cases "a i \<inter> b j = {}") |
|
274 |
case True thus ?thesis using empty_measure by simp |
|
275 |
next |
|
276 |
case False then obtain t where t: "t \<in> a i" "t \<in> b j" by auto |
|
277 |
hence "t \<in> space M" using `a i \<in> sets M` sets_into_space by auto |
|
278 |
with psx psy t i j have "x i = f t" and "y j = f t" |
|
279 |
unfolding pos_simple_def by auto |
|
280 |
thus ?thesis by simp |
|
281 |
qed |
|
282 |
qed |
|
283 |
also have "... = (\<Sum>j\<in>s'. (\<Sum>i\<in>s. y j * measure M (a i \<inter> b j)))" |
|
284 |
by (subst setsum_commute) simp |
|
285 |
also have "... = (\<Sum>i\<in>s'. y i * measure M (b i))" (is "?sum_sum = ?right") |
|
286 |
proof (rule setsum_cong) |
|
287 |
fix j assume "j \<in> s'" |
|
288 |
have "y j * measure M (b j) = (\<Sum>i\<in>s. y j * measure M (b j \<inter> a i))" |
|
289 |
using psx psy `j \<in> s'` unfolding setsum_right_distrib[symmetric] |
|
290 |
by (auto intro!: measure_setsum_split elim!: pos_simpleE) |
|
291 |
thus "(\<Sum>i\<in>s. y j * measure M (a i \<inter> b j)) = y j * measure M (b j)" |
|
292 |
by (auto intro!: setsum_cong arg_cong[where f="measure M"]) |
|
293 |
qed simp |
|
294 |
finally show "?left = ?right" . |
|
295 |
qed |
|
296 |
||
35692 | 297 |
lemma psfis_present: |
35582 | 298 |
assumes "A \<in> psfis f" |
299 |
assumes "B \<in> psfis g" |
|
300 |
obtains z z' c k where |
|
301 |
"A = pos_simple_integral (k, c, z)" |
|
302 |
"B = pos_simple_integral (k, c, z')" |
|
303 |
"(k, c, z) \<in> pos_simple f" |
|
304 |
"(k, c, z') \<in> pos_simple g" |
|
305 |
using assms |
|
306 |
proof - |
|
307 |
from assms obtain s a x s' b y where |
|
308 |
ps: "(s, a, x) \<in> pos_simple f" "(s', b, y) \<in> pos_simple g" and |
|
309 |
A: "A = pos_simple_integral (s, a, x)" and |
|
310 |
B: "B = pos_simple_integral (s', b, y)" |
|
311 |
unfolding psfis_def pos_simple_integral_def by auto |
|
312 |
||
313 |
guess z z' c k using pos_simple_common_partition[OF ps] . note part = this |
|
314 |
show thesis |
|
315 |
proof (rule that[of k c z z', OF _ _ part]) |
|
316 |
show "A = pos_simple_integral (k, c, z)" |
|
317 |
unfolding A by (rule pos_simple_integral_equal[OF ps(1) part(1)]) |
|
318 |
show "B = pos_simple_integral (k, c, z')" |
|
319 |
unfolding B by (rule pos_simple_integral_equal[OF ps(2) part(2)]) |
|
320 |
qed |
|
321 |
qed |
|
322 |
||
35692 | 323 |
lemma pos_simple_integral_add: |
35582 | 324 |
assumes "(s, a, x) \<in> pos_simple f" |
325 |
assumes "(s', b, y) \<in> pos_simple g" |
|
326 |
obtains s'' c z where |
|
327 |
"(s'', c, z) \<in> pos_simple (\<lambda>x. f x + g x)" |
|
328 |
"(pos_simple_integral (s, a, x) + |
|
329 |
pos_simple_integral (s', b, y) = |
|
330 |
pos_simple_integral (s'', c, z))" |
|
331 |
using assms |
|
332 |
proof - |
|
333 |
guess z z' c k |
|
334 |
by (rule pos_simple_common_partition[OF `(s, a, x) \<in> pos_simple f ` `(s', b, y) \<in> pos_simple g`]) |
|
335 |
note kczz' = this |
|
336 |
have x: "pos_simple_integral (s, a, x) = pos_simple_integral (k, c, z)" |
|
337 |
by (rule pos_simple_integral_equal) (fact, fact) |
|
338 |
have y: "pos_simple_integral (s', b, y) = pos_simple_integral (k, c, z')" |
|
339 |
by (rule pos_simple_integral_equal) (fact, fact) |
|
340 |
||
341 |
have "pos_simple_integral (k, c, (\<lambda> x. z x + z' x)) |
|
342 |
= (\<Sum> x \<in> k. (z x + z' x) * measure M (c x))" |
|
343 |
unfolding pos_simple_integral_def by auto |
|
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changeset
|
344 |
also have "\<dots> = (\<Sum> x \<in> k. z x * measure M (c x) + z' x * measure M (c x))" |
739a9379e29b
avoid using real-specific versions of generic lemmas
huffman
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36725
diff
changeset
|
345 |
by (simp add: left_distrib) |
35582 | 346 |
also have "\<dots> = (\<Sum> x \<in> k. z x * measure M (c x)) + (\<Sum> x \<in> k. z' x * measure M (c x))" using setsum_addf by auto |
347 |
also have "\<dots> = pos_simple_integral (k, c, z) + pos_simple_integral (k, c, z')" unfolding pos_simple_integral_def by auto |
|
348 |
finally have ths: "pos_simple_integral (s, a, x) + pos_simple_integral (s', b, y) = |
|
349 |
pos_simple_integral (k, c, (\<lambda> x. z x + z' x))" using x y by auto |
|
350 |
show ?thesis |
|
351 |
apply (rule that[of k c "(\<lambda> x. z x + z' x)", OF _ ths]) |
|
352 |
using kczz' unfolding pos_simple_def nonneg_def by (auto intro!: add_nonneg_nonneg) |
|
353 |
qed |
|
354 |
||
355 |
lemma psfis_add: |
|
356 |
assumes "a \<in> psfis f" "b \<in> psfis g" |
|
357 |
shows "a + b \<in> psfis (\<lambda>x. f x + g x)" |
|
358 |
using assms pos_simple_integral_add |
|
359 |
unfolding psfis_def by auto blast |
|
360 |
||
361 |
lemma pos_simple_integral_mono_on_mspace: |
|
362 |
assumes f: "(s, a, x) \<in> pos_simple f" |
|
363 |
assumes g: "(s', b, y) \<in> pos_simple g" |
|
364 |
assumes mono: "\<And> x. x \<in> space M \<Longrightarrow> f x \<le> g x" |
|
365 |
shows "pos_simple_integral (s, a, x) \<le> pos_simple_integral (s', b, y)" |
|
366 |
using assms |
|
367 |
proof - |
|
368 |
guess z z' c k by (rule pos_simple_common_partition[OF f g]) |
|
369 |
note kczz' = this |
|
370 |
(* w = z and w' = z' except where c _ = {} or undef *) |
|
371 |
def w == "\<lambda> i. if i \<notin> k \<or> c i = {} then 0 else z i" |
|
372 |
def w' == "\<lambda> i. if i \<notin> k \<or> c i = {} then 0 else z' i" |
|
373 |
{ fix i |
|
374 |
have "w i \<le> w' i" |
|
375 |
proof (cases "i \<notin> k \<or> c i = {}") |
|
376 |
case False hence "i \<in> k" "c i \<noteq> {}" by auto |
|
377 |
then obtain v where v: "v \<in> c i" and "c i \<in> sets M" |
|
378 |
using kczz'(1) unfolding pos_simple_def by blast |
|
379 |
hence "v \<in> space M" using sets_into_space by blast |
|
380 |
with mono[OF `v \<in> space M`] kczz' `i \<in> k` `v \<in> c i` |
|
381 |
have "z i \<le> z' i" unfolding pos_simple_def by simp |
|
382 |
thus ?thesis unfolding w_def w'_def using False by auto |
|
383 |
next |
|
384 |
case True thus ?thesis unfolding w_def w'_def by auto |
|
385 |
qed |
|
386 |
} note w_mn = this |
|
387 |
||
388 |
(* some technical stuff for the calculation*) |
|
389 |
have "\<And> i. i \<in> k \<Longrightarrow> c i \<in> sets M" using kczz' unfolding pos_simple_def by auto |
|
390 |
hence "\<And> i. i \<in> k \<Longrightarrow> measure M (c i) \<ge> 0" using positive by auto |
|
391 |
hence w_mono: "\<And> i. i \<in> k \<Longrightarrow> w i * measure M (c i) \<le> w' i * measure M (c i)" |
|
392 |
using mult_right_mono w_mn by blast |
|
393 |
||
394 |
{ fix i have "\<lbrakk>i \<in> k ; z i \<noteq> w i\<rbrakk> \<Longrightarrow> measure M (c i) = 0" |
|
395 |
unfolding w_def by (cases "c i = {}") auto } |
|
396 |
hence zw: "\<And> i. i \<in> k \<Longrightarrow> z i * measure M (c i) = w i * measure M (c i)" by auto |
|
397 |
||
398 |
{ fix i have "i \<in> k \<Longrightarrow> z i * measure M (c i) = w i * measure M (c i)" |
|
399 |
unfolding w_def by (cases "c i = {}") simp_all } |
|
400 |
note zw = this |
|
401 |
||
402 |
{ fix i have "i \<in> k \<Longrightarrow> z' i * measure M (c i) = w' i * measure M (c i)" |
|
403 |
unfolding w'_def by (cases "c i = {}") simp_all } |
|
404 |
note z'w' = this |
|
405 |
||
406 |
(* the calculation *) |
|
407 |
have "pos_simple_integral (s, a, x) = pos_simple_integral (k, c, z)" |
|
408 |
using f kczz'(1) by (rule pos_simple_integral_equal) |
|
409 |
also have "\<dots> = (\<Sum> i \<in> k. z i * measure M (c i))" |
|
410 |
unfolding pos_simple_integral_def by auto |
|
411 |
also have "\<dots> = (\<Sum> i \<in> k. w i * measure M (c i))" |
|
412 |
using setsum_cong2[of k, OF zw] by auto |
|
413 |
also have "\<dots> \<le> (\<Sum> i \<in> k. w' i * measure M (c i))" |
|
414 |
using setsum_mono[OF w_mono, of k] by auto |
|
415 |
also have "\<dots> = (\<Sum> i \<in> k. z' i * measure M (c i))" |
|
416 |
using setsum_cong2[of k, OF z'w'] by auto |
|
417 |
also have "\<dots> = pos_simple_integral (k, c, z')" |
|
418 |
unfolding pos_simple_integral_def by auto |
|
419 |
also have "\<dots> = pos_simple_integral (s', b, y)" |
|
420 |
using kczz'(2) g by (rule pos_simple_integral_equal) |
|
421 |
finally show "pos_simple_integral (s, a, x) \<le> pos_simple_integral (s', b, y)" |
|
422 |
by simp |
|
423 |
qed |
|
424 |
||
425 |
lemma pos_simple_integral_mono: |
|
426 |
assumes a: "(s, a, x) \<in> pos_simple f" "(s', b, y) \<in> pos_simple g" |
|
427 |
assumes "\<And> z. f z \<le> g z" |
|
428 |
shows "pos_simple_integral (s, a, x) \<le> pos_simple_integral (s', b, y)" |
|
429 |
using assms pos_simple_integral_mono_on_mspace by auto |
|
430 |
||
431 |
lemma psfis_mono: |
|
432 |
assumes "a \<in> psfis f" "b \<in> psfis g" |
|
433 |
assumes "\<And> x. x \<in> space M \<Longrightarrow> f x \<le> g x" |
|
434 |
shows "a \<le> b" |
|
435 |
using assms pos_simple_integral_mono_on_mspace unfolding psfis_def by auto |
|
436 |
||
437 |
lemma pos_simple_fn_integral_unique: |
|
438 |
assumes "(s, a, x) \<in> pos_simple f" "(s', b, y) \<in> pos_simple f" |
|
439 |
shows "pos_simple_integral (s, a, x) = pos_simple_integral (s', b, y)" |
|
36778
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avoid using real-specific versions of generic lemmas
huffman
parents:
36725
diff
changeset
|
440 |
using assms by (rule pos_simple_integral_equal) (* FIXME: redundant lemma *) |
35582 | 441 |
|
442 |
lemma psfis_unique: |
|
443 |
assumes "a \<in> psfis f" "b \<in> psfis f" |
|
444 |
shows "a = b" |
|
36778
739a9379e29b
avoid using real-specific versions of generic lemmas
huffman
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36725
diff
changeset
|
445 |
using assms by (intro order_antisym psfis_mono [OF _ _ order_refl]) |
35582 | 446 |
|
447 |
lemma pos_simple_integral_indicator: |
|
448 |
assumes "A \<in> sets M" |
|
449 |
obtains s a x where |
|
450 |
"(s, a, x) \<in> pos_simple (indicator_fn A)" |
|
451 |
"measure M A = pos_simple_integral (s, a, x)" |
|
452 |
using assms |
|
453 |
proof - |
|
454 |
def s == "{0, 1} :: nat set" |
|
455 |
def a == "\<lambda> i :: nat. if i = 0 then A else space M - A" |
|
456 |
def x == "\<lambda> i :: nat. if i = 0 then 1 else (0 :: real)" |
|
457 |
have eq: "pos_simple_integral (s, a, x) = measure M A" |
|
458 |
unfolding s_def a_def x_def pos_simple_integral_def by auto |
|
459 |
have "(s, a, x) \<in> pos_simple (indicator_fn A)" |
|
460 |
unfolding pos_simple_def indicator_fn_def s_def a_def x_def nonneg_def |
|
461 |
using assms sets_into_space by auto |
|
462 |
from that[OF this] eq show thesis by auto |
|
463 |
qed |
|
464 |
||
465 |
lemma psfis_indicator: |
|
466 |
assumes "A \<in> sets M" |
|
467 |
shows "measure M A \<in> psfis (indicator_fn A)" |
|
468 |
using pos_simple_integral_indicator[OF assms] |
|
469 |
unfolding psfis_def image_def by auto |
|
470 |
||
471 |
lemma pos_simple_integral_mult: |
|
472 |
assumes f: "(s, a, x) \<in> pos_simple f" |
|
473 |
assumes "0 \<le> z" |
|
474 |
obtains s' b y where |
|
475 |
"(s', b, y) \<in> pos_simple (\<lambda>x. z * f x)" |
|
476 |
"pos_simple_integral (s', b, y) = z * pos_simple_integral (s, a, x)" |
|
477 |
using assms that[of s a "\<lambda>i. z * x i"] |
|
478 |
by (simp add: pos_simple_def pos_simple_integral_def setsum_right_distrib algebra_simps nonneg_def mult_nonneg_nonneg) |
|
479 |
||
480 |
lemma psfis_mult: |
|
481 |
assumes "r \<in> psfis f" |
|
482 |
assumes "0 \<le> z" |
|
483 |
shows "z * r \<in> psfis (\<lambda>x. z * f x)" |
|
484 |
using assms |
|
485 |
proof - |
|
486 |
from assms obtain s a x |
|
487 |
where sax: "(s, a, x) \<in> pos_simple f" |
|
488 |
and r: "r = pos_simple_integral (s, a, x)" |
|
489 |
unfolding psfis_def image_def by auto |
|
490 |
obtain s' b y where |
|
491 |
"(s', b, y) \<in> pos_simple (\<lambda>x. z * f x)" |
|
492 |
"z * pos_simple_integral (s, a, x) = pos_simple_integral (s', b, y)" |
|
493 |
using pos_simple_integral_mult[OF sax `0 \<le> z`, of thesis] by auto |
|
494 |
thus ?thesis using r unfolding psfis_def image_def by auto |
|
495 |
qed |
|
496 |
||
497 |
lemma psfis_setsum_image: |
|
498 |
assumes "finite P" |
|
499 |
assumes "\<And>i. i \<in> P \<Longrightarrow> a i \<in> psfis (f i)" |
|
500 |
shows "(setsum a P) \<in> psfis (\<lambda>t. \<Sum>i \<in> P. f i t)" |
|
501 |
using assms |
|
502 |
proof (induct P) |
|
503 |
case empty |
|
504 |
let ?s = "{0 :: nat}" |
|
505 |
let ?a = "\<lambda> i. if i = (0 :: nat) then space M else {}" |
|
506 |
let ?x = "\<lambda> (i :: nat). (0 :: real)" |
|
507 |
have "(?s, ?a, ?x) \<in> pos_simple (\<lambda> t. (0 :: real))" |
|
508 |
unfolding pos_simple_def image_def nonneg_def by auto |
|
509 |
moreover have "(\<Sum> i \<in> ?s. ?x i * measure M (?a i)) = 0" by auto |
|
510 |
ultimately have "0 \<in> psfis (\<lambda> t. 0)" |
|
511 |
unfolding psfis_def image_def pos_simple_integral_def nonneg_def |
|
512 |
by (auto intro!:bexI[of _ "(?s, ?a, ?x)"]) |
|
513 |
thus ?case by auto |
|
514 |
next |
|
515 |
case (insert x P) note asms = this |
|
516 |
have "finite P" by fact |
|
517 |
have "x \<notin> P" by fact |
|
518 |
have "(\<And>i. i \<in> P \<Longrightarrow> a i \<in> psfis (f i)) \<Longrightarrow> |
|
519 |
setsum a P \<in> psfis (\<lambda>t. \<Sum>i\<in>P. f i t)" by fact |
|
520 |
have "setsum a (insert x P) = a x + setsum a P" using `finite P` `x \<notin> P` by auto |
|
521 |
also have "\<dots> \<in> psfis (\<lambda> t. f x t + (\<Sum> i \<in> P. f i t))" |
|
522 |
using asms psfis_add by auto |
|
523 |
also have "\<dots> = psfis (\<lambda> t. \<Sum> i \<in> insert x P. f i t)" |
|
524 |
using `x \<notin> P` `finite P` by auto |
|
525 |
finally show ?case by simp |
|
526 |
qed |
|
527 |
||
528 |
lemma psfis_intro: |
|
529 |
assumes "a ` P \<subseteq> sets M" and "nonneg x" and "finite P" |
|
530 |
shows "(\<Sum>i\<in>P. x i * measure M (a i)) \<in> psfis (\<lambda>t. \<Sum>i\<in>P. x i * indicator_fn (a i) t)" |
|
531 |
using assms psfis_mult psfis_indicator |
|
532 |
unfolding image_def nonneg_def |
|
533 |
by (auto intro!:psfis_setsum_image) |
|
534 |
||
535 |
lemma psfis_nonneg: "a \<in> psfis f \<Longrightarrow> nonneg f" |
|
536 |
unfolding psfis_def pos_simple_def by auto |
|
537 |
||
538 |
lemma pos_psfis: "r \<in> psfis f \<Longrightarrow> 0 \<le> r" |
|
539 |
unfolding psfis_def pos_simple_integral_def image_def pos_simple_def nonneg_def |
|
540 |
using positive[unfolded positive_def] by (auto intro!:setsum_nonneg mult_nonneg_nonneg) |
|
541 |
||
542 |
lemma psfis_borel_measurable: |
|
543 |
assumes "a \<in> psfis f" |
|
544 |
shows "f \<in> borel_measurable M" |
|
545 |
using assms |
|
546 |
proof - |
|
547 |
from assms obtain s a' x where sa'x: "(s, a', x) \<in> pos_simple f" and sa'xa: "pos_simple_integral (s, a', x) = a" |
|
548 |
and fs: "finite s" |
|
549 |
unfolding psfis_def pos_simple_integral_def image_def |
|
550 |
by (auto elim:pos_simpleE) |
|
551 |
{ fix w assume "w \<in> space M" |
|
552 |
hence "(f w \<le> a) = ((\<Sum> i \<in> s. x i * indicator_fn (a' i) w) \<le> a)" |
|
553 |
using pos_simple_setsum_indicator_fn[OF sa'x, of w] by simp |
|
554 |
} hence "\<And> w. (w \<in> space M \<and> f w \<le> a) = (w \<in> space M \<and> (\<Sum> i \<in> s. x i * indicator_fn (a' i) w) \<le> a)" |
|
555 |
by auto |
|
556 |
{ fix i assume "i \<in> s" |
|
557 |
hence "indicator_fn (a' i) \<in> borel_measurable M" |
|
558 |
using borel_measurable_indicator using sa'x[unfolded pos_simple_def] by auto |
|
559 |
hence "(\<lambda> w. x i * indicator_fn (a' i) w) \<in> borel_measurable M" |
|
560 |
using affine_borel_measurable[of "\<lambda> w. indicator_fn (a' i) w" 0 "x i"] |
|
36778
739a9379e29b
avoid using real-specific versions of generic lemmas
huffman
parents:
36725
diff
changeset
|
561 |
by (simp add: mult_commute) } |
35582 | 562 |
from borel_measurable_setsum_borel_measurable[OF fs this] affine_borel_measurable |
563 |
have "(\<lambda> w. (\<Sum> i \<in> s. x i * indicator_fn (a' i) w)) \<in> borel_measurable M" by auto |
|
564 |
from borel_measurable_cong[OF pos_simple_setsum_indicator_fn[OF sa'x]] this |
|
565 |
show ?thesis by simp |
|
566 |
qed |
|
567 |
||
568 |
lemma psfis_mono_conv_mono: |
|
569 |
assumes mono: "mono_convergent u f (space M)" |
|
570 |
and ps_u: "\<And>n. x n \<in> psfis (u n)" |
|
571 |
and "x ----> y" |
|
572 |
and "r \<in> psfis s" |
|
573 |
and f_upper_bound: "\<And>t. t \<in> space M \<Longrightarrow> s t \<le> f t" |
|
574 |
shows "r <= y" |
|
575 |
proof (rule field_le_mult_one_interval) |
|
576 |
fix z :: real assume "0 < z" and "z < 1" |
|
577 |
hence "0 \<le> z" by auto |
|
578 |
let "?B' n" = "{w \<in> space M. z * s w <= u n w}" |
|
579 |
||
580 |
have "incseq x" unfolding incseq_def |
|
581 |
proof safe |
|
582 |
fix m n :: nat assume "m \<le> n" |
|
583 |
show "x m \<le> x n" |
|
584 |
proof (rule psfis_mono[OF `x m \<in> psfis (u m)` `x n \<in> psfis (u n)`]) |
|
585 |
fix t assume "t \<in> space M" |
|
586 |
with mono_convergentD[OF mono this] `m \<le> n` show "u m t \<le> u n t" |
|
587 |
unfolding incseq_def by auto |
|
588 |
qed |
|
589 |
qed |
|
590 |
||
591 |
from `r \<in> psfis s` |
|
592 |
obtain s' a x' where r: "r = pos_simple_integral (s', a, x')" |
|
593 |
and ps_s: "(s', a, x') \<in> pos_simple s" |
|
594 |
unfolding psfis_def by auto |
|
595 |
||
596 |
{ fix t i assume "i \<in> s'" "t \<in> a i" |
|
597 |
hence "t \<in> space M" using ps_s by (auto elim!: pos_simpleE) } |
|
598 |
note t_in_space = this |
|
599 |
||
600 |
{ fix n |
|
601 |
from psfis_borel_measurable[OF `r \<in> psfis s`] |
|
602 |
psfis_borel_measurable[OF ps_u] |
|
603 |
have "?B' n \<in> sets M" |
|
604 |
by (auto intro!: |
|
605 |
borel_measurable_leq_borel_measurable |
|
606 |
borel_measurable_times_borel_measurable |
|
607 |
borel_measurable_const) } |
|
608 |
note B'_in_M = this |
|
609 |
||
610 |
{ fix n have "(\<lambda>i. a i \<inter> ?B' n) ` s' \<subseteq> sets M" using B'_in_M ps_s |
|
611 |
by (auto intro!: Int elim!: pos_simpleE) } |
|
612 |
note B'_inter_a_in_M = this |
|
613 |
||
614 |
let "?sum n" = "(\<Sum>i\<in>s'. x' i * measure M (a i \<inter> ?B' n))" |
|
615 |
{ fix n |
|
616 |
have "z * ?sum n \<le> x n" |
|
617 |
proof (rule psfis_mono[OF _ ps_u]) |
|
618 |
have *: "\<And>i t. indicator_fn (?B' n) t * (x' i * indicator_fn (a i) t) = |
|
619 |
x' i * indicator_fn (a i \<inter> ?B' n) t" unfolding indicator_fn_def by auto |
|
620 |
have ps': "?sum n \<in> psfis (\<lambda>t. indicator_fn (?B' n) t * (\<Sum>i\<in>s'. x' i * indicator_fn (a i) t))" |
|
621 |
unfolding setsum_right_distrib * using B'_in_M ps_s |
|
622 |
by (auto intro!: psfis_intro Int elim!: pos_simpleE) |
|
623 |
also have "... = psfis (\<lambda>t. indicator_fn (?B' n) t * s t)" (is "psfis ?l = psfis ?r") |
|
624 |
proof (rule psfis_cong) |
|
625 |
show "nonneg ?l" using psfis_nonneg[OF ps'] . |
|
626 |
show "nonneg ?r" using psfis_nonneg[OF `r \<in> psfis s`] unfolding nonneg_def indicator_fn_def by auto |
|
627 |
fix t assume "t \<in> space M" |
|
628 |
show "?l t = ?r t" unfolding pos_simple_setsum_indicator_fn[OF ps_s `t \<in> space M`] .. |
|
629 |
qed |
|
630 |
finally show "z * ?sum n \<in> psfis (\<lambda>t. z * ?r t)" using psfis_mult[OF _ `0 \<le> z`] by simp |
|
631 |
next |
|
632 |
fix t assume "t \<in> space M" |
|
633 |
show "z * (indicator_fn (?B' n) t * s t) \<le> u n t" |
|
634 |
using psfis_nonneg[OF ps_u] unfolding nonneg_def indicator_fn_def by auto |
|
635 |
qed } |
|
636 |
hence *: "\<exists>N. \<forall>n\<ge>N. z * ?sum n \<le> x n" by (auto intro!: exI[of _ 0]) |
|
637 |
||
638 |
show "z * r \<le> y" unfolding r pos_simple_integral_def |
|
639 |
proof (rule LIMSEQ_le[OF mult_right.LIMSEQ `x ----> y` *], |
|
640 |
simp, rule LIMSEQ_setsum, rule mult_right.LIMSEQ) |
|
641 |
fix i assume "i \<in> s'" |
|
642 |
from psfis_nonneg[OF `r \<in> psfis s`, unfolded nonneg_def] |
|
643 |
have "\<And>t. 0 \<le> s t" by simp |
|
644 |
||
645 |
have *: "(\<Union>j. a i \<inter> ?B' j) = a i" |
|
646 |
proof (safe, simp, safe) |
|
647 |
fix t assume "t \<in> a i" |
|
648 |
thus "t \<in> space M" using t_in_space[OF `i \<in> s'`] by auto |
|
649 |
show "\<exists>j. z * s t \<le> u j t" |
|
650 |
proof (cases "s t = 0") |
|
651 |
case True thus ?thesis |
|
652 |
using psfis_nonneg[OF ps_u] unfolding nonneg_def by auto |
|
653 |
next |
|
654 |
case False with `0 \<le> s t` |
|
655 |
have "0 < s t" by auto |
|
656 |
hence "z * s t < 1 * s t" using `0 < z` `z < 1` |
|
657 |
by (auto intro!: mult_strict_right_mono simp del: mult_1_left) |
|
658 |
also have "... \<le> f t" using f_upper_bound `t \<in> space M` by auto |
|
659 |
finally obtain b where "\<And>j. b \<le> j \<Longrightarrow> z * s t < u j t" using `t \<in> space M` |
|
660 |
using mono_conv_outgrow[of "\<lambda>n. u n t" "f t" "z * s t"] |
|
661 |
using mono_convergentD[OF mono] by auto |
|
662 |
from this[of b] show ?thesis by (auto intro!: exI[of _ b]) |
|
663 |
qed |
|
664 |
qed |
|
665 |
||
666 |
show "(\<lambda>n. measure M (a i \<inter> ?B' n)) ----> measure M (a i)" |
|
667 |
proof (safe intro!: |
|
668 |
monotone_convergence[of "\<lambda>n. a i \<inter> ?B' n", unfolded comp_def *]) |
|
669 |
fix n show "a i \<inter> ?B' n \<in> sets M" |
|
670 |
using B'_inter_a_in_M[of n] `i \<in> s'` by auto |
|
671 |
next |
|
672 |
fix j t assume "t \<in> space M" and "z * s t \<le> u j t" |
|
673 |
thus "z * s t \<le> u (Suc j) t" |
|
674 |
using mono_convergentD(1)[OF mono, unfolded incseq_def, |
|
675 |
rule_format, of t j "Suc j"] |
|
676 |
by auto |
|
677 |
qed |
|
678 |
qed |
|
679 |
qed |
|
680 |
||
35692 | 681 |
section "Continuous posititve integration" |
682 |
||
683 |
definition |
|
684 |
"nnfis f = { y. \<exists>u x. mono_convergent u f (space M) \<and> |
|
685 |
(\<forall>n. x n \<in> psfis (u n)) \<and> x ----> y }" |
|
686 |
||
35582 | 687 |
lemma psfis_nnfis: |
688 |
"a \<in> psfis f \<Longrightarrow> a \<in> nnfis f" |
|
689 |
unfolding nnfis_def mono_convergent_def incseq_def |
|
690 |
by (auto intro!: exI[of _ "\<lambda>n. f"] exI[of _ "\<lambda>n. a"] LIMSEQ_const) |
|
691 |
||
35748 | 692 |
lemma nnfis_0: "0 \<in> nnfis (\<lambda> x. 0)" |
693 |
by (rule psfis_nnfis[OF psfis_0]) |
|
694 |
||
35582 | 695 |
lemma nnfis_times: |
696 |
assumes "a \<in> nnfis f" and "0 \<le> z" |
|
697 |
shows "z * a \<in> nnfis (\<lambda>t. z * f t)" |
|
698 |
proof - |
|
699 |
obtain u x where "mono_convergent u f (space M)" and |
|
700 |
"\<And>n. x n \<in> psfis (u n)" "x ----> a" |
|
701 |
using `a \<in> nnfis f` unfolding nnfis_def by auto |
|
702 |
with `0 \<le> z`show ?thesis unfolding nnfis_def mono_convergent_def incseq_def |
|
703 |
by (auto intro!: exI[of _ "\<lambda>n w. z * u n w"] exI[of _ "\<lambda>n. z * x n"] |
|
704 |
LIMSEQ_mult LIMSEQ_const psfis_mult mult_mono1) |
|
705 |
qed |
|
706 |
||
707 |
lemma nnfis_add: |
|
708 |
assumes "a \<in> nnfis f" and "b \<in> nnfis g" |
|
709 |
shows "a + b \<in> nnfis (\<lambda>t. f t + g t)" |
|
710 |
proof - |
|
711 |
obtain u x w y |
|
712 |
where "mono_convergent u f (space M)" and |
|
713 |
"\<And>n. x n \<in> psfis (u n)" "x ----> a" and |
|
714 |
"mono_convergent w g (space M)" and |
|
715 |
"\<And>n. y n \<in> psfis (w n)" "y ----> b" |
|
716 |
using `a \<in> nnfis f` `b \<in> nnfis g` unfolding nnfis_def by auto |
|
717 |
thus ?thesis unfolding nnfis_def mono_convergent_def incseq_def |
|
718 |
by (auto intro!: exI[of _ "\<lambda>n a. u n a + w n a"] exI[of _ "\<lambda>n. x n + y n"] |
|
719 |
LIMSEQ_add LIMSEQ_const psfis_add add_mono) |
|
720 |
qed |
|
721 |
||
722 |
lemma nnfis_mono: |
|
723 |
assumes nnfis: "a \<in> nnfis f" "b \<in> nnfis g" |
|
724 |
and mono: "\<And>t. t \<in> space M \<Longrightarrow> f t \<le> g t" |
|
725 |
shows "a \<le> b" |
|
726 |
proof - |
|
727 |
obtain u x w y where |
|
728 |
mc: "mono_convergent u f (space M)" "mono_convergent w g (space M)" and |
|
729 |
psfis: "\<And>n. x n \<in> psfis (u n)" "\<And>n. y n \<in> psfis (w n)" and |
|
730 |
limseq: "x ----> a" "y ----> b" using nnfis unfolding nnfis_def by auto |
|
731 |
show ?thesis |
|
732 |
proof (rule LIMSEQ_le_const2[OF limseq(1)], rule exI[of _ 0], safe) |
|
733 |
fix n |
|
734 |
show "x n \<le> b" |
|
735 |
proof (rule psfis_mono_conv_mono[OF mc(2) psfis(2) limseq(2) psfis(1)]) |
|
736 |
fix t assume "t \<in> space M" |
|
737 |
from mono_convergent_le[OF mc(1) this] mono[OF this] |
|
738 |
show "u n t \<le> g t" by (rule order_trans) |
|
739 |
qed |
|
740 |
qed |
|
741 |
qed |
|
742 |
||
743 |
lemma nnfis_unique: |
|
744 |
assumes a: "a \<in> nnfis f" and b: "b \<in> nnfis f" |
|
745 |
shows "a = b" |
|
746 |
using nnfis_mono[OF a b] nnfis_mono[OF b a] |
|
36778
739a9379e29b
avoid using real-specific versions of generic lemmas
huffman
parents:
36725
diff
changeset
|
747 |
by (auto intro!: order_antisym[of a b]) |
35582 | 748 |
|
749 |
lemma psfis_equiv: |
|
750 |
assumes "a \<in> psfis f" and "nonneg g" |
|
751 |
and "\<And>t. t \<in> space M \<Longrightarrow> f t = g t" |
|
752 |
shows "a \<in> psfis g" |
|
753 |
using assms unfolding psfis_def pos_simple_def by auto |
|
754 |
||
755 |
lemma psfis_mon_upclose: |
|
756 |
assumes "\<And>m. a m \<in> psfis (u m)" |
|
757 |
shows "\<exists>c. c \<in> psfis (mon_upclose n u)" |
|
758 |
proof (induct n) |
|
759 |
case 0 thus ?case unfolding mon_upclose.simps using assms .. |
|
760 |
next |
|
761 |
case (Suc n) |
|
762 |
then obtain sn an xn where ps: "(sn, an, xn) \<in> pos_simple (mon_upclose n u)" |
|
763 |
unfolding psfis_def by auto |
|
764 |
obtain ss as xs where ps': "(ss, as, xs) \<in> pos_simple (u (Suc n))" |
|
765 |
using assms[of "Suc n"] unfolding psfis_def by auto |
|
766 |
from pos_simple_common_partition[OF ps ps'] guess x x' a s . |
|
767 |
hence "(s, a, upclose x x') \<in> pos_simple (mon_upclose (Suc n) u)" |
|
768 |
by (simp add: upclose_def pos_simple_def nonneg_def max_def) |
|
769 |
thus ?case unfolding psfis_def by auto |
|
770 |
qed |
|
771 |
||
772 |
text {* Beppo-Levi monotone convergence theorem *} |
|
773 |
lemma nnfis_mon_conv: |
|
774 |
assumes mc: "mono_convergent f h (space M)" |
|
775 |
and nnfis: "\<And>n. x n \<in> nnfis (f n)" |
|
776 |
and "x ----> z" |
|
777 |
shows "z \<in> nnfis h" |
|
778 |
proof - |
|
779 |
have "\<forall>n. \<exists>u y. mono_convergent u (f n) (space M) \<and> (\<forall>m. y m \<in> psfis (u m)) \<and> |
|
780 |
y ----> x n" |
|
781 |
using nnfis unfolding nnfis_def by auto |
|
782 |
from choice[OF this] guess u .. |
|
783 |
from choice[OF this] guess y .. |
|
784 |
hence mc_u: "\<And>n. mono_convergent (u n) (f n) (space M)" |
|
785 |
and psfis: "\<And>n m. y n m \<in> psfis (u n m)" and "\<And>n. y n ----> x n" |
|
786 |
by auto |
|
787 |
||
788 |
let "?upclose n" = "mon_upclose n (\<lambda>m. u m n)" |
|
789 |
||
790 |
have "\<exists>c. \<forall>n. c n \<in> psfis (?upclose n)" |
|
791 |
by (safe intro!: choice psfis_mon_upclose) (rule psfis) |
|
792 |
then guess c .. note c = this[rule_format] |
|
793 |
||
794 |
show ?thesis unfolding nnfis_def |
|
795 |
proof (safe intro!: exI) |
|
796 |
show mc_upclose: "mono_convergent ?upclose h (space M)" |
|
797 |
by (rule mon_upclose_mono_convergent[OF mc_u mc]) |
|
798 |
show psfis_upclose: "\<And>n. c n \<in> psfis (?upclose n)" |
|
799 |
using c . |
|
800 |
||
801 |
{ fix n m :: nat assume "n \<le> m" |
|
802 |
hence "c n \<le> c m" |
|
803 |
using psfis_mono[OF c c] |
|
804 |
using mono_convergentD(1)[OF mc_upclose, unfolded incseq_def] |
|
805 |
by auto } |
|
806 |
hence "incseq c" unfolding incseq_def by auto |
|
807 |
||
808 |
{ fix n |
|
809 |
have c_nnfis: "c n \<in> nnfis (?upclose n)" using c by (rule psfis_nnfis) |
|
810 |
from nnfis_mono[OF c_nnfis nnfis] |
|
811 |
mon_upclose_le_mono_convergent[OF mc_u] |
|
812 |
mono_convergentD(1)[OF mc] |
|
813 |
have "c n \<le> x n" by fast } |
|
814 |
note c_less_x = this |
|
815 |
||
816 |
{ fix n |
|
817 |
note c_less_x[of n] |
|
818 |
also have "x n \<le> z" |
|
819 |
proof (rule incseq_le) |
|
820 |
show "x ----> z" by fact |
|
821 |
from mono_convergentD(1)[OF mc] |
|
822 |
show "incseq x" unfolding incseq_def |
|
823 |
by (auto intro!: nnfis_mono[OF nnfis nnfis]) |
|
824 |
qed |
|
825 |
finally have "c n \<le> z" . } |
|
826 |
note c_less_z = this |
|
827 |
||
828 |
have "convergent c" |
|
829 |
proof (rule Bseq_mono_convergent[unfolded incseq_def[symmetric]]) |
|
830 |
show "Bseq c" |
|
831 |
using pos_psfis[OF c] c_less_z |
|
832 |
by (auto intro!: BseqI'[of _ z]) |
|
833 |
show "incseq c" by fact |
|
834 |
qed |
|
835 |
then obtain l where l: "c ----> l" unfolding convergent_def by auto |
|
836 |
||
837 |
have "l \<le> z" using c_less_x l |
|
838 |
by (auto intro!: LIMSEQ_le[OF _ `x ----> z`]) |
|
839 |
moreover have "z \<le> l" |
|
840 |
proof (rule LIMSEQ_le_const2[OF `x ----> z`], safe intro!: exI[of _ 0]) |
|
841 |
fix n |
|
842 |
have "l \<in> nnfis h" |
|
843 |
unfolding nnfis_def using l mc_upclose psfis_upclose by auto |
|
844 |
from nnfis this mono_convergent_le[OF mc] |
|
845 |
show "x n \<le> l" by (rule nnfis_mono) |
|
846 |
qed |
|
36778
739a9379e29b
avoid using real-specific versions of generic lemmas
huffman
parents:
36725
diff
changeset
|
847 |
ultimately have "l = z" by (rule order_antisym) |
35582 | 848 |
thus "c ----> z" using `c ----> l` by simp |
849 |
qed |
|
850 |
qed |
|
851 |
||
852 |
lemma nnfis_pos_on_mspace: |
|
853 |
assumes "a \<in> nnfis f" and "x \<in>space M" |
|
854 |
shows "0 \<le> f x" |
|
855 |
using assms |
|
856 |
proof - |
|
857 |
from assms[unfolded nnfis_def] guess u y by auto note uy = this |
|
35748 | 858 |
hence "\<And> n. 0 \<le> u n x" |
35582 | 859 |
unfolding nnfis_def psfis_def pos_simple_def nonneg_def mono_convergent_def |
860 |
by auto |
|
861 |
thus "0 \<le> f x" using uy[rule_format] |
|
862 |
unfolding nnfis_def psfis_def pos_simple_def nonneg_def mono_convergent_def |
|
36778
739a9379e29b
avoid using real-specific versions of generic lemmas
huffman
parents:
36725
diff
changeset
|
863 |
using incseq_le[of "\<lambda> n. u n x" "f x"] order_trans |
35582 | 864 |
by fast |
865 |
qed |
|
866 |
||
867 |
lemma nnfis_borel_measurable: |
|
868 |
assumes "a \<in> nnfis f" |
|
869 |
shows "f \<in> borel_measurable M" |
|
870 |
using assms unfolding nnfis_def |
|
871 |
apply auto |
|
872 |
apply (rule mono_convergent_borel_measurable) |
|
873 |
using psfis_borel_measurable |
|
874 |
by auto |
|
875 |
||
876 |
lemma borel_measurable_mon_conv_psfis: |
|
877 |
assumes f_borel: "f \<in> borel_measurable M" |
|
878 |
and nonneg: "\<And>t. t \<in> space M \<Longrightarrow> 0 \<le> f t" |
|
879 |
shows"\<exists>u x. mono_convergent u f (space M) \<and> (\<forall>n. x n \<in> psfis (u n))" |
|
880 |
proof (safe intro!: exI) |
|
881 |
let "?I n" = "{0<..<n * 2^n}" |
|
882 |
let "?A n i" = "{w \<in> space M. real (i :: nat) / 2^(n::nat) \<le> f w \<and> f w < real (i + 1) / 2^n}" |
|
883 |
let "?u n t" = "\<Sum>i\<in>?I n. real i / 2^n * indicator_fn (?A n i) t" |
|
884 |
let "?x n" = "\<Sum>i\<in>?I n. real i / 2^n * measure M (?A n i)" |
|
885 |
||
886 |
let "?w n t" = "if f t < real n then real (natfloor (f t * 2^n)) / 2^n else 0" |
|
887 |
||
888 |
{ fix t n assume t: "t \<in> space M" |
|
889 |
have "?u n t = ?w n t" (is "_ = (if _ then real ?i / _ else _)") |
|
890 |
proof (cases "f t < real n") |
|
891 |
case True |
|
892 |
with nonneg t |
|
893 |
have i: "?i < n * 2^n" |
|
894 |
by (auto simp: real_of_nat_power[symmetric] |
|
895 |
intro!: less_natfloor mult_nonneg_nonneg) |
|
896 |
||
897 |
hence t_in_A: "t \<in> ?A n ?i" |
|
898 |
unfolding divide_le_eq less_divide_eq |
|
899 |
using nonneg t True |
|
900 |
by (auto intro!: real_natfloor_le |
|
901 |
real_natfloor_gt_diff_one[unfolded diff_less_eq] |
|
902 |
simp: real_of_nat_Suc zero_le_mult_iff) |
|
903 |
||
904 |
hence *: "real ?i / 2^n \<le> f t" |
|
905 |
"f t < real (?i + 1) / 2^n" by auto |
|
906 |
{ fix j assume "t \<in> ?A n j" |
|
907 |
hence "real j / 2^n \<le> f t" |
|
908 |
and "f t < real (j + 1) / 2^n" by auto |
|
909 |
with * have "j \<in> {?i}" unfolding divide_le_eq less_divide_eq |
|
910 |
by auto } |
|
911 |
hence *: "\<And>j. t \<in> ?A n j \<longleftrightarrow> j \<in> {?i}" using t_in_A by auto |
|
912 |
||
913 |
have "?u n t = real ?i / 2^n" |
|
914 |
unfolding indicator_fn_def if_distrib * |
|
915 |
setsum_cases[OF finite_greaterThanLessThan] |
|
916 |
using i by (cases "?i = 0") simp_all |
|
917 |
thus ?thesis using True by auto |
|
918 |
next |
|
919 |
case False |
|
920 |
have "?u n t = (\<Sum>i \<in> {0 <..< n*2^n}. 0)" |
|
921 |
proof (rule setsum_cong) |
|
922 |
fix i assume "i \<in> {0 <..< n*2^n}" |
|
923 |
hence "i + 1 \<le> n * 2^n" by simp |
|
924 |
hence "real (i + 1) \<le> real n * 2^n" |
|
925 |
unfolding real_of_nat_le_iff[symmetric] |
|
926 |
by (auto simp: real_of_nat_power[symmetric]) |
|
927 |
also have "... \<le> f t * 2^n" |
|
928 |
using False by (auto intro!: mult_nonneg_nonneg) |
|
929 |
finally have "t \<notin> ?A n i" |
|
930 |
by (auto simp: divide_le_eq less_divide_eq) |
|
931 |
thus "real i / 2^n * indicator_fn (?A n i) t = 0" |
|
932 |
unfolding indicator_fn_def by auto |
|
933 |
qed simp |
|
934 |
thus ?thesis using False by auto |
|
935 |
qed } |
|
936 |
note u_at_t = this |
|
937 |
||
938 |
show "mono_convergent ?u f (space M)" unfolding mono_convergent_def |
|
939 |
proof safe |
|
940 |
fix t assume t: "t \<in> space M" |
|
941 |
{ fix m n :: nat assume "m \<le> n" |
|
36844 | 942 |
hence *: "(2::real)^n = 2^m * 2^(n - m)" unfolding power_add[symmetric] by auto |
35582 | 943 |
have "real (natfloor (f t * 2^m) * natfloor (2^(n-m))) \<le> real (natfloor (f t * 2 ^ n))" |
944 |
apply (subst *) |
|
36844 | 945 |
apply (subst mult_assoc[symmetric]) |
35582 | 946 |
apply (subst real_of_nat_le_iff) |
947 |
apply (rule le_mult_natfloor) |
|
948 |
using nonneg[OF t] by (auto intro!: mult_nonneg_nonneg) |
|
949 |
hence "real (natfloor (f t * 2^m)) * 2^n \<le> real (natfloor (f t * 2^n)) * 2^m" |
|
950 |
apply (subst *) |
|
36844 | 951 |
apply (subst (3) mult_commute) |
952 |
apply (subst mult_assoc[symmetric]) |
|
35582 | 953 |
by (auto intro: mult_right_mono simp: natfloor_power real_of_nat_power[symmetric]) } |
954 |
thus "incseq (\<lambda>n. ?u n t)" unfolding u_at_t[OF t] unfolding incseq_def |
|
955 |
by (auto simp add: le_divide_eq divide_le_eq less_divide_eq) |
|
956 |
||
957 |
show "(\<lambda>i. ?u i t) ----> f t" unfolding u_at_t[OF t] |
|
958 |
proof (rule LIMSEQ_I, safe intro!: exI) |
|
959 |
fix r :: real and n :: nat |
|
960 |
let ?N = "natfloor (1/r) + 1" |
|
961 |
assume "0 < r" and N: "max ?N (natfloor (f t) + 1) \<le> n" |
|
962 |
hence "?N \<le> n" by auto |
|
963 |
||
964 |
have "1 / r < real (natfloor (1/r) + 1)" using real_natfloor_add_one_gt |
|
965 |
by (simp add: real_of_nat_Suc) |
|
966 |
also have "... < 2^?N" by (rule two_realpow_gt) |
|
967 |
finally have less_r: "1 / 2^?N < r" using `0 < r` |
|
968 |
by (auto simp: less_divide_eq divide_less_eq algebra_simps) |
|
969 |
||
970 |
have "f t < real (natfloor (f t) + 1)" using real_natfloor_add_one_gt[of "f t"] by auto |
|
971 |
also have "... \<le> real n" unfolding real_of_nat_le_iff using N by auto |
|
972 |
finally have "f t < real n" . |
|
973 |
||
974 |
have "real (natfloor (f t * 2^n)) \<le> f t * 2^n" |
|
975 |
using nonneg[OF t] by (auto intro!: real_natfloor_le mult_nonneg_nonneg) |
|
976 |
hence less: "real (natfloor (f t * 2^n)) / 2^n \<le> f t" unfolding divide_le_eq by auto |
|
977 |
||
978 |
have "f t * 2 ^ n - 1 < real (natfloor (f t * 2^n))" using real_natfloor_gt_diff_one . |
|
979 |
hence "f t - real (natfloor (f t * 2^n)) / 2^n < 1 / 2^n" |
|
980 |
by (auto simp: less_divide_eq divide_less_eq algebra_simps) |
|
981 |
also have "... \<le> 1 / 2^?N" using `?N \<le> n` |
|
982 |
by (auto intro!: divide_left_mono mult_pos_pos simp del: power_Suc) |
|
983 |
also have "... < r" using less_r . |
|
984 |
finally show "norm (?w n t - f t) < r" using `f t < real n` less by auto |
|
985 |
qed |
|
986 |
qed |
|
987 |
||
988 |
fix n |
|
989 |
show "?x n \<in> psfis (?u n)" |
|
990 |
proof (rule psfis_intro) |
|
991 |
show "?A n ` ?I n \<subseteq> sets M" |
|
992 |
proof safe |
|
993 |
fix i :: nat |
|
994 |
from Int[OF |
|
995 |
f_borel[unfolded borel_measurable_less_iff, rule_format, of "real (i+1) / 2^n"] |
|
996 |
f_borel[unfolded borel_measurable_ge_iff, rule_format, of "real i / 2^n"]] |
|
997 |
show "?A n i \<in> sets M" |
|
998 |
by (metis Collect_conj_eq Int_commute Int_left_absorb Int_left_commute) |
|
999 |
qed |
|
1000 |
show "nonneg (\<lambda>i :: nat. real i / 2 ^ n)" |
|
1001 |
unfolding nonneg_def by (auto intro!: divide_nonneg_pos) |
|
1002 |
qed auto |
|
1003 |
qed |
|
1004 |
||
1005 |
lemma nnfis_dom_conv: |
|
1006 |
assumes borel: "f \<in> borel_measurable M" |
|
1007 |
and nnfis: "b \<in> nnfis g" |
|
1008 |
and ord: "\<And>t. t \<in> space M \<Longrightarrow> f t \<le> g t" |
|
1009 |
and nonneg: "\<And>t. t \<in> space M \<Longrightarrow> 0 \<le> f t" |
|
1010 |
shows "\<exists>a. a \<in> nnfis f \<and> a \<le> b" |
|
1011 |
proof - |
|
1012 |
obtain u x where mc_f: "mono_convergent u f (space M)" and |
|
1013 |
psfis: "\<And>n. x n \<in> psfis (u n)" |
|
1014 |
using borel_measurable_mon_conv_psfis[OF borel nonneg] by auto |
|
1015 |
||
1016 |
{ fix n |
|
1017 |
{ fix t assume t: "t \<in> space M" |
|
1018 |
note mono_convergent_le[OF mc_f this, of n] |
|
1019 |
also note ord[OF t] |
|
1020 |
finally have "u n t \<le> g t" . } |
|
1021 |
from nnfis_mono[OF psfis_nnfis[OF psfis] nnfis this] |
|
1022 |
have "x n \<le> b" by simp } |
|
1023 |
note x_less_b = this |
|
1024 |
||
1025 |
have "convergent x" |
|
1026 |
proof (safe intro!: Bseq_mono_convergent) |
|
1027 |
from x_less_b pos_psfis[OF psfis] |
|
1028 |
show "Bseq x" by (auto intro!: BseqI'[of _ b]) |
|
1029 |
||
1030 |
fix n m :: nat assume *: "n \<le> m" |
|
1031 |
show "x n \<le> x m" |
|
1032 |
proof (rule psfis_mono[OF `x n \<in> psfis (u n)` `x m \<in> psfis (u m)`]) |
|
1033 |
fix t assume "t \<in> space M" |
|
1034 |
from mc_f[THEN mono_convergentD(1), unfolded incseq_def, OF this] |
|
1035 |
show "u n t \<le> u m t" using * by auto |
|
1036 |
qed |
|
1037 |
qed |
|
1038 |
then obtain a where "x ----> a" unfolding convergent_def by auto |
|
1039 |
with LIMSEQ_le_const2[OF `x ----> a`] x_less_b mc_f psfis |
|
1040 |
show ?thesis unfolding nnfis_def by auto |
|
1041 |
qed |
|
1042 |
||
1043 |
lemma the_nnfis[simp]: "a \<in> nnfis f \<Longrightarrow> (THE a. a \<in> nnfis f) = a" |
|
1044 |
by (auto intro: the_equality nnfis_unique) |
|
1045 |
||
1046 |
lemma nnfis_cong: |
|
1047 |
assumes cong: "\<And>x. x \<in> space M \<Longrightarrow> f x = g x" |
|
1048 |
shows "nnfis f = nnfis g" |
|
1049 |
proof - |
|
1050 |
{ fix f g :: "'a \<Rightarrow> real" assume cong: "\<And>x. x \<in> space M \<Longrightarrow> f x = g x" |
|
1051 |
fix x assume "x \<in> nnfis f" |
|
1052 |
then guess u y unfolding nnfis_def by safe note x = this |
|
1053 |
hence "mono_convergent u g (space M)" |
|
1054 |
unfolding mono_convergent_def using cong by auto |
|
1055 |
with x(2,3) have "x \<in> nnfis g" unfolding nnfis_def by auto } |
|
1056 |
from this[OF cong] this[OF cong[symmetric]] |
|
1057 |
show ?thesis by safe |
|
1058 |
qed |
|
1059 |
||
35692 | 1060 |
section "Lebesgue Integral" |
1061 |
||
1062 |
definition |
|
1063 |
"integrable f \<longleftrightarrow> (\<exists>x. x \<in> nnfis (pos_part f)) \<and> (\<exists>y. y \<in> nnfis (neg_part f))" |
|
1064 |
||
1065 |
definition |
|
1066 |
"integral f = (THE i :: real. i \<in> nnfis (pos_part f)) - (THE j. j \<in> nnfis (neg_part f))" |
|
1067 |
||
35582 | 1068 |
lemma integral_cong: |
1069 |
assumes cong: "\<And>x. x \<in> space M \<Longrightarrow> f x = g x" |
|
1070 |
shows "integral f = integral g" |
|
1071 |
proof - |
|
1072 |
have "nnfis (pos_part f) = nnfis (pos_part g)" |
|
1073 |
using cong by (auto simp: pos_part_def intro!: nnfis_cong) |
|
1074 |
moreover |
|
1075 |
have "nnfis (neg_part f) = nnfis (neg_part g)" |
|
1076 |
using cong by (auto simp: neg_part_def intro!: nnfis_cong) |
|
1077 |
ultimately show ?thesis |
|
1078 |
unfolding integral_def by auto |
|
1079 |
qed |
|
1080 |
||
1081 |
lemma nnfis_integral: |
|
1082 |
assumes "a \<in> nnfis f" |
|
1083 |
shows "integrable f" and "integral f = a" |
|
1084 |
proof - |
|
1085 |
have a: "a \<in> nnfis (pos_part f)" |
|
1086 |
using assms nnfis_pos_on_mspace[OF assms] |
|
1087 |
by (auto intro!: nnfis_mon_conv[of "\<lambda>i. f" _ "\<lambda>i. a"] |
|
1088 |
LIMSEQ_const simp: mono_convergent_def pos_part_def incseq_def max_def) |
|
1089 |
||
1090 |
have "\<And>t. t \<in> space M \<Longrightarrow> neg_part f t = 0" |
|
1091 |
unfolding neg_part_def min_def |
|
1092 |
using nnfis_pos_on_mspace[OF assms] by auto |
|
1093 |
hence 0: "0 \<in> nnfis (neg_part f)" |
|
1094 |
by (auto simp: nnfis_def mono_convergent_def psfis_0 incseq_def |
|
1095 |
intro!: LIMSEQ_const exI[of _ "\<lambda> x n. 0"] exI[of _ "\<lambda> n. 0"]) |
|
1096 |
||
1097 |
from 0 a show "integrable f" "integral f = a" |
|
1098 |
unfolding integrable_def integral_def by auto |
|
1099 |
qed |
|
1100 |
||
1101 |
lemma nnfis_minus_nnfis_integral: |
|
1102 |
assumes "a \<in> nnfis f" and "b \<in> nnfis g" |
|
1103 |
shows "integrable (\<lambda>t. f t - g t)" and "integral (\<lambda>t. f t - g t) = a - b" |
|
1104 |
proof - |
|
1105 |
have borel: "(\<lambda>t. f t - g t) \<in> borel_measurable M" using assms |
|
1106 |
by (blast intro: |
|
1107 |
borel_measurable_diff_borel_measurable nnfis_borel_measurable) |
|
1108 |
||
1109 |
have "\<exists>x. x \<in> nnfis (pos_part (\<lambda>t. f t - g t)) \<and> x \<le> a + b" |
|
1110 |
(is "\<exists>x. x \<in> nnfis ?pp \<and> _") |
|
1111 |
proof (rule nnfis_dom_conv) |
|
1112 |
show "?pp \<in> borel_measurable M" |
|
35692 | 1113 |
using borel by (rule pos_part_borel_measurable neg_part_borel_measurable) |
35582 | 1114 |
show "a + b \<in> nnfis (\<lambda>t. f t + g t)" using assms by (rule nnfis_add) |
1115 |
fix t assume "t \<in> space M" |
|
1116 |
with assms nnfis_add assms[THEN nnfis_pos_on_mspace[OF _ this]] |
|
1117 |
show "?pp t \<le> f t + g t" unfolding pos_part_def by auto |
|
1118 |
show "0 \<le> ?pp t" using nonneg_pos_part[of "\<lambda>t. f t - g t"] |
|
1119 |
unfolding nonneg_def by auto |
|
1120 |
qed |
|
1121 |
then obtain x where x: "x \<in> nnfis ?pp" by auto |
|
1122 |
moreover |
|
1123 |
have "\<exists>x. x \<in> nnfis (neg_part (\<lambda>t. f t - g t)) \<and> x \<le> a + b" |
|
1124 |
(is "\<exists>x. x \<in> nnfis ?np \<and> _") |
|
1125 |
proof (rule nnfis_dom_conv) |
|
1126 |
show "?np \<in> borel_measurable M" |
|
35692 | 1127 |
using borel by (rule pos_part_borel_measurable neg_part_borel_measurable) |
35582 | 1128 |
show "a + b \<in> nnfis (\<lambda>t. f t + g t)" using assms by (rule nnfis_add) |
1129 |
fix t assume "t \<in> space M" |
|
1130 |
with assms nnfis_add assms[THEN nnfis_pos_on_mspace[OF _ this]] |
|
1131 |
show "?np t \<le> f t + g t" unfolding neg_part_def by auto |
|
1132 |
show "0 \<le> ?np t" using nonneg_neg_part[of "\<lambda>t. f t - g t"] |
|
1133 |
unfolding nonneg_def by auto |
|
1134 |
qed |
|
1135 |
then obtain y where y: "y \<in> nnfis ?np" by auto |
|
1136 |
ultimately show "integrable (\<lambda>t. f t - g t)" |
|
1137 |
unfolding integrable_def by auto |
|
1138 |
||
1139 |
from x and y |
|
1140 |
have "a + y \<in> nnfis (\<lambda>t. f t + ?np t)" |
|
1141 |
and "b + x \<in> nnfis (\<lambda>t. g t + ?pp t)" using assms by (auto intro: nnfis_add) |
|
1142 |
moreover |
|
1143 |
have "\<And>t. f t + ?np t = g t + ?pp t" |
|
1144 |
unfolding pos_part_def neg_part_def by auto |
|
1145 |
ultimately have "a - b = x - y" |
|
1146 |
using nnfis_unique by (auto simp: algebra_simps) |
|
1147 |
thus "integral (\<lambda>t. f t - g t) = a - b" |
|
1148 |
unfolding integral_def |
|
1149 |
using the_nnfis[OF x] the_nnfis[OF y] by simp |
|
1150 |
qed |
|
1151 |
||
1152 |
lemma integral_borel_measurable: |
|
1153 |
"integrable f \<Longrightarrow> f \<in> borel_measurable M" |
|
1154 |
unfolding integrable_def |
|
1155 |
by (subst pos_part_neg_part_borel_measurable_iff) |
|
1156 |
(auto intro: nnfis_borel_measurable) |
|
1157 |
||
1158 |
lemma integral_indicator_fn: |
|
1159 |
assumes "a \<in> sets M" |
|
1160 |
shows "integral (indicator_fn a) = measure M a" |
|
1161 |
and "integrable (indicator_fn a)" |
|
1162 |
using psfis_indicator[OF assms, THEN psfis_nnfis] |
|
1163 |
by (auto intro!: nnfis_integral) |
|
1164 |
||
1165 |
lemma integral_add: |
|
1166 |
assumes "integrable f" and "integrable g" |
|
1167 |
shows "integrable (\<lambda>t. f t + g t)" |
|
1168 |
and "integral (\<lambda>t. f t + g t) = integral f + integral g" |
|
1169 |
proof - |
|
1170 |
{ fix t |
|
1171 |
have "pos_part f t + pos_part g t - (neg_part f t + neg_part g t) = |
|
1172 |
f t + g t" |
|
1173 |
unfolding pos_part_def neg_part_def by auto } |
|
1174 |
note part_sum = this |
|
1175 |
||
1176 |
from assms obtain a b c d where |
|
1177 |
a: "a \<in> nnfis (pos_part f)" and b: "b \<in> nnfis (neg_part f)" and |
|
1178 |
c: "c \<in> nnfis (pos_part g)" and d: "d \<in> nnfis (neg_part g)" |
|
1179 |
unfolding integrable_def by auto |
|
1180 |
note sums = nnfis_add[OF a c] nnfis_add[OF b d] |
|
1181 |
note int = nnfis_minus_nnfis_integral[OF sums, unfolded part_sum] |
|
1182 |
||
1183 |
show "integrable (\<lambda>t. f t + g t)" using int(1) . |
|
1184 |
||
1185 |
show "integral (\<lambda>t. f t + g t) = integral f + integral g" |
|
1186 |
using int(2) sums a b c d by (simp add: the_nnfis integral_def) |
|
1187 |
qed |
|
1188 |
||
1189 |
lemma integral_mono: |
|
1190 |
assumes "integrable f" and "integrable g" |
|
1191 |
and mono: "\<And>t. t \<in> space M \<Longrightarrow> f t \<le> g t" |
|
1192 |
shows "integral f \<le> integral g" |
|
1193 |
proof - |
|
1194 |
from assms obtain a b c d where |
|
1195 |
a: "a \<in> nnfis (pos_part f)" and b: "b \<in> nnfis (neg_part f)" and |
|
1196 |
c: "c \<in> nnfis (pos_part g)" and d: "d \<in> nnfis (neg_part g)" |
|
1197 |
unfolding integrable_def by auto |
|
1198 |
||
1199 |
have "a \<le> c" |
|
1200 |
proof (rule nnfis_mono[OF a c]) |
|
1201 |
fix t assume "t \<in> space M" |
|
1202 |
from mono[OF this] show "pos_part f t \<le> pos_part g t" |
|
1203 |
unfolding pos_part_def by auto |
|
1204 |
qed |
|
1205 |
moreover have "d \<le> b" |
|
1206 |
proof (rule nnfis_mono[OF d b]) |
|
1207 |
fix t assume "t \<in> space M" |
|
1208 |
from mono[OF this] show "neg_part g t \<le> neg_part f t" |
|
1209 |
unfolding neg_part_def by auto |
|
1210 |
qed |
|
1211 |
ultimately have "a - b \<le> c - d" by auto |
|
1212 |
thus ?thesis unfolding integral_def |
|
1213 |
using a b c d by (simp add: the_nnfis) |
|
1214 |
qed |
|
1215 |
||
1216 |
lemma integral_uminus: |
|
1217 |
assumes "integrable f" |
|
1218 |
shows "integrable (\<lambda>t. - f t)" |
|
1219 |
and "integral (\<lambda>t. - f t) = - integral f" |
|
1220 |
proof - |
|
1221 |
have "pos_part f = neg_part (\<lambda>t.-f t)" and "neg_part f = pos_part (\<lambda>t.-f t)" |
|
1222 |
unfolding pos_part_def neg_part_def by (auto intro!: ext) |
|
1223 |
with assms show "integrable (\<lambda>t.-f t)" and "integral (\<lambda>t.-f t) = -integral f" |
|
1224 |
unfolding integrable_def integral_def by simp_all |
|
1225 |
qed |
|
1226 |
||
1227 |
lemma integral_times_const: |
|
1228 |
assumes "integrable f" |
|
1229 |
shows "integrable (\<lambda>t. a * f t)" (is "?P a") |
|
1230 |
and "integral (\<lambda>t. a * f t) = a * integral f" (is "?I a") |
|
1231 |
proof - |
|
1232 |
{ fix a :: real assume "0 \<le> a" |
|
1233 |
hence "pos_part (\<lambda>t. a * f t) = (\<lambda>t. a * pos_part f t)" |
|
1234 |
and "neg_part (\<lambda>t. a * f t) = (\<lambda>t. a * neg_part f t)" |
|
1235 |
unfolding pos_part_def neg_part_def max_def min_def |
|
1236 |
by (auto intro!: ext simp: zero_le_mult_iff) |
|
1237 |
moreover |
|
1238 |
obtain x y where x: "x \<in> nnfis (pos_part f)" and y: "y \<in> nnfis (neg_part f)" |
|
1239 |
using assms unfolding integrable_def by auto |
|
1240 |
ultimately |
|
1241 |
have "a * x \<in> nnfis (pos_part (\<lambda>t. a * f t))" and |
|
1242 |
"a * y \<in> nnfis (neg_part (\<lambda>t. a * f t))" |
|
1243 |
using nnfis_times[OF _ `0 \<le> a`] by auto |
|
1244 |
with x y have "?P a \<and> ?I a" |
|
1245 |
unfolding integrable_def integral_def by (auto simp: algebra_simps) } |
|
1246 |
note int = this |
|
1247 |
||
1248 |
have "?P a \<and> ?I a" |
|
1249 |
proof (cases "0 \<le> a") |
|
1250 |
case True from int[OF this] show ?thesis . |
|
1251 |
next |
|
1252 |
case False with int[of "- a"] integral_uminus[of "\<lambda>t. - a * f t"] |
|
1253 |
show ?thesis by auto |
|
1254 |
qed |
|
1255 |
thus "integrable (\<lambda>t. a * f t)" |
|
1256 |
and "integral (\<lambda>t. a * f t) = a * integral f" by simp_all |
|
1257 |
qed |
|
1258 |
||
1259 |
lemma integral_cmul_indicator: |
|
1260 |
assumes "s \<in> sets M" |
|
1261 |
shows "integral (\<lambda>x. c * indicator_fn s x) = c * (measure M s)" |
|
1262 |
and "integrable (\<lambda>x. c * indicator_fn s x)" |
|
1263 |
using assms integral_times_const integral_indicator_fn by auto |
|
1264 |
||
1265 |
lemma integral_zero: |
|
1266 |
shows "integral (\<lambda>x. 0) = 0" |
|
1267 |
and "integrable (\<lambda>x. 0)" |
|
1268 |
using integral_cmul_indicator[OF empty_sets, of 0] |
|
1269 |
unfolding indicator_fn_def by auto |
|
1270 |
||
1271 |
lemma integral_setsum: |
|
1272 |
assumes "finite S" |
|
1273 |
assumes "\<And>n. n \<in> S \<Longrightarrow> integrable (f n)" |
|
1274 |
shows "integral (\<lambda>x. \<Sum> i \<in> S. f i x) = (\<Sum> i \<in> S. integral (f i))" (is "?int S") |
|
1275 |
and "integrable (\<lambda>x. \<Sum> i \<in> S. f i x)" (is "?I s") |
|
1276 |
proof - |
|
1277 |
from assms have "?int S \<and> ?I S" |
|
1278 |
proof (induct S) |
|
1279 |
case empty thus ?case by (simp add: integral_zero) |
|
1280 |
next |
|
1281 |
case (insert i S) |
|
1282 |
thus ?case |
|
1283 |
apply simp |
|
1284 |
apply (subst integral_add) |
|
1285 |
using assms apply auto |
|
1286 |
apply (subst integral_add) |
|
1287 |
using assms by auto |
|
1288 |
qed |
|
1289 |
thus "?int S" and "?I S" by auto |
|
1290 |
qed |
|
1291 |
||
36624 | 1292 |
lemma (in measure_space) integrable_abs: |
1293 |
assumes "integrable f" |
|
1294 |
shows "integrable (\<lambda> x. \<bar>f x\<bar>)" |
|
1295 |
using assms |
|
1296 |
proof - |
|
1297 |
from assms obtain p q where pq: "p \<in> nnfis (pos_part f)" "q \<in> nnfis (neg_part f)" |
|
1298 |
unfolding integrable_def by auto |
|
1299 |
hence "p + q \<in> nnfis (\<lambda> x. pos_part f x + neg_part f x)" |
|
1300 |
using nnfis_add by auto |
|
1301 |
hence "p + q \<in> nnfis (\<lambda> x. \<bar>f x\<bar>)" using pos_neg_part_abs[of f] by simp |
|
1302 |
thus ?thesis unfolding integrable_def |
|
1303 |
using ext[OF pos_part_abs[of f], of "\<lambda> y. y"] |
|
1304 |
ext[OF neg_part_abs[of f], of "\<lambda> y. y"] |
|
1305 |
using nnfis_0 by auto |
|
1306 |
qed |
|
1307 |
||
35582 | 1308 |
lemma markov_ineq: |
1309 |
assumes "integrable f" "0 < a" "integrable (\<lambda>x. \<bar>f x\<bar>^n)" |
|
1310 |
shows "measure M (f -` {a ..} \<inter> space M) \<le> integral (\<lambda>x. \<bar>f x\<bar>^n) / a^n" |
|
1311 |
using assms |
|
1312 |
proof - |
|
1313 |
from assms have "0 < a ^ n" using real_root_pow_pos by auto |
|
1314 |
from assms have "f \<in> borel_measurable M" |
|
1315 |
using integral_borel_measurable[OF `integrable f`] by auto |
|
1316 |
hence w: "{w . w \<in> space M \<and> a \<le> f w} \<in> sets M" |
|
1317 |
using borel_measurable_ge_iff by auto |
|
1318 |
have i: "integrable (indicator_fn {w . w \<in> space M \<and> a \<le> f w})" |
|
1319 |
using integral_indicator_fn[OF w] by simp |
|
1320 |
have v1: "\<And> t. a ^ n * (indicator_fn {w . w \<in> space M \<and> a \<le> f w}) t |
|
1321 |
\<le> (f t) ^ n * (indicator_fn {w . w \<in> space M \<and> a \<le> f w}) t" |
|
1322 |
unfolding indicator_fn_def |
|
1323 |
using `0 < a` power_mono[of a] assms by auto |
|
1324 |
have v2: "\<And> t. (f t) ^ n * (indicator_fn {w . w \<in> space M \<and> a \<le> f w}) t \<le> \<bar>f t\<bar> ^ n" |
|
1325 |
unfolding indicator_fn_def |
|
1326 |
using power_mono[of a _ n] abs_ge_self `a > 0` |
|
1327 |
by auto |
|
1328 |
have "{w \<in> space M. a \<le> f w} \<inter> space M = {w . a \<le> f w} \<inter> space M" |
|
1329 |
using Collect_eq by auto |
|
1330 |
from Int_absorb2[OF sets_into_space[OF w]] `0 < a ^ n` sets_into_space[OF w] w this |
|
1331 |
have "(a ^ n) * (measure M ((f -` {y . a \<le> y}) \<inter> space M)) = |
|
1332 |
(a ^ n) * measure M {w . w \<in> space M \<and> a \<le> f w}" |
|
1333 |
unfolding vimage_Collect_eq[of f] by simp |
|
1334 |
also have "\<dots> = integral (\<lambda> t. a ^ n * (indicator_fn {w . w \<in> space M \<and> a \<le> f w}) t)" |
|
1335 |
using integral_cmul_indicator[OF w] i by auto |
|
1336 |
also have "\<dots> \<le> integral (\<lambda> t. \<bar> f t \<bar> ^ n)" |
|
1337 |
apply (rule integral_mono) |
|
1338 |
using integral_cmul_indicator[OF w] |
|
36778
739a9379e29b
avoid using real-specific versions of generic lemmas
huffman
parents:
36725
diff
changeset
|
1339 |
`integrable (\<lambda> x. \<bar>f x\<bar> ^ n)` order_trans[OF v1 v2] by auto |
35582 | 1340 |
finally show "measure M (f -` {a ..} \<inter> space M) \<le> integral (\<lambda>x. \<bar>f x\<bar>^n) / a^n" |
1341 |
unfolding atLeast_def |
|
36778
739a9379e29b
avoid using real-specific versions of generic lemmas
huffman
parents:
36725
diff
changeset
|
1342 |
by (auto intro!: mult_imp_le_div_pos[OF `0 < a ^ n`], simp add: mult_commute) |
35582 | 1343 |
qed |
1344 |
||
36624 | 1345 |
lemma (in measure_space) integral_0: |
1346 |
fixes f :: "'a \<Rightarrow> real" |
|
1347 |
assumes "integrable f" "integral f = 0" "nonneg f" and borel: "f \<in> borel_measurable M" |
|
1348 |
shows "measure M ({x. f x \<noteq> 0} \<inter> space M) = 0" |
|
1349 |
proof - |
|
1350 |
have "{x. f x \<noteq> 0} = {x. \<bar>f x\<bar> > 0}" by auto |
|
1351 |
moreover |
|
1352 |
{ fix y assume "y \<in> {x. \<bar> f x \<bar> > 0}" |
|
1353 |
hence "\<bar> f y \<bar> > 0" by auto |
|
1354 |
hence "\<exists> n. \<bar>f y\<bar> \<ge> inverse (real (Suc n))" |
|
1355 |
using ex_inverse_of_nat_Suc_less[of "\<bar>f y\<bar>"] less_imp_le unfolding real_of_nat_def by auto |
|
1356 |
hence "y \<in> (\<Union> n. {x. \<bar>f x\<bar> \<ge> inverse (real (Suc n))})" |
|
1357 |
by auto } |
|
1358 |
moreover |
|
1359 |
{ fix y assume "y \<in> (\<Union> n. {x. \<bar>f x\<bar> \<ge> inverse (real (Suc n))})" |
|
1360 |
then obtain n where n: "y \<in> {x. \<bar>f x\<bar> \<ge> inverse (real (Suc n))}" by auto |
|
1361 |
hence "\<bar>f y\<bar> \<ge> inverse (real (Suc n))" by auto |
|
1362 |
hence "\<bar>f y\<bar> > 0" |
|
1363 |
using real_of_nat_Suc_gt_zero |
|
1364 |
positive_imp_inverse_positive[of "real_of_nat (Suc n)"] by fastsimp |
|
1365 |
hence "y \<in> {x. \<bar>f x\<bar> > 0}" by auto } |
|
1366 |
ultimately have fneq0_UN: "{x. f x \<noteq> 0} = (\<Union> n. {x. \<bar>f x\<bar> \<ge> inverse (real (Suc n))})" |
|
1367 |
by blast |
|
1368 |
{ fix n |
|
1369 |
have int_one: "integrable (\<lambda> x. \<bar>f x\<bar> ^ 1)" using integrable_abs assms by auto |
|
1370 |
have "measure M (f -` {inverse (real (Suc n))..} \<inter> space M) |
|
1371 |
\<le> integral (\<lambda> x. \<bar>f x\<bar> ^ 1) / (inverse (real (Suc n)) ^ 1)" |
|
1372 |
using markov_ineq[OF `integrable f` _ int_one] real_of_nat_Suc_gt_zero by auto |
|
1373 |
hence le0: "measure M (f -` {inverse (real (Suc n))..} \<inter> space M) \<le> 0" |
|
1374 |
using assms unfolding nonneg_def by auto |
|
1375 |
have "{x. f x \<ge> inverse (real (Suc n))} \<inter> space M \<in> sets M" |
|
1376 |
apply (subst Int_commute) unfolding Int_def |
|
1377 |
using borel[unfolded borel_measurable_ge_iff] by simp |
|
1378 |
hence m0: "measure M ({x. f x \<ge> inverse (real (Suc n))} \<inter> space M) = 0 \<and> |
|
1379 |
{x. f x \<ge> inverse (real (Suc n))} \<inter> space M \<in> sets M" |
|
1380 |
using positive le0 unfolding atLeast_def by fastsimp } |
|
1381 |
moreover hence "range (\<lambda> n. {x. f x \<ge> inverse (real (Suc n))} \<inter> space M) \<subseteq> sets M" |
|
1382 |
by auto |
|
1383 |
moreover |
|
1384 |
{ fix n |
|
1385 |
have "inverse (real (Suc n)) \<ge> inverse (real (Suc (Suc n)))" |
|
1386 |
using less_imp_inverse_less real_of_nat_Suc_gt_zero[of n] by fastsimp |
|
1387 |
hence "\<And> x. f x \<ge> inverse (real (Suc n)) \<Longrightarrow> f x \<ge> inverse (real (Suc (Suc n)))" by (rule order_trans) |
|
1388 |
hence "{x. f x \<ge> inverse (real (Suc n))} \<inter> space M |
|
1389 |
\<subseteq> {x. f x \<ge> inverse (real (Suc (Suc n)))} \<inter> space M" by auto } |
|
1390 |
ultimately have "(\<lambda> x. 0) ----> measure M (\<Union> n. {x. f x \<ge> inverse (real (Suc n))} \<inter> space M)" |
|
1391 |
using monotone_convergence[of "\<lambda> n. {x. f x \<ge> inverse (real (Suc n))} \<inter> space M"] |
|
1392 |
unfolding o_def by (simp del: of_nat_Suc) |
|
1393 |
hence "measure M (\<Union> n. {x. f x \<ge> inverse (real (Suc n))} \<inter> space M) = 0" |
|
1394 |
using LIMSEQ_const[of 0] LIMSEQ_unique by simp |
|
1395 |
hence "measure M ((\<Union> n. {x. \<bar>f x\<bar> \<ge> inverse (real (Suc n))}) \<inter> space M) = 0" |
|
1396 |
using assms unfolding nonneg_def by auto |
|
1397 |
thus "measure M ({x. f x \<noteq> 0} \<inter> space M) = 0" using fneq0_UN by simp |
|
1398 |
qed |
|
1399 |
||
35748 | 1400 |
section "Lebesgue integration on countable spaces" |
1401 |
||
1402 |
lemma nnfis_on_countable: |
|
1403 |
assumes borel: "f \<in> borel_measurable M" |
|
1404 |
and bij: "bij_betw enum S (f ` space M - {0})" |
|
1405 |
and enum_zero: "enum ` (-S) \<subseteq> {0}" |
|
1406 |
and nn_enum: "\<And>n. 0 \<le> enum n" |
|
1407 |
and sums: "(\<lambda>r. enum r * measure M (f -` {enum r} \<inter> space M)) sums x" (is "?sum sums x") |
|
1408 |
shows "x \<in> nnfis f" |
|
1409 |
proof - |
|
1410 |
have inj_enum: "inj_on enum S" |
|
1411 |
and range_enum: "enum ` S = f ` space M - {0}" |
|
1412 |
using bij by (auto simp: bij_betw_def) |
|
1413 |
||
1414 |
let "?x n z" = "\<Sum>i = 0..<n. enum i * indicator_fn (f -` {enum i} \<inter> space M) z" |
|
1415 |
||
1416 |
show ?thesis |
|
1417 |
proof (rule nnfis_mon_conv) |
|
1418 |
show "(\<lambda>n. \<Sum>i = 0..<n. ?sum i) ----> x" using sums unfolding sums_def . |
|
1419 |
next |
|
1420 |
fix n |
|
1421 |
show "(\<Sum>i = 0..<n. ?sum i) \<in> nnfis (?x n)" |
|
1422 |
proof (induct n) |
|
1423 |
case 0 thus ?case by (simp add: nnfis_0) |
|
1424 |
next |
|
1425 |
case (Suc n) thus ?case using nn_enum |
|
1426 |
by (auto intro!: nnfis_add nnfis_times psfis_nnfis[OF psfis_indicator] borel_measurable_vimage[OF borel]) |
|
1427 |
qed |
|
1428 |
next |
|
1429 |
show "mono_convergent ?x f (space M)" |
|
1430 |
proof (rule mono_convergentI) |
|
1431 |
fix x |
|
1432 |
show "incseq (\<lambda>n. ?x n x)" |
|
1433 |
by (rule incseq_SucI, auto simp: indicator_fn_def nn_enum) |
|
1434 |
||
1435 |
have fin: "\<And>n. finite (enum ` ({0..<n} \<inter> S))" by auto |
|
1436 |
||
1437 |
assume "x \<in> space M" |
|
1438 |
hence "f x \<in> enum ` S \<or> f x = 0" using range_enum by auto |
|
1439 |
thus "(\<lambda>n. ?x n x) ----> f x" |
|
1440 |
proof (rule disjE) |
|
1441 |
assume "f x \<in> enum ` S" |
|
1442 |
then obtain i where "i \<in> S" and "f x = enum i" by auto |
|
1443 |
||
1444 |
{ fix n |
|
1445 |
have sum_ranges: |
|
1446 |
"i < n \<Longrightarrow> enum`({0..<n} \<inter> S) \<inter> {z. enum i = z \<and> x\<in>space M} = {enum i}" |
|
1447 |
"\<not> i < n \<Longrightarrow> enum`({0..<n} \<inter> S) \<inter> {z. enum i = z \<and> x\<in>space M} = {}" |
|
1448 |
using `x \<in> space M` `i \<in> S` inj_enum[THEN inj_on_iff] by auto |
|
1449 |
have "?x n x = |
|
1450 |
(\<Sum>i \<in> {0..<n} \<inter> S. enum i * indicator_fn (f -` {enum i} \<inter> space M) x)" |
|
1451 |
using enum_zero by (auto intro!: setsum_mono_zero_cong_right) |
|
1452 |
also have "... = |
|
1453 |
(\<Sum>z \<in> enum`({0..<n} \<inter> S). z * indicator_fn (f -` {z} \<inter> space M) x)" |
|
1454 |
using inj_enum[THEN subset_inj_on] by (auto simp: setsum_reindex) |
|
1455 |
also have "... = (if i < n then f x else 0)" |
|
1456 |
unfolding indicator_fn_def if_distrib[where x=1 and y=0] |
|
1457 |
setsum_cases[OF fin] |
|
1458 |
using sum_ranges `f x = enum i` |
|
1459 |
by auto |
|
1460 |
finally have "?x n x = (if i < n then f x else 0)" . } |
|
1461 |
note sum_equals_if = this |
|
1462 |
||
1463 |
show ?thesis unfolding sum_equals_if |
|
1464 |
by (rule LIMSEQ_offset[where k="i + 1"]) (auto intro!: LIMSEQ_const) |
|
1465 |
next |
|
1466 |
assume "f x = 0" |
|
1467 |
{ fix n have "?x n x = 0" |
|
1468 |
unfolding indicator_fn_def if_distrib[where x=1 and y=0] |
|
1469 |
setsum_cases[OF finite_atLeastLessThan] |
|
1470 |
using `f x = 0` `x \<in> space M` |
|
1471 |
by (auto split: split_if) } |
|
1472 |
thus ?thesis using `f x = 0` by (auto intro!: LIMSEQ_const) |
|
1473 |
qed |
|
1474 |
qed |
|
1475 |
qed |
|
1476 |
qed |
|
1477 |
||
1478 |
lemma integral_on_countable: |
|
35833 | 1479 |
fixes enum :: "nat \<Rightarrow> real" |
35748 | 1480 |
assumes borel: "f \<in> borel_measurable M" |
1481 |
and bij: "bij_betw enum S (f ` space M)" |
|
1482 |
and enum_zero: "enum ` (-S) \<subseteq> {0}" |
|
1483 |
and abs_summable: "summable (\<lambda>r. \<bar>enum r * measure M (f -` {enum r} \<inter> space M)\<bar>)" |
|
1484 |
shows "integrable f" |
|
1485 |
and "integral f = (\<Sum>r. enum r * measure M (f -` {enum r} \<inter> space M))" (is "_ = suminf (?sum f enum)") |
|
1486 |
proof - |
|
1487 |
{ fix f enum |
|
1488 |
assume borel: "f \<in> borel_measurable M" |
|
1489 |
and bij: "bij_betw enum S (f ` space M)" |
|
1490 |
and enum_zero: "enum ` (-S) \<subseteq> {0}" |
|
1491 |
and abs_summable: "summable (\<lambda>r. \<bar>enum r * measure M (f -` {enum r} \<inter> space M)\<bar>)" |
|
1492 |
have inj_enum: "inj_on enum S" and range_enum: "f ` space M = enum ` S" |
|
1493 |
using bij unfolding bij_betw_def by auto |
|
1494 |
||
1495 |
have [simp, intro]: "\<And>X. 0 \<le> measure M (f -` {X} \<inter> space M)" |
|
1496 |
by (rule positive, rule borel_measurable_vimage[OF borel]) |
|
1497 |
||
1498 |
have "(\<Sum>r. ?sum (pos_part f) (pos_part enum) r) \<in> nnfis (pos_part f) \<and> |
|
1499 |
summable (\<lambda>r. ?sum (pos_part f) (pos_part enum) r)" |
|
1500 |
proof (rule conjI, rule nnfis_on_countable) |
|
1501 |
have pos_f_image: "pos_part f ` space M - {0} = f ` space M \<inter> {0<..}" |
|
1502 |
unfolding pos_part_def max_def by auto |
|
1503 |
||
1504 |
show "bij_betw (pos_part enum) {x \<in> S. 0 < enum x} (pos_part f ` space M - {0})" |
|
1505 |
unfolding bij_betw_def pos_f_image |
|
1506 |
unfolding pos_part_def max_def range_enum |
|
1507 |
by (auto intro!: inj_onI simp: inj_enum[THEN inj_on_eq_iff]) |
|
1508 |
||
1509 |
show "\<And>n. 0 \<le> pos_part enum n" unfolding pos_part_def max_def by auto |
|
1510 |
||
1511 |
show "pos_part f \<in> borel_measurable M" |
|
1512 |
by (rule pos_part_borel_measurable[OF borel]) |
|
1513 |
||
1514 |
show "pos_part enum ` (- {x \<in> S. 0 < enum x}) \<subseteq> {0}" |
|
1515 |
unfolding pos_part_def max_def using enum_zero by auto |
|
1516 |
||
1517 |
show "summable (\<lambda>r. ?sum (pos_part f) (pos_part enum) r)" |
|
1518 |
proof (rule summable_comparison_test[OF _ abs_summable], safe intro!: exI[of _ 0]) |
|
1519 |
fix n :: nat |
|
1520 |
have "pos_part enum n \<noteq> 0 \<Longrightarrow> (pos_part f -` {enum n} \<inter> space M) = |
|
1521 |
(if 0 < enum n then (f -` {enum n} \<inter> space M) else {})" |
|
1522 |
unfolding pos_part_def max_def by (auto split: split_if_asm) |
|
1523 |
thus "norm (?sum (pos_part f) (pos_part enum) n) \<le> \<bar>?sum f enum n \<bar>" |
|
1524 |
by (cases "pos_part enum n = 0", |
|
1525 |
auto simp: pos_part_def max_def abs_mult not_le split: split_if_asm intro!: mult_nonpos_nonneg) |
|
1526 |
qed |
|
1527 |
thus "(\<lambda>r. ?sum (pos_part f) (pos_part enum) r) sums (\<Sum>r. ?sum (pos_part f) (pos_part enum) r)" |
|
1528 |
by (rule summable_sums) |
|
1529 |
qed } |
|
1530 |
note pos = this |
|
1531 |
||
1532 |
note pos_part = pos[OF assms(1-4)] |
|
1533 |
moreover |
|
1534 |
have neg_part_to_pos_part: |
|
1535 |
"\<And>f :: _ \<Rightarrow> real. neg_part f = pos_part (uminus \<circ> f)" |
|
1536 |
by (auto simp: pos_part_def neg_part_def min_def max_def expand_fun_eq) |
|
1537 |
||
1538 |
have neg_part: "(\<Sum>r. ?sum (neg_part f) (neg_part enum) r) \<in> nnfis (neg_part f) \<and> |
|
1539 |
summable (\<lambda>r. ?sum (neg_part f) (neg_part enum) r)" |
|
1540 |
unfolding neg_part_to_pos_part |
|
1541 |
proof (rule pos) |
|
1542 |
show "uminus \<circ> f \<in> borel_measurable M" unfolding comp_def |
|
1543 |
by (rule borel_measurable_uminus_borel_measurable[OF borel]) |
|
1544 |
||
1545 |
show "bij_betw (uminus \<circ> enum) S ((uminus \<circ> f) ` space M)" |
|
1546 |
using bij unfolding bij_betw_def |
|
1547 |
by (auto intro!: comp_inj_on simp: image_compose) |
|
1548 |
||
1549 |
show "(uminus \<circ> enum) ` (- S) \<subseteq> {0}" |
|
1550 |
using enum_zero by auto |
|
1551 |
||
1552 |
have minus_image: "\<And>r. (uminus \<circ> f) -` {(uminus \<circ> enum) r} \<inter> space M = f -` {enum r} \<inter> space M" |
|
1553 |
by auto |
|
1554 |
show "summable (\<lambda>r. \<bar>(uminus \<circ> enum) r * measure_space.measure M ((uminus \<circ> f) -` {(uminus \<circ> enum) r} \<inter> space M)\<bar>)" |
|
1555 |
unfolding minus_image using abs_summable by simp |
|
1556 |
qed |
|
1557 |
ultimately show "integrable f" unfolding integrable_def by auto |
|
1558 |
||
1559 |
{ fix r |
|
1560 |
have "?sum (pos_part f) (pos_part enum) r - ?sum (neg_part f) (neg_part enum) r = ?sum f enum r" |
|
1561 |
proof (cases rule: linorder_cases) |
|
1562 |
assume "0 < enum r" |
|
1563 |
hence "pos_part f -` {enum r} \<inter> space M = f -` {enum r} \<inter> space M" |
|
1564 |
unfolding pos_part_def max_def by (auto split: split_if_asm) |
|
1565 |
with `0 < enum r` show ?thesis unfolding pos_part_def neg_part_def min_def max_def expand_fun_eq |
|
1566 |
by auto |
|
1567 |
next |
|
1568 |
assume "enum r < 0" |
|
1569 |
hence "neg_part f -` {- enum r} \<inter> space M = f -` {enum r} \<inter> space M" |
|
1570 |
unfolding neg_part_def min_def by (auto split: split_if_asm) |
|
1571 |
with `enum r < 0` show ?thesis unfolding pos_part_def neg_part_def min_def max_def expand_fun_eq |
|
1572 |
by auto |
|
1573 |
qed (simp add: neg_part_def pos_part_def) } |
|
1574 |
note sum_diff_eq_sum = this |
|
1575 |
||
1576 |
have "(\<Sum>r. ?sum (pos_part f) (pos_part enum) r) - (\<Sum>r. ?sum (neg_part f) (neg_part enum) r) |
|
1577 |
= (\<Sum>r. ?sum (pos_part f) (pos_part enum) r - ?sum (neg_part f) (neg_part enum) r)" |
|
1578 |
using neg_part pos_part by (auto intro: suminf_diff) |
|
1579 |
also have "... = (\<Sum>r. ?sum f enum r)" unfolding sum_diff_eq_sum .. |
|
1580 |
finally show "integral f = suminf (?sum f enum)" |
|
1581 |
unfolding integral_def using pos_part neg_part |
|
1582 |
by (auto dest: the_nnfis) |
|
1583 |
qed |
|
1584 |
||
35692 | 1585 |
section "Lebesgue integration on finite space" |
1586 |
||
35582 | 1587 |
lemma integral_finite_on_sets: |
1588 |
assumes "f \<in> borel_measurable M" and "finite (space M)" and "a \<in> sets M" |
|
1589 |
shows "integral (\<lambda>x. f x * indicator_fn a x) = |
|
1590 |
(\<Sum> r \<in> f`a. r * measure M (f -` {r} \<inter> a))" (is "integral ?f = _") |
|
1591 |
proof - |
|
1592 |
{ fix x assume "x \<in> a" |
|
1593 |
with assms have "f -` {f x} \<inter> space M \<in> sets M" |
|
1594 |
by (subst Int_commute) |
|
1595 |
(auto simp: vimage_def Int_def |
|
1596 |
intro!: borel_measurable_const |
|
1597 |
borel_measurable_eq_borel_measurable) |
|
1598 |
from Int[OF this assms(3)] |
|
1599 |
sets_into_space[OF assms(3), THEN Int_absorb1] |
|
1600 |
have "f -` {f x} \<inter> a \<in> sets M" by (simp add: Int_assoc) } |
|
1601 |
note vimage_f = this |
|
1602 |
||
1603 |
have "finite a" |
|
1604 |
using assms(2,3) sets_into_space |
|
1605 |
by (auto intro: finite_subset) |
|
1606 |
||
1607 |
have "integral (\<lambda>x. f x * indicator_fn a x) = |
|
1608 |
integral (\<lambda>x. \<Sum>i\<in>f ` a. i * indicator_fn (f -` {i} \<inter> a) x)" |
|
1609 |
(is "_ = integral (\<lambda>x. setsum (?f x) _)") |
|
1610 |
unfolding indicator_fn_def if_distrib |
|
1611 |
using `finite a` by (auto simp: setsum_cases intro!: integral_cong) |
|
1612 |
also have "\<dots> = (\<Sum>i\<in>f`a. integral (\<lambda>x. ?f x i))" |
|
1613 |
proof (rule integral_setsum, safe) |
|
1614 |
fix n x assume "x \<in> a" |
|
1615 |
thus "integrable (\<lambda>y. ?f y (f x))" |
|
1616 |
using integral_indicator_fn(2)[OF vimage_f] |
|
1617 |
by (auto intro!: integral_times_const) |
|
1618 |
qed (simp add: `finite a`) |
|
1619 |
also have "\<dots> = (\<Sum>i\<in>f`a. i * measure M (f -` {i} \<inter> a))" |
|
1620 |
using integral_cmul_indicator[OF vimage_f] |
|
1621 |
by (auto intro!: setsum_cong) |
|
1622 |
finally show ?thesis . |
|
1623 |
qed |
|
1624 |
||
1625 |
lemma integral_finite: |
|
1626 |
assumes "f \<in> borel_measurable M" and "finite (space M)" |
|
1627 |
shows "integral f = (\<Sum> r \<in> f ` space M. r * measure M (f -` {r} \<inter> space M))" |
|
1628 |
using integral_finite_on_sets[OF assms top] |
|
1629 |
integral_cong[of "\<lambda>x. f x * indicator_fn (space M) x" f] |
|
1630 |
by (auto simp add: indicator_fn_def) |
|
1631 |
||
35692 | 1632 |
section "Radon–Nikodym derivative" |
35582 | 1633 |
|
35692 | 1634 |
definition |
1635 |
"RN_deriv v \<equiv> SOME f. measure_space (M\<lparr>measure := v\<rparr>) \<and> |
|
1636 |
f \<in> borel_measurable M \<and> |
|
1637 |
(\<forall>a \<in> sets M. (integral (\<lambda>x. f x * indicator_fn a x) = v a))" |
|
35582 | 1638 |
|
35977 | 1639 |
end |
1640 |
||
1641 |
lemma sigma_algebra_cong: |
|
1642 |
fixes M :: "('a, 'b) algebra_scheme" and M' :: "('a, 'c) algebra_scheme" |
|
1643 |
assumes *: "sigma_algebra M" |
|
1644 |
and cong: "space M = space M'" "sets M = sets M'" |
|
1645 |
shows "sigma_algebra M'" |
|
1646 |
using * unfolding sigma_algebra_def algebra_def sigma_algebra_axioms_def unfolding cong . |
|
1647 |
||
1648 |
lemma finite_Pow_additivity_sufficient: |
|
1649 |
assumes "finite (space M)" and "sets M = Pow (space M)" |
|
1650 |
and "positive M (measure M)" and "additive M (measure M)" |
|
1651 |
shows "finite_measure_space M" |
|
1652 |
proof - |
|
1653 |
have "sigma_algebra M" |
|
1654 |
using assms by (auto intro!: sigma_algebra_cong[OF sigma_algebra_Pow]) |
|
1655 |
||
1656 |
have "measure_space M" |
|
1657 |
by (rule Measure.finite_additivity_sufficient) (fact+) |
|
1658 |
thus ?thesis |
|
1659 |
unfolding finite_measure_space_def finite_measure_space_axioms_def |
|
1660 |
using assms by simp |
|
1661 |
qed |
|
1662 |
||
1663 |
lemma finite_measure_spaceI: |
|
1664 |
assumes "measure_space M" and "finite (space M)" and "sets M = Pow (space M)" |
|
1665 |
shows "finite_measure_space M" |
|
1666 |
unfolding finite_measure_space_def finite_measure_space_axioms_def |
|
1667 |
using assms by simp |
|
1668 |
||
1669 |
lemma (in finite_measure_space) integral_finite_singleton: |
|
1670 |
"integral f = (\<Sum>x \<in> space M. f x * measure M {x})" |
|
1671 |
proof - |
|
1672 |
have "f \<in> borel_measurable M" |
|
1673 |
unfolding borel_measurable_le_iff |
|
1674 |
using sets_eq_Pow by auto |
|
1675 |
{ fix r let ?x = "f -` {r} \<inter> space M" |
|
1676 |
have "?x \<subseteq> space M" by auto |
|
1677 |
with finite_space sets_eq_Pow have "measure M ?x = (\<Sum>i \<in> ?x. measure M {i})" |
|
1678 |
by (auto intro!: measure_real_sum_image) } |
|
1679 |
note measure_eq_setsum = this |
|
1680 |
show ?thesis |
|
1681 |
unfolding integral_finite[OF `f \<in> borel_measurable M` finite_space] |
|
1682 |
measure_eq_setsum setsum_right_distrib |
|
1683 |
apply (subst setsum_Sigma) |
|
1684 |
apply (simp add: finite_space) |
|
1685 |
apply (simp add: finite_space) |
|
1686 |
proof (rule setsum_reindex_cong[symmetric]) |
|
1687 |
fix a assume "a \<in> Sigma (f ` space M) (\<lambda>x. f -` {x} \<inter> space M)" |
|
1688 |
thus "(\<lambda>(x, y). x * measure M {y}) a = f (snd a) * measure_space.measure M {snd a}" |
|
1689 |
by auto |
|
1690 |
qed (auto intro!: image_eqI inj_onI) |
|
1691 |
qed |
|
1692 |
||
1693 |
lemma (in finite_measure_space) RN_deriv_finite_singleton: |
|
35582 | 1694 |
fixes v :: "'a set \<Rightarrow> real" |
35977 | 1695 |
assumes ms_v: "measure_space (M\<lparr>measure := v\<rparr>)" |
36624 | 1696 |
and eq_0: "\<And>x. \<lbrakk> x \<in> space M ; measure M {x} = 0 \<rbrakk> \<Longrightarrow> v {x} = 0" |
35582 | 1697 |
and "x \<in> space M" and "measure M {x} \<noteq> 0" |
1698 |
shows "RN_deriv v x = v {x} / (measure M {x})" (is "_ = ?v x") |
|
1699 |
unfolding RN_deriv_def |
|
1700 |
proof (rule someI2_ex[where Q = "\<lambda>f. f x = ?v x"], rule exI[where x = ?v], safe) |
|
1701 |
show "(\<lambda>a. v {a} / measure_space.measure M {a}) \<in> borel_measurable M" |
|
35977 | 1702 |
unfolding borel_measurable_le_iff using sets_eq_Pow by auto |
35582 | 1703 |
next |
1704 |
fix a assume "a \<in> sets M" |
|
1705 |
hence "a \<subseteq> space M" and "finite a" |
|
35977 | 1706 |
using sets_into_space finite_space by (auto intro: finite_subset) |
36624 | 1707 |
have *: "\<And>x a. x \<in> space M \<Longrightarrow> (if measure M {x} = 0 then 0 else v {x} * indicator_fn a x) = |
35582 | 1708 |
v {x} * indicator_fn a x" using eq_0 by auto |
1709 |
||
1710 |
from measure_space.measure_real_sum_image[OF ms_v, of a] |
|
35977 | 1711 |
sets_eq_Pow `a \<in> sets M` sets_into_space `finite a` |
35582 | 1712 |
have "v a = (\<Sum>x\<in>a. v {x})" by auto |
1713 |
thus "integral (\<lambda>x. v {x} / measure_space.measure M {x} * indicator_fn a x) = v a" |
|
35977 | 1714 |
apply (simp add: eq_0 integral_finite_singleton) |
35582 | 1715 |
apply (unfold divide_1) |
35977 | 1716 |
by (simp add: * indicator_fn_def if_distrib setsum_cases finite_space `a \<subseteq> space M` Int_absorb1) |
35582 | 1717 |
next |
1718 |
fix w assume "w \<in> borel_measurable M" |
|
1719 |
assume int_eq_v: "\<forall>a\<in>sets M. integral (\<lambda>x. w x * indicator_fn a x) = v a" |
|
35977 | 1720 |
have "{x} \<in> sets M" using sets_eq_Pow `x \<in> space M` by auto |
35582 | 1721 |
|
1722 |
have "w x * measure M {x} = |
|
1723 |
(\<Sum>y\<in>space M. w y * indicator_fn {x} y * measure M {y})" |
|
1724 |
apply (subst (3) mult_commute) |
|
35977 | 1725 |
unfolding indicator_fn_def if_distrib setsum_cases[OF finite_space] |
35582 | 1726 |
using `x \<in> space M` by simp |
1727 |
also have "... = v {x}" |
|
1728 |
using int_eq_v[rule_format, OF `{x} \<in> sets M`] |
|
35977 | 1729 |
by (simp add: integral_finite_singleton) |
35582 | 1730 |
finally show "w x = v {x} / measure M {x}" |
1731 |
using `measure M {x} \<noteq> 0` by (simp add: eq_divide_eq) |
|
1732 |
qed fact |
|
1733 |
||
35748 | 1734 |
end |