src/HOL/Analysis/Set_Integral.thy

Existence of a holomorphic logarithm

(*  Title:      HOL/Analysis/Set_Integral.thy
    Author:     Jeremy Avigad (CMU), Johannes Hölzl (TUM), Luke Serafin (CMU)
    Author:  Sébastien Gouëzel   [e-mail]

Notation and useful facts for working with integrals over a set.

TODO: keep all these? Need unicode translations as well.
*)

theory Set_Integral
  imports Radon_Nikodym
begin

(*
    Notation
*)

abbreviation "set_borel_measurable M A f \<equiv> (\<lambda>x. indicator A x *\<^sub>R f x) \<in> borel_measurable M"

abbreviation "set_integrable M A f \<equiv> integrable M (\<lambda>x. indicator A x *\<^sub>R f x)"

abbreviation "set_lebesgue_integral M A f \<equiv> lebesgue_integral M (\<lambda>x. indicator A x *\<^sub>R f x)"

syntax
"_ascii_set_lebesgue_integral" :: "pttrn \<Rightarrow> 'a set \<Rightarrow> 'a measure \<Rightarrow> real \<Rightarrow> real"
("(4LINT (_):(_)/|(_)./ _)" [0,60,110,61] 60)

translations
"LINT x:A|M. f" == "CONST set_lebesgue_integral M A (\<lambda>x. f)"

(*
    Notation for integration wrt lebesgue measure on the reals:

      LBINT x. f
      LBINT x : A. f

    TODO: keep all these? Need unicode.
*)

syntax
"_lebesgue_borel_integral" :: "pttrn \<Rightarrow> real \<Rightarrow> real"
("(2LBINT _./ _)" [0,60] 60)

syntax
"_set_lebesgue_borel_integral" :: "pttrn \<Rightarrow> real set \<Rightarrow> real \<Rightarrow> real"
("(3LBINT _:_./ _)" [0,60,61] 60)

(*
    Basic properties
*)

(*
lemma indicator_abs_eq: "\<And>A x. \<bar>indicator A x\<bar> = ((indicator A x) :: real)"
  by (auto simp add: indicator_def)
*)

lemma set_borel_measurable_sets:
  fixes f :: "_ \<Rightarrow> _::real_normed_vector"
  assumes "set_borel_measurable M X f" "B \<in> sets borel" "X \<in> sets M"
  shows "f -` B \<inter> X \<in> sets M"
proof -
  have "f \<in> borel_measurable (restrict_space M X)"
    using assms by (subst borel_measurable_restrict_space_iff) auto
  then have "f -` B \<inter> space (restrict_space M X) \<in> sets (restrict_space M X)"
    by (rule measurable_sets) fact
  with \<open>X \<in> sets M\<close> show ?thesis
    by (subst (asm) sets_restrict_space_iff) (auto simp: space_restrict_space)
qed

lemma set_lebesgue_integral_cong:
  assumes "A \<in> sets M" and "\<forall>x. x \<in> A \<longrightarrow> f x = g x"
  shows "(LINT x:A|M. f x) = (LINT x:A|M. g x)"
  using assms by (auto intro!: Bochner_Integration.integral_cong split: split_indicator simp add: sets.sets_into_space)

lemma set_lebesgue_integral_cong_AE:
  assumes [measurable]: "A \<in> sets M" "f \<in> borel_measurable M" "g \<in> borel_measurable M"
  assumes "AE x \<in> A in M. f x = g x"
  shows "LINT x:A|M. f x = LINT x:A|M. g x"
proof-
  have "AE x in M. indicator A x *\<^sub>R f x = indicator A x *\<^sub>R g x"
    using assms by auto
  thus ?thesis by (intro integral_cong_AE) auto
qed

lemma set_integrable_cong_AE:
    "f \<in> borel_measurable M \<Longrightarrow> g \<in> borel_measurable M \<Longrightarrow>
    AE x \<in> A in M. f x = g x \<Longrightarrow> A \<in> sets M \<Longrightarrow>
    set_integrable M A f = set_integrable M A g"
  by (rule integrable_cong_AE) auto

lemma set_integrable_subset:
  fixes M A B and f :: "_ \<Rightarrow> _ :: {banach, second_countable_topology}"
  assumes "set_integrable M A f" "B \<in> sets M" "B \<subseteq> A"
  shows "set_integrable M B f"
proof -
  have "set_integrable M B (\<lambda>x. indicator A x *\<^sub>R f x)"
    by (rule integrable_mult_indicator) fact+
  with \<open>B \<subseteq> A\<close> show ?thesis
    by (simp add: indicator_inter_arith[symmetric] Int_absorb2)
qed

(* TODO: integral_cmul_indicator should be named set_integral_const *)
(* TODO: borel_integrable_atLeastAtMost should be named something like set_integrable_Icc_isCont *)

lemma set_integral_scaleR_right [simp]: "LINT t:A|M. a *\<^sub>R f t = a *\<^sub>R (LINT t:A|M. f t)"
  by (subst integral_scaleR_right[symmetric]) (auto intro!: Bochner_Integration.integral_cong)

lemma set_integral_mult_right [simp]:
  fixes a :: "'a::{real_normed_field, second_countable_topology}"
  shows "LINT t:A|M. a * f t = a * (LINT t:A|M. f t)"
  by (subst integral_mult_right_zero[symmetric]) auto

lemma set_integral_mult_left [simp]:
  fixes a :: "'a::{real_normed_field, second_countable_topology}"
  shows "LINT t:A|M. f t * a = (LINT t:A|M. f t) * a"
  by (subst integral_mult_left_zero[symmetric]) auto

lemma set_integral_divide_zero [simp]:
  fixes a :: "'a::{real_normed_field, field, second_countable_topology}"
  shows "LINT t:A|M. f t / a = (LINT t:A|M. f t) / a"
  by (subst integral_divide_zero[symmetric], intro Bochner_Integration.integral_cong)
     (auto split: split_indicator)

lemma set_integrable_scaleR_right [simp, intro]:
  shows "(a \<noteq> 0 \<Longrightarrow> set_integrable M A f) \<Longrightarrow> set_integrable M A (\<lambda>t. a *\<^sub>R f t)"
  unfolding scaleR_left_commute by (rule integrable_scaleR_right)

lemma set_integrable_scaleR_left [simp, intro]:
  fixes a :: "_ :: {banach, second_countable_topology}"
  shows "(a \<noteq> 0 \<Longrightarrow> set_integrable M A f) \<Longrightarrow> set_integrable M A (\<lambda>t. f t *\<^sub>R a)"
  using integrable_scaleR_left[of a M "\<lambda>x. indicator A x *\<^sub>R f x"] by simp

lemma set_integrable_mult_right [simp, intro]:
  fixes a :: "'a::{real_normed_field, second_countable_topology}"
  shows "(a \<noteq> 0 \<Longrightarrow> set_integrable M A f) \<Longrightarrow> set_integrable M A (\<lambda>t. a * f t)"
  using integrable_mult_right[of a M "\<lambda>x. indicator A x *\<^sub>R f x"] by simp

lemma set_integrable_mult_left [simp, intro]:
  fixes a :: "'a::{real_normed_field, second_countable_topology}"
  shows "(a \<noteq> 0 \<Longrightarrow> set_integrable M A f) \<Longrightarrow> set_integrable M A (\<lambda>t. f t * a)"
  using integrable_mult_left[of a M "\<lambda>x. indicator A x *\<^sub>R f x"] by simp

lemma set_integrable_divide [simp, intro]:
  fixes a :: "'a::{real_normed_field, field, second_countable_topology}"
  assumes "a \<noteq> 0 \<Longrightarrow> set_integrable M A f"
  shows "set_integrable M A (\<lambda>t. f t / a)"
proof -
  have "integrable M (\<lambda>x. indicator A x *\<^sub>R f x / a)"
    using assms by (rule integrable_divide_zero)
  also have "(\<lambda>x. indicator A x *\<^sub>R f x / a) = (\<lambda>x. indicator A x *\<^sub>R (f x / a))"
    by (auto split: split_indicator)
  finally show ?thesis .
qed

lemma set_integral_add [simp, intro]:
  fixes f g :: "_ \<Rightarrow> _ :: {banach, second_countable_topology}"
  assumes "set_integrable M A f" "set_integrable M A g"
  shows "set_integrable M A (\<lambda>x. f x + g x)"
    and "LINT x:A|M. f x + g x = (LINT x:A|M. f x) + (LINT x:A|M. g x)"
  using assms by (simp_all add: scaleR_add_right)

lemma set_integral_diff [simp, intro]:
  assumes "set_integrable M A f" "set_integrable M A g"
  shows "set_integrable M A (\<lambda>x. f x - g x)" and "LINT x:A|M. f x - g x =
    (LINT x:A|M. f x) - (LINT x:A|M. g x)"
  using assms by (simp_all add: scaleR_diff_right)

(* question: why do we have this for negation, but multiplication by a constant
   requires an integrability assumption? *)
lemma set_integral_uminus: "set_integrable M A f \<Longrightarrow> LINT x:A|M. - f x = - (LINT x:A|M. f x)"
  by (subst integral_minus[symmetric]) simp_all

lemma set_integral_complex_of_real:
  "LINT x:A|M. complex_of_real (f x) = of_real (LINT x:A|M. f x)"
  by (subst integral_complex_of_real[symmetric])
     (auto intro!: Bochner_Integration.integral_cong split: split_indicator)

lemma set_integral_mono:
  fixes f g :: "_ \<Rightarrow> real"
  assumes "set_integrable M A f" "set_integrable M A g"
    "\<And>x. x \<in> A \<Longrightarrow> f x \<le> g x"
  shows "(LINT x:A|M. f x) \<le> (LINT x:A|M. g x)"
using assms by (auto intro: integral_mono split: split_indicator)

lemma set_integral_mono_AE:
  fixes f g :: "_ \<Rightarrow> real"
  assumes "set_integrable M A f" "set_integrable M A g"
    "AE x \<in> A in M. f x \<le> g x"
  shows "(LINT x:A|M. f x) \<le> (LINT x:A|M. g x)"
using assms by (auto intro: integral_mono_AE split: split_indicator)

lemma set_integrable_abs: "set_integrable M A f \<Longrightarrow> set_integrable M A (\<lambda>x. \<bar>f x\<bar> :: real)"
  using integrable_abs[of M "\<lambda>x. f x * indicator A x"] by (simp add: abs_mult ac_simps)

lemma set_integrable_abs_iff:
  fixes f :: "_ \<Rightarrow> real"
  shows "set_borel_measurable M A f \<Longrightarrow> set_integrable M A (\<lambda>x. \<bar>f x\<bar>) = set_integrable M A f"
  by (subst (2) integrable_abs_iff[symmetric]) (simp_all add: abs_mult ac_simps)

lemma set_integrable_abs_iff':
  fixes f :: "_ \<Rightarrow> real"
  shows "f \<in> borel_measurable M \<Longrightarrow> A \<in> sets M \<Longrightarrow>
    set_integrable M A (\<lambda>x. \<bar>f x\<bar>) = set_integrable M A f"
by (intro set_integrable_abs_iff) auto

lemma set_integrable_discrete_difference:
  fixes f :: "'a \<Rightarrow> 'b::{banach, second_countable_topology}"
  assumes "countable X"
  assumes diff: "(A - B) \<union> (B - A) \<subseteq> X"
  assumes "\<And>x. x \<in> X \<Longrightarrow> emeasure M {x} = 0" "\<And>x. x \<in> X \<Longrightarrow> {x} \<in> sets M"
  shows "set_integrable M A f \<longleftrightarrow> set_integrable M B f"
proof (rule integrable_discrete_difference[where X=X])
  show "\<And>x. x \<in> space M \<Longrightarrow> x \<notin> X \<Longrightarrow> indicator A x *\<^sub>R f x = indicator B x *\<^sub>R f x"
    using diff by (auto split: split_indicator)
qed fact+

lemma set_integral_discrete_difference:
  fixes f :: "'a \<Rightarrow> 'b::{banach, second_countable_topology}"
  assumes "countable X"
  assumes diff: "(A - B) \<union> (B - A) \<subseteq> X"
  assumes "\<And>x. x \<in> X \<Longrightarrow> emeasure M {x} = 0" "\<And>x. x \<in> X \<Longrightarrow> {x} \<in> sets M"
  shows "set_lebesgue_integral M A f = set_lebesgue_integral M B f"
proof (rule integral_discrete_difference[where X=X])
  show "\<And>x. x \<in> space M \<Longrightarrow> x \<notin> X \<Longrightarrow> indicator A x *\<^sub>R f x = indicator B x *\<^sub>R f x"
    using diff by (auto split: split_indicator)
qed fact+

lemma set_integrable_Un:
  fixes f g :: "_ \<Rightarrow> _ :: {banach, second_countable_topology}"
  assumes f_A: "set_integrable M A f" and f_B:  "set_integrable M B f"
    and [measurable]: "A \<in> sets M" "B \<in> sets M"
  shows "set_integrable M (A \<union> B) f"
proof -
  have "set_integrable M (A - B) f"
    using f_A by (rule set_integrable_subset) auto
  from Bochner_Integration.integrable_add[OF this f_B] show ?thesis
    by (rule integrable_cong[THEN iffD1, rotated 2]) (auto split: split_indicator)
qed

lemma set_integrable_UN:
  fixes f :: "_ \<Rightarrow> _ :: {banach, second_countable_topology}"
  assumes "finite I" "\<And>i. i\<in>I \<Longrightarrow> set_integrable M (A i) f"
    "\<And>i. i\<in>I \<Longrightarrow> A i \<in> sets M"
  shows "set_integrable M (\<Union>i\<in>I. A i) f"
using assms by (induct I) (auto intro!: set_integrable_Un)

lemma set_integral_Un:
  fixes f :: "_ \<Rightarrow> _ :: {banach, second_countable_topology}"
  assumes "A \<inter> B = {}"
  and "set_integrable M A f"
  and "set_integrable M B f"
  shows "LINT x:A\<union>B|M. f x = (LINT x:A|M. f x) + (LINT x:B|M. f x)"
by (auto simp add: indicator_union_arith indicator_inter_arith[symmetric]
      scaleR_add_left assms)

lemma set_integral_cong_set:
  fixes f :: "_ \<Rightarrow> _ :: {banach, second_countable_topology}"
  assumes [measurable]: "set_borel_measurable M A f" "set_borel_measurable M B f"
    and ae: "AE x in M. x \<in> A \<longleftrightarrow> x \<in> B"
  shows "LINT x:B|M. f x = LINT x:A|M. f x"
proof (rule integral_cong_AE)
  show "AE x in M. indicator B x *\<^sub>R f x = indicator A x *\<^sub>R f x"
    using ae by (auto simp: subset_eq split: split_indicator)
qed fact+

lemma set_borel_measurable_subset:
  fixes f :: "_ \<Rightarrow> _ :: {banach, second_countable_topology}"
  assumes [measurable]: "set_borel_measurable M A f" "B \<in> sets M" and "B \<subseteq> A"
  shows "set_borel_measurable M B f"
proof -
  have "set_borel_measurable M B (\<lambda>x. indicator A x *\<^sub>R f x)"
    by measurable
  also have "(\<lambda>x. indicator B x *\<^sub>R indicator A x *\<^sub>R f x) = (\<lambda>x. indicator B x *\<^sub>R f x)"
    using \<open>B \<subseteq> A\<close> by (auto simp: fun_eq_iff split: split_indicator)
  finally show ?thesis .
qed

lemma set_integral_Un_AE:
  fixes f :: "_ \<Rightarrow> _ :: {banach, second_countable_topology}"
  assumes ae: "AE x in M. \<not> (x \<in> A \<and> x \<in> B)" and [measurable]: "A \<in> sets M" "B \<in> sets M"
  and "set_integrable M A f"
  and "set_integrable M B f"
  shows "LINT x:A\<union>B|M. f x = (LINT x:A|M. f x) + (LINT x:B|M. f x)"
proof -
  have f: "set_integrable M (A \<union> B) f"
    by (intro set_integrable_Un assms)
  then have f': "set_borel_measurable M (A \<union> B) f"
    by (rule borel_measurable_integrable)
  have "LINT x:A\<union>B|M. f x = LINT x:(A - A \<inter> B) \<union> (B - A \<inter> B)|M. f x"
  proof (rule set_integral_cong_set)
    show "AE x in M. (x \<in> A - A \<inter> B \<union> (B - A \<inter> B)) = (x \<in> A \<union> B)"
      using ae by auto
    show "set_borel_measurable M (A - A \<inter> B \<union> (B - A \<inter> B)) f"
      using f' by (rule set_borel_measurable_subset) auto
  qed fact
  also have "\<dots> = (LINT x:(A - A \<inter> B)|M. f x) + (LINT x:(B - A \<inter> B)|M. f x)"
    by (auto intro!: set_integral_Un set_integrable_subset[OF f])
  also have "\<dots> = (LINT x:A|M. f x) + (LINT x:B|M. f x)"
    using ae
    by (intro arg_cong2[where f="op+"] set_integral_cong_set)
       (auto intro!: set_borel_measurable_subset[OF f'])
  finally show ?thesis .
qed

lemma set_integral_finite_Union:
  fixes f :: "_ \<Rightarrow> _ :: {banach, second_countable_topology}"
  assumes "finite I" "disjoint_family_on A I"
    and "\<And>i. i \<in> I \<Longrightarrow> set_integrable M (A i) f" "\<And>i. i \<in> I \<Longrightarrow> A i \<in> sets M"
  shows "(LINT x:(\<Union>i\<in>I. A i)|M. f x) = (\<Sum>i\<in>I. LINT x:A i|M. f x)"
  using assms
  apply induct
  apply (auto intro!: set_integral_Un set_integrable_Un set_integrable_UN simp: disjoint_family_on_def)
by (subst set_integral_Un, auto intro: set_integrable_UN)