introduce Bochner integral: generalizes Lebesgue integral from real-valued function to functions on real-normed vector spaces
(* Title: HOL/Probability/Lebesgue_Measure.thy
Author: Johannes Hölzl, TU München
Author: Robert Himmelmann, TU München
*)
header {* Lebsegue measure *}
theory Lebesgue_Measure
imports Finite_Product_Measure Bochner_Integration
begin
lemma absolutely_integrable_on_indicator[simp]:
fixes A :: "'a::ordered_euclidean_space set"
shows "((indicator A :: _ \<Rightarrow> real) absolutely_integrable_on X) \<longleftrightarrow>
(indicator A :: _ \<Rightarrow> real) integrable_on X"
unfolding absolutely_integrable_on_def by simp
lemma has_integral_indicator_UNIV:
fixes s A :: "'a::ordered_euclidean_space set" and x :: real
shows "((indicator (s \<inter> A) :: 'a\<Rightarrow>real) has_integral x) UNIV = ((indicator s :: _\<Rightarrow>real) has_integral x) A"
proof -
have "(\<lambda>x. if x \<in> A then indicator s x else 0) = (indicator (s \<inter> A) :: _\<Rightarrow>real)"
by (auto simp: fun_eq_iff indicator_def)
then show ?thesis
unfolding has_integral_restrict_univ[where s=A, symmetric] by simp
qed
lemma
fixes s a :: "'a::ordered_euclidean_space set"
shows integral_indicator_UNIV:
"integral UNIV (indicator (s \<inter> A) :: 'a\<Rightarrow>real) = integral A (indicator s :: _\<Rightarrow>real)"
and integrable_indicator_UNIV:
"(indicator (s \<inter> A) :: 'a\<Rightarrow>real) integrable_on UNIV \<longleftrightarrow> (indicator s :: 'a\<Rightarrow>real) integrable_on A"
unfolding integral_def integrable_on_def has_integral_indicator_UNIV by auto
subsection {* Standard Cubes *}
definition cube :: "nat \<Rightarrow> 'a::ordered_euclidean_space set" where
"cube n \<equiv> {\<Sum>i\<in>Basis. - n *\<^sub>R i .. \<Sum>i\<in>Basis. n *\<^sub>R i}"
lemma borel_cube[intro]: "cube n \<in> sets borel"
unfolding cube_def by auto
lemma cube_closed[intro]: "closed (cube n)"
unfolding cube_def by auto
lemma cube_subset[intro]: "n \<le> N \<Longrightarrow> cube n \<subseteq> cube N"
by (fastforce simp: eucl_le[where 'a='a] cube_def setsum_negf)
lemma cube_subset_iff: "cube n \<subseteq> cube N \<longleftrightarrow> n \<le> N"
unfolding cube_def subset_box by (simp add: setsum_negf ex_in_conv eucl_le[where 'a='a])
lemma ball_subset_cube: "ball (0::'a::ordered_euclidean_space) (real n) \<subseteq> cube n"
apply (simp add: cube_def subset_eq mem_box setsum_negf eucl_le[where 'a='a])
proof safe
fix x i :: 'a assume x: "x \<in> ball 0 (real n)" and i: "i \<in> Basis"
thus "- real n \<le> x \<bullet> i" "real n \<ge> x \<bullet> i"
using Basis_le_norm[OF i, of x] by(auto simp: dist_norm)
qed
lemma mem_big_cube: obtains n where "x \<in> cube n"
proof -
from reals_Archimedean2[of "norm x"] guess n ..
with ball_subset_cube[unfolded subset_eq, of n]
show ?thesis
by (intro that[where n=n]) (auto simp add: dist_norm)
qed
lemma cube_subset_Suc[intro]: "cube n \<subseteq> cube (Suc n)"
unfolding cube_def cbox_interval[symmetric] subset_box by (simp add: setsum_negf)
lemma has_integral_interval_cube:
fixes a b :: "'a::ordered_euclidean_space"
shows "(indicator {a .. b} has_integral content ({a .. b} \<inter> cube n)) (cube n)"
(is "(?I has_integral content ?R) (cube n)")
proof -
have [simp]: "(\<lambda>x. if x \<in> cube n then ?I x else 0) = indicator ?R"
by (auto simp: indicator_def cube_def fun_eq_iff eucl_le[where 'a='a])
have "(?I has_integral content ?R) (cube n) \<longleftrightarrow> (indicator ?R has_integral content ?R) UNIV"
unfolding has_integral_restrict_univ[where s="cube n", symmetric] by simp
also have "\<dots> \<longleftrightarrow> ((\<lambda>x. 1::real) has_integral content ?R *\<^sub>R 1) ?R"
unfolding indicator_def [abs_def] has_integral_restrict_univ real_scaleR_def mult_1_right ..
also have "((\<lambda>x. 1) has_integral content ?R *\<^sub>R 1) ?R"
unfolding cube_def inter_interval cbox_interval[symmetric] by (rule has_integral_const)
finally show ?thesis .
qed
subsection {* Lebesgue measure *}
definition lebesgue :: "'a::ordered_euclidean_space measure" where
"lebesgue = measure_of UNIV {A. \<forall>n. (indicator A :: 'a \<Rightarrow> real) integrable_on cube n}
(\<lambda>A. SUP n. ereal (integral (cube n) (indicator A)))"
lemma space_lebesgue[simp]: "space lebesgue = UNIV"
unfolding lebesgue_def by simp
lemma lebesgueI: "(\<And>n. (indicator A :: _ \<Rightarrow> real) integrable_on cube n) \<Longrightarrow> A \<in> sets lebesgue"
unfolding lebesgue_def by simp
lemma sigma_algebra_lebesgue:
defines "leb \<equiv> {A. \<forall>n. (indicator A :: 'a::ordered_euclidean_space \<Rightarrow> real) integrable_on cube n}"
shows "sigma_algebra UNIV leb"
proof (safe intro!: sigma_algebra_iff2[THEN iffD2])
fix A assume A: "A \<in> leb"
moreover have "indicator (UNIV - A) = (\<lambda>x. 1 - indicator A x :: real)"
by (auto simp: fun_eq_iff indicator_def)
ultimately show "UNIV - A \<in> leb"
using A by (auto intro!: integrable_sub simp: cube_def leb_def)
next
fix n show "{} \<in> leb"
by (auto simp: cube_def indicator_def[abs_def] leb_def)
next
fix A :: "nat \<Rightarrow> _" assume A: "range A \<subseteq> leb"
have "\<forall>n. (indicator (\<Union>i. A i) :: _ \<Rightarrow> real) integrable_on cube n" (is "\<forall>n. ?g integrable_on _")
proof (intro dominated_convergence[where g="?g"] ballI allI)
fix k n show "(indicator (\<Union>i<k. A i) :: _ \<Rightarrow> real) integrable_on cube n"
proof (induct k)
case (Suc k)
have *: "(\<Union> i<Suc k. A i) = (\<Union> i<k. A i) \<union> A k"
unfolding lessThan_Suc UN_insert by auto
have *: "(\<lambda>x. max (indicator (\<Union> i<k. A i) x) (indicator (A k) x) :: real) =
indicator (\<Union> i<Suc k. A i)" (is "(\<lambda>x. max (?f x) (?g x)) = _")
by (auto simp: fun_eq_iff * indicator_def)
show ?case
using absolutely_integrable_max[of ?f "cube n" ?g] A Suc
by (simp add: * leb_def subset_eq)
qed auto
qed (auto intro: LIMSEQ_indicator_UN simp: cube_def)
then show "(\<Union>i. A i) \<in> leb" by (auto simp: leb_def)
qed simp
lemma sets_lebesgue: "sets lebesgue = {A. \<forall>n. (indicator A :: _ \<Rightarrow> real) integrable_on cube n}"
unfolding lebesgue_def sigma_algebra.sets_measure_of_eq[OF sigma_algebra_lebesgue] ..
lemma lebesgueD: "A \<in> sets lebesgue \<Longrightarrow> (indicator A :: _ \<Rightarrow> real) integrable_on cube n"
unfolding sets_lebesgue by simp
lemma emeasure_lebesgue:
assumes "A \<in> sets lebesgue"
shows "emeasure lebesgue A = (SUP n. ereal (integral (cube n) (indicator A)))"
(is "_ = ?\<mu> A")
proof (rule emeasure_measure_of[OF lebesgue_def])
have *: "indicator {} = (\<lambda>x. 0 :: real)" by (simp add: fun_eq_iff)
show "positive (sets lebesgue) ?\<mu>"
proof (unfold positive_def, intro conjI ballI)
show "?\<mu> {} = 0" by (simp add: integral_0 *)
fix A :: "'a set" assume "A \<in> sets lebesgue" then show "0 \<le> ?\<mu> A"
by (auto intro!: SUP_upper2 Integration.integral_nonneg simp: sets_lebesgue)
qed
next
show "countably_additive (sets lebesgue) ?\<mu>"
proof (intro countably_additive_def[THEN iffD2] allI impI)
fix A :: "nat \<Rightarrow> 'a set" assume rA: "range A \<subseteq> sets lebesgue" "disjoint_family A"
then have A[simp, intro]: "\<And>i n. (indicator (A i) :: _ \<Rightarrow> real) integrable_on cube n"
by (auto dest: lebesgueD)
let ?m = "\<lambda>n i. integral (cube n) (indicator (A i) :: _\<Rightarrow>real)"
let ?M = "\<lambda>n I. integral (cube n) (indicator (\<Union>i\<in>I. A i) :: _\<Rightarrow>real)"
have nn[simp, intro]: "\<And>i n. 0 \<le> ?m n i" by (auto intro!: Integration.integral_nonneg)
assume "(\<Union>i. A i) \<in> sets lebesgue"
then have UN_A[simp, intro]: "\<And>i n. (indicator (\<Union>i. A i) :: _ \<Rightarrow> real) integrable_on cube n"
by (auto simp: sets_lebesgue)
show "(\<Sum>n. ?\<mu> (A n)) = ?\<mu> (\<Union>i. A i)"
proof (subst suminf_SUP_eq, safe intro!: incseq_SucI)
fix i n show "ereal (?m n i) \<le> ereal (?m (Suc n) i)"
using cube_subset[of n "Suc n"] by (auto intro!: integral_subset_le incseq_SucI)
next
fix i n show "0 \<le> ereal (?m n i)"
using rA unfolding lebesgue_def
by (auto intro!: SUP_upper2 integral_nonneg)
next
show "(SUP n. \<Sum>i. ereal (?m n i)) = (SUP n. ereal (?M n UNIV))"
proof (intro arg_cong[where f="SUPREMUM UNIV"] ext sums_unique[symmetric] sums_ereal[THEN iffD2] sums_def[THEN iffD2])
fix n
have "\<And>m. (UNION {..<m} A) \<in> sets lebesgue" using rA by auto
from lebesgueD[OF this]
have "(\<lambda>m. ?M n {..< m}) ----> ?M n UNIV"
(is "(\<lambda>m. integral _ (?A m)) ----> ?I")
by (intro dominated_convergence(2)[where f="?A" and h="\<lambda>x. 1::real"])
(auto intro: LIMSEQ_indicator_UN simp: cube_def)
moreover
{ fix m have *: "(\<Sum>x<m. ?m n x) = ?M n {..< m}"
proof (induct m)
case (Suc m)
have "(\<Union>i<m. A i) \<in> sets lebesgue" using rA by auto
then have "(indicator (\<Union>i<m. A i) :: _\<Rightarrow>real) integrable_on (cube n)"
by (auto dest!: lebesgueD)
moreover
have "(\<Union>i<m. A i) \<inter> A m = {}"
using rA(2)[unfolded disjoint_family_on_def, THEN bspec, of m]
by auto
then have "\<And>x. indicator (\<Union>i<Suc m. A i) x =
indicator (\<Union>i<m. A i) x + (indicator (A m) x :: real)"
by (auto simp: indicator_add lessThan_Suc ac_simps)
ultimately show ?case
using Suc A by (simp add: Integration.integral_add[symmetric])
qed auto }
ultimately show "(\<lambda>m. \<Sum>x<m. ?m n x) ----> ?M n UNIV"
by (simp add: atLeast0LessThan)
qed
qed
qed
qed (auto, fact)
lemma lebesgueI_borel[intro, simp]:
fixes s::"'a::ordered_euclidean_space set"
assumes "s \<in> sets borel" shows "s \<in> sets lebesgue"
proof -
have "s \<in> sigma_sets (space lebesgue) (range (\<lambda>(a, b). {a .. (b :: 'a\<Colon>ordered_euclidean_space)}))"
using assms by (simp add: borel_eq_atLeastAtMost)
also have "\<dots> \<subseteq> sets lebesgue"
proof (safe intro!: sets.sigma_sets_subset lebesgueI)
fix n :: nat and a b :: 'a
show "(indicator {a..b} :: 'a\<Rightarrow>real) integrable_on cube n"
unfolding integrable_on_def using has_integral_interval_cube[of a b] by auto
qed
finally show ?thesis .
qed
lemma borel_measurable_lebesgueI:
"f \<in> borel_measurable borel \<Longrightarrow> f \<in> borel_measurable lebesgue"
unfolding measurable_def by simp
lemma lebesgueI_negligible[dest]: fixes s::"'a::ordered_euclidean_space set"
assumes "negligible s" shows "s \<in> sets lebesgue"
using assms by (force simp: cbox_interval[symmetric] cube_def integrable_on_def negligible_def intro!: lebesgueI)
lemma lmeasure_eq_0:
fixes S :: "'a::ordered_euclidean_space set"
assumes "negligible S" shows "emeasure lebesgue S = 0"
proof -
have "\<And>n. integral (cube n) (indicator S :: 'a\<Rightarrow>real) = 0"
unfolding lebesgue_integral_def using assms
by (intro integral_unique some1_equality ex_ex1I)
(auto simp: cube_def negligible_def cbox_interval[symmetric])
then show ?thesis
using assms by (simp add: emeasure_lebesgue lebesgueI_negligible)
qed
lemma lmeasure_iff_LIMSEQ:
assumes A: "A \<in> sets lebesgue" and "0 \<le> m"
shows "emeasure lebesgue A = ereal m \<longleftrightarrow> (\<lambda>n. integral (cube n) (indicator A :: _ \<Rightarrow> real)) ----> m"
proof (subst emeasure_lebesgue[OF A], intro SUP_eq_LIMSEQ)
show "mono (\<lambda>n. integral (cube n) (indicator A::_=>real))"
using cube_subset assms by (intro monoI integral_subset_le) (auto dest!: lebesgueD)
qed
lemma lmeasure_finite_has_integral:
fixes s :: "'a::ordered_euclidean_space set"
assumes "s \<in> sets lebesgue" "emeasure lebesgue s = ereal m"
shows "(indicator s has_integral m) UNIV"
proof -
let ?I = "indicator :: 'a set \<Rightarrow> 'a \<Rightarrow> real"
have "0 \<le> m"
using emeasure_nonneg[of lebesgue s] `emeasure lebesgue s = ereal m` by simp
have **: "(?I s) integrable_on UNIV \<and> (\<lambda>k. integral UNIV (?I (s \<inter> cube k))) ----> integral UNIV (?I s)"
proof (intro monotone_convergence_increasing allI ballI)
have LIMSEQ: "(\<lambda>n. integral (cube n) (?I s)) ----> m"
using assms(2) unfolding lmeasure_iff_LIMSEQ[OF assms(1) `0 \<le> m`] .
{ fix n have "integral (cube n) (?I s) \<le> m"
using cube_subset assms
by (intro incseq_le[where L=m] LIMSEQ incseq_def[THEN iffD2] integral_subset_le allI impI)
(auto dest!: lebesgueD) }
moreover
{ fix n have "0 \<le> integral (cube n) (?I s)"
using assms by (auto dest!: lebesgueD intro!: Integration.integral_nonneg) }
ultimately
show "bounded {integral UNIV (?I (s \<inter> cube k)) |k. True}"
unfolding bounded_def
apply (rule_tac exI[of _ 0])
apply (rule_tac exI[of _ m])
by (auto simp: dist_real_def integral_indicator_UNIV)
fix k show "?I (s \<inter> cube k) integrable_on UNIV"
unfolding integrable_indicator_UNIV using assms by (auto dest!: lebesgueD)
fix x show "?I (s \<inter> cube k) x \<le> ?I (s \<inter> cube (Suc k)) x"
using cube_subset[of k "Suc k"] by (auto simp: indicator_def)
next
fix x :: 'a
from mem_big_cube obtain k where k: "x \<in> cube k" .
{ fix n have "?I (s \<inter> cube (n + k)) x = ?I s x"
using k cube_subset[of k "n + k"] by (auto simp: indicator_def) }
note * = this
show "(\<lambda>k. ?I (s \<inter> cube k) x) ----> ?I s x"
by (rule LIMSEQ_offset[where k=k]) (auto simp: *)
qed
note ** = conjunctD2[OF this]
have m: "m = integral UNIV (?I s)"
apply (intro LIMSEQ_unique[OF _ **(2)])
using assms(2) unfolding lmeasure_iff_LIMSEQ[OF assms(1) `0 \<le> m`] integral_indicator_UNIV .
show ?thesis
unfolding m by (intro integrable_integral **)
qed
lemma lmeasure_finite_integrable: assumes s: "s \<in> sets lebesgue" and "emeasure lebesgue s \<noteq> \<infinity>"
shows "(indicator s :: _ \<Rightarrow> real) integrable_on UNIV"
proof (cases "emeasure lebesgue s")
case (real m)
with lmeasure_finite_has_integral[OF `s \<in> sets lebesgue` this] emeasure_nonneg[of lebesgue s]
show ?thesis unfolding integrable_on_def by auto
qed (insert assms emeasure_nonneg[of lebesgue s], auto)
lemma has_integral_lebesgue: assumes "((indicator s :: _\<Rightarrow>real) has_integral m) UNIV"
shows "s \<in> sets lebesgue"
proof (intro lebesgueI)
let ?I = "indicator :: 'a set \<Rightarrow> 'a \<Rightarrow> real"
fix n show "(?I s) integrable_on cube n" unfolding cube_def
proof (intro integrable_on_subinterval)
show "(?I s) integrable_on UNIV"
unfolding integrable_on_def using assms by auto
qed auto
qed
lemma has_integral_lmeasure: assumes "((indicator s :: _\<Rightarrow>real) has_integral m) UNIV"
shows "emeasure lebesgue s = ereal m"
proof (intro lmeasure_iff_LIMSEQ[THEN iffD2])
let ?I = "indicator :: 'a set \<Rightarrow> 'a \<Rightarrow> real"
show "s \<in> sets lebesgue" using has_integral_lebesgue[OF assms] .
show "0 \<le> m" using assms by (rule has_integral_nonneg) auto
have "(\<lambda>n. integral UNIV (?I (s \<inter> cube n))) ----> integral UNIV (?I s)"
proof (intro dominated_convergence(2) ballI)
show "(?I s) integrable_on UNIV" unfolding integrable_on_def using assms by auto
fix n show "?I (s \<inter> cube n) integrable_on UNIV"
unfolding integrable_indicator_UNIV using `s \<in> sets lebesgue` by (auto dest: lebesgueD)
fix x show "norm (?I (s \<inter> cube n) x) \<le> ?I s x" by (auto simp: indicator_def)
next
fix x :: 'a
from mem_big_cube obtain k where k: "x \<in> cube k" .
{ fix n have "?I (s \<inter> cube (n + k)) x = ?I s x"
using k cube_subset[of k "n + k"] by (auto simp: indicator_def) }
note * = this
show "(\<lambda>k. ?I (s \<inter> cube k) x) ----> ?I s x"
by (rule LIMSEQ_offset[where k=k]) (auto simp: *)
qed
then show "(\<lambda>n. integral (cube n) (?I s)) ----> m"
unfolding integral_unique[OF assms] integral_indicator_UNIV by simp
qed
lemma has_integral_iff_lmeasure:
"(indicator A has_integral m) UNIV \<longleftrightarrow> (A \<in> sets lebesgue \<and> emeasure lebesgue A = ereal m)"
proof
assume "(indicator A has_integral m) UNIV"
with has_integral_lmeasure[OF this] has_integral_lebesgue[OF this]
show "A \<in> sets lebesgue \<and> emeasure lebesgue A = ereal m"
by (auto intro: has_integral_nonneg)
next
assume "A \<in> sets lebesgue \<and> emeasure lebesgue A = ereal m"
then show "(indicator A has_integral m) UNIV" by (intro lmeasure_finite_has_integral) auto
qed
lemma lmeasure_eq_integral: assumes "(indicator s::_\<Rightarrow>real) integrable_on UNIV"
shows "emeasure lebesgue s = ereal (integral UNIV (indicator s))"
using assms unfolding integrable_on_def
proof safe
fix y :: real assume "(indicator s has_integral y) UNIV"
from this[unfolded has_integral_iff_lmeasure] integral_unique[OF this]
show "emeasure lebesgue s = ereal (integral UNIV (indicator s))" by simp
qed
lemma lebesgue_simple_function_indicator:
fixes f::"'a::ordered_euclidean_space \<Rightarrow> ereal"
assumes f:"simple_function lebesgue f"
shows "f = (\<lambda>x. (\<Sum>y \<in> f ` UNIV. y * indicator (f -` {y}) x))"
by (rule, subst simple_function_indicator_representation[OF f]) auto
lemma integral_eq_lmeasure:
"(indicator s::_\<Rightarrow>real) integrable_on UNIV \<Longrightarrow> integral UNIV (indicator s) = real (emeasure lebesgue s)"
by (subst lmeasure_eq_integral) (auto intro!: integral_nonneg)
lemma lmeasure_finite: assumes "(indicator s::_\<Rightarrow>real) integrable_on UNIV" shows "emeasure lebesgue s \<noteq> \<infinity>"
using lmeasure_eq_integral[OF assms] by auto
lemma negligible_iff_lebesgue_null_sets:
"negligible A \<longleftrightarrow> A \<in> null_sets lebesgue"
proof
assume "negligible A"
from this[THEN lebesgueI_negligible] this[THEN lmeasure_eq_0]
show "A \<in> null_sets lebesgue" by auto
next
assume A: "A \<in> null_sets lebesgue"
then have *:"((indicator A) has_integral (0::real)) UNIV" using lmeasure_finite_has_integral[of A]
by (auto simp: null_sets_def)
show "negligible A" unfolding negligible_def
proof (intro allI)
fix a b :: 'a
have integrable: "(indicator A :: _\<Rightarrow>real) integrable_on cbox a b"
by (intro integrable_on_subcbox has_integral_integrable) (auto intro: *)
then have "integral (cbox a b) (indicator A) \<le> (integral UNIV (indicator A) :: real)"
using * by (auto intro!: integral_subset_le)
moreover have "(0::real) \<le> integral (cbox a b) (indicator A)"
using integrable by (auto intro!: integral_nonneg)
ultimately have "integral (cbox a b) (indicator A) = (0::real)"
using integral_unique[OF *] by auto
then show "(indicator A has_integral (0::real)) (cbox a b)"
using integrable_integral[OF integrable] by simp
qed
qed
lemma lmeasure_UNIV[intro]: "emeasure lebesgue (UNIV::'a::ordered_euclidean_space set) = \<infinity>"
proof (simp add: emeasure_lebesgue, intro SUP_PInfty bexI)
fix n :: nat
have "indicator UNIV = (\<lambda>x::'a. 1 :: real)" by auto
moreover
{ have "real n \<le> (2 * real n) ^ DIM('a)"
proof (cases n)
case 0 then show ?thesis by auto
next
case (Suc n')
have "real n \<le> (2 * real n)^1" by auto
also have "(2 * real n)^1 \<le> (2 * real n) ^ DIM('a)"
using Suc DIM_positive[where 'a='a]
by (intro power_increasing) (auto simp: real_of_nat_Suc simp del: DIM_positive)
finally show ?thesis .
qed }
ultimately show "ereal (real n) \<le> ereal (integral (cube n) (indicator UNIV::'a\<Rightarrow>real))"
using integral_const DIM_positive[where 'a='a]
by (auto simp: cube_def content_cbox_cases setprod_constant setsum_negf cbox_interval[symmetric])
qed simp
lemma lmeasure_complete: "A \<subseteq> B \<Longrightarrow> B \<in> null_sets lebesgue \<Longrightarrow> A \<in> null_sets lebesgue"
unfolding negligible_iff_lebesgue_null_sets[symmetric] by (auto simp: negligible_subset)
lemma
fixes a b ::"'a::ordered_euclidean_space"
shows lmeasure_atLeastAtMost[simp]: "emeasure lebesgue {a..b} = ereal (content {a..b})"
proof -
have "(indicator (UNIV \<inter> {a..b})::_\<Rightarrow>real) integrable_on UNIV"
unfolding integrable_indicator_UNIV by (simp add: integrable_const indicator_def [abs_def] cbox_interval[symmetric])
from lmeasure_eq_integral[OF this] show ?thesis unfolding integral_indicator_UNIV
by (simp add: indicator_def [abs_def] cbox_interval[symmetric])
qed
lemma lmeasure_singleton[simp]:
fixes a :: "'a::ordered_euclidean_space" shows "emeasure lebesgue {a} = 0"
using lmeasure_atLeastAtMost[of a a] by simp
lemma AE_lebesgue_singleton:
fixes a :: "'a::ordered_euclidean_space" shows "AE x in lebesgue. x \<noteq> a"
by (rule AE_I[where N="{a}"]) auto
declare content_real[simp]
lemma
fixes a b :: real
shows lmeasure_real_greaterThanAtMost[simp]:
"emeasure lebesgue {a <.. b} = ereal (if a \<le> b then b - a else 0)"
proof -
have "emeasure lebesgue {a <.. b} = emeasure lebesgue {a .. b}"
using AE_lebesgue_singleton[of a]
by (intro emeasure_eq_AE) auto
then show ?thesis by auto
qed
lemma
fixes a b :: real
shows lmeasure_real_atLeastLessThan[simp]:
"emeasure lebesgue {a ..< b} = ereal (if a \<le> b then b - a else 0)"
proof -
have "emeasure lebesgue {a ..< b} = emeasure lebesgue {a .. b}"
using AE_lebesgue_singleton[of b]
by (intro emeasure_eq_AE) auto
then show ?thesis by auto
qed
lemma
fixes a b :: real
shows lmeasure_real_greaterThanLessThan[simp]:
"emeasure lebesgue {a <..< b} = ereal (if a \<le> b then b - a else 0)"
proof -
have "emeasure lebesgue {a <..< b} = emeasure lebesgue {a .. b}"
using AE_lebesgue_singleton[of a] AE_lebesgue_singleton[of b]
by (intro emeasure_eq_AE) auto
then show ?thesis by auto
qed
subsection {* Lebesgue-Borel measure *}
definition "lborel = measure_of UNIV (sets borel) (emeasure lebesgue)"
lemma
shows space_lborel[simp]: "space lborel = UNIV"
and sets_lborel[simp]: "sets lborel = sets borel"
and measurable_lborel1[simp]: "measurable lborel = measurable borel"
and measurable_lborel2[simp]: "measurable A lborel = measurable A borel"
using sets.sigma_sets_eq[of borel]
by (auto simp add: lborel_def measurable_def[abs_def])
(* TODO: switch these rules! *)
lemma emeasure_lborel[simp]: "A \<in> sets borel \<Longrightarrow> emeasure lborel A = emeasure lebesgue A"
by (rule emeasure_measure_of[OF lborel_def])
(auto simp: positive_def emeasure_nonneg countably_additive_def intro!: suminf_emeasure)
lemma measure_lborel[simp]: "A \<in> sets borel \<Longrightarrow> measure lborel A = measure lebesgue A"
unfolding measure_def by simp
interpretation lborel: sigma_finite_measure lborel
proof (default, intro conjI exI[of _ "\<lambda>n. cube n"])
show "range cube \<subseteq> sets lborel" by (auto intro: borel_closed)
{ fix x :: 'a have "\<exists>n. x\<in>cube n" using mem_big_cube by auto }
then show "(\<Union>i. cube i) = (space lborel :: 'a set)" using mem_big_cube by auto
show "\<forall>i. emeasure lborel (cube i) \<noteq> \<infinity>" by (simp add: cube_def)
qed
interpretation lebesgue: sigma_finite_measure lebesgue
proof
from lborel.sigma_finite guess A :: "nat \<Rightarrow> 'a set" ..
then show "\<exists>A::nat \<Rightarrow> 'a set. range A \<subseteq> sets lebesgue \<and> (\<Union>i. A i) = space lebesgue \<and> (\<forall>i. emeasure lebesgue (A i) \<noteq> \<infinity>)"
by (intro exI[of _ A]) (auto simp: subset_eq)
qed
lemma Int_stable_atLeastAtMost:
fixes x::"'a::ordered_euclidean_space"
shows "Int_stable (range (\<lambda>(a, b::'a). {a..b}))"
by (auto simp: inter_interval Int_stable_def cbox_interval[symmetric])
lemma lborel_eqI:
fixes M :: "'a::ordered_euclidean_space measure"
assumes emeasure_eq: "\<And>a b. emeasure M {a .. b} = content {a .. b}"
assumes sets_eq: "sets M = sets borel"
shows "lborel = M"
proof (rule measure_eqI_generator_eq[OF Int_stable_atLeastAtMost])
let ?P = "\<Pi>\<^sub>M i\<in>{..<DIM('a::ordered_euclidean_space)}. lborel"
let ?E = "range (\<lambda>(a, b). {a..b} :: 'a set)"
show "?E \<subseteq> Pow UNIV" "sets lborel = sigma_sets UNIV ?E" "sets M = sigma_sets UNIV ?E"
by (simp_all add: borel_eq_atLeastAtMost sets_eq)
show "range cube \<subseteq> ?E" unfolding cube_def [abs_def] by auto
{ fix x :: 'a have "\<exists>n. x \<in> cube n" using mem_big_cube[of x] by fastforce }
then show "(\<Union>i. cube i :: 'a set) = UNIV" by auto
{ fix i show "emeasure lborel (cube i) \<noteq> \<infinity>" unfolding cube_def by auto }
{ fix X assume "X \<in> ?E" then show "emeasure lborel X = emeasure M X"
by (auto simp: emeasure_eq) }
qed
(* GENEREALIZE to euclidean_spaces *)
lemma lborel_real_affine:
fixes c :: real assumes "c \<noteq> 0"
shows "lborel = density (distr lborel borel (\<lambda>x. t + c * x)) (\<lambda>_. \<bar>c\<bar>)" (is "_ = ?D")
proof (rule lborel_eqI)
fix a b show "emeasure ?D {a..b} = content {a .. b}"
proof cases
assume "0 < c"
then have "(\<lambda>x. t + c * x) -` {a..b} = {(a - t) / c .. (b - t) / c}"
by (auto simp: field_simps)
with `0 < c` show ?thesis
by (cases "a \<le> b")
(auto simp: field_simps emeasure_density positive_integral_distr positive_integral_cmult
borel_measurable_indicator' emeasure_distr)
next
assume "\<not> 0 < c" with `c \<noteq> 0` have "c < 0" by auto
then have *: "(\<lambda>x. t + c * x) -` {a..b} = {(b - t) / c .. (a - t) / c}"
by (auto simp: field_simps)
with `c < 0` show ?thesis
by (cases "a \<le> b")
(auto simp: field_simps emeasure_density positive_integral_distr
positive_integral_cmult borel_measurable_indicator' emeasure_distr)
qed
qed simp
lemma positive_integral_real_affine:
fixes c :: real assumes [measurable]: "f \<in> borel_measurable borel" and c: "c \<noteq> 0"
shows "(\<integral>\<^sup>+x. f x \<partial>lborel) = \<bar>c\<bar> * (\<integral>\<^sup>+x. f (t + c * x) \<partial>lborel)"
by (subst lborel_real_affine[OF c, of t])
(simp add: positive_integral_density positive_integral_distr positive_integral_cmult)
lemma lborel_integrable_real_affine:
fixes f :: "real \<Rightarrow> _ :: {banach, second_countable_topology}"
assumes f: "integrable lborel f"
shows "c \<noteq> 0 \<Longrightarrow> integrable lborel (\<lambda>x. f (t + c * x))"
using f f[THEN borel_measurable_integrable] unfolding integrable_iff_bounded
by (subst (asm) positive_integral_real_affine[where c=c and t=t]) auto
lemma lborel_integrable_real_affine_iff:
fixes f :: "real \<Rightarrow> 'a :: {banach, second_countable_topology}"
shows "c \<noteq> 0 \<Longrightarrow> integrable lborel (\<lambda>x. f (t + c * x)) \<longleftrightarrow> integrable lborel f"
using
lborel_integrable_real_affine[of f c t]
lborel_integrable_real_affine[of "\<lambda>x. f (t + c * x)" "1/c" "-t/c"]
by (auto simp add: field_simps)
lemma lborel_integral_real_affine:
fixes f :: "real \<Rightarrow> 'a :: {banach, second_countable_topology}" and c :: real
assumes c: "c \<noteq> 0" and f[measurable]: "integrable lborel f"
shows "(\<integral>x. f x \<partial> lborel) = \<bar>c\<bar> *\<^sub>R (\<integral>x. f (t + c * x) \<partial>lborel)"
using c f f[THEN borel_measurable_integrable] f[THEN lborel_integrable_real_affine, of c t]
by (subst lborel_real_affine[OF c, of t]) (simp add: integral_density integral_distr)
lemma divideR_right:
fixes x y :: "'a::real_normed_vector"
shows "r \<noteq> 0 \<Longrightarrow> y = x /\<^sub>R r \<longleftrightarrow> r *\<^sub>R y = x"
using scaleR_cancel_left[of r y "x /\<^sub>R r"] by simp
lemma integrable_on_cmult_iff2:
fixes c :: real
shows "(\<lambda>x. c * f x) integrable_on s \<longleftrightarrow> c = 0 \<or> f integrable_on s"
using integrable_cmul[of "\<lambda>x. c * f x" s "1 / c"] integrable_cmul[of f s c]
by (cases "c = 0") auto
lemma lborel_has_bochner_integral_real_affine_iff:
fixes x :: "'a :: {banach, second_countable_topology}"
shows "c \<noteq> 0 \<Longrightarrow>
has_bochner_integral lborel f x \<longleftrightarrow>
has_bochner_integral lborel (\<lambda>x. f (t + c * x)) (x /\<^sub>R \<bar>c\<bar>)"
unfolding has_bochner_integral_iff lborel_integrable_real_affine_iff
by (simp_all add: lborel_integral_real_affine[symmetric] divideR_right cong: conj_cong)
subsection {* Lebesgue integrable implies Gauge integrable *}
lemma has_integral_scaleR_left:
"(f has_integral y) s \<Longrightarrow> ((\<lambda>x. f x *\<^sub>R c) has_integral (y *\<^sub>R c)) s"
using has_integral_linear[OF _ bounded_linear_scaleR_left] by (simp add: comp_def)
lemma has_integral_mult_left:
fixes c :: "_ :: {real_normed_algebra}"
shows "(f has_integral y) s \<Longrightarrow> ((\<lambda>x. f x * c) has_integral (y * c)) s"
using has_integral_linear[OF _ bounded_linear_mult_left] by (simp add: comp_def)
(* GENERALIZE Integration.dominated_convergence, then generalize the following theorems *)
lemma has_integral_dominated_convergence:
fixes f :: "nat \<Rightarrow> 'n::ordered_euclidean_space \<Rightarrow> real"
assumes "\<And>k. (f k has_integral y k) s" "h integrable_on s"
"\<And>k. \<forall>x\<in>s. norm (f k x) \<le> h x" "\<forall>x\<in>s. (\<lambda>k. f k x) ----> g x"
and x: "y ----> x"
shows "(g has_integral x) s"
proof -
have int_f: "\<And>k. (f k) integrable_on s"
using assms by (auto simp: integrable_on_def)
have "(g has_integral (integral s g)) s"
by (intro integrable_integral dominated_convergence[OF int_f assms(2)]) fact+
moreover have "integral s g = x"
proof (rule LIMSEQ_unique)
show "(\<lambda>i. integral s (f i)) ----> x"
using integral_unique[OF assms(1)] x by simp
show "(\<lambda>i. integral s (f i)) ----> integral s g"
by (intro dominated_convergence[OF int_f assms(2)]) fact+
qed
ultimately show ?thesis
by simp
qed
lemma positive_integral_has_integral:
fixes f::"'a::ordered_euclidean_space \<Rightarrow> real"
assumes f: "f \<in> borel_measurable lebesgue" "\<And>x. 0 \<le> f x" "(\<integral>\<^sup>+x. f x \<partial>lebesgue) = ereal r"
shows "(f has_integral r) UNIV"
using f proof (induct arbitrary: r rule: borel_measurable_induct_real)
case (set A) then show ?case
by (auto simp add: ereal_indicator has_integral_iff_lmeasure)
next
case (mult g c)
then have "ereal c * (\<integral>\<^sup>+ x. g x \<partial>lebesgue) = ereal r"
by (subst positive_integral_cmult[symmetric]) auto
then obtain r' where "(c = 0 \<and> r = 0) \<or> ((\<integral>\<^sup>+ x. ereal (g x) \<partial>lebesgue) = ereal r' \<and> r = c * r')"
by (cases "\<integral>\<^sup>+ x. ereal (g x) \<partial>lebesgue") (auto split: split_if_asm)
with mult show ?case
by (auto intro!: has_integral_cmult_real)
next
case (add g h)
moreover
then have "(\<integral>\<^sup>+ x. h x + g x \<partial>lebesgue) = (\<integral>\<^sup>+ x. h x \<partial>lebesgue) + (\<integral>\<^sup>+ x. g x \<partial>lebesgue)"
unfolding plus_ereal.simps[symmetric] by (subst positive_integral_add) auto
with add obtain a b where "(\<integral>\<^sup>+ x. h x \<partial>lebesgue) = ereal a" "(\<integral>\<^sup>+ x. g x \<partial>lebesgue) = ereal b" "r = a + b"
by (cases "\<integral>\<^sup>+ x. h x \<partial>lebesgue" "\<integral>\<^sup>+ x. g x \<partial>lebesgue" rule: ereal2_cases) auto
ultimately show ?case
by (auto intro!: has_integral_add)
next
case (seq U)
note seq(1)[measurable] and f[measurable]
{ fix i x
have "U i x \<le> f x"
using seq(5)
apply (rule LIMSEQ_le_const)
using seq(4)
apply (auto intro!: exI[of _ i] simp: incseq_def le_fun_def)
done }
note U_le_f = this
{ fix i
have "(\<integral>\<^sup>+x. ereal (U i x) \<partial>lebesgue) \<le> (\<integral>\<^sup>+x. ereal (f x) \<partial>lebesgue)"
using U_le_f by (intro positive_integral_mono) simp
then obtain p where "(\<integral>\<^sup>+x. U i x \<partial>lebesgue) = ereal p" "p \<le> r"
using seq(6) by (cases "\<integral>\<^sup>+x. U i x \<partial>lebesgue") auto
moreover then have "0 \<le> p"
by (metis ereal_less_eq(5) positive_integral_positive)
moreover note seq
ultimately have "\<exists>p. (\<integral>\<^sup>+x. U i x \<partial>lebesgue) = ereal p \<and> 0 \<le> p \<and> p \<le> r \<and> (U i has_integral p) UNIV"
by auto }
then obtain p where p: "\<And>i. (\<integral>\<^sup>+x. ereal (U i x) \<partial>lebesgue) = ereal (p i)"
and bnd: "\<And>i. p i \<le> r" "\<And>i. 0 \<le> p i"
and U_int: "\<And>i.(U i has_integral (p i)) UNIV" by metis
have int_eq: "\<And>i. integral UNIV (U i) = p i" using U_int by (rule integral_unique)
have *: "f integrable_on UNIV \<and> (\<lambda>k. integral UNIV (U k)) ----> integral UNIV f"
proof (rule monotone_convergence_increasing)
show "\<forall>k. U k integrable_on UNIV" using U_int by auto
show "\<forall>k. \<forall>x\<in>UNIV. U k x \<le> U (Suc k) x" using `incseq U` by (auto simp: incseq_def le_fun_def)
then show "bounded {integral UNIV (U k) |k. True}"
using bnd int_eq by (auto simp: bounded_real intro!: exI[of _ r])
show "\<forall>x\<in>UNIV. (\<lambda>k. U k x) ----> f x"
using seq by auto
qed
moreover have "(\<lambda>i. (\<integral>\<^sup>+x. U i x \<partial>lebesgue)) ----> (\<integral>\<^sup>+x. f x \<partial>lebesgue)"
using seq U_le_f by (intro positive_integral_dominated_convergence[where w=f]) auto
ultimately have "integral UNIV f = r"
by (auto simp add: int_eq p seq intro: LIMSEQ_unique)
with * show ?case
by (simp add: has_integral_integral)
qed
lemma has_integral_integrable_lebesgue_nonneg:
fixes f::"'a::ordered_euclidean_space \<Rightarrow> real"
assumes f: "integrable lebesgue f" "\<And>x. 0 \<le> f x"
shows "(f has_integral integral\<^sup>L lebesgue f) UNIV"
proof (rule positive_integral_has_integral)
show "(\<integral>\<^sup>+ x. ereal (f x) \<partial>lebesgue) = ereal (integral\<^sup>L lebesgue f)"
using f by (intro positive_integral_eq_integral) auto
qed (insert f, auto)
lemma has_integral_lebesgue_integral_lebesgue:
fixes f::"'a::ordered_euclidean_space \<Rightarrow> real"
assumes f: "integrable lebesgue f"
shows "(f has_integral (integral\<^sup>L lebesgue f)) UNIV"
using f proof induct
case (base A c) then show ?case
by (auto intro!: has_integral_mult_left simp: has_integral_iff_lmeasure)
(simp add: emeasure_eq_ereal_measure)
next
case (add f g) then show ?case
by (auto intro!: has_integral_add)
next
case (lim f s)
show ?case
proof (rule has_integral_dominated_convergence)
show "\<And>i. (s i has_integral integral\<^sup>L lebesgue (s i)) UNIV" by fact
show "(\<lambda>x. norm (2 * f x)) integrable_on UNIV"
using lim by (intro has_integral_integrable[OF has_integral_integrable_lebesgue_nonneg]) auto
show "\<And>k. \<forall>x\<in>UNIV. norm (s k x) \<le> norm (2 * f x)"
using lim by (auto simp add: abs_mult)
show "\<forall>x\<in>UNIV. (\<lambda>k. s k x) ----> f x"
using lim by auto
show "(\<lambda>k. integral\<^sup>L lebesgue (s k)) ----> integral\<^sup>L lebesgue f"
using lim by (intro integral_dominated_convergence(3)[where w="\<lambda>x. 2 * norm (f x)"]) auto
qed
qed
lemma lebesgue_positive_integral_eq_borel:
assumes f: "f \<in> borel_measurable borel"
shows "integral\<^sup>P lebesgue f = integral\<^sup>P lborel f"
proof -
from f have "integral\<^sup>P lebesgue (\<lambda>x. max 0 (f x)) = integral\<^sup>P lborel (\<lambda>x. max 0 (f x))"
by (auto intro!: positive_integral_subalgebra[symmetric])
then show ?thesis unfolding positive_integral_max_0 .
qed
lemma lebesgue_integral_eq_borel:
fixes f :: "_ \<Rightarrow> _::{banach, second_countable_topology}"
assumes "f \<in> borel_measurable borel"
shows "integrable lebesgue f \<longleftrightarrow> integrable lborel f" (is ?P)
and "integral\<^sup>L lebesgue f = integral\<^sup>L lborel f" (is ?I)
proof -
have "sets lborel \<subseteq> sets lebesgue" by auto
from integral_subalgebra[of f lborel, OF _ this _ _]
integrable_subalgebra[of f lborel, OF _ this _ _] assms
show ?P ?I by auto
qed
lemma has_integral_lebesgue_integral:
fixes f::"'a::ordered_euclidean_space => real"
assumes f:"integrable lborel f"
shows "(f has_integral (integral\<^sup>L lborel f)) UNIV"
proof -
have borel: "f \<in> borel_measurable borel"
using f unfolding integrable_iff_bounded by auto
from f show ?thesis
using has_integral_lebesgue_integral_lebesgue[of f]
unfolding lebesgue_integral_eq_borel[OF borel] by simp
qed
lemma positive_integral_bound_simple_function:
assumes bnd: "\<And>x. x \<in> space M \<Longrightarrow> 0 \<le> f x" "\<And>x. x \<in> space M \<Longrightarrow> f x < \<infinity>"
assumes f[measurable]: "simple_function M f"
assumes supp: "emeasure M {x\<in>space M. f x \<noteq> 0} < \<infinity>"
shows "positive_integral M f < \<infinity>"
proof cases
assume "space M = {}"
then have "positive_integral M f = (\<integral>\<^sup>+x. 0 \<partial>M)"
by (intro positive_integral_cong) auto
then show ?thesis by simp
next
assume "space M \<noteq> {}"
with simple_functionD(1)[OF f] bnd have bnd: "0 \<le> Max (f`space M) \<and> Max (f`space M) < \<infinity>"
by (subst Max_less_iff) (auto simp: Max_ge_iff)
have "positive_integral M f \<le> (\<integral>\<^sup>+x. Max (f`space M) * indicator {x\<in>space M. f x \<noteq> 0} x \<partial>M)"
proof (rule positive_integral_mono)
fix x assume "x \<in> space M"
with f show "f x \<le> Max (f ` space M) * indicator {x \<in> space M. f x \<noteq> 0} x"
by (auto split: split_indicator intro!: Max_ge simple_functionD)
qed
also have "\<dots> < \<infinity>"
using bnd supp by (subst positive_integral_cmult) auto
finally show ?thesis .
qed
lemma
fixes f :: "'a::ordered_euclidean_space \<Rightarrow> real"
assumes f_borel: "f \<in> borel_measurable lebesgue" and nonneg: "\<And>x. 0 \<le> f x"
assumes I: "(f has_integral I) UNIV"
shows integrable_has_integral_lebesgue_nonneg: "integrable lebesgue f"
and integral_has_integral_lebesgue_nonneg: "integral\<^sup>L lebesgue f = I"
proof -
from f_borel have "(\<lambda>x. ereal (f x)) \<in> borel_measurable lebesgue" by auto
from borel_measurable_implies_simple_function_sequence'[OF this] guess F . note F = this
have "(\<integral>\<^sup>+ x. ereal (f x) \<partial>lebesgue) = (SUP i. integral\<^sup>P lebesgue (F i))"
using F
by (subst positive_integral_monotone_convergence_SUP[symmetric])
(simp_all add: positive_integral_max_0 borel_measurable_simple_function)
also have "\<dots> \<le> ereal I"
proof (rule SUP_least)
fix i :: nat
{ fix z
from F(4)[of z] have "F i z \<le> ereal (f z)"
by (metis SUP_upper UNIV_I ereal_max_0 max.absorb2 nonneg)
with F(5)[of i z] have "real (F i z) \<le> f z"
by (cases "F i z") simp_all }
note F_bound = this
{ fix x :: ereal assume x: "x \<noteq> 0" "x \<in> range (F i)"
with F(3,5)[of i] have [simp]: "real x \<noteq> 0"
by (metis image_iff order_eq_iff real_of_ereal_le_0)
let ?s = "(\<lambda>n z. real x * indicator (F i -` {x} \<inter> cube n) z) :: nat \<Rightarrow> 'a \<Rightarrow> real"
have "(\<lambda>z::'a. real x * indicator (F i -` {x}) z) integrable_on UNIV"
proof (rule dominated_convergence(1))
fix n :: nat
have "(\<lambda>z. indicator (F i -` {x} \<inter> cube n) z :: real) integrable_on cube n"
using x F(1)[of i]
by (intro lebesgueD) (auto simp: simple_function_def)
then have cube: "?s n integrable_on cube n"
by (simp add: integrable_on_cmult_iff)
show "?s n integrable_on UNIV"
by (rule integrable_on_superset[OF _ _ cube]) auto
next
show "f integrable_on UNIV"
unfolding integrable_on_def using I by auto
next
fix n from F_bound show "\<forall>x\<in>UNIV. norm (?s n x) \<le> f x"
using nonneg F(5) by (auto split: split_indicator)
next
show "\<forall>z\<in>UNIV. (\<lambda>n. ?s n z) ----> real x * indicator (F i -` {x}) z"
proof
fix z :: 'a
from mem_big_cube[of z] guess j .
then have x: "eventually (\<lambda>n. ?s n z = real x * indicator (F i -` {x}) z) sequentially"
by (auto intro!: eventually_sequentiallyI[where c=j] dest!: cube_subset split: split_indicator)
then show "(\<lambda>n. ?s n z) ----> real x * indicator (F i -` {x}) z"
by (rule Lim_eventually)
qed
qed
then have "(indicator (F i -` {x}) :: 'a \<Rightarrow> real) integrable_on UNIV"
by (simp add: integrable_on_cmult_iff) }
note F_finite = lmeasure_finite[OF this]
have F_eq: "\<And>x. F i x = ereal (norm (real (F i x)))"
using F(3,5) by (auto simp: fun_eq_iff ereal_real image_iff eq_commute)
have F_eq2: "\<And>x. F i x = ereal (real (F i x))"
using F(3,5) by (auto simp: fun_eq_iff ereal_real image_iff eq_commute)
have int: "integrable lebesgue (\<lambda>x. real (F i x))"
unfolding integrable_iff_bounded
proof
have "(\<integral>\<^sup>+x. F i x \<partial>lebesgue) < \<infinity>"
proof (rule positive_integral_bound_simple_function)
fix x::'a assume "x \<in> space lebesgue" then show "0 \<le> F i x" "F i x < \<infinity>"
using F by (auto simp: image_iff eq_commute)
next
have eq: "{x \<in> space lebesgue. F i x \<noteq> 0} = (\<Union>x\<in>F i ` space lebesgue - {0}. F i -` {x} \<inter> space lebesgue)"
by auto
show "emeasure lebesgue {x \<in> space lebesgue. F i x \<noteq> 0} < \<infinity>"
unfolding eq using simple_functionD[OF F(1)]
by (subst setsum_emeasure[symmetric])
(auto simp: disjoint_family_on_def setsum_Pinfty F_finite)
qed fact
with F_eq show "(\<integral>\<^sup>+x. norm (real (F i x)) \<partial>lebesgue) < \<infinity>" by simp
qed (insert F(1), auto intro!: borel_measurable_real_of_ereal dest: borel_measurable_simple_function)
then have "((\<lambda>x. real (F i x)) has_integral integral\<^sup>L lebesgue (\<lambda>x. real (F i x))) UNIV"
by (rule has_integral_lebesgue_integral_lebesgue)
from this I have "integral\<^sup>L lebesgue (\<lambda>x. real (F i x)) \<le> I"
by (rule has_integral_le) (intro ballI F_bound)
moreover have "integral\<^sup>P lebesgue (F i) = integral\<^sup>L lebesgue (\<lambda>x. real (F i x))"
using int F by (subst positive_integral_eq_integral[symmetric]) (auto simp: F_eq2[symmetric] real_of_ereal_pos)
ultimately show "integral\<^sup>P lebesgue (F i) \<le> ereal I"
by simp
qed
finally show "integrable lebesgue f"
using f_borel by (auto simp: integrable_iff_bounded nonneg)
from has_integral_lebesgue_integral_lebesgue[OF this] I
show "integral\<^sup>L lebesgue f = I"
by (metis has_integral_unique)
qed
lemma has_integral_iff_has_bochner_integral_lebesgue_nonneg:
fixes f :: "'a::ordered_euclidean_space \<Rightarrow> real"
shows "f \<in> borel_measurable lebesgue \<Longrightarrow> (\<And>x. 0 \<le> f x) \<Longrightarrow>
(f has_integral I) UNIV \<longleftrightarrow> has_bochner_integral lebesgue f I"
by (metis has_bochner_integral_iff has_integral_unique has_integral_lebesgue_integral_lebesgue
integrable_has_integral_lebesgue_nonneg)
lemma
fixes f :: "'a::ordered_euclidean_space \<Rightarrow> real"
assumes "f \<in> borel_measurable borel" "\<And>x. 0 \<le> f x" "(f has_integral I) UNIV"
shows integrable_has_integral_nonneg: "integrable lborel f"
and integral_has_integral_nonneg: "integral\<^sup>L lborel f = I"
by (metis assms borel_measurable_lebesgueI integrable_has_integral_lebesgue_nonneg lebesgue_integral_eq_borel(1))
(metis assms borel_measurable_lebesgueI has_integral_lebesgue_integral has_integral_unique integrable_has_integral_lebesgue_nonneg lebesgue_integral_eq_borel(1))
subsection {* Equivalence between product spaces and euclidean spaces *}
definition e2p :: "'a::ordered_euclidean_space \<Rightarrow> ('a \<Rightarrow> real)" where
"e2p x = (\<lambda>i\<in>Basis. x \<bullet> i)"
definition p2e :: "('a \<Rightarrow> real) \<Rightarrow> 'a::ordered_euclidean_space" where
"p2e x = (\<Sum>i\<in>Basis. x i *\<^sub>R i)"
lemma e2p_p2e[simp]:
"x \<in> extensional Basis \<Longrightarrow> e2p (p2e x::'a::ordered_euclidean_space) = x"
by (auto simp: fun_eq_iff extensional_def p2e_def e2p_def)
lemma p2e_e2p[simp]:
"p2e (e2p x) = (x::'a::ordered_euclidean_space)"
by (auto simp: euclidean_eq_iff[where 'a='a] p2e_def e2p_def)
interpretation lborel_product: product_sigma_finite "\<lambda>x. lborel::real measure"
by default
interpretation lborel_space: finite_product_sigma_finite "\<lambda>x. lborel::real measure" "Basis"
by default auto
lemma sets_product_borel:
assumes I: "finite I"
shows "sets (\<Pi>\<^sub>M i\<in>I. lborel) = sigma_sets (\<Pi>\<^sub>E i\<in>I. UNIV) { \<Pi>\<^sub>E i\<in>I. {..< x i :: real} | x. True}" (is "_ = ?G")
proof (subst sigma_prod_algebra_sigma_eq[where S="\<lambda>_ i::nat. {..<real i}" and E="\<lambda>_. range lessThan", OF I])
show "sigma_sets (space (Pi\<^sub>M I (\<lambda>i. lborel))) {Pi\<^sub>E I F |F. \<forall>i\<in>I. F i \<in> range lessThan} = ?G"
by (intro arg_cong2[where f=sigma_sets]) (auto simp: space_PiM image_iff bchoice_iff)
qed (auto simp: borel_eq_lessThan eucl_lessThan reals_Archimedean2)
lemma measurable_e2p[measurable]:
"e2p \<in> measurable (borel::'a::ordered_euclidean_space measure) (\<Pi>\<^sub>M (i::'a)\<in>Basis. (lborel :: real measure))"
proof (rule measurable_sigma_sets[OF sets_product_borel])
fix A :: "('a \<Rightarrow> real) set" assume "A \<in> {\<Pi>\<^sub>E (i::'a)\<in>Basis. {..<x i} |x. True} "
then obtain x where "A = (\<Pi>\<^sub>E (i::'a)\<in>Basis. {..<x i})" by auto
then have "e2p -` A = {y :: 'a. eucl_less y (\<Sum>i\<in>Basis. x i *\<^sub>R i)}"
using DIM_positive by (auto simp add: set_eq_iff e2p_def eucl_less_def)
then show "e2p -` A \<inter> space (borel::'a measure) \<in> sets borel" by simp
qed (auto simp: e2p_def)
(* FIXME: conversion in measurable prover *)
lemma lborelD_Collect[measurable (raw)]: "{x\<in>space borel. P x} \<in> sets borel \<Longrightarrow> {x\<in>space lborel. P x} \<in> sets lborel" by simp
lemma lborelD[measurable (raw)]: "A \<in> sets borel \<Longrightarrow> A \<in> sets lborel" by simp
lemma measurable_p2e[measurable]:
"p2e \<in> measurable (\<Pi>\<^sub>M (i::'a)\<in>Basis. (lborel :: real measure))
(borel :: 'a::ordered_euclidean_space measure)"
(is "p2e \<in> measurable ?P _")
proof (safe intro!: borel_measurable_iff_halfspace_le[THEN iffD2])
fix x and i :: 'a
let ?A = "{w \<in> space ?P. (p2e w :: 'a) \<bullet> i \<le> x}"
assume "i \<in> Basis"
then have "?A = (\<Pi>\<^sub>E j\<in>Basis. if i = j then {.. x} else UNIV)"
using DIM_positive by (auto simp: space_PiM p2e_def PiE_def split: split_if_asm)
then show "?A \<in> sets ?P"
by auto
qed
lemma lborel_eq_lborel_space:
"(lborel :: 'a measure) = distr (\<Pi>\<^sub>M (i::'a::ordered_euclidean_space)\<in>Basis. lborel) borel p2e"
(is "?B = ?D")
proof (rule lborel_eqI)
show "sets ?D = sets borel" by simp
let ?P = "(\<Pi>\<^sub>M (i::'a)\<in>Basis. lborel)"
fix a b :: 'a
have *: "p2e -` {a .. b} \<inter> space ?P = (\<Pi>\<^sub>E i\<in>Basis. {a \<bullet> i .. b \<bullet> i})"
by (auto simp: eucl_le[where 'a='a] p2e_def space_PiM PiE_def Pi_iff)
have "emeasure ?P (p2e -` {a..b} \<inter> space ?P) = content {a..b}"
proof cases
assume "{a..b} \<noteq> {}"
then have "a \<le> b"
by (simp add: eucl_le[where 'a='a])
then have "emeasure lborel {a..b} = (\<Prod>x\<in>Basis. emeasure lborel {a \<bullet> x .. b \<bullet> x})"
by (auto simp: eucl_le[where 'a='a] content_closed_interval
intro!: setprod_ereal[symmetric])
also have "\<dots> = emeasure ?P (p2e -` {a..b} \<inter> space ?P)"
unfolding * by (subst lborel_space.measure_times) auto
finally show ?thesis by simp
qed simp
then show "emeasure ?D {a .. b} = content {a .. b}"
by (simp add: emeasure_distr measurable_p2e)
qed
lemma borel_fubini_positiv_integral:
fixes f :: "'a::ordered_euclidean_space \<Rightarrow> ereal"
assumes f: "f \<in> borel_measurable borel"
shows "integral\<^sup>P lborel f = \<integral>\<^sup>+x. f (p2e x) \<partial>(\<Pi>\<^sub>M (i::'a)\<in>Basis. lborel)"
by (subst lborel_eq_lborel_space) (simp add: positive_integral_distr measurable_p2e f)
lemma borel_fubini_integrable:
fixes f :: "'a::ordered_euclidean_space \<Rightarrow> _::{banach, second_countable_topology}"
shows "integrable lborel f \<longleftrightarrow> integrable (\<Pi>\<^sub>M (i::'a)\<in>Basis. lborel) (\<lambda>x. f (p2e x))"
unfolding integrable_iff_bounded
proof (intro conj_cong[symmetric])
show "((\<lambda>x. f (p2e x)) \<in> borel_measurable (Pi\<^sub>M Basis (\<lambda>i. lborel))) = (f \<in> borel_measurable lborel)"
proof
assume "((\<lambda>x. f (p2e x)) \<in> borel_measurable (Pi\<^sub>M Basis (\<lambda>i. lborel)))"
then have "(\<lambda>x. f (p2e (e2p x))) \<in> borel_measurable borel"
by measurable
then show "f \<in> borel_measurable lborel"
by simp
qed simp
qed (simp add: borel_fubini_positiv_integral)
lemma borel_fubini:
fixes f :: "'a::ordered_euclidean_space \<Rightarrow> _::{banach, second_countable_topology}"
shows "f \<in> borel_measurable borel \<Longrightarrow>
integral\<^sup>L lborel f = \<integral>x. f (p2e x) \<partial>((\<Pi>\<^sub>M (i::'a)\<in>Basis. lborel))"
by (subst lborel_eq_lborel_space) (simp add: integral_distr)
lemma integrable_on_borel_integrable:
fixes f :: "'a::ordered_euclidean_space \<Rightarrow> real"
shows "f \<in> borel_measurable borel \<Longrightarrow> (\<And>x. 0 \<le> f x) \<Longrightarrow> f integrable_on UNIV \<Longrightarrow> integrable lborel f"
by (metis borel_measurable_lebesgueI integrable_has_integral_nonneg integrable_on_def
lebesgue_integral_eq_borel(1))
subsection {* Fundamental Theorem of Calculus for the Lebesgue integral *}
lemma borel_integrable_atLeastAtMost:
fixes f :: "real \<Rightarrow> real"
assumes f: "\<And>x. a \<le> x \<Longrightarrow> x \<le> b \<Longrightarrow> isCont f x"
shows "integrable lborel (\<lambda>x. f x * indicator {a .. b} x)" (is "integrable _ ?f")
proof cases
assume "a \<le> b"
from isCont_Lb_Ub[OF `a \<le> b`, of f] f
obtain M L where
bounds: "\<And>x. a \<le> x \<Longrightarrow> x \<le> b \<Longrightarrow> f x \<le> M" "\<And>x. a \<le> x \<Longrightarrow> x \<le> b \<Longrightarrow> L \<le> f x"
by metis
show ?thesis
proof (rule integrable_bound)
show "integrable lborel (\<lambda>x. max \<bar>M\<bar> \<bar>L\<bar> * indicator {a..b} x)"
by (intro integrable_mult_right integrable_real_indicator) simp_all
show "AE x in lborel. norm (?f x) \<le> norm (max \<bar>M\<bar> \<bar>L\<bar> * indicator {a..b} x)"
proof (rule AE_I2)
fix x show "norm (?f x) \<le> norm (max \<bar>M\<bar> \<bar>L\<bar> * indicator {a..b} x)"
using bounds[of x] by (auto split: split_indicator)
qed
let ?g = "\<lambda>x. if x = a then f a else if x = b then f b else if x \<in> {a <..< b} then f x else 0"
from f have "continuous_on {a <..< b} f"
by (subst continuous_on_eq_continuous_at) auto
then have "?g \<in> borel_measurable borel"
using borel_measurable_continuous_on_open[of "{a <..< b }" f "\<lambda>x. x" borel 0]
by (auto intro!: measurable_If[where P="\<lambda>x. x = a"] measurable_If[where P="\<lambda>x. x = b"])
also have "?g = ?f"
using `a \<le> b` by (intro ext) (auto split: split_indicator)
finally show "?f \<in> borel_measurable lborel"
by simp
qed
qed simp
lemma has_field_derivative_subset:
"(f has_field_derivative y) (at x within s) \<Longrightarrow> t \<subseteq> s \<Longrightarrow> (f has_field_derivative y) (at x within t)"
unfolding has_field_derivative_def by (rule has_derivative_subset)
lemma integral_FTC_atLeastAtMost:
fixes a b :: real
assumes "a \<le> b"
and F: "\<And>x. a \<le> x \<Longrightarrow> x \<le> b \<Longrightarrow> DERIV F x :> f x"
and f: "\<And>x. a \<le> x \<Longrightarrow> x \<le> b \<Longrightarrow> isCont f x"
shows "integral\<^sup>L lborel (\<lambda>x. f x * indicator {a .. b} x) = F b - F a"
proof -
let ?f = "\<lambda>x. f x * indicator {a .. b} x"
have "(?f has_integral (\<integral>x. ?f x \<partial>lborel)) UNIV"
using borel_integrable_atLeastAtMost[OF f]
by (rule has_integral_lebesgue_integral)
moreover
have "(f has_integral F b - F a) {a .. b}"
by (intro fundamental_theorem_of_calculus)
(auto simp: has_field_derivative_iff_has_vector_derivative[symmetric]
intro: has_field_derivative_subset[OF F] assms(1))
then have "(?f has_integral F b - F a) {a .. b}"
by (subst has_integral_eq_eq[where g=f]) auto
then have "(?f has_integral F b - F a) UNIV"
by (intro has_integral_on_superset[where t=UNIV and s="{a..b}"]) auto
ultimately show "integral\<^sup>L lborel ?f = F b - F a"
by (rule has_integral_unique)
qed
text {*
For the positive integral we replace continuity with Borel-measurability.
*}
lemma
fixes f :: "real \<Rightarrow> real"
assumes f_borel: "f \<in> borel_measurable borel"
assumes f: "\<And>x. x \<in> {a..b} \<Longrightarrow> DERIV F x :> f x" "\<And>x. x \<in> {a..b} \<Longrightarrow> 0 \<le> f x" and "a \<le> b"
shows integral_FTC_Icc_nonneg: "(\<integral>x. f x * indicator {a .. b} x \<partial>lborel) = F b - F a" (is ?eq)
and integrable_FTC_Icc_nonneg: "integrable lborel (\<lambda>x. f x * indicator {a .. b} x)" (is ?int)
proof -
have i: "(f has_integral F b - F a) {a..b}"
by (intro fundamental_theorem_of_calculus)
(auto simp: has_field_derivative_iff_has_vector_derivative[symmetric]
intro: has_field_derivative_subset[OF f(1)] `a \<le> b`)
have i: "((\<lambda>x. f x * indicator {a..b} x) has_integral F b - F a) {a..b}"
by (rule has_integral_eq[OF _ i]) auto
have i: "((\<lambda>x. f x * indicator {a..b} x) has_integral F b - F a) UNIV"
by (rule has_integral_on_superset[OF _ _ i]) auto
from i f f_borel show ?eq
by (intro integral_has_integral_nonneg) (auto split: split_indicator)
from i f f_borel show ?int
by (intro integrable_has_integral_nonneg) (auto split: split_indicator)
qed
lemma positive_integral_FTC_atLeastAtMost:
assumes "f \<in> borel_measurable borel" "\<And>x. x \<in> {a..b} \<Longrightarrow> DERIV F x :> f x" "\<And>x. x \<in> {a..b} \<Longrightarrow> 0 \<le> f x" "a \<le> b"
shows "(\<integral>\<^sup>+x. f x * indicator {a .. b} x \<partial>lborel) = F b - F a"
proof -
have "integrable lborel (\<lambda>x. f x * indicator {a .. b} x)"
by (rule integrable_FTC_Icc_nonneg) fact+
then have "(\<integral>\<^sup>+x. f x * indicator {a .. b} x \<partial>lborel) = (\<integral>x. f x * indicator {a .. b} x \<partial>lborel)"
using assms by (intro positive_integral_eq_integral) (auto simp: indicator_def)
also have "(\<integral>x. f x * indicator {a .. b} x \<partial>lborel) = F b - F a"
by (rule integral_FTC_Icc_nonneg) fact+
finally show ?thesis
unfolding ereal_indicator[symmetric] by simp
qed
lemma positive_integral_FTC_atLeast:
fixes f :: "real \<Rightarrow> real"
assumes f_borel: "f \<in> borel_measurable borel"
assumes f: "\<And>x. a \<le> x \<Longrightarrow> DERIV F x :> f x"
assumes nonneg: "\<And>x. a \<le> x \<Longrightarrow> 0 \<le> f x"
assumes lim: "(F ---> T) at_top"
shows "(\<integral>\<^sup>+x. ereal (f x) * indicator {a ..} x \<partial>lborel) = T - F a"
proof -
let ?f = "\<lambda>(i::nat) (x::real). ereal (f x) * indicator {a..a + real i} x"
let ?fR = "\<lambda>x. ereal (f x) * indicator {a ..} x"
have "\<And>x. (SUP i::nat. ?f i x) = ?fR x"
proof (rule SUP_Lim_ereal)
show "\<And>x. incseq (\<lambda>i. ?f i x)"
using nonneg by (auto simp: incseq_def le_fun_def split: split_indicator)
fix x
from reals_Archimedean2[of "x - a"] guess n ..
then have "eventually (\<lambda>n. ?f n x = ?fR x) sequentially"
by (auto intro!: eventually_sequentiallyI[where c=n] split: split_indicator)
then show "(\<lambda>n. ?f n x) ----> ?fR x"
by (rule Lim_eventually)
qed
then have "integral\<^sup>P lborel ?fR = (\<integral>\<^sup>+ x. (SUP i::nat. ?f i x) \<partial>lborel)"
by simp
also have "\<dots> = (SUP i::nat. (\<integral>\<^sup>+ x. ?f i x \<partial>lborel))"
proof (rule positive_integral_monotone_convergence_SUP)
show "incseq ?f"
using nonneg by (auto simp: incseq_def le_fun_def split: split_indicator)
show "\<And>i. (?f i) \<in> borel_measurable lborel"
using f_borel by auto
show "\<And>i x. 0 \<le> ?f i x"
using nonneg by (auto split: split_indicator)
qed
also have "\<dots> = (SUP i::nat. ereal (F (a + real i) - F a))"
by (subst positive_integral_FTC_atLeastAtMost[OF f_borel f nonneg]) auto
also have "\<dots> = T - F a"
proof (rule SUP_Lim_ereal)
show "incseq (\<lambda>n. ereal (F (a + real n) - F a))"
proof (simp add: incseq_def, safe)
fix m n :: nat assume "m \<le> n"
with f nonneg show "F (a + real m) \<le> F (a + real n)"
by (intro DERIV_nonneg_imp_nondecreasing[where f=F])
(simp, metis add_increasing2 order_refl order_trans real_of_nat_ge_zero)
qed
have "(\<lambda>x. F (a + real x)) ----> T"
apply (rule filterlim_compose[OF lim filterlim_tendsto_add_at_top])
apply (rule LIMSEQ_const_iff[THEN iffD2, OF refl])
apply (rule filterlim_real_sequentially)
done
then show "(\<lambda>n. ereal (F (a + real n) - F a)) ----> ereal (T - F a)"
unfolding lim_ereal
by (intro tendsto_diff) auto
qed
finally show ?thesis .
qed
end