diff -r 5001ed24e129 -r d5d342611edb src/HOL/Probability/Euclidean_Lebesgue.thy
--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/src/HOL/Probability/Euclidean_Lebesgue.thy	Mon Aug 23 19:35:57 2010 +0200
@@ -0,0 +1,213 @@
+theory Euclidean_Lebesgue
+  imports Lebesgue_Integration Lebesgue_Measure
+begin
+
+lemma simple_function_has_integral:
+  fixes f::"'a::ordered_euclidean_space \<Rightarrow> pinfreal"
+  assumes f:"lebesgue.simple_function f"
+  and f':"\<forall>x. f x \<noteq> \<omega>"
+  and om:"\<forall>x\<in>range f. lmeasure (f -` {x} \<inter> UNIV) = \<omega> \<longrightarrow> x = 0"
+  shows "((\<lambda>x. real (f x)) has_integral (real (lebesgue.simple_integral f))) UNIV"
+  unfolding lebesgue.simple_integral_def
+  apply(subst lebesgue_simple_function_indicator[OF f])
+proof- case goal1
+  have *:"\<And>x. \<forall>y\<in>range f. y * indicator (f -` {y}) x \<noteq> \<omega>"
+    "\<forall>x\<in>range f. x * lmeasure (f -` {x} \<inter> UNIV) \<noteq> \<omega>"
+    using f' om unfolding indicator_def by auto
+  show ?case unfolding space_lebesgue_space real_of_pinfreal_setsum'[OF *(1),THEN sym]
+    unfolding real_of_pinfreal_setsum'[OF *(2),THEN sym]
+    unfolding real_of_pinfreal_setsum space_lebesgue_space
+    apply(rule has_integral_setsum)
+  proof safe show "finite (range f)" using f by (auto dest: lebesgue.simple_functionD)
+    fix y::'a show "((\<lambda>x. real (f y * indicator (f -` {f y}) x)) has_integral
+      real (f y * lmeasure (f -` {f y} \<inter> UNIV))) UNIV"
+    proof(cases "f y = 0") case False
+      have mea:"gmeasurable (f -` {f y})" apply(rule glmeasurable_finite)
+        using assms unfolding lebesgue.simple_function_def using False by auto
+      have *:"\<And>x. real (indicator (f -` {f y}) x::pinfreal) = (if x \<in> f -` {f y} then 1 else 0)" by auto
+      show ?thesis unfolding real_of_pinfreal_mult[THEN sym]
+        apply(rule has_integral_cmul[where 'b=real, unfolded real_scaleR_def])
+        unfolding Int_UNIV_right lmeasure_gmeasure[OF mea,THEN sym]
+        unfolding measure_integral_univ[OF mea] * apply(rule integrable_integral)
+        unfolding gmeasurable_integrable[THEN sym] using mea .
+    qed auto
+  qed qed
+
+lemma (in measure_space) positive_integral_omega:
+  assumes "f \<in> borel_measurable M"
+  and "positive_integral f \<noteq> \<omega>"
+  shows "\<mu> (f -` {\<omega>} \<inter> space M) = 0"
+proof -
+  have "\<omega> * \<mu> (f -` {\<omega>} \<inter> space M) = positive_integral (\<lambda>x. \<omega> * indicator (f -` {\<omega>} \<inter> space M) x)"
+    using positive_integral_cmult_indicator[OF borel_measurable_vimage, OF assms(1), of \<omega> \<omega>] by simp
+  also have "\<dots> \<le> positive_integral f"
+    by (auto intro!: positive_integral_mono simp: indicator_def)
+  finally show ?thesis
+    using assms(2) by (cases ?thesis) auto
+qed
+
+lemma (in measure_space) simple_integral_omega:
+  assumes "simple_function f"
+  and "simple_integral f \<noteq> \<omega>"
+  shows "\<mu> (f -` {\<omega>} \<inter> space M) = 0"
+proof (rule positive_integral_omega)
+  show "f \<in> borel_measurable M" using assms by (auto intro: borel_measurable_simple_function)
+  show "positive_integral f \<noteq> \<omega>"
+    using assms by (simp add: positive_integral_eq_simple_integral)
+qed
+
+lemma bounded_realI: assumes "\<forall>x\<in>s. abs (x::real) \<le> B" shows "bounded s"
+  unfolding bounded_def dist_real_def apply(rule_tac x=0 in exI)
+  using assms by auto
+
+lemma simple_function_has_integral':
+  fixes f::"'a::ordered_euclidean_space \<Rightarrow> pinfreal"
+  assumes f:"lebesgue.simple_function f"
+  and i: "lebesgue.simple_integral f \<noteq> \<omega>"
+  shows "((\<lambda>x. real (f x)) has_integral (real (lebesgue.simple_integral f))) UNIV"
+proof- let ?f = "\<lambda>x. if f x = \<omega> then 0 else f x"
+  { fix x have "real (f x) = real (?f x)" by (cases "f x") auto } note * = this
+  have **:"{x. f x \<noteq> ?f x} = f -` {\<omega>}" by auto
+  have **:"lmeasure {x\<in>space lebesgue_space. f x \<noteq> ?f x} = 0"
+    using lebesgue.simple_integral_omega[OF assms] by(auto simp add:**)
+  show ?thesis apply(subst lebesgue.simple_integral_cong'[OF f _ **])
+    apply(rule lebesgue.simple_function_compose1[OF f])
+    unfolding * defer apply(rule simple_function_has_integral)
+  proof-
+    show "lebesgue.simple_function ?f"
+      using lebesgue.simple_function_compose1[OF f] .
+    show "\<forall>x. ?f x \<noteq> \<omega>" by auto
+    show "\<forall>x\<in>range ?f. lmeasure (?f -` {x} \<inter> UNIV) = \<omega> \<longrightarrow> x = 0"
+    proof (safe, simp, safe, rule ccontr)
+      fix y assume "f y \<noteq> \<omega>" "f y \<noteq> 0"
+      hence "(\<lambda>x. if f x = \<omega> then 0 else f x) -` {if f y = \<omega> then 0 else f y} = f -` {f y}"
+        by (auto split: split_if_asm)
+      moreover assume "lmeasure ((\<lambda>x. if f x = \<omega> then 0 else f x) -` {if f y = \<omega> then 0 else f y}) = \<omega>"
+      ultimately have "lmeasure (f -` {f y}) = \<omega>" by simp
+      moreover
+      have "f y * lmeasure (f -` {f y}) \<noteq> \<omega>" using i f
+        unfolding lebesgue.simple_integral_def setsum_\<omega> lebesgue.simple_function_def
+        by auto
+      ultimately have "f y = 0" by (auto split: split_if_asm)
+      then show False using `f y \<noteq> 0` by simp
+    qed
+  qed
+qed
+
+lemma (in measure_space) positive_integral_monotone_convergence:
+  fixes f::"nat \<Rightarrow> 'a \<Rightarrow> pinfreal"
+  assumes i: "\<And>i. f i \<in> borel_measurable M" and mono: "\<And>x. mono (\<lambda>n. f n x)"
+  and lim: "\<And>x. (\<lambda>i. f i x) ----> u x"
+  shows "u \<in> borel_measurable M"
+  and "(\<lambda>i. positive_integral (f i)) ----> positive_integral u" (is ?ilim)
+proof -
+  from positive_integral_isoton[unfolded isoton_fun_expand isoton_iff_Lim_mono, of f u]
+  show ?ilim using mono lim i by auto
+  have "(SUP i. f i) = u" using mono lim SUP_Lim_pinfreal
+    unfolding expand_fun_eq SUPR_fun_expand mono_def by auto
+  moreover have "(SUP i. f i) \<in> borel_measurable M"
+    using i by (rule borel_measurable_SUP)
+  ultimately show "u \<in> borel_measurable M" by simp
+qed
+
+lemma positive_integral_has_integral:
+  fixes f::"'a::ordered_euclidean_space => pinfreal"
+  assumes f:"f \<in> borel_measurable lebesgue_space"
+  and int_om:"lebesgue.positive_integral f \<noteq> \<omega>"
+  and f_om:"\<forall>x. f x \<noteq> \<omega>" (* TODO: remove this *)
+  shows "((\<lambda>x. real (f x)) has_integral (real (lebesgue.positive_integral f))) UNIV"
+proof- let ?i = "lebesgue.positive_integral f"
+  from lebesgue.borel_measurable_implies_simple_function_sequence[OF f]
+  guess u .. note conjunctD2[OF this,rule_format] note u = conjunctD2[OF this(1)] this(2)
+  let ?u = "\<lambda>i x. real (u i x)" and ?f = "\<lambda>x. real (f x)"
+  have u_simple:"\<And>k. lebesgue.simple_integral (u k) = lebesgue.positive_integral (u k)"
+    apply(subst lebesgue.positive_integral_eq_simple_integral[THEN sym,OF u(1)]) ..
+    (*unfolding image_iff defer apply(rule) using u(2) by smt*)
+  have int_u_le:"\<And>k. lebesgue.simple_integral (u k) \<le> lebesgue.positive_integral f"
+    unfolding u_simple apply(rule lebesgue.positive_integral_mono)
+    using isoton_Sup[OF u(3)] unfolding le_fun_def by auto
+  have u_int_om:"\<And>i. lebesgue.simple_integral (u i) \<noteq> \<omega>"
+  proof- case goal1 thus ?case using int_u_le[of i] int_om by auto qed
+
+  note u_int = simple_function_has_integral'[OF u(1) this]
+  have "(\<lambda>x. real (f x)) integrable_on UNIV \<and>
+    (\<lambda>k. gintegral UNIV (\<lambda>x. real (u k x))) ----> gintegral UNIV (\<lambda>x. real (f x))"
+    apply(rule monotone_convergence_increasing) apply(rule,rule,rule u_int)
+  proof safe case goal1 show ?case apply(rule real_of_pinfreal_mono) using u(2,3) by auto
+  next case goal2 show ?case using u(3) apply(subst lim_Real[THEN sym])
+      prefer 3 apply(subst Real_real') defer apply(subst Real_real')
+      using isotone_Lim[OF u(3)[unfolded isoton_fun_expand, THEN spec]] using f_om u by auto
+  next case goal3
+    show ?case apply(rule bounded_realI[where B="real (lebesgue.positive_integral f)"])
+      apply safe apply(subst abs_of_nonneg) apply(rule integral_nonneg,rule) apply(rule u_int)
+      unfolding integral_unique[OF u_int] defer apply(rule real_of_pinfreal_mono[OF _ int_u_le])
+      using u int_om by auto
+  qed note int = conjunctD2[OF this]
+
+  have "(\<lambda>i. lebesgue.simple_integral (u i)) ----> ?i" unfolding u_simple
+    apply(rule lebesgue.positive_integral_monotone_convergence(2))
+    apply(rule lebesgue.borel_measurable_simple_function[OF u(1)])
+    using isotone_Lim[OF u(3)[unfolded isoton_fun_expand, THEN spec]] by auto
+  hence "(\<lambda>i. real (lebesgue.simple_integral (u i))) ----> real ?i" apply-
+    apply(subst lim_Real[THEN sym]) prefer 3
+    apply(subst Real_real') defer apply(subst Real_real')
+    using u f_om int_om u_int_om by auto
+  note * = LIMSEQ_unique[OF this int(2)[unfolded integral_unique[OF u_int]]]
+  show ?thesis unfolding * by(rule integrable_integral[OF int(1)])
+qed
+
+lemma lebesgue_integral_has_integral:
+  fixes f::"'a::ordered_euclidean_space => real"
+  assumes f:"lebesgue.integrable f"
+  shows "(f has_integral (lebesgue.integral f)) UNIV"
+proof- let ?n = "\<lambda>x. - min (f x) 0" and ?p = "\<lambda>x. max (f x) 0"
+  have *:"f = (\<lambda>x. ?p x - ?n x)" apply rule by auto
+  note f = lebesgue.integrableD[OF f]
+  show ?thesis unfolding lebesgue.integral_def apply(subst *)
+  proof(rule has_integral_sub) case goal1
+    have *:"\<forall>x. Real (f x) \<noteq> \<omega>" by auto
+    note lebesgue.borel_measurable_Real[OF f(1)]
+    from positive_integral_has_integral[OF this f(2) *]
+    show ?case unfolding real_Real_max .
+  next case goal2
+    have *:"\<forall>x. Real (- f x) \<noteq> \<omega>" by auto
+    note lebesgue.borel_measurable_uminus[OF f(1)]
+    note lebesgue.borel_measurable_Real[OF this]
+    from positive_integral_has_integral[OF this f(3) *]
+    show ?case unfolding real_Real_max minus_min_eq_max by auto
+  qed
+qed
+
+lemma lmeasurable_imp_borel[dest]: fixes s::"'a::ordered_euclidean_space set"
+  assumes "s \<in> sets borel_space" shows "lmeasurable s"
+proof- let ?S = "range (\<lambda>(a, b). {a .. (b :: 'a\<Colon>ordered_euclidean_space)})"
+  have *:"?S \<subseteq> sets lebesgue_space" by auto
+  have "s \<in> sigma_sets UNIV ?S" using assms
+    unfolding borel_space_eq_atLeastAtMost by (simp add: sigma_def)
+  thus ?thesis using lebesgue.sigma_subset[of ?S,unfolded sets_sigma,OF *]
+    by auto
+qed
+
+lemma lmeasurable_open[dest]:
+  assumes "open s" shows "lmeasurable s"
+proof- have "s \<in> sets borel_space" using assms by auto
+  thus ?thesis by auto qed
+
+lemma continuous_on_imp_borel_measurable:
+  fixes f::"'a::ordered_euclidean_space \<Rightarrow> 'b::ordered_euclidean_space"
+  assumes "continuous_on UNIV f"
+  shows "f \<in> borel_measurable lebesgue_space"
+  apply(rule lebesgue.borel_measurableI)
+  unfolding lebesgue_measurable apply(rule lmeasurable_open)
+  using continuous_open_preimage[OF assms] unfolding vimage_def by auto
+
+
+lemma (in measure_space) integral_monotone_convergence_pos':
+  assumes i: "\<And>i. integrable (f i)" and mono: "\<And>x. mono (\<lambda>n. f n x)"
+  and pos: "\<And>x i. 0 \<le> f i x"
+  and lim: "\<And>x. (\<lambda>i. f i x) ----> u x"
+  and ilim: "(\<lambda>i. integral (f i)) ----> x"
+  shows "integrable u \<and> integral u = x"
+  using integral_monotone_convergence_pos[OF assms] by auto
+
+end