author hoelzl Thu, 26 May 2011 20:51:03 +0200 changeset 42991 3fa22920bf86 parent 42990 3706951a6421 child 42992 4fc15e3217eb
integral strong monotone; finite subadditivity for measure
```--- a/src/HOL/Probability/Lebesgue_Integration.thy	Thu May 26 20:49:56 2011 +0200
+++ b/src/HOL/Probability/Lebesgue_Integration.thy	Thu May 26 20:51:03 2011 +0200
@@ -9,6 +9,9 @@
imports Measure Borel_Space
begin

+lemma real_extreal_1[simp]: "real (1::extreal) = 1"
+  unfolding one_extreal_def by simp
+
lemma extreal_indicator_pos[simp,intro]: "0 \<le> (indicator A x ::extreal)"
unfolding indicator_def by auto

@@ -1604,6 +1607,10 @@
finally show ?thesis .
qed

+lemma (in measure_space) positive_integral_const_If:
+  "(\<integral>\<^isup>+x. a \<partial>M) = (if 0 \<le> a then a * \<mu> (space M) else 0)"
+  by (auto intro!: positive_integral_0_iff_AE[THEN iffD2])
+
lemma (in measure_space) positive_integral_restricted:
assumes A: "A \<in> sets M"
shows "integral\<^isup>P (restricted_space A) f = (\<integral>\<^isup>+ x. f x * indicator A x \<partial>M)"
@@ -1765,6 +1772,15 @@
shows "integrable M (\<lambda>x. - f x)" "(\<integral>x. - f x \<partial>M) = - integral\<^isup>L M f"
using assms by (auto simp: integrable_def lebesgue_integral_def)

+lemma (in measure_space) integral_minus_iff[simp]:
+  "integrable M (\<lambda>x. - f x) \<longleftrightarrow> integrable M f"
+proof
+  assume "integrable M (\<lambda>x. - f x)"
+  then have "integrable M (\<lambda>x. - (- f x))"
+    by (rule integral_minus)
+  then show "integrable M f" by simp
+qed (rule integral_minus)
+
lemma (in measure_space) integral_of_positive_diff:
assumes integrable: "integrable M u" "integrable M v"
and f_def: "\<And>x. f x = u x - v x" and pos: "\<And>x. 0 \<le> u x" "\<And>x. 0 \<le> v x"
@@ -2181,6 +2197,58 @@
using assms unfolding lebesgue_integral_def
by (subst (1 2) positive_integral_cong_AE) (auto simp add: extreal_real)

+lemma (in finite_measure) lebesgue_integral_const[simp]:
+  shows "integrable M (\<lambda>x. a)"
+  and  "(\<integral>x. a \<partial>M) = a * \<mu>' (space M)"
+proof -
+  { fix a :: real assume "0 \<le> a"
+    then have "(\<integral>\<^isup>+ x. extreal a \<partial>M) = extreal a * \<mu> (space M)"
+      by (subst positive_integral_const) auto
+    moreover
+    from `0 \<le> a` have "(\<integral>\<^isup>+ x. extreal (-a) \<partial>M) = 0"
+      by (subst positive_integral_0_iff_AE) auto
+    ultimately have "integrable M (\<lambda>x. a)" by (auto simp: integrable_def) }
+  note * = this
+  show "integrable M (\<lambda>x. a)"
+  proof cases
+    assume "0 \<le> a" with * show ?thesis .
+  next
+    assume "\<not> 0 \<le> a"
+    then have "0 \<le> -a" by auto
+    from *[OF this] show ?thesis by simp
+  qed
+  show "(\<integral>x. a \<partial>M) = a * \<mu>' (space M)"
+    by (simp add: \<mu>'_def lebesgue_integral_def positive_integral_const_If)
+qed
+
+lemma (in finite_measure) integral_less_AE:
+  assumes int: "integrable M X" "integrable M Y"
+  assumes gt: "AE x. X x < Y x" and neq0: "\<mu> (space M) \<noteq> 0"
+  shows "integral\<^isup>L M X < integral\<^isup>L M Y"
+proof -
+  have "integral\<^isup>L M X \<le> integral\<^isup>L M Y"
+    using gt int by (intro integral_mono_AE) auto
+  moreover
+  have "integral\<^isup>L M X \<noteq> integral\<^isup>L M Y"
+  proof
+    from gt have "AE x. Y x - X x \<noteq> 0"
+      by auto
+    then have \<mu>: "\<mu> {x\<in>space M. Y x - X x \<noteq> 0} = \<mu> (space M)"
+      using int
+      by (intro AE_measure borel_measurable_neq) (auto simp add: integrable_def)
+
+    assume eq: "integral\<^isup>L M X = integral\<^isup>L M Y"
+    have "integral\<^isup>L M (\<lambda>x. \<bar>Y x - X x\<bar>) = integral\<^isup>L M (\<lambda>x. Y x - X x)"
+      using gt by (intro integral_cong_AE) auto
+    also have "\<dots> = 0"
+      using eq int by simp
+    finally show False
+      using \<mu> int neq0
+      by (subst (asm) integral_0_iff) auto
+  qed
+  ultimately show ?thesis by auto
+qed
+
lemma (in measure_space) integral_dominated_convergence:
assumes u: "\<And>i. integrable M (u i)" and bound: "\<And>x j. x\<in>space M \<Longrightarrow> \<bar>u j x\<bar> \<le> w x"
and w: "integrable M w"```
```--- a/src/HOL/Probability/Measure.thy	Thu May 26 20:49:56 2011 +0200
+++ b/src/HOL/Probability/Measure.thy	Thu May 26 20:51:03 2011 +0200
@@ -132,6 +132,10 @@
ultimately show "\<mu> a \<le> \<mu> b" by auto
qed

+lemma (in measure_space) measure_top:
+  "A \<in> sets M \<Longrightarrow> \<mu> A \<le> \<mu> (space M)"
+  using sets_into_space[of A] by (auto intro!: measure_mono)
+
lemma (in measure_space) measure_compl:
assumes s: "s \<in> sets M" and fin: "\<mu> s \<noteq> \<infinity>"
shows "\<mu> (space M - s) = \<mu> (space M) - \<mu> s"
@@ -409,6 +413,22 @@
finally show ?thesis .
qed

+  assumes "finite I" "\<And>i. i\<in>I \<Longrightarrow> A i \<in> sets M"
+  shows "\<mu> (\<Union>i\<in>I. A i) \<le> (\<Sum>i\<in>I. \<mu> (A i))"
+using assms proof induct
+  case (insert i I)
+  then have "\<mu> (\<Union>i\<in>insert i I. A i) = \<mu> (A i \<union> (\<Union>i\<in>I. A i))"
+    by simp
+  also have "\<dots> \<le> \<mu> (A i) + \<mu> (\<Union>i\<in>I. A i)"
+    using insert by (intro measure_subadditive finite_UN) auto
+  also have "\<dots> \<le> \<mu> (A i) + (\<Sum>i\<in>I. \<mu> (A i))"
+    using insert by (intro add_mono) auto
+  also have "\<dots> = (\<Sum>i\<in>insert i I. \<mu> (A i))"
+    using insert by auto
+  finally show ?case .
+qed simp
+
lemma (in measure_space) measure_eq_0:
assumes "N \<in> sets M" and "\<mu> N = 0" and "K \<subseteq> N" and "K \<in> sets M"
shows "\<mu> K = 0"
@@ -724,6 +744,20 @@
and AE_conj_iff[simp]: "(AE x. P x \<and> Q x) \<longleftrightarrow> (AE x. P x) \<and> (AE x. Q x)"
by auto

+lemma (in measure_space) AE_measure:
+  assumes AE: "AE x. P x" and sets: "{x\<in>space M. P x} \<in> sets M"
+  shows "\<mu> {x\<in>space M. P x} = \<mu> (space M)"
+proof -
+  from AE_E[OF AE] guess N . note N = this
+  with sets have "\<mu> (space M) \<le> \<mu> ({x\<in>space M. P x} \<union> N)"
+    by (intro measure_mono) auto
+  also have "\<dots> \<le> \<mu> {x\<in>space M. P x} + \<mu> N"
+    using sets N by (intro measure_subadditive) auto
+  also have "\<dots> = \<mu> {x\<in>space M. P x}" using N by simp
+  finally show "\<mu> {x\<in>space M. P x} = \<mu> (space M)"
+    using measure_top[OF sets] by auto
+qed
+
lemma (in measure_space) AE_space: "AE x. x \<in> space M"
by (rule AE_I[where N="{}"]) auto

@@ -1168,7 +1202,7 @@
lemma (in finite_measure) finite_measure_eq: "A \<in> sets M \<Longrightarrow> \<mu> A = extreal (\<mu>' A)"
by (auto simp: \<mu>'_def extreal_real)

-lemma (in finite_measure) positive_measure': "0 \<le> \<mu>' A"
+lemma (in finite_measure) positive_measure'[simp, intro]: "0 \<le> \<mu>' A"
unfolding \<mu>'_def by (auto simp: real_of_extreal_pos)

lemma (in finite_measure) bounded_measure: "\<mu>' A \<le> \<mu>' (space M)"
@@ -1251,6 +1285,12 @@
using m[THEN finite_measure_eq] Un[OF m, THEN finite_measure_eq] by simp

+  assumes "finite I" "\<And>i. i\<in>I \<Longrightarrow> A i \<in> sets M"
+  shows "\<mu>' (\<Union>i\<in>I. A i) \<le> (\<Sum>i\<in>I. \<mu>' (A i))"
+  by (simp add: finite_measure_eq finite_UN)
+
assumes A: "range A \<subseteq> sets M" and sum: "summable (\<lambda>i. \<mu>' (A i))"
shows "\<mu>' (\<Union>i. A i) \<le> (\<Sum>i. \<mu>' (A i))"
@@ -1378,6 +1418,23 @@
using A finite_subset[OF A finite_space]
by (intro finite_measure_finite_singleton) auto

+  assumes "finite I"
+  shows "\<mu>' (\<Union>i\<in>I. A i) \<le> (\<Sum>i\<in>I. \<mu>' (A i))"
+proof cases
+  assume "(\<Union>i\<in>I. A i) \<subseteq> space M"
+  then have "\<And>i. i\<in>I \<Longrightarrow> A i \<in> sets M" by auto
+  from finite_measure_subadditive_finite[OF `finite I` this]
+  show ?thesis by auto
+next
+  assume "\<not> (\<Union>i\<in>I. A i) \<subseteq> space M"
+  then have "\<mu>' (\<Union>i\<in>I. A i) = 0"
+  also have "0 \<le> (\<Sum>i\<in>I. \<mu>' (A i))"
+    by (auto intro!: setsum_nonneg)
+  finally show ?thesis .
+qed
+
lemma suminf_cmult_indicator:
fixes f :: "nat \<Rightarrow> extreal"
assumes "disjoint_family A" "x \<in> A i" "\<And>i. 0 \<le> f i"```
```--- a/src/HOL/Probability/Probability_Measure.thy	Thu May 26 20:49:56 2011 +0200
+++ b/src/HOL/Probability/Probability_Measure.thy	Thu May 26 20:51:03 2011 +0200
@@ -28,8 +28,6 @@
abbreviation (in prob_space)
"joint_distribution X Y \<equiv> distribution (\<lambda>x. (X x, Y x))"

-declare (in finite_measure) positive_measure'[intro, simp]
-
lemma (in prob_space) distribution_cong:
assumes "\<And>x. x \<in> space M \<Longrightarrow> X x = Y x"
shows "distribution X = distribution Y"```