--- /dev/null Thu Jan 01 00:00:00 1970 +0000
+++ b/src/HOL/Hyperreal/FrechetDeriv.thy Tue Dec 12 00:02:54 2006 +0100
@@ -0,0 +1,487 @@
+(* Title : FrechetDeriv.thy
+ ID : $Id$
+ Author : Brian Huffman
+*)
+
+header {* Frechet Derivative *}
+
+theory FrechetDeriv
+imports Lim
+begin
+
+definition
+ fderiv ::
+ "['a::real_normed_vector \<Rightarrow> 'b::real_normed_vector, 'a, 'a \<Rightarrow> 'b] \<Rightarrow> bool"
+ -- {* Frechet derivative: D is derivative of function f at x *}
+ ("(FDERIV (_)/ (_)/ :> (_))" [1000, 1000, 60] 60) where
+ "FDERIV f x :> D = (bounded_linear D \<and>
+ (\<lambda>h. norm (f (x + h) - f x - D h) / norm h) -- 0 --> 0)"
+
+lemma FDERIV_I:
+ "\<lbrakk>bounded_linear D; (\<lambda>h. norm (f (x + h) - f x - D h) / norm h) -- 0 --> 0\<rbrakk>
+ \<Longrightarrow> FDERIV f x :> D"
+by (simp add: fderiv_def)
+
+lemma FDERIV_D:
+ "FDERIV f x :> D \<Longrightarrow> (\<lambda>h. norm (f (x + h) - f x - D h) / norm h) -- 0 --> 0"
+by (simp add: fderiv_def)
+
+lemma FDERIV_bounded_linear: "FDERIV f x :> D \<Longrightarrow> bounded_linear D"
+by (simp add: fderiv_def)
+
+lemma bounded_linear_zero:
+ "bounded_linear (\<lambda>x::'a::real_normed_vector. 0::'b::real_normed_vector)"
+proof (unfold_locales)
+ show "(0::'b) = 0 + 0" by simp
+ fix r show "(0::'b) = scaleR r 0" by simp
+ have "\<forall>x::'a. norm (0::'b) \<le> norm x * 0" by simp
+ thus "\<exists>K. \<forall>x::'a. norm (0::'b) \<le> norm x * K" ..
+qed
+
+lemma FDERIV_const: "FDERIV (\<lambda>x. k) x :> (\<lambda>h. 0)"
+by (simp add: fderiv_def bounded_linear_zero)
+
+lemma bounded_linear_ident:
+ "bounded_linear (\<lambda>x::'a::real_normed_vector. x)"
+proof (unfold_locales)
+ fix x y :: 'a show "x + y = x + y" by simp
+ fix r and x :: 'a show "scaleR r x = scaleR r x" by simp
+ have "\<forall>x::'a. norm x \<le> norm x * 1" by simp
+ thus "\<exists>K. \<forall>x::'a. norm x \<le> norm x * K" ..
+qed
+
+lemma FDERIV_ident: "FDERIV (\<lambda>x. x) x :> (\<lambda>h. h)"
+by (simp add: fderiv_def bounded_linear_ident)
+
+subsection {* Addition *}
+
+lemma add_diff_add:
+ fixes a b c d :: "'a::ab_group_add"
+ shows "(a + c) - (b + d) = (a - b) + (c - d)"
+by simp
+
+lemma bounded_linear_add:
+ includes bounded_linear f
+ includes bounded_linear g
+ shows "bounded_linear (\<lambda>x. f x + g x)"
+apply (unfold_locales)
+apply (simp only: f.add g.add add_ac)
+apply (simp only: f.scaleR g.scaleR scaleR_right_distrib)
+apply (rule f.pos_boundedE, rename_tac Kf)
+apply (rule g.pos_boundedE, rename_tac Kg)
+apply (rule_tac x="Kf + Kg" in exI, safe)
+apply (subst right_distrib)
+apply (rule order_trans [OF norm_triangle_ineq])
+apply (rule add_mono, erule spec, erule spec)
+done
+
+lemma norm_ratio_ineq:
+ fixes x y :: "'a::real_normed_vector"
+ fixes h :: "'b::real_normed_vector"
+ shows "norm (x + y) / norm h \<le> norm x / norm h + norm y / norm h"
+apply (rule ord_le_eq_trans)
+apply (rule divide_right_mono)
+apply (rule norm_triangle_ineq)
+apply (rule norm_ge_zero)
+apply (rule add_divide_distrib)
+done
+
+lemma FDERIV_add:
+ assumes f: "FDERIV f x :> F"
+ assumes g: "FDERIV g x :> G"
+ shows "FDERIV (\<lambda>x. f x + g x) x :> (\<lambda>h. F h + G h)"
+proof (rule FDERIV_I)
+ show "bounded_linear (\<lambda>h. F h + G h)"
+ apply (rule bounded_linear_add)
+ apply (rule FDERIV_bounded_linear [OF f])
+ apply (rule FDERIV_bounded_linear [OF g])
+ done
+next
+ have f': "(\<lambda>h. norm (f (x + h) - f x - F h) / norm h) -- 0 --> 0"
+ using f by (rule FDERIV_D)
+ have g': "(\<lambda>h. norm (g (x + h) - g x - G h) / norm h) -- 0 --> 0"
+ using g by (rule FDERIV_D)
+ from f' g'
+ have "(\<lambda>h. norm (f (x + h) - f x - F h) / norm h
+ + norm (g (x + h) - g x - G h) / norm h) -- 0 --> 0"
+ by (rule LIM_add_zero)
+ thus "(\<lambda>h. norm (f (x + h) + g (x + h) - (f x + g x) - (F h + G h))
+ / norm h) -- 0 --> 0"
+ apply (rule real_LIM_sandwich_zero)
+ apply (simp add: divide_nonneg_pos)
+ apply (simp only: add_diff_add)
+ apply (rule norm_ratio_ineq)
+ done
+qed
+
+subsection {* Subtraction *}
+
+lemma bounded_linear_minus:
+ includes bounded_linear f
+ shows "bounded_linear (\<lambda>x. - f x)"
+apply (unfold_locales)
+apply (simp add: f.add)
+apply (simp add: f.scaleR)
+apply (simp add: f.bounded)
+done
+
+lemma FDERIV_minus:
+ "FDERIV f x :> F \<Longrightarrow> FDERIV (\<lambda>x. - f x) x :> (\<lambda>h. - F h)"
+apply (rule FDERIV_I)
+apply (rule bounded_linear_minus)
+apply (erule FDERIV_bounded_linear)
+apply (simp only: fderiv_def minus_diff_minus norm_minus_cancel)
+done
+
+lemma FDERIV_diff:
+ "\<lbrakk>FDERIV f x :> F; FDERIV g x :> G\<rbrakk>
+ \<Longrightarrow> FDERIV (\<lambda>x. f x - g x) x :> (\<lambda>h. F h - G h)"
+by (simp only: diff_minus FDERIV_add FDERIV_minus)
+
+subsection {* Continuity *}
+
+lemma FDERIV_isCont:
+ assumes f: "FDERIV f x :> F"
+ shows "isCont f x"
+proof -
+ from f interpret F: bounded_linear ["F"] by (rule FDERIV_bounded_linear)
+ have "(\<lambda>h. norm (f (x + h) - f x - F h) / norm h) -- 0 --> 0"
+ by (rule FDERIV_D [OF f])
+ hence "(\<lambda>h. norm (f (x + h) - f x - F h) / norm h * norm h) -- 0 --> 0"
+ by (intro LIM_mult_zero LIM_norm_zero LIM_self)
+ hence "(\<lambda>h. norm (f (x + h) - f x - F h)) -- 0 --> 0"
+ by (simp cong: LIM_cong)
+ hence "(\<lambda>h. f (x + h) - f x - F h) -- 0 --> 0"
+ by (rule LIM_norm_zero_cancel)
+ hence "(\<lambda>h. f (x + h) - f x - F h + F h) -- 0 --> 0"
+ by (intro LIM_add_zero F.LIM_zero LIM_self)
+ hence "(\<lambda>h. f (x + h) - f x) -- 0 --> 0"
+ by simp
+ thus "isCont f x"
+ unfolding isCont_iff by (rule LIM_zero_cancel)
+qed
+
+subsection {* Composition *}
+
+lemma real_divide_cancel_lemma:
+ fixes a b c :: real
+ shows "(b = 0 \<Longrightarrow> a = 0) \<Longrightarrow> (a / b) * (b / c) = a / c"
+by simp
+
+lemma bounded_linear_compose:
+ includes bounded_linear f
+ includes bounded_linear g
+ shows "bounded_linear (\<lambda>x. f (g x))"
+proof (unfold_locales)
+ fix x y show "f (g (x + y)) = f (g x) + f (g y)"
+ by (simp only: f.add g.add)
+next
+ fix r x show "f (g (scaleR r x)) = scaleR r (f (g x))"
+ by (simp only: f.scaleR g.scaleR)
+next
+ from f.pos_bounded
+ obtain Kf where f: "\<And>x. norm (f x) \<le> norm x * Kf" and Kf: "0 < Kf" by fast
+ from g.pos_bounded
+ obtain Kg where g: "\<And>x. norm (g x) \<le> norm x * Kg" by fast
+ show "\<exists>K. \<forall>x. norm (f (g x)) \<le> norm x * K"
+ proof (intro exI allI)
+ fix x
+ have "norm (f (g x)) \<le> norm (g x) * Kf"
+ using f .
+ also have "\<dots> \<le> (norm x * Kg) * Kf"
+ using g Kf [THEN order_less_imp_le] by (rule mult_right_mono)
+ also have "(norm x * Kg) * Kf = norm x * (Kg * Kf)"
+ by (rule mult_assoc)
+ finally show "norm (f (g x)) \<le> norm x * (Kg * Kf)" .
+ qed
+qed
+
+lemma FDERIV_compose:
+ fixes f :: "'a::real_normed_vector \<Rightarrow> 'b::real_normed_vector"
+ fixes g :: "'b::real_normed_vector \<Rightarrow> 'c::real_normed_vector"
+ assumes f: "FDERIV f x :> F"
+ assumes g: "FDERIV g (f x) :> G"
+ shows "FDERIV (\<lambda>x. g (f x)) x :> (\<lambda>h. G (F h))"
+proof (rule FDERIV_I)
+ from FDERIV_bounded_linear [OF g] FDERIV_bounded_linear [OF f]
+ show "bounded_linear (\<lambda>h. G (F h))"
+ by (rule bounded_linear_compose)
+next
+ let ?Rf = "\<lambda>h. f (x + h) - f x - F h"
+ let ?Rg = "\<lambda>k. g (f x + k) - g (f x) - G k"
+ let ?k = "\<lambda>h. f (x + h) - f x"
+ let ?Nf = "\<lambda>h. norm (?Rf h) / norm h"
+ let ?Ng = "\<lambda>h. norm (?Rg (?k h)) / norm (?k h)"
+ from f interpret F: bounded_linear ["F"] by (rule FDERIV_bounded_linear)
+ from g interpret G: bounded_linear ["G"] by (rule FDERIV_bounded_linear)
+ from F.bounded obtain kF where kF: "\<And>x. norm (F x) \<le> norm x * kF" by fast
+ from G.bounded obtain kG where kG: "\<And>x. norm (G x) \<le> norm x * kG" by fast
+
+ let ?fun2 = "\<lambda>h. ?Nf h * kG + ?Ng h * (?Nf h + kF)"
+
+ show "(\<lambda>h. norm (g (f (x + h)) - g (f x) - G (F h)) / norm h) -- 0 --> 0"
+ proof (rule real_LIM_sandwich_zero)
+ have Nf: "?Nf -- 0 --> 0"
+ using FDERIV_D [OF f] .
+
+ have Ng1: "isCont (\<lambda>k. norm (?Rg k) / norm k) 0"
+ by (simp add: isCont_def FDERIV_D [OF g])
+ have Ng2: "?k -- 0 --> 0"
+ apply (rule LIM_zero)
+ apply (fold isCont_iff)
+ apply (rule FDERIV_isCont [OF f])
+ done
+ have Ng: "?Ng -- 0 --> 0"
+ using isCont_LIM_compose [OF Ng1 Ng2] by simp
+
+ have "(\<lambda>h. ?Nf h * kG + ?Ng h * (?Nf h + kF))
+ -- 0 --> 0 * kG + 0 * (0 + kF)"
+ by (intro LIM_add LIM_mult LIM_const Nf Ng)
+ thus "(\<lambda>h. ?Nf h * kG + ?Ng h * (?Nf h + kF)) -- 0 --> 0"
+ by simp
+ next
+ fix h::'a assume h: "h \<noteq> 0"
+ thus "0 \<le> norm (g (f (x + h)) - g (f x) - G (F h)) / norm h"
+ by (simp add: divide_nonneg_pos)
+ next
+ fix h::'a assume h: "h \<noteq> 0"
+ have "g (f (x + h)) - g (f x) - G (F h) = G (?Rf h) + ?Rg (?k h)"
+ by (simp add: G.diff)
+ hence "norm (g (f (x + h)) - g (f x) - G (F h)) / norm h
+ = norm (G (?Rf h) + ?Rg (?k h)) / norm h"
+ by (rule arg_cong)
+ also have "\<dots> \<le> norm (G (?Rf h)) / norm h + norm (?Rg (?k h)) / norm h"
+ by (rule norm_ratio_ineq)
+ also have "\<dots> \<le> ?Nf h * kG + ?Ng h * (?Nf h + kF)"
+ proof (rule add_mono)
+ show "norm (G (?Rf h)) / norm h \<le> ?Nf h * kG"
+ apply (rule ord_le_eq_trans)
+ apply (rule divide_right_mono [OF kG norm_ge_zero])
+ apply simp
+ done
+ next
+ have "norm (?Rg (?k h)) / norm h = ?Ng h * (norm (?k h) / norm h)"
+ apply (rule real_divide_cancel_lemma [symmetric])
+ apply (simp add: G.zero)
+ done
+ also have "\<dots> \<le> ?Ng h * (?Nf h + kF)"
+ proof (rule mult_left_mono)
+ have "norm (?k h) / norm h = norm (?Rf h + F h) / norm h"
+ by simp
+ also have "\<dots> \<le> ?Nf h + norm (F h) / norm h"
+ by (rule norm_ratio_ineq)
+ also have "\<dots> \<le> ?Nf h + kF"
+ apply (rule add_left_mono)
+ apply (subst pos_divide_le_eq, simp add: h)
+ apply (subst mult_commute)
+ apply (rule kF)
+ done
+ finally show "norm (?k h) / norm h \<le> ?Nf h + kF" .
+ next
+ show "0 \<le> ?Ng h"
+ apply (case_tac "f (x + h) - f x = 0", simp)
+ apply (rule divide_nonneg_pos [OF norm_ge_zero])
+ apply simp
+ done
+ qed
+ finally show "norm (?Rg (?k h)) / norm h \<le> ?Ng h * (?Nf h + kF)" .
+ qed
+ finally show "norm (g (f (x + h)) - g (f x) - G (F h)) / norm h
+ \<le> ?Nf h * kG + ?Ng h * (?Nf h + kF)" .
+ qed
+qed
+
+subsection {* Product Rule *}
+
+lemma (in bounded_bilinear) FDERIV_lemma:
+ "a' ** b' - a ** b - (a ** B + A ** b)
+ = a ** (b' - b - B) + (a' - a - A) ** b' + A ** (b' - b)"
+by (simp add: diff_left diff_right)
+
+lemma (in bounded_bilinear) FDERIV:
+ fixes x :: "'d::real_normed_vector"
+ assumes f: "FDERIV f x :> F"
+ assumes g: "FDERIV g x :> G"
+ shows "FDERIV (\<lambda>x. f x ** g x) x :> (\<lambda>h. f x ** G h + F h ** g x)"
+proof (rule FDERIV_I)
+ show "bounded_linear (\<lambda>h. f x ** G h + F h ** g x)"
+ apply (rule bounded_linear_add)
+ apply (rule bounded_linear_compose [OF bounded_linear_right])
+ apply (rule FDERIV_bounded_linear [OF g])
+ apply (rule bounded_linear_compose [OF bounded_linear_left])
+ apply (rule FDERIV_bounded_linear [OF f])
+ done
+next
+ from bounded_linear.bounded [OF FDERIV_bounded_linear [OF f]]
+ obtain KF where norm_F: "\<And>x. norm (F x) \<le> norm x * KF" by fast
+
+ from pos_bounded obtain K where K: "0 < K" and norm_prod:
+ "\<And>a b. norm (a ** b) \<le> norm a * norm b * K" by fast
+
+ let ?Rf = "\<lambda>h. f (x + h) - f x - F h"
+ let ?Rg = "\<lambda>h. g (x + h) - g x - G h"
+
+ let ?fun1 = "\<lambda>h.
+ norm (f x ** ?Rg h + ?Rf h ** g (x + h) + F h ** (g (x + h) - g x)) /
+ norm h"
+
+ let ?fun2 = "\<lambda>h.
+ norm (f x) * (norm (?Rg h) / norm h) * K +
+ norm (?Rf h) / norm h * norm (g (x + h)) * K +
+ KF * norm (g (x + h) - g x) * K"
+
+ have "?fun1 -- 0 --> 0"
+ proof (rule real_LIM_sandwich_zero)
+ from f g isCont_iff [THEN iffD1, OF FDERIV_isCont [OF g]]
+ have "?fun2 -- 0 -->
+ norm (f x) * 0 * K + 0 * norm (g x) * K + KF * norm (0::'b) * K"
+ by (intro LIM_add LIM_mult LIM_const LIM_norm LIM_zero FDERIV_D)
+ thus "?fun2 -- 0 --> 0"
+ by simp
+ next
+ fix h::'d assume "h \<noteq> 0"
+ thus "0 \<le> ?fun1 h"
+ by (simp add: divide_nonneg_pos)
+ next
+ fix h::'d assume "h \<noteq> 0"
+ have "?fun1 h \<le> (norm (f x) * norm (?Rg h) * K +
+ norm (?Rf h) * norm (g (x + h)) * K +
+ norm h * KF * norm (g (x + h) - g x) * K) / norm h"
+ by (intro
+ divide_right_mono mult_mono'
+ order_trans [OF norm_triangle_ineq add_mono]
+ order_trans [OF norm_prod mult_right_mono]
+ mult_nonneg_nonneg order_refl norm_ge_zero norm_F
+ K [THEN order_less_imp_le]
+ )
+ also have "\<dots> = ?fun2 h"
+ by (simp add: add_divide_distrib)
+ finally show "?fun1 h \<le> ?fun2 h" .
+ qed
+ thus "(\<lambda>h.
+ norm (f (x + h) ** g (x + h) - f x ** g x - (f x ** G h + F h ** g x))
+ / norm h) -- 0 --> 0"
+ by (simp only: FDERIV_lemma)
+qed
+
+lemmas FDERIV_mult = bounded_bilinear_mult.FDERIV
+
+lemmas FDERIV_scaleR = bounded_bilinear_scaleR.FDERIV
+
+subsection {* Powers *}
+
+lemma FDERIV_power_Suc:
+ fixes x :: "'a::{real_normed_algebra,recpower,comm_ring_1}"
+ shows "FDERIV (\<lambda>x. x ^ Suc n) x :> (\<lambda>h. (of_nat n + 1) * x ^ n * h)"
+ apply (induct n)
+ apply (simp add: power_Suc FDERIV_ident)
+ apply (drule FDERIV_mult [OF FDERIV_ident])
+ apply (simp only: of_nat_Suc left_distrib mult_left_one)
+ apply (simp only: power_Suc right_distrib mult_ac)
+done
+
+lemma FDERIV_power:
+ fixes x :: "'a::{real_normed_algebra,recpower,comm_ring_1}"
+ shows "FDERIV (\<lambda>x. x ^ n) x :> (\<lambda>h. of_nat n * x ^ (n - 1) * h)"
+by (cases n, simp add: FDERIV_const, simp add: FDERIV_power_Suc)
+
+subsection {* Inverse *}
+
+lemma inverse_diff_inverse:
+ "\<lbrakk>(a::'a::division_ring) \<noteq> 0; b \<noteq> 0\<rbrakk>
+ \<Longrightarrow> inverse a - inverse b = - (inverse a * (a - b) * inverse b)"
+by (simp add: right_diff_distrib left_diff_distrib mult_assoc)
+
+lemmas bounded_linear_mult_const =
+ bounded_bilinear_mult.bounded_linear_left [THEN bounded_linear_compose]
+
+lemmas bounded_linear_const_mult =
+ bounded_bilinear_mult.bounded_linear_right [THEN bounded_linear_compose]
+
+lemma FDERIV_inverse:
+ fixes x :: "'a::real_normed_div_algebra"
+ assumes x: "x \<noteq> 0"
+ shows "FDERIV inverse x :> (\<lambda>h. - (inverse x * h * inverse x))"
+ (is "FDERIV ?inv _ :> _")
+proof (rule FDERIV_I)
+ show "bounded_linear (\<lambda>h. - (?inv x * h * ?inv x))"
+ apply (rule bounded_linear_minus)
+ apply (rule bounded_linear_mult_const)
+ apply (rule bounded_linear_const_mult)
+ apply (rule bounded_linear_ident)
+ done
+next
+ show "(\<lambda>h. norm (?inv (x + h) - ?inv x - - (?inv x * h * ?inv x)) / norm h)
+ -- 0 --> 0"
+ proof (rule LIM_equal2)
+ show "0 < norm x" using x by simp
+ next
+ fix h::'a
+ assume 1: "h \<noteq> 0"
+ assume "norm (h - 0) < norm x"
+ hence "h \<noteq> -x" by clarsimp
+ hence 2: "x + h \<noteq> 0"
+ apply (rule contrapos_nn)
+ apply (rule sym)
+ apply (erule equals_zero_I)
+ done
+ show "norm (?inv (x + h) - ?inv x - - (?inv x * h * ?inv x)) / norm h
+ = norm ((?inv (x + h) - ?inv x) * h * ?inv x) / norm h"
+ apply (subst inverse_diff_inverse [OF 2 x])
+ apply (subst minus_diff_minus)
+ apply (subst norm_minus_cancel)
+ apply (simp add: left_diff_distrib)
+ done
+ next
+ show "(\<lambda>h. norm ((?inv (x + h) - ?inv x) * h * ?inv x) / norm h)
+ -- 0 --> 0"
+ proof (rule real_LIM_sandwich_zero)
+ show "(\<lambda>h. norm (?inv (x + h) - ?inv x) * norm (?inv x))
+ -- 0 --> 0"
+ apply (rule LIM_mult_left_zero)
+ apply (rule LIM_norm_zero)
+ apply (rule LIM_zero)
+ apply (rule LIM_offset_zero)
+ apply (rule LIM_inverse)
+ apply (rule LIM_self)
+ apply (rule x)
+ done
+ next
+ fix h::'a assume h: "h \<noteq> 0"
+ show "0 \<le> norm ((?inv (x + h) - ?inv x) * h * ?inv x) / norm h"
+ apply (rule divide_nonneg_pos)
+ apply (rule norm_ge_zero)
+ apply (simp add: h)
+ done
+ next
+ fix h::'a assume h: "h \<noteq> 0"
+ have "norm ((?inv (x + h) - ?inv x) * h * ?inv x) / norm h
+ \<le> norm (?inv (x + h) - ?inv x) * norm h * norm (?inv x) / norm h"
+ apply (rule divide_right_mono [OF _ norm_ge_zero])
+ apply (rule order_trans [OF norm_mult_ineq])
+ apply (rule mult_right_mono [OF _ norm_ge_zero])
+ apply (rule norm_mult_ineq)
+ done
+ also have "\<dots> = norm (?inv (x + h) - ?inv x) * norm (?inv x)"
+ by simp
+ finally show "norm ((?inv (x + h) - ?inv x) * h * ?inv x) / norm h
+ \<le> norm (?inv (x + h) - ?inv x) * norm (?inv x)" .
+ qed
+ qed
+qed
+
+subsection {* Alternate definition *}
+
+lemma field_fderiv_def:
+ fixes x :: "'a::real_normed_field" shows
+ "FDERIV f x :> (\<lambda>h. h * D) = (\<lambda>h. (f (x + h) - f x) / h) -- 0 --> D"
+ apply (unfold fderiv_def)
+ apply (simp add: bounded_bilinear_mult.bounded_linear_left)
+ apply (simp cong: LIM_cong add: nonzero_norm_divide [symmetric])
+ apply (subst diff_divide_distrib)
+ apply (subst times_divide_eq_left [symmetric])
+ apply (simp cong: LIM_cong add: divide_self)
+ apply (simp add: LIM_norm_zero_iff LIM_zero_iff)
+done
+
+end