(* Title: HOL/Probability/Giry_Monad.thy Author: Johannes Hölzl, TU München Author: Manuel Eberl, TU München Defines subprobability spaces, the subprobability functor and the Giry monad on subprobability spaces. *) section ‹The Giry monad› theory Giry_Monad imports Probability_Measure "HOL-Library.Monad_Syntax" begin subsection ‹Sub-probability spaces› locale subprob_space = finite_measure + assumes emeasure_space_le_1: "emeasure M (space M) ≤ 1" assumes subprob_not_empty: "space M ≠ {}" lemma subprob_spaceI[Pure.intro!]: assumes *: "emeasure M (space M) ≤ 1" assumes "space M ≠ {}" shows "subprob_space M" proof - interpret finite_measure M proof show "emeasure M (space M) ≠ ∞" using * by (auto simp: top_unique) qed show "subprob_space M" by standard fact+ qed lemma (in subprob_space) emeasure_subprob_space_less_top: "emeasure M A ≠ top" by simp lemma prob_space_imp_subprob_space: "prob_space M ⟹ subprob_space M" by (rule subprob_spaceI) (simp_all add: prob_space.emeasure_space_1 prob_space.not_empty) lemma subprob_space_imp_sigma_finite: "subprob_space M ⟹ sigma_finite_measure M" unfolding subprob_space_def finite_measure_def by simp sublocale prob_space ⊆ subprob_space by (rule subprob_spaceI) (simp_all add: emeasure_space_1 not_empty) lemma subprob_space_sigma [simp]: "Ω ≠ {} ⟹ subprob_space (sigma Ω X)" by(rule subprob_spaceI)(simp_all add: emeasure_sigma space_measure_of_conv) lemma subprob_space_null_measure: "space M ≠ {} ⟹ subprob_space (null_measure M)" by(simp add: null_measure_def) lemma (in subprob_space) subprob_space_distr: assumes f: "f ∈ measurable M M'" and "space M' ≠ {}" shows "subprob_space (distr M M' f)" proof (rule subprob_spaceI) have "f -` space M' ∩ space M = space M" using f by (auto dest: measurable_space) with f show "emeasure (distr M M' f) (space (distr M M' f)) ≤ 1" by (auto simp: emeasure_distr emeasure_space_le_1) show "space (distr M M' f) ≠ {}" by (simp add: assms) qed lemma (in subprob_space) subprob_emeasure_le_1: "emeasure M X ≤ 1" by (rule order.trans[OF emeasure_space emeasure_space_le_1]) lemma (in subprob_space) subprob_measure_le_1: "measure M X ≤ 1" using subprob_emeasure_le_1[of X] by (simp add: emeasure_eq_measure) lemma (in subprob_space) nn_integral_le_const: assumes "0 ≤ c" "AE x in M. f x ≤ c" shows "(∫⇧^{+}x. f x ∂M) ≤ c" proof - have "(∫⇧^{+}x. f x ∂M) ≤ (∫⇧^{+}x. c ∂M)" by(rule nn_integral_mono_AE) fact also have "… ≤ c * emeasure M (space M)" using ‹0 ≤ c› by simp also have "… ≤ c * 1" using emeasure_space_le_1 ‹0 ≤ c› by(rule mult_left_mono) finally show ?thesis by simp qed lemma emeasure_density_distr_interval: fixes h :: "real ⇒ real" and g :: "real ⇒ real" and g' :: "real ⇒ real" assumes [simp]: "a ≤ b" assumes Mf[measurable]: "f ∈ borel_measurable borel" assumes Mg[measurable]: "g ∈ borel_measurable borel" assumes Mg'[measurable]: "g' ∈ borel_measurable borel" assumes Mh[measurable]: "h ∈ borel_measurable borel" assumes prob: "subprob_space (density lborel f)" assumes nonnegf: "⋀x. f x ≥ 0" assumes derivg: "⋀x. x ∈ {a..b} ⟹ (g has_real_derivative g' x) (at x)" assumes contg': "continuous_on {a..b} g'" assumes mono: "strict_mono_on {a..b} g" and inv: "⋀x. h x ∈ {a..b} ⟹ g (h x) = x" assumes range: "{a..b} ⊆ range h" shows "emeasure (distr (density lborel f) lborel h) {a..b} = emeasure (density lborel (λx. f (g x) * g' x)) {a..b}" proof (cases "a < b") assume "a < b" from mono have inj: "inj_on g {a..b}" by (rule strict_mono_on_imp_inj_on) from mono have mono': "mono_on {a..b} g" by (rule strict_mono_on_imp_mono_on) from mono' derivg have "⋀x. x ∈ {a<..<b} ⟹ g' x ≥ 0" by (rule mono_on_imp_deriv_nonneg) auto from contg' this have derivg_nonneg: "⋀x. x ∈ {a..b} ⟹ g' x ≥ 0" by (rule continuous_ge_on_Ioo) (simp_all add: ‹a < b›) from derivg have contg: "continuous_on {a..b} g" by (rule has_real_derivative_imp_continuous_on) have A: "h -` {a..b} = {g a..g b}" proof (intro equalityI subsetI) fix x assume x: "x ∈ h -` {a..b}" hence "g (h x) ∈ {g a..g b}" by (auto intro: mono_onD[OF mono']) with inv and x show "x ∈ {g a..g b}" by simp next fix y assume y: "y ∈ {g a..g b}" with IVT'[OF _ _ _ contg, of y] obtain x where "x ∈ {a..b}" "y = g x" by auto with range and inv show "y ∈ h -` {a..b}" by auto qed have prob': "subprob_space (distr (density lborel f) lborel h)" by (rule subprob_space.subprob_space_distr[OF prob]) (simp_all add: Mh) have B: "emeasure (distr (density lborel f) lborel h) {a..b} = ∫⇧^{+}x. f x * indicator (h -` {a..b}) x ∂lborel" by (subst emeasure_distr) (simp_all add: emeasure_density Mf Mh measurable_sets_borel[OF Mh]) also note A also have "emeasure (distr (density lborel f) lborel h) {a..b} ≤ 1" by (rule subprob_space.subprob_emeasure_le_1) (rule prob') hence "emeasure (distr (density lborel f) lborel h) {a..b} ≠ ∞" by (auto simp: top_unique) with assms have "(∫⇧^{+}x. f x * indicator {g a..g b} x ∂lborel) = (∫⇧^{+}x. f (g x) * g' x * indicator {a..b} x ∂lborel)" by (intro nn_integral_substitution_aux) (auto simp: derivg_nonneg A B emeasure_density mult.commute ‹a < b›) also have "... = emeasure (density lborel (λx. f (g x) * g' x)) {a..b}" by (simp add: emeasure_density) finally show ?thesis . next assume "¬a < b" with ‹a ≤ b› have [simp]: "b = a" by (simp add: not_less del: ‹a ≤ b›) from inv and range have "h -` {a} = {g a}" by auto thus ?thesis by (simp_all add: emeasure_distr emeasure_density measurable_sets_borel[OF Mh]) qed locale pair_subprob_space = pair_sigma_finite M1 M2 + M1: subprob_space M1 + M2: subprob_space M2 for M1 M2 sublocale pair_subprob_space ⊆ P?: subprob_space "M1 ⨂⇩_{M}M2" proof from mult_le_one[OF M1.emeasure_space_le_1 _ M2.emeasure_space_le_1] show "emeasure (M1 ⨂⇩_{M}M2) (space (M1 ⨂⇩_{M}M2)) ≤ 1" by (simp add: M2.emeasure_pair_measure_Times space_pair_measure) from M1.subprob_not_empty and M2.subprob_not_empty show "space (M1 ⨂⇩_{M}M2) ≠ {}" by (simp add: space_pair_measure) qed lemma subprob_space_null_measure_iff: "subprob_space (null_measure M) ⟷ space M ≠ {}" by (auto intro!: subprob_spaceI dest: subprob_space.subprob_not_empty) lemma subprob_space_restrict_space: assumes M: "subprob_space M" and A: "A ∩ space M ∈ sets M" "A ∩ space M ≠ {}" shows "subprob_space (restrict_space M A)" proof(rule subprob_spaceI) have "emeasure (restrict_space M A) (space (restrict_space M A)) = emeasure M (A ∩ space M)" using A by(simp add: emeasure_restrict_space space_restrict_space) also have "… ≤ 1" by(rule subprob_space.subprob_emeasure_le_1)(rule M) finally show "emeasure (restrict_space M A) (space (restrict_space M A)) ≤ 1" . next show "space (restrict_space M A) ≠ {}" using A by(simp add: space_restrict_space) qed definition subprob_algebra :: "'a measure ⇒ 'a measure measure" where "subprob_algebra K = (SUP A ∈ sets K. vimage_algebra {M. subprob_space M ∧ sets M = sets K} (λM. emeasure M A) borel)" lemma space_subprob_algebra: "space (subprob_algebra A) = {M. subprob_space M ∧ sets M = sets A}" by (auto simp add: subprob_algebra_def space_Sup_eq_UN) lemma subprob_algebra_cong: "sets M = sets N ⟹ subprob_algebra M = subprob_algebra N" by (simp add: subprob_algebra_def) lemma measurable_emeasure_subprob_algebra[measurable]: "a ∈ sets A ⟹ (λM. emeasure M a) ∈ borel_measurable (subprob_algebra A)" by (auto intro!: measurable_Sup1 measurable_vimage_algebra1 simp: subprob_algebra_def) lemma measurable_measure_subprob_algebra[measurable]: "a ∈ sets A ⟹ (λM. measure M a) ∈ borel_measurable (subprob_algebra A)" unfolding measure_def by measurable lemma subprob_measurableD: assumes N: "N ∈ measurable M (subprob_algebra S)" and x: "x ∈ space M" shows "space (N x) = space S" and "sets (N x) = sets S" and "measurable (N x) K = measurable S K" and "measurable K (N x) = measurable K S" using measurable_space[OF N x] by (auto simp: space_subprob_algebra intro!: measurable_cong_sets dest: sets_eq_imp_space_eq) ML ‹ fun subprob_cong thm ctxt = ( let val thm' = Thm.transfer' ctxt thm val free = thm' |> Thm.concl_of |> HOLogic.dest_Trueprop |> dest_comb |> fst |> dest_comb |> snd |> strip_abs_body |> head_of |> is_Free in if free then ([], Measurable.add_local_cong (thm' RS @{thm subprob_measurableD(2)}) ctxt) else ([], ctxt) end handle THM _ => ([], ctxt) | TERM _ => ([], ctxt)) › setup ‹ Context.theory_map (Measurable.add_preprocessor "subprob_cong" subprob_cong) › context fixes K M N assumes K: "K ∈ measurable M (subprob_algebra N)" begin lemma subprob_space_kernel: "a ∈ space M ⟹ subprob_space (K a)" using measurable_space[OF K] by (simp add: space_subprob_algebra) lemma sets_kernel: "a ∈ space M ⟹ sets (K a) = sets N" using measurable_space[OF K] by (simp add: space_subprob_algebra) lemma measurable_emeasure_kernel[measurable]: "A ∈ sets N ⟹ (λa. emeasure (K a) A) ∈ borel_measurable M" using measurable_compose[OF K measurable_emeasure_subprob_algebra] . end lemma measurable_subprob_algebra: "(⋀a. a ∈ space M ⟹ subprob_space (K a)) ⟹ (⋀a. a ∈ space M ⟹ sets (K a) = sets N) ⟹ (⋀A. A ∈ sets N ⟹ (λa. emeasure (K a) A) ∈ borel_measurable M) ⟹ K ∈ measurable M (subprob_algebra N)" by (auto intro!: measurable_Sup2 measurable_vimage_algebra2 simp: subprob_algebra_def) lemma measurable_submarkov: "K ∈ measurable M (subprob_algebra M) ⟷ (∀x∈space M. subprob_space (K x) ∧ sets (K x) = sets M) ∧ (∀A∈sets M. (λx. emeasure (K x) A) ∈ measurable M borel)" proof assume "(∀x∈space M. subprob_space (K x) ∧ sets (K x) = sets M) ∧ (∀A∈sets M. (λx. emeasure (K x) A) ∈ borel_measurable M)" then show "K ∈ measurable M (subprob_algebra M)" by (intro measurable_subprob_algebra) auto next assume "K ∈ measurable M (subprob_algebra M)" then show "(∀x∈space M. subprob_space (K x) ∧ sets (K x) = sets M) ∧ (∀A∈sets M. (λx. emeasure (K x) A) ∈ borel_measurable M)" by (auto dest: subprob_space_kernel sets_kernel) qed lemma measurable_subprob_algebra_generated: assumes eq: "sets N = sigma_sets Ω G" and "Int_stable G" "G ⊆ Pow Ω" assumes subsp: "⋀a. a ∈ space M ⟹ subprob_space (K a)" assumes sets: "⋀a. a ∈ space M ⟹ sets (K a) = sets N" assumes "⋀A. A ∈ G ⟹ (λa. emeasure (K a) A) ∈ borel_measurable M" assumes Ω: "(λa. emeasure (K a) Ω) ∈ borel_measurable M" shows "K ∈ measurable M (subprob_algebra N)" proof (rule measurable_subprob_algebra) fix a assume "a ∈ space M" then show "subprob_space (K a)" "sets (K a) = sets N" by fact+ next interpret G: sigma_algebra Ω "sigma_sets Ω G" using ‹G ⊆ Pow Ω› by (rule sigma_algebra_sigma_sets) fix A assume "A ∈ sets N" with assms(2,3) show "(λa. emeasure (K a) A) ∈ borel_measurable M" unfolding ‹sets N = sigma_sets Ω G› proof (induction rule: sigma_sets_induct_disjoint) case (basic A) then show ?case by fact next case empty then show ?case by simp next case (compl A) have "(λa. emeasure (K a) (Ω - A)) ∈ borel_measurable M ⟷ (λa. emeasure (K a) Ω - emeasure (K a) A) ∈ borel_measurable M" using G.top G.sets_into_space sets eq compl subprob_space.emeasure_subprob_space_less_top[OF subsp] by (intro measurable_cong emeasure_Diff) auto with compl Ω show ?case by simp next case (union F) moreover have "(λa. emeasure (K a) (⋃i. F i)) ∈ borel_measurable M ⟷ (λa. ∑i. emeasure (K a) (F i)) ∈ borel_measurable M" using sets union eq by (intro measurable_cong suminf_emeasure[symmetric]) auto ultimately show ?case by auto qed qed lemma space_subprob_algebra_empty_iff: "space (subprob_algebra N) = {} ⟷ space N = {}" proof have "⋀x. x ∈ space N ⟹ density N (λ_. 0) ∈ space (subprob_algebra N)" by (auto simp: space_subprob_algebra emeasure_density intro!: subprob_spaceI) then show "space (subprob_algebra N) = {} ⟹ space N = {}" by auto next assume "space N = {}" hence "sets N = {{}}" by (simp add: space_empty_iff) moreover have "⋀M. subprob_space M ⟹ sets M ≠ {{}}" by (simp add: subprob_space.subprob_not_empty space_empty_iff[symmetric]) ultimately show "space (subprob_algebra N) = {}" by (auto simp: space_subprob_algebra) qed lemma nn_integral_measurable_subprob_algebra[measurable]: assumes f: "f ∈ borel_measurable N" shows "(λM. integral⇧^{N}M f) ∈ borel_measurable (subprob_algebra N)" (is "_ ∈ ?B") using f proof induct case (cong f g) moreover have "(λM'. ∫⇧^{+}M''. f M'' ∂M') ∈ ?B ⟷ (λM'. ∫⇧^{+}M''. g M'' ∂M') ∈ ?B" by (intro measurable_cong nn_integral_cong cong) (auto simp: space_subprob_algebra dest!: sets_eq_imp_space_eq) ultimately show ?case by simp next case (set B) then have "(λM'. ∫⇧^{+}M''. indicator B M'' ∂M') ∈ ?B ⟷ (λM'. emeasure M' B) ∈ ?B" by (intro measurable_cong nn_integral_indicator) (simp add: space_subprob_algebra) with set show ?case by (simp add: measurable_emeasure_subprob_algebra) next case (mult f c) then have "(λM'. ∫⇧^{+}M''. c * f M'' ∂M') ∈ ?B ⟷ (λM'. c * ∫⇧^{+}M''. f M'' ∂M') ∈ ?B" by (intro measurable_cong nn_integral_cmult) (auto simp add: space_subprob_algebra) with mult show ?case by simp next case (add f g) then have "(λM'. ∫⇧^{+}M''. f M'' + g M'' ∂M') ∈ ?B ⟷ (λM'. (∫⇧^{+}M''. f M'' ∂M') + (∫⇧^{+}M''. g M'' ∂M')) ∈ ?B" by (intro measurable_cong nn_integral_add) (auto simp add: space_subprob_algebra) with add show ?case by (simp add: ac_simps) next case (seq F) then have "(λM'. ∫⇧^{+}M''. (SUP i. F i) M'' ∂M') ∈ ?B ⟷ (λM'. SUP i. (∫⇧^{+}M''. F i M'' ∂M')) ∈ ?B" unfolding SUP_apply by (intro measurable_cong nn_integral_monotone_convergence_SUP) (auto simp add: space_subprob_algebra) with seq show ?case by (simp add: ac_simps) qed lemma measurable_distr: assumes [measurable]: "f ∈ measurable M N" shows "(λM'. distr M' N f) ∈ measurable (subprob_algebra M) (subprob_algebra N)" proof (cases "space N = {}") case False show ?thesis proof (rule measurable_subprob_algebra) fix A assume A: "A ∈ sets N" then have "(λM'. emeasure (distr M' N f) A) ∈ borel_measurable (subprob_algebra M) ⟷ (λM'. emeasure M' (f -` A ∩ space M)) ∈ borel_measurable (subprob_algebra M)" by (intro measurable_cong) (auto simp: emeasure_distr space_subprob_algebra intro!: arg_cong2[where f=emeasure] sets_eq_imp_space_eq arg_cong2[where f="(∩)"]) also have "…" using A by (intro measurable_emeasure_subprob_algebra) simp finally show "(λM'. emeasure (distr M' N f) A) ∈ borel_measurable (subprob_algebra M)" . qed (auto intro!: subprob_space.subprob_space_distr simp: space_subprob_algebra False cong: measurable_cong_sets) qed (use assms in ‹auto simp: measurable_empty_iff space_subprob_algebra_empty_iff›) lemma emeasure_space_subprob_algebra[measurable]: "(λa. emeasure a (space a)) ∈ borel_measurable (subprob_algebra N)" proof- have "(λa. emeasure a (space N)) ∈ borel_measurable (subprob_algebra N)" (is "?f ∈ ?M") by (rule measurable_emeasure_subprob_algebra) simp also have "?f ∈ ?M ⟷ (λa. emeasure a (space a)) ∈ ?M" by (rule measurable_cong) (auto simp: space_subprob_algebra dest: sets_eq_imp_space_eq) finally show ?thesis . qed lemma integrable_measurable_subprob_algebra[measurable]: fixes f :: "'a ⇒ 'b::{banach, second_countable_topology}" assumes [measurable]: "f ∈ borel_measurable N" shows "Measurable.pred (subprob_algebra N) (λM. integrable M f)" proof (rule measurable_cong[THEN iffD2]) show "M ∈ space (subprob_algebra N) ⟹ integrable M f ⟷ (∫⇧^{+}x. norm (f x) ∂M) < ∞" for M by (auto simp: space_subprob_algebra integrable_iff_bounded) qed measurable lemma integral_measurable_subprob_algebra[measurable]: fixes f :: "'a ⇒ 'b::{banach, second_countable_topology}" assumes f [measurable]: "f ∈ borel_measurable N" shows "(λM. integral⇧^{L}M f) ∈ subprob_algebra N →⇩_{M}borel" proof - from borel_measurable_implies_sequence_metric[OF f, of 0] obtain F where F: "⋀i. simple_function N (F i)" "⋀x. x ∈ space N ⟹ (λi. F i x) ⇢ f x" "⋀i x. x ∈ space N ⟹ norm (F i x) ≤ 2 * norm (f x)" unfolding norm_conv_dist by blast have [measurable]: "F i ∈ N →⇩_{M}count_space UNIV" for i using F(1) by (rule measurable_simple_function) define F' where [abs_def]: "F' M i = (if integrable M f then integral⇧^{L}M (F i) else 0)" for M i have "(λM. F' M i) ∈ subprob_algebra N →⇩_{M}borel" for i proof (rule measurable_cong[THEN iffD2]) fix M assume "M ∈ space (subprob_algebra N)" then have [simp]: "sets M = sets N" "space M = space N" "subprob_space M" by (auto simp: space_subprob_algebra intro!: sets_eq_imp_space_eq) interpret subprob_space M by fact have "F' M i = (if integrable M f then Bochner_Integration.simple_bochner_integral M (F i) else 0)" using F(1) by (subst simple_bochner_integrable_eq_integral) (auto simp: simple_bochner_integrable.simps simple_function_def F'_def) then show "F' M i = (if integrable M f then ∑y∈F i ` space N. measure M {x∈space N. F i x = y} *⇩_{R}y else 0)" unfolding simple_bochner_integral_def by simp qed measurable moreover have "F' M ⇢ integral⇧^{L}M f" if M: "M ∈ space (subprob_algebra N)" for M proof cases from M have [simp]: "sets M = sets N" "space M = space N" by (auto simp: space_subprob_algebra intro!: sets_eq_imp_space_eq) assume "integrable M f" then show ?thesis unfolding F'_def using F(1)[THEN borel_measurable_simple_function] F by (auto intro!: integral_dominated_convergence[where w="λx. 2 * norm (f x)"] cong: measurable_cong_sets) qed (auto simp: F'_def not_integrable_integral_eq) ultimately show ?thesis by (rule borel_measurable_LIMSEQ_metric) qed (* TODO: Rename. This name is too general -- Manuel *) lemma measurable_pair_measure: assumes f: "f ∈ measurable M (subprob_algebra N)" assumes g: "g ∈ measurable M (subprob_algebra L)" shows "(λx. f x ⨂⇩_{M}g x) ∈ measurable M (subprob_algebra (N ⨂⇩_{M}L))" proof (rule measurable_subprob_algebra) { fix x assume "x ∈ space M" with measurable_space[OF f] measurable_space[OF g] have fx: "f x ∈ space (subprob_algebra N)" and gx: "g x ∈ space (subprob_algebra L)" by auto interpret F: subprob_space "f x" using fx by (simp add: space_subprob_algebra) interpret G: subprob_space "g x" using gx by (simp add: space_subprob_algebra) interpret pair_subprob_space "f x" "g x" .. show "subprob_space (f x ⨂⇩_{M}g x)" by unfold_locales show sets_eq: "sets (f x ⨂⇩_{M}g x) = sets (N ⨂⇩_{M}L)" using fx gx by (simp add: space_subprob_algebra) have 1: "⋀A B. A ∈ sets N ⟹ B ∈ sets L ⟹ emeasure (f x ⨂⇩_{M}g x) (A × B) = emeasure (f x) A * emeasure (g x) B" using fx gx by (intro G.emeasure_pair_measure_Times) (auto simp: space_subprob_algebra) have "emeasure (f x ⨂⇩_{M}g x) (space (f x ⨂⇩_{M}g x)) = emeasure (f x) (space (f x)) * emeasure (g x) (space (g x))" by (subst G.emeasure_pair_measure_Times[symmetric]) (simp_all add: space_pair_measure) hence 2: "⋀A. A ∈ sets (N ⨂⇩_{M}L) ⟹ emeasure (f x ⨂⇩_{M}g x) (space N × space L - A) = ... - emeasure (f x ⨂⇩_{M}g x) A" using emeasure_compl[simplified, OF _ P.emeasure_finite] unfolding sets_eq unfolding sets_eq_imp_space_eq[OF sets_eq] by (simp add: space_pair_measure G.emeasure_pair_measure_Times) note 1 2 sets_eq } note Times = this(1) and Compl = this(2) and sets_eq = this(3) fix A assume A: "A ∈ sets (N ⨂⇩_{M}L)" show "(λa. emeasure (f a ⨂⇩_{M}g a) A) ∈ borel_measurable M" using Int_stable_pair_measure_generator pair_measure_closed A unfolding sets_pair_measure proof (induct A rule: sigma_sets_induct_disjoint) case (basic A) then show ?case by (auto intro!: borel_measurable_times_ennreal simp: Times cong: measurable_cong) (auto intro!: measurable_emeasure_kernel f g) next case (compl A) then have A: "A ∈ sets (N ⨂⇩_{M}L)" by (auto simp: sets_pair_measure) have "(λx. emeasure (f x) (space (f x)) * emeasure (g x) (space (g x)) - emeasure (f x ⨂⇩_{M}g x) A) ∈ borel_measurable M" (is "?f ∈ ?M") using compl(2) f g by measurable thus ?case by (simp add: Compl A cong: measurable_cong) next case (union A) then have "range A ⊆ sets (N ⨂⇩_{M}L)" "disjoint_family A" by (auto simp: sets_pair_measure) then have "(λa. emeasure (f a ⨂⇩_{M}g a) (⋃i. A i)) ∈ borel_measurable M ⟷ (λa. ∑i. emeasure (f a ⨂⇩_{M}g a) (A i)) ∈ borel_measurable M" by (intro measurable_cong suminf_emeasure[symmetric]) (auto simp: sets_eq) also have "…" using union by auto finally show ?case . qed simp qed lemma restrict_space_measurable: assumes X: "X ≠ {}" "X ∈ sets K" assumes N: "N ∈ measurable M (subprob_algebra K)" shows "(λx. restrict_space (N x) X) ∈ measurable M (subprob_algebra (restrict_space K X))" proof (rule measurable_subprob_algebra) fix a assume a: "a ∈ space M" from N[THEN measurable_space, OF this] have "subprob_space (N a)" and [simp]: "sets (N a) = sets K" "space (N a) = space K" by (auto simp add: space_subprob_algebra dest: sets_eq_imp_space_eq) then interpret subprob_space "N a" by simp show "subprob_space (restrict_space (N a) X)" proof show "space (restrict_space (N a) X) ≠ {}" using X by (auto simp add: space_restrict_space) show "emeasure (restrict_space (N a) X) (space (restrict_space (N a) X)) ≤ 1" using X by (simp add: emeasure_restrict_space space_restrict_space subprob_emeasure_le_1) qed show "sets (restrict_space (N a) X) = sets (restrict_space K X)" by (intro sets_restrict_space_cong) fact next fix A assume A: "A ∈ sets (restrict_space K X)" show "(λa. emeasure (restrict_space (N a) X) A) ∈ borel_measurable M" proof (subst measurable_cong) fix a assume "a ∈ space M" from N[THEN measurable_space, OF this] have [simp]: "sets (N a) = sets K" "space (N a) = space K" by (auto simp add: space_subprob_algebra dest: sets_eq_imp_space_eq) show "emeasure (restrict_space (N a) X) A = emeasure (N a) (A ∩ X)" using X A by (subst emeasure_restrict_space) (auto simp add: sets_restrict_space ac_simps) next show "(λw. emeasure (N w) (A ∩ X)) ∈ borel_measurable M" using A X by (intro measurable_compose[OF N measurable_emeasure_subprob_algebra]) (auto simp: sets_restrict_space) qed qed subsection ‹Properties of ``return''› definition return :: "'a measure ⇒ 'a ⇒ 'a measure" where "return R x = measure_of (space R) (sets R) (λA. indicator A x)" lemma space_return[simp]: "space (return M x) = space M" by (simp add: return_def) lemma sets_return[simp]: "sets (return M x) = sets M" by (simp add: return_def) lemma measurable_return1[simp]: "measurable (return N x) L = measurable N L" by (simp cong: measurable_cong_sets) lemma measurable_return2[simp]: "measurable L (return N x) = measurable L N" by (simp cong: measurable_cong_sets) lemma return_sets_cong: "sets M = sets N ⟹ return M = return N" by (auto dest: sets_eq_imp_space_eq simp: fun_eq_iff return_def) lemma return_cong: "sets A = sets B ⟹ return A x = return B x" by (auto simp add: return_def dest: sets_eq_imp_space_eq) lemma emeasure_return[simp]: assumes "A ∈ sets M" shows "emeasure (return M x) A = indicator A x" proof (rule emeasure_measure_of[OF return_def]) show "sets M ⊆ Pow (space M)" by (rule sets.space_closed) show "positive (sets (return M x)) (λA. indicator A x)" by (simp add: positive_def) from assms show "A ∈ sets (return M x)" unfolding return_def by simp show "countably_additive (sets (return M x)) (λA. indicator A x)" by (auto intro!: countably_additiveI suminf_indicator) qed lemma prob_space_return: "x ∈ space M ⟹ prob_space (return M x)" by rule simp lemma subprob_space_return: "x ∈ space M ⟹ subprob_space (return M x)" by (intro prob_space_return prob_space_imp_subprob_space) lemma subprob_space_return_ne: assumes "space M ≠ {}" shows "subprob_space (return M x)" by (metis assms emeasure_return indicator_simps(2) sets.top space_return subprob_spaceI subprob_space_return zero_le) lemma measure_return: assumes X: "X ∈ sets M" shows "measure (return M x) X = indicator X x" unfolding measure_def emeasure_return[OF X, of x] by (simp split: split_indicator) lemma AE_return: assumes [simp]: "x ∈ space M" and [measurable]: "Measurable.pred M P" shows "(AE y in return M x. P y) ⟷ P x" proof - have "(AE y in return M x. y ∉ {x∈space M. ¬ P x}) ⟷ P x" by (subst AE_iff_null_sets[symmetric]) (simp_all add: null_sets_def split: split_indicator) also have "(AE y in return M x. y ∉ {x∈space M. ¬ P x}) ⟷ (AE y in return M x. P y)" by (rule AE_cong) auto finally show ?thesis . qed lemma nn_integral_return: assumes "x ∈ space M" "g ∈ borel_measurable M" shows "(∫⇧^{+}a. g a ∂return M x) = g x" proof- interpret prob_space "return M x" by (rule prob_space_return[OF ‹x ∈ space M›]) have "(∫⇧^{+}a. g a ∂return M x) = (∫⇧^{+}a. g x ∂return M x)" using assms by (intro nn_integral_cong_AE) (auto simp: AE_return) also have "... = g x" using nn_integral_const[of "return M x"] emeasure_space_1 by simp finally show ?thesis . qed lemma integral_return: fixes g :: "_ ⇒ 'a :: {banach, second_countable_topology}" assumes "x ∈ space M" "g ∈ borel_measurable M" shows "(∫a. g a ∂return M x) = g x" proof- interpret prob_space "return M x" by (rule prob_space_return[OF ‹x ∈ space M›]) have "(∫a. g a ∂return M x) = (∫a. g x ∂return M x)" using assms by (intro integral_cong_AE) (auto simp: AE_return) then show ?thesis using prob_space by simp qed lemma return_measurable[measurable]: "return N ∈ measurable N (subprob_algebra N)" by (rule measurable_subprob_algebra) (auto simp: subprob_space_return) lemma distr_return: assumes "f ∈ measurable M N" and "x ∈ space M" shows "distr (return M x) N f = return N (f x)" using assms by (intro measure_eqI) (simp_all add: indicator_def emeasure_distr) lemma return_restrict_space: "Ω ∈ sets M ⟹ return (restrict_space M Ω) x = restrict_space (return M x) Ω" by (auto intro!: measure_eqI simp: sets_restrict_space emeasure_restrict_space) lemma measurable_distr2: assumes f[measurable]: "case_prod f ∈ measurable (L ⨂⇩_{M}M) N" assumes g[measurable]: "g ∈ measurable L (subprob_algebra M)" shows "(λx. distr (g x) N (f x)) ∈ measurable L (subprob_algebra N)" proof - have "(λx. distr (g x) N (f x)) ∈ measurable L (subprob_algebra N) ⟷ (λx. distr (return L x ⨂⇩_{M}g x) N (case_prod f)) ∈ measurable L (subprob_algebra N)" proof (rule measurable_cong) fix x assume x: "x ∈ space L" have gx: "g x ∈ space (subprob_algebra M)" using measurable_space[OF g x] . then have [simp]: "sets (g x) = sets M" by (simp add: space_subprob_algebra) then have [simp]: "space (g x) = space M" by (rule sets_eq_imp_space_eq) let ?R = "return L x" from measurable_compose_Pair1[OF x f] have f_M': "f x ∈ measurable M N" by simp interpret subprob_space "g x" using gx by (simp add: space_subprob_algebra) have space_pair_M'[simp]: "⋀X. space (X ⨂⇩_{M}g x) = space (X ⨂⇩_{M}M)" by (simp add: space_pair_measure) show "distr (g x) N (f x) = distr (?R ⨂⇩_{M}g x) N (case_prod f)" (is "?l = ?r") proof (rule measure_eqI) show "sets ?l = sets ?r" by simp next fix A assume "A ∈ sets ?l" then have A[measurable]: "A ∈ sets N" by simp then have "emeasure ?r A = emeasure (?R ⨂⇩_{M}g x) ((λ(x, y). f x y) -` A ∩ space (?R ⨂⇩_{M}g x))" by (auto simp add: emeasure_distr f_M' cong: measurable_cong_sets) also have "… = (∫⇧^{+}M''. emeasure (g x) (f M'' -` A ∩ space M) ∂?R)" apply (subst emeasure_pair_measure_alt) apply (force simp add: f_M' cong: measurable_cong_sets intro!: measurable_sets[OF _ A]) apply (intro nn_integral_cong arg_cong[where f="emeasure (g x)"]) apply (auto simp: space_subprob_algebra space_pair_measure) done also have "… = emeasure (g x) (f x -` A ∩ space M)" by (subst nn_integral_return) (auto simp: x intro!: measurable_emeasure) also have "… = emeasure ?l A" by (simp add: emeasure_distr f_M' cong: measurable_cong_sets) finally show "emeasure ?l A = emeasure ?r A" .. qed qed also have "…" proof (intro measurable_compose[OF measurable_pair_measure measurable_distr]) show "return L ∈ L →⇩_{M}subprob_algebra L" by (rule return_measurable) qed measurable finally show ?thesis . qed lemma nn_integral_measurable_subprob_algebra2: assumes f[measurable]: "(λ(x, y). f x y) ∈ borel_measurable (M ⨂⇩_{M}N)" assumes N[measurable]: "L ∈ measurable M (subprob_algebra N)" shows "(λx. integral⇧^{N}(L x) (f x)) ∈ borel_measurable M" proof - note nn_integral_measurable_subprob_algebra[measurable] note measurable_distr2[measurable] have "(λx. integral⇧^{N}(distr (L x) (M ⨂⇩_{M}N) (λy. (x, y))) (λ(x, y). f x y)) ∈ borel_measurable M" by measurable then show "(λx. integral⇧^{N}(L x) (f x)) ∈ borel_measurable M" by (rule measurable_cong[THEN iffD1, rotated]) (simp add: nn_integral_distr) qed lemma emeasure_measurable_subprob_algebra2: assumes A[measurable]: "(SIGMA x:space M. A x) ∈ sets (M ⨂⇩_{M}N)" assumes L[measurable]: "L ∈ measurable M (subprob_algebra N)" shows "(λx. emeasure (L x) (A x)) ∈ borel_measurable M" proof - { fix x assume "x ∈ space M" then have "Pair x -` Sigma (space M) A = A x" by auto with sets_Pair1[OF A, of x] have "A x ∈ sets N" by auto } note ** = this have *: "⋀x. fst x ∈ space M ⟹ snd x ∈ A (fst x) ⟷ x ∈ (SIGMA x:space M. A x)" by (auto simp: fun_eq_iff) have MN: "Measurable.pred (M ⨂⇩_{M}N) (λw. w ∈ Sigma (space M) A)" by auto then have "(λ(x, y). indicator (A x) y::ennreal) ∈ borel_measurable (M ⨂⇩_{M}N)" apply measurable by (smt (verit, best) MN measurable_cong mem_Sigma_iff prod.collapse space_pair_measure) then have "(λx. integral⇧^{N}(L x) (indicator (A x))) ∈ borel_measurable M" by (intro nn_integral_measurable_subprob_algebra2[where N=N] L) then show "(λx. emeasure (L x) (A x)) ∈ borel_measurable M" by (smt (verit) "**" L measurable_cong_simp nn_integral_indicator sets_kernel) qed lemma measure_measurable_subprob_algebra2: assumes A[measurable]: "(SIGMA x:space M. A x) ∈ sets (M ⨂⇩_{M}N)" assumes L[measurable]: "L ∈ measurable M (subprob_algebra N)" shows "(λx. measure (L x) (A x)) ∈ borel_measurable M" unfolding measure_def by (intro borel_measurable_enn2real emeasure_measurable_subprob_algebra2[OF assms]) definition "select_sets M = (SOME N. sets M = sets (subprob_algebra N))" lemma select_sets1: "sets M = sets (subprob_algebra N) ⟹ sets M = sets (subprob_algebra (select_sets M))" unfolding select_sets_def by (rule someI) lemma sets_select_sets[simp]: assumes sets: "sets M = sets (subprob_algebra N)" shows "sets (select_sets M) = sets N" unfolding select_sets_def proof (rule someI2) show "sets M = sets (subprob_algebra N)" by fact next fix L assume "sets M = sets (subprob_algebra L)" with sets have eq: "space (subprob_algebra N) = space (subprob_algebra L)" by (intro sets_eq_imp_space_eq) simp show "sets L = sets N" proof cases assume "space (subprob_algebra N) = {}" with space_subprob_algebra_empty_iff[of N] space_subprob_algebra_empty_iff[of L] show ?thesis by (simp add: eq space_empty_iff) next assume "space (subprob_algebra N) ≠ {}" with eq show ?thesis by (smt (verit) equals0I mem_Collect_eq space_subprob_algebra) qed qed lemma space_select_sets[simp]: "sets M = sets (subprob_algebra N) ⟹ space (select_sets M) = space N" by (intro sets_eq_imp_space_eq sets_select_sets) subsection ‹Join› definition join :: "'a measure measure ⇒ 'a measure" where "join M = measure_of (space (select_sets M)) (sets (select_sets M)) (λB. ∫⇧^{+}M'. emeasure M' B ∂M)" lemma shows space_join[simp]: "space (join M) = space (select_sets M)" and sets_join[simp]: "sets (join M) = sets (select_sets M)" by (simp_all add: join_def) lemma emeasure_join: assumes M[simp, measurable_cong]: "sets M = sets (subprob_algebra N)" and A: "A ∈ sets N" shows "emeasure (join M) A = (∫⇧^{+}M'. emeasure M' A ∂M)" proof (rule emeasure_measure_of[OF join_def]) show "countably_additive (sets (join M)) (λB. ∫⇧^{+}M'. emeasure M' B ∂M)" proof (rule countably_additiveI) fix A :: "nat ⇒ 'a set" assume A: "range A ⊆ sets (join M)" "disjoint_family A" have "(∑i. ∫⇧^{+}M'. emeasure M' (A i) ∂M) = (∫⇧^{+}M'. (∑i. emeasure M' (A i)) ∂M)" using A by (subst nn_integral_suminf) (auto simp: measurable_emeasure_subprob_algebra) also have "… = (∫⇧^{+}M'. emeasure M' (⋃i. A i) ∂M)" proof (rule nn_integral_cong) fix M' assume "M' ∈ space M" then show "(∑i. emeasure M' (A i)) = emeasure M' (⋃i. A i)" using A sets_eq_imp_space_eq[OF M] by (simp add: suminf_emeasure space_subprob_algebra) qed finally show "(∑i. ∫⇧^{+}M'. emeasure M' (A i) ∂M) = (∫⇧^{+}M'. emeasure M' (⋃i. A i) ∂M)" . qed qed (auto simp: A sets.space_closed positive_def) lemma measurable_join: "join ∈ measurable (subprob_algebra (subprob_algebra N)) (subprob_algebra N)" proof (cases "space N ≠ {}", rule measurable_subprob_algebra) fix A assume "A ∈ sets N" let ?B = "borel_measurable (subprob_algebra (subprob_algebra N))" have "(λM'. emeasure (join M') A) ∈ ?B ⟷ (λM'. (∫⇧^{+}M''. emeasure M'' A ∂M')) ∈ ?B" proof (rule measurable_cong) fix M' assume "M' ∈ space (subprob_algebra (subprob_algebra N))" then show "emeasure (join M') A = (∫⇧^{+}M''. emeasure M'' A ∂M')" by (intro emeasure_join) (auto simp: space_subprob_algebra ‹A∈sets N›) qed also have "(λM'. ∫⇧^{+}M''. emeasure M'' A ∂M') ∈ ?B" using measurable_emeasure_subprob_algebra[OF ‹A∈sets N›] by (rule nn_integral_measurable_subprob_algebra) finally show "(λM'. emeasure (join M') A) ∈ borel_measurable (subprob_algebra (subprob_algebra N))" . next assume [simp]: "space N ≠ {}" fix M assume M: "M ∈ space (subprob_algebra (subprob_algebra N))" then have "(∫⇧^{+}M'. emeasure M' (space N) ∂M) ≤ (∫⇧^{+}M'. 1 ∂M)" proof (intro nn_integral_mono) show "⋀x. ⟦M ∈ space (subprob_algebra (subprob_algebra N)); x ∈ space M⟧ ⟹ emeasure x (space N) ≤ 1" by (smt (verit) mem_Collect_eq sets_eq_imp_space_eq space_subprob_algebra subprob_space.subprob_emeasure_le_1) qed with M show "subprob_space (join M)" by (intro subprob_spaceI) (auto simp: emeasure_join space_subprob_algebra M dest: subprob_space.emeasure_space_le_1) next assume "¬(space N ≠ {})" thus ?thesis by (simp add: measurable_empty_iff space_subprob_algebra_empty_iff) qed (auto simp: space_subprob_algebra) lemma nn_integral_join: assumes f: "f ∈ borel_measurable N" and M[measurable_cong]: "sets M = sets (subprob_algebra N)" shows "(∫⇧^{+}x. f x ∂join M) = (∫⇧^{+}M'. ∫⇧^{+}x. f x ∂M' ∂M)" using f proof induct case (cong f g) moreover have "integral⇧^{N}(join M) f = integral⇧^{N}(join M) g" by (intro nn_integral_cong cong) (simp add: M) moreover from M have "(∫⇧^{+}M'. integral⇧^{N}M' f ∂M) = (∫⇧^{+}M'. integral⇧^{N}M' g ∂M)" by (intro nn_integral_cong cong) (auto simp add: space_subprob_algebra dest!: sets_eq_imp_space_eq) ultimately show ?case by simp next case (set A) with M have "(∫⇧^{+}M'. integral⇧^{N}M' (indicator A) ∂M) = (∫⇧^{+}M'. emeasure M' A ∂M)" by (intro nn_integral_cong nn_integral_indicator) (auto simp: space_subprob_algebra dest!: sets_eq_imp_space_eq) with set show ?case using M by (simp add: emeasure_join) next case (mult f c) have "(∫⇧^{+}M'. ∫⇧^{+}x. c * f x ∂M' ∂M) = (∫⇧^{+}M'. c * ∫⇧^{+}x. f x ∂M' ∂M)" using mult M M[THEN sets_eq_imp_space_eq] by (intro nn_integral_cong nn_integral_cmult) (auto simp add: space_subprob_algebra) also have "… = c * (∫⇧^{+}M'. ∫⇧^{+}x. f x ∂M' ∂M)" using nn_integral_measurable_subprob_algebra[OF mult(2)] by (intro nn_integral_cmult mult) (simp add: M) also have "… = c * (integral⇧^{N}(join M) f)" by (simp add: mult) also have "… = (∫⇧^{+}x. c * f x ∂join M)" using mult(2,3) by (intro nn_integral_cmult[symmetric] mult) (simp add: M cong: measurable_cong_sets) finally show ?case by simp next case (add f g) have "(∫⇧^{+}M'. ∫⇧^{+}x. f x + g x ∂M' ∂M) = (∫⇧^{+}M'. (∫⇧^{+}x. f x ∂M') + (∫⇧^{+}x. g x ∂M') ∂M)" using add M M[THEN sets_eq_imp_space_eq] by (intro nn_integral_cong nn_integral_add) (auto simp add: space_subprob_algebra) also have "… = (∫⇧^{+}M'. ∫⇧^{+}x. f x ∂M' ∂M) + (∫⇧^{+}M'. ∫⇧^{+}x. g x ∂M' ∂M)" using nn_integral_measurable_subprob_algebra[OF add(1)] using nn_integral_measurable_subprob_algebra[OF add(4)] by (intro nn_integral_add add) (simp_all add: M) also have "… = (integral⇧^{N}(join M) f) + (integral⇧^{N}(join M) g)" by (simp add: add) also have "… = (∫⇧^{+}x. f x + g x ∂join M)" using add by (intro nn_integral_add[symmetric] add) (simp_all add: M cong: measurable_cong_sets) finally show ?case by (simp add: ac_simps) next case (seq F) have "(∫⇧^{+}M'. ∫⇧^{+}x. (SUP i. F i) x ∂M' ∂M) = (∫⇧^{+}M'. (SUP i. ∫⇧^{+}x. F i x ∂M') ∂M)" using seq M M[THEN sets_eq_imp_space_eq] unfolding SUP_apply by (intro nn_integral_cong nn_integral_monotone_convergence_SUP) (auto simp add: space_subprob_algebra) also have "… = (SUP i. ∫⇧^{+}M'. ∫⇧^{+}x. F i x ∂M' ∂M)" using nn_integral_measurable_subprob_algebra[OF seq(1)] seq by (intro nn_integral_monotone_convergence_SUP) (simp_all add: M incseq_nn_integral incseq_def le_fun_def nn_integral_mono ) also have "… = (SUP i. integral⇧^{N}(join M) (F i))" by (simp add: seq) also have "… = (∫⇧^{+}x. (SUP i. F i x) ∂join M)" using seq by (intro nn_integral_monotone_convergence_SUP[symmetric] seq) (simp_all add: M cong: measurable_cong_sets) finally show ?case by (simp add: ac_simps image_comp) qed lemma measurable_join1: "⟦ f ∈ measurable N K; sets M = sets (subprob_algebra N) ⟧ ⟹ f ∈ measurable (join M) K" by(simp add: measurable_def) lemma fixes f :: "_ ⇒ real" assumes f_measurable [measurable]: "f ∈ borel_measurable N" and f_bounded: "⋀x. x ∈ space N ⟹ ¦f x¦ ≤ B" and M [measurable_cong]: "sets M = sets (subprob_algebra N)" and fin: "finite_measure M" and M_bounded: "AE M' in M. emeasure M' (space M') ≤ ennreal B'" shows integrable_join: "integrable (join M) f" (is ?integrable) and integral_join: "integral⇧^{L}(join M) f = ∫ M'. integral⇧^{L}M' f ∂M" (is ?integral) proof(case_tac [!] "space N = {}") assume *: "space N = {}" show ?integrable using M * by(simp add: real_integrable_def measurable_def nn_integral_empty) have "(∫ M'. integral⇧^{L}M' f ∂M) = (∫ M'. 0 ∂M)" proof(rule Bochner_Integration.integral_cong) fix M' assume "M' ∈ space M" with sets_eq_imp_space_eq[OF M] have "space M' = space N" by(auto simp add: space_subprob_algebra dest: sets_eq_imp_space_eq) with * show "(∫ x. f x ∂M') = 0" by(simp add: Bochner_Integration.integral_empty) qed simp then show ?integral using M * by(simp add: Bochner_Integration.integral_empty) next assume *: "space N ≠ {}" from * have B [simp]: "0 ≤ B" by(auto dest: f_bounded) have [measurable]: "f ∈ borel_measurable (join M)" using f_measurable M by(rule measurable_join1) { fix f M' assume [measurable]: "f ∈ borel_measurable N" and f_bounded: "⋀x. x ∈ space N ⟹ f x ≤ B" and "M' ∈ space M" "emeasure M' (space M') ≤ ennreal B'" have "AE x in M'. ennreal (f x) ≤ ennreal B" proof(rule AE_I2) fix x assume "x ∈ space M'" with ‹M' ∈ space M› sets_eq_imp_space_eq[OF M] have "x ∈ space N" by(auto simp add: space_subprob_algebra dest: sets_eq_imp_space_eq) from f_bounded[OF this] show "ennreal (f x) ≤ ennreal B" by simp qed then have "(∫⇧^{+}x. ennreal (f x) ∂M') ≤ (∫⇧^{+}x. ennreal B ∂M')" by(rule nn_integral_mono_AE) also have "… = ennreal B * emeasure M' (space M')" by(simp) also have "… ≤ ennreal B * ennreal B'" by(rule mult_left_mono)(fact, simp) also have "… ≤ ennreal B * ennreal ¦B'¦" by(rule mult_left_mono)(simp_all) finally have "(∫⇧^{+}x. ennreal (f x) ∂M') ≤ ennreal (B * ¦B'¦)" by (simp add: ennreal_mult) } note bounded1 = this have bounded: "⋀f. ⟦ f ∈ borel_measurable N; ⋀x. x ∈ space N ⟹ f x ≤ B ⟧ ⟹ (∫⇧^{+}x. ennreal (f x) ∂join M) ≠ top" proof - fix f assume [measurable]: "f ∈ borel_measurable N" and f_bounded: "⋀x. x ∈ space N ⟹ f x ≤ B" have "(∫⇧^{+}x. ennreal (f x) ∂join M) = (∫⇧^{+}M'. ∫⇧^{+}x. ennreal (f x) ∂M' ∂M)" by(rule nn_integral_join[OF _ M]) simp also have "… ≤ ∫⇧^{+}M'. B * ¦B'¦ ∂M" using bounded1[OF ‹f ∈ borel_measurable N› f_bounded] by(rule nn_integral_mono_AE[OF AE_mp[OF M_bounded AE_I2], rule_format]) also have "… = B * ¦B'¦ * emeasure M (space M)" by simp also have "… < ∞" using finite_measure.finite_emeasure_space[OF fin] by(simp add: ennreal_mult_less_top less_top) finally show "?thesis f" by simp qed have f_pos: "(∫⇧^{+}x. ennreal (f x) ∂join M) ≠ ∞" and f_neg: "(∫⇧^{+}x. ennreal (- f x) ∂join M) ≠ ∞" using f_bounded by(auto del: notI intro!: bounded simp add: abs_le_iff) show ?integrable using f_pos f_neg by(simp add: real_integrable_def) note [measurable] = nn_integral_measurable_subprob_algebra have int_f: "(∫⇧^{+}x. f x ∂join M) = ∫⇧^{+}M'. ∫⇧^{+}x. f x ∂M' ∂M" by(simp add: nn_integral_join[OF _ M]) have int_mf: "(∫⇧^{+}x. - f x ∂join M) = (∫⇧^{+}M'. ∫⇧^{+}x. - f x ∂M' ∂M)" by(simp add: nn_integral_join[OF _ M]) have pos_finite: "AE M' in M. (∫⇧^{+}x. f x ∂M') ≠ ∞" using AE_space M_bounded proof eventually_elim fix M' assume "M' ∈ space M" "emeasure M' (space M') ≤ ennreal B'" then have "(∫⇧^{+}x. ennreal (f x) ∂M') ≤ ennreal (B * ¦B'¦)" using f_measurable by(auto intro!: bounded1 dest: f_bounded) then show "(∫⇧^{+}x. ennreal (f x) ∂M') ≠ ∞" by (auto simp: top_unique) qed hence [simp]: "(∫⇧^{+}M'. ennreal (enn2real (∫⇧^{+}x. f x ∂M')) ∂M) = (∫⇧^{+}M'. ∫⇧^{+}x. f x ∂M' ∂M)" by (rule nn_integral_cong_AE[OF AE_mp]) (simp add: less_top) from f_pos have [simp]: "integrable M (λM'. enn2real (∫⇧^{+}x. f x ∂M'))" by(simp add: int_f real_integrable_def nn_integral_0_iff_AE[THEN iffD2] ennreal_neg enn2real_nonneg) have neg_finite: "AE M' in M. (∫⇧^{+}x. - f x ∂M') ≠ ∞" using AE_space M_bounded proof eventually_elim fix M' assume "M' ∈ space M" "emeasure M' (space M') ≤ ennreal B'" then have "(∫⇧^{+}x. ennreal (- f x) ∂M') ≤ ennreal (B * ¦B'¦)" using f_measurable by(auto intro!: bounded1 dest: f_bounded) then show "(∫⇧^{+}x. ennreal (- f x) ∂M') ≠ ∞" by (auto simp: top_unique) qed hence [simp]: "(∫⇧^{+}M'. ennreal (enn2real (∫⇧^{+}x. - f x ∂M')) ∂M) = (∫⇧^{+}M'. ∫⇧^{+}x. - f x ∂M' ∂M)" by (rule nn_integral_cong_AE[OF AE_mp]) (simp add: less_top) from f_neg have [simp]: "integrable M (λM'. enn2real (∫⇧^{+}x. - f x ∂M'))" by(simp add: int_mf real_integrable_def nn_integral_0_iff_AE[THEN iffD2] ennreal_neg enn2real_nonneg) have "(∫ x. f x ∂join M) = enn2real (∫⇧^{+}N. ∫⇧^{+}x. f x ∂N ∂M) - enn2real (∫⇧^{+}N. ∫⇧^{+}x. - f x ∂N ∂M)" unfolding real_lebesgue_integral_def[OF ‹?integrable›] by (simp add: nn_integral_join[OF _ M]) also have "… = (∫N. enn2real (∫⇧^{+}x. f x ∂N) ∂M) - (∫N. enn2real (∫⇧^{+}x. - f x ∂N) ∂M)" using pos_finite neg_finite by (subst (1 2) integral_eq_nn_integral) (auto simp: enn2real_nonneg) also have "… = (∫N. enn2real (∫⇧^{+}x. f x ∂N) - enn2real (∫⇧^{+}x. - f x ∂N) ∂M)" by simp also have "… = ∫M'. ∫ x. f x ∂M' ∂M" proof (rule integral_cong_AE) show "AE x in M. enn2real (∫⇧^{+}x. ennreal (f x) ∂x) - enn2real (∫⇧^{+}x. ennreal (- f x) ∂x) = integral⇧^{L}x f" using AE_space M_bounded proof eventually_elim fix M' assume "M' ∈ space M" "emeasure M' (space M') ≤ B'" then interpret subprob_space M' by (auto simp: M[THEN sets_eq_imp_space_eq] space_subprob_algebra) from ‹M' ∈ space M› sets_eq_imp_space_eq[OF M] have [measurable_cong]: "sets M' = sets N" by(simp add: space_subprob_algebra) hence [simp]: "space M' = space N" by(rule sets_eq_imp_space_eq) have "integrable M' f" by(rule integrable_const_bound[where B=B])(auto simp add: f_bounded) then show "enn2real (∫⇧^{+}x. f x ∂M') - enn2real (∫⇧^{+}x. - f x ∂M') = ∫ x. f x ∂M'" by(simp add: real_lebesgue_integral_def) qed qed simp_all finally show ?integral by simp qed lemma join_assoc: assumes M[measurable_cong]: "sets M = sets (subprob_algebra (subprob_algebra N))" shows "join (distr M (subprob_algebra N) join) = join (join M)" proof (rule measure_eqI) fix A assume "A ∈ sets (join (distr M (subprob_algebra N) join))" then have A: "A ∈ sets N" by simp show "emeasure (join (distr M (subprob_algebra N) join)) A = emeasure (join (join M)) A" using measurable_join[of N] by (auto simp: M A nn_integral_distr emeasure_join measurable_emeasure_subprob_algebra sets_eq_imp_space_eq[OF M] space_subprob_algebra nn_integral_join[OF _ M] intro!: nn_integral_cong emeasure_join) qed (simp add: M) lemma join_return: assumes "sets M = sets N" and "subprob_space M" shows "join (return (subprob_algebra N) M) = M" by (rule measure_eqI) (simp_all add: emeasure_join space_subprob_algebra measurable_emeasure_subprob_algebra nn_integral_return assms) lemma join_return': assumes "sets N = sets M" shows "join (distr M (subprob_algebra N) (return N)) = M" proof (rule measure_eqI) fix A have "return N ∈ measurable M (subprob_algebra N)" using assms by auto moreover assume "A ∈ sets (join (distr M (subprob_algebra N) (return N)))" ultimately show "emeasure (join (distr M (subprob_algebra N) (return N))) A = emeasure M A" by (simp add: emeasure_join nn_integral_distr measurable_emeasure_subprob_algebra assms) qed (simp add: assms) lemma join_distr_distr: fixes f :: "'a ⇒ 'b" and M :: "'a measure measure" and N :: "'b measure" assumes "sets M = sets (subprob_algebra R)" and "f ∈ measurable R N" shows "join (distr M (subprob_algebra N) (λM. distr M N f)) = distr (join M) N f" (is "?r = ?l") proof (rule measure_eqI) fix A assume "A ∈ sets ?r" hence A_in_N: "A ∈ sets N" by simp from assms have "f ∈ measurable (join M) N" by (simp cong: measurable_cong_sets) moreover from assms and A_in_N have "f-`A ∩ space R ∈ sets R" by (intro measurable_sets) simp_all ultimately have "emeasure (distr (join M) N f) A = ∫⇧^{+}M'. emeasure M' (f-`A ∩ space R) ∂M" by (simp_all add: A_in_N emeasure_distr emeasure_join assms) also have "... = ∫⇧^{+}x. emeasure (distr x N f) A ∂M" using A_in_N proof (intro nn_integral_cong, subst emeasure_distr) fix M' assume "M' ∈ space M" from assms have "space M = space (subprob_algebra R)" using sets_eq_imp_space_eq by blast with ‹M' ∈ space M› have [simp]: "sets M' = sets R" using space_subprob_algebra by blast show "f ∈ measurable M' N" by (simp cong: measurable_cong_sets add: assms) have "space M' = space R" by (rule sets_eq_imp_space_eq) simp thus "emeasure M' (f -` A ∩ space R) = emeasure M' (f -` A ∩ space M')" by simp qed also have "(λM. distr M N f) ∈ measurable M (subprob_algebra N)" by (simp cong: measurable_cong_sets add: assms measurable_distr) hence "(∫⇧^{+}x. emeasure (distr x N f) A ∂M) = emeasure (join (distr M (subprob_algebra N) (λM. distr M N f))) A" by (simp_all add: emeasure_join assms A_in_N nn_integral_distr measurable_emeasure_subprob_algebra) finally show "emeasure ?r A = emeasure ?l A" .. qed simp definition bind :: "'a measure ⇒ ('a ⇒ 'b measure) ⇒ 'b measure" where "bind M f = (if space M = {} then count_space {} else join (distr M (subprob_algebra (f (SOME x. x ∈ space M))) f))" adhoc_overloading Monad_Syntax.bind bind lemma bind_empty: "space M = {} ⟹ bind M f = count_space {}" by (simp add: bind_def) lemma bind_nonempty: "space M ≠ {} ⟹ bind M f = join (distr M (subprob_algebra (f (SOME x. x ∈ space M))) f)" by (simp add: bind_def) lemma sets_bind_empty: "sets M = {} ⟹ sets (bind M f) = {{}}" by auto lemma space_bind_empty: "space M = {} ⟹ space (bind M f) = {}" by (simp add: bind_def) lemma sets_bind[simp, measurable_cong]: assumes f: "⋀x. x ∈ space M ⟹ sets (f x) = sets N" and M: "space M ≠ {}" shows "sets (bind M f) = sets N" using f [of "SOME x. x ∈ space M"] by (simp add: bind_nonempty M some_in_eq) lemma space_bind[simp]: assumes "⋀x. x ∈ space M ⟹ sets (f x) = sets N" and "space M ≠ {}" shows "space (bind M f) = space N" using assms by (intro sets_eq_imp_space_eq sets_bind) lemma bind_cong_All: assumes "∀x ∈ space M. f x = g x" shows "bind M f = bind M g" proof (cases "space M = {}") assume "space M ≠ {}" hence "(SOME x. x ∈ space M) ∈ space M" by (rule_tac someI_ex) blast with assms have "f (SOME x. x ∈ space M) = g (SOME x. x ∈ space M)" by blast with ‹space M ≠ {}› and assms show ?thesis by (simp add: bind_nonempty cong: distr_cong) qed (simp add: bind_empty) lemma bind_cong: "M = N ⟹ (⋀x. x ∈ space M ⟹ f x = g x) ⟹ bind M f = bind N g" using bind_cong_All[of M f g] by auto lemma bind_nonempty': assumes "f ∈ measurable M (subprob_algebra N)" "x ∈ space M" shows "bind M f = join (distr M (subprob_algebra N) f)" proof - have "join (distr M (subprob_algebra (f (SOME x. x ∈ space M))) f) = join (distr M (subprob_algebra N) f)" by (metis assms someI_ex subprob_algebra_cong subprob_measurableD(2)) with assms show ?thesis by (metis bind_nonempty empty_iff) qed lemma bind_nonempty'': assumes "f ∈ measurable M (subprob_algebra N)" "space M ≠ {}" shows "bind M f = join (distr M (subprob_algebra N) f)" using assms by (auto intro: bind_nonempty') lemma emeasure_bind: "⟦space M ≠ {}; f ∈ measurable M (subprob_algebra N);X ∈ sets N⟧ ⟹ emeasure (M ⤜ f) X = ∫⇧^{+}x. emeasure (f x) X ∂M" by (simp add: bind_nonempty'' emeasure_join nn_integral_distr measurable_emeasure_subprob_algebra) lemma nn_integral_bind: assumes f: "f ∈ borel_measurable B" assumes N: "N ∈ measurable M (subprob_algebra B)" shows "(∫⇧^{+}x. f x ∂(M ⤜ N)) = (∫⇧^{+}x. ∫⇧^{+}y. f y ∂N x ∂M)" proof cases assume M: "space M ≠ {}" show ?thesis unfolding bind_nonempty''[OF N M] nn_integral_join[OF f sets_distr] by (rule nn_integral_distr[OF N]) (simp add: f nn_integral_measurable_subprob_algebra) qed (simp add: bind_empty space_empty[of M] nn_integral_count_space) lemma AE_bind: assumes N[measurable]: "N ∈ measurable M (subprob_algebra B)" assumes P[measurable]: "Measurable.pred B P" shows "(AE x in M ⤜ N. P x) ⟷ (AE x in M. AE y in N x. P y)" proof cases assume M: "space M = {}" show ?thesis unfolding bind_empty[OF M] unfolding space_empty[OF M] by (simp add: AE_count_space) next assume M: "space M ≠ {}" note sets_kernel[OF N, simp] have *: "(∫⇧^{+}x. indicator {x. ¬ P x} x ∂(M ⤜ N)) = (∫⇧^{+}x. indicator {x∈space B. ¬ P x} x ∂(M ⤜ N))" by (intro nn_integral_cong) (simp add: space_bind[OF _ M] split: split_indicator) have "(AE x in M ⤜ N. P x) ⟷ (∫⇧^{+}x. integral⇧^{N}(N x) (indicator {x ∈ space B. ¬ P x}) ∂M) = 0" by (simp add: AE_iff_nn_integral sets_bind[OF _ M] space_bind[OF _ M] * nn_integral_bind[where B=B] del: nn_integral_indicator) also have "... = (AE x in M. integral⇧^{N}(N x) (indicator {x ∈ space B. ¬ P x}) = 0)" proof (rule nn_integral_0_iff_AE) show "(λx. integral⇧^{N}(N x) (indicator {x ∈ space B. ¬ P x})) ∈ borel_measurable M" apply (rule measurable_compose[OF N nn_integral_measurable_subprob_algebra]) by measurable qed also have "… = (AE x in M. AE y in N x. P y)" apply (intro eventually_subst AE_I2) by (auto simp add: subprob_measurableD(1)[OF N] intro!: AE_iff_measurable[symmetric]) finally show ?thesis . qed lemma measurable_bind': assumes M1: "f ∈ measurable M (subprob_algebra N)" and M2: "case_prod g ∈ measurable (M ⨂⇩_{M}N) (subprob_algebra R)" shows "(λx. bind (f x) (g x)) ∈ measurable M (subprob_algebra R)" proof (subst measurable_cong) fix x assume x_in_M: "x ∈ space M" with assms have "space (f x) ≠ {}" by (blast dest: subprob_space_kernel subprob_space.subprob_not_empty) moreover from M2 x_in_M have "g x ∈ measurable (f x) (subprob_algebra R)" by (subst measurable_cong_sets[OF sets_kernel[OF M1 x_in_M] refl]) (auto dest: measurable_Pair2) ultimately show "bind (f x) (g x) = join (distr (f x) (subprob_algebra R) (g x))" by (simp_all add: bind_nonempty'') next show "(λw. join (distr (f w) (subprob_algebra R) (g w))) ∈ measurable M (subprob_algebra R)" apply (rule measurable_compose[OF _ measurable_join]) apply (rule measurable_distr2[OF M2 M1]) done qed lemma measurable_bind[measurable (raw)]: assumes M1: "f ∈ measurable M (subprob_algebra N)" and M2: "(λx. g (fst x) (snd x)) ∈ measurable (M ⨂⇩_{M}N) (subprob_algebra R)" shows "(λx. bind (f x) (g x)) ∈ measurable M (subprob_algebra R)" using assms by (auto intro: measurable_bind' simp: measurable_split_conv) lemma measurable_bind2: assumes "f ∈ measurable M (subprob_algebra N)" and "g ∈ measurable N (subprob_algebra R)" shows "(λx. bind (f x) g) ∈ measurable M (subprob_algebra R)" using assms by (intro measurable_bind' measurable_const) auto lemma subprob_space_bind: assumes "subprob_space M" "f ∈ measurable M (subprob_algebra N)" shows "subprob_space (M ⤜ f)" proof (rule subprob_space_kernel[of "λx. x ⤜ f"]) show "(λx. x ⤜ f) ∈ measurable (subprob_algebra M) (subprob_algebra N)" by (rule measurable_bind, rule measurable_ident_sets, rule refl, rule measurable_compose[OF measurable_snd assms(2)]) from assms(1) show "M ∈ space (subprob_algebra M)" by (simp add: space_subprob_algebra) qed lemma fixes f :: "_ ⇒ real" assumes f_measurable [measurable]: "f ∈ borel_measurable K" and f_bounded: "⋀x. x ∈ space K ⟹ ¦f x¦ ≤ B" and N [measurable]: "N ∈ measurable M (subprob_algebra K)" and fin: "finite_measure M" and M_bounded: "AE x in M. emeasure (N x) (space (N x)) ≤ ennreal B'" shows integrable_bind: "integrable (bind M N) f" (is ?integrable) and integral_bind: "integral⇧^{L}(bind M N) f = ∫ x. integral⇧^{L}(N x) f ∂M" (is ?integral) proof(case_tac [!] "space M = {}") assume [simp]: "space M ≠ {}" interpret finite_measure M by(rule fin) have "integrable (join (distr M (subprob_algebra K) N)) f" using f_measurable f_bounded by(rule integrable_join[where B'=B'])(simp_all add: finite_measure_distr AE_distr_iff M_bounded) then show ?integrable by(simp add: bind_nonempty''[where N=K]) have "integral⇧^{L}(join (distr M (subprob_algebra K) N)) f = ∫ M'. integral⇧^{L}M' f ∂distr M (subprob_algebra K) N" using f_measurable f_bounded by(rule integral_join[where B'=B'])(simp_all add: finite_measure_distr AE_distr_iff M_bounded) also have "… = ∫ x. integral⇧^{L}(N x) f ∂M" by(rule integral_distr)(simp_all add: integral_measurable_subprob_algebra[OF _]) finally show ?integral by(simp add: bind_nonempty''[where N=K]) qed(simp_all add: bind_def integrable_count_space lebesgue_integral_count_space_finite Bochner_Integration.integral_empty) lemma (in prob_space) prob_space_bind: assumes ae: "AE x in M. prob_space (N x)" and N[measurable]: "N ∈ measurable M (subprob_algebra S)" shows "prob_space (M ⤜ N)" proof have "emeasure (M ⤜ N) (space (M ⤜ N)) = (∫⇧^{+}x. emeasure (N x) (space (N x)) ∂M)" by (subst emeasure_bind[where N=S]) (auto simp: not_empty space_bind[OF sets_kernel] subprob_measurableD[OF N] intro!: nn_integral_cong) also have "… = (∫⇧^{+}x. 1 ∂M)" using ae by (intro nn_integral_cong_AE, eventually_elim) (rule prob_space.emeasure_space_1) finally show "emeasure (M ⤜ N) (space (M ⤜ N)) = 1" by (simp add: emeasure_space_1) qed lemma (in subprob_space) bind_in_space: "A ∈ measurable M (subprob_algebra N) ⟹ (M ⤜ A) ∈ space (subprob_algebra N)" by (auto simp add: space_subprob_algebra subprob_not_empty sets_kernel intro!: subprob_space_bind) unfold_locales lemma (in subprob_space) measure_bind: assumes f: "f ∈ measurable M (subprob_algebra N)" and X: "X ∈