ports from the sampling branch

CHANGELOG_UNRELEASED.md

@@ -91,6 +91,12 @@
 - in `lebesgue_integrable.v`:
   + lemma `integral_sum`
 
+- in `constructive_ereal.v`:
+  + lemmas `abse_prod`
+
+- in `hoelder.v`:
+  + lemmas `Lnorm_abse`, `Lfun_norm`
+
 ### Changed
 
 - in `convex.v`:

reals/constructive_ereal.v

@@ -1,4 +1,4 @@
-(* mathcomp analysis (c) 2017 Inria and AIST. License: CeCILL-C.              *)
+(* mathcomp analysis (c) 2025 Inria and AIST. License: CeCILL-C.              *)
 (* -------------------------------------------------------------------- *)
 (* Copyright (c) - 2015--2016 - IMDEA Software Institute                *)
 (* Copyright (c) - 2015--2018 - Inria                                   *)
@@ -2599,14 +2599,21 @@ move=> [x| |] [y| |] //=; first by rewrite normrM.
 - by rewrite -abseN -muleNN abseN -EFinN xoo normrN.
 Qed.
 
+Lemma abse_prod {I : Type} (r : seq I) (P : pred I) (F : I -> \bar R) :
+  `|\prod_(i <- r | P i) F i| = \prod_(i <- r | P i) `|F i|.
+Proof.
+elim/big_ind2 : _ => //; first by rewrite abse1.
+by move=> ? ? ? ? <- <-; rewrite abseM.
+Qed.
+
 Lemma fine_max :
   {in fin_num &, {mono @fine R : x y / maxe x y >-> (Num.max x y)%:E}}.
 Proof.
 by move=> [x| |] [y| |]//= _ _; apply/esym; have [ab|ba] := leP x y;
   [apply/max_idPr; rewrite lee_fin|apply/max_idPl; rewrite lee_fin ltW].
 Qed.
 
-Lemma EFin_bigmax  {I : Type} (s : seq I) (P : I -> bool) (F : I -> R) r :
+Lemma EFin_bigmax {I : Type} (s : seq I) (P : I -> bool) (F : I -> R) r :
   \big[maxe/r%:E]_(i <- s | P i) (F i)%:E =
   (\big[Num.max/r]_(i <- s | P i) F i)%:E.
 Proof. by rewrite (big_morph _ EFin_max erefl). Qed.

theories/hoelder.v

@@ -1,4 +1,4 @@
-(* mathcomp analysis (c) 2017 Inria and AIST. License: CeCILL-C.              *)
+(* mathcomp analysis (c) 2025 Inria and AIST. License: CeCILL-C.              *)
 From HB Require Import structures.
 From mathcomp Require Import all_ssreflect ssralg ssrnum ssrint interval finmap.
 From mathcomp Require Import mathcomp_extra unstable boolp interval_inference.
@@ -95,7 +95,7 @@ Qed.
 
 Lemma Lnorm1 f : 'N_1[f] = \int[mu]_x `|f x|.
 Proof.
-rewrite unlock invr1// poweRe1//; under eq_integral do [rewrite poweRe1//=] => //.
+rewrite unlock invr1 ?poweRe1//; under eq_integral do [rewrite poweRe1//] => //.
 exact: integral_ge0.
 Qed.
 
@@ -109,10 +109,9 @@ move=> r0; rewrite unlock -poweRrM mulVf// poweRe1//.
 by apply: integral_ge0 => x _; exact: poweR_ge0.
 Qed.
 
-Lemma oppe_Lnorm f p : 'N_p[\- f]%E = 'N_p[f].
+Lemma oppe_Lnorm f p : 'N_p[\- f] = 'N_p[f].
 Proof.
-have NfE : abse \o (\- f) = abse \o f.
-  by apply/funext => x /=; rewrite abseN.
+have NfE : abse \o (\- f) = abse \o f by apply/funext => x /=; rewrite abseN.
 rewrite unlock /Lnorm NfE; case: p => /= [r|//|//].
 by under eq_integral => x _ do rewrite abseN.
 Qed.
@@ -130,29 +129,22 @@ rewrite unlock; move: p => [r/=|/=|//]; first exact: poweR_ge0.
 - by case: ifPn => // muT0; apply/ess_infP/nearW => x /=.
 Qed.
 
-Lemma Lnorm_eq0_eq0 f p :
-  measurable_fun setT f -> (0 < p)%E -> 'N_p[f] = 0 -> f = \0 %[ae mu].
+Lemma Lnorm_eq0_eq0 f p : measurable_fun [set: T] f -> 0 < p ->
+  'N_p[f] = 0 -> f = \0 %[ae mu].
 Proof.
-rewrite unlock /Lnorm => mf.
-case: p => [r||//].
+rewrite unlock /Lnorm => mf; case: p => [r||//].
 - rewrite lte_fin => r0 /poweR_eq0_eq0 => /(_ (integral_ge0 _ _)) h.
-  have : \int[mu]_x `|f x| `^ r = 0.
-    by apply: h => x _; rewrite poweR_ge0.
-  move=> H.
-  have {H} : \int[mu]_x `| `|f x| `^ r | = 0%R.
+  have : \int[mu]_x `| `|f x| `^ r | = 0%R.
     under eq_integral.
-      move=> x _.
-      rewrite gee0_abs; last by rewrite poweR_ge0.
-      over.
-    exact: H.
-  have mp : measurable_fun [set: T] (fun x : T => `|f x| `^ r).
+      move=> x _; rewrite gee0_abs; last by rewrite poweR_ge0. over.
+    by apply: h => x _; rewrite poweR_ge0.
+  have mp : measurable_fun [set: T] (fun x => `|f x| `^ r).
     apply: (@measurableT_comp _ _ _ _ _ _ (fun x => x `^ r)) => //=.
-      by apply (measurableT_comp (measurable_poweR _)) => //.
+      exact: (measurableT_comp (measurable_poweR _)).
     exact: measurableT_comp.
   move/(ae_eq_integral_abs mu measurableT mp).
   apply: filterS => x/= /[apply].
-  move=> /poweR_eq0_eq0 /eqP => /(_ (abse_ge0 _)).
-  by rewrite abse_eq0 => /eqP.
+  by move=> /poweR_eq0_eq0 /eqP => /(_ (abse_ge0 _)); rewrite abse_eq0 => /eqP.
 - case: ifPn => [mu0 _|].
     move=> /abs_sup_eq0_ae_eq/=.
     by apply: filterS => x/= /(_ I) /eqP + _ => /eqP.
@@ -164,12 +156,16 @@ Qed.
 Lemma powR_Lnorm f r : r != 0%R -> 'N_r%:E[f] `^ r = \int[mu]_x `| f x | `^ r.
 Proof. by move=> r0; rewrite poweR_Lnorm. Qed.
 
-End Lnorm_properties.
-
-#[global]
-Hint Extern 0 (0 <= Lnorm _ _ _) => solve [apply: Lnorm_ge0] : core.
+Lemma Lnorm_abse f p : 'N_p[abse \o f] = 'N_p[f].
+Proof.
+rewrite unlock/=; have -> : abse \o (abse \o f) = abse \o f.
+  by apply: funext => x/=; rewrite abse_id.
+by case: p => [r|//|//]; under eq_integral => x _ do rewrite abse_id.
+Qed.
 
+End Lnorm_properties.
 Notation "'N[ mu ]_ p [ f ]" := (Lnorm mu p f) : ereal_scope.
+#[global] Hint Extern 0 (0 <= Lnorm _ _ _) => solve [apply: Lnorm_ge0] : core.
 
 Section lnorm.
 Context d {T : measurableType d} {R : realType}.
@@ -185,15 +181,6 @@ Qed.
 
 End lnorm.
 
-Section ereal.
-Context {R : realFieldType}.
-Implicit Type x y : \bar R.
-Local Open Scope ereal_scope.
-
-
-
-End ereal.
-
 Section hoelder_conjugate.
 Context d (T : measurableType d) (R : realType).
 Variables (mu : {measure set T -> \bar R}).
@@ -432,14 +419,14 @@ Lemma hoelder (f g : T -> R) p q :
   'N_1[(f \* g)%R] <= 'N_p%:E[f] * 'N_q%:E[g].
 Proof.
 move=> mf mg p0 q0 pq.
-have [f0|f0] := eqVneq 'N_p%:E[f] 0%E; first exact: hoelder0.
-have [g0|g0] := eqVneq 'N_q%:E[g] 0%E.
+have [f0|f0] := eqVneq 'N_p%:E[f] 0; first exact: hoelder0.
+have [g0|g0] := eqVneq 'N_q%:E[g] 0.
   rewrite muleC; apply: le_trans; last by apply: hoelder0 => //; rewrite addrC.
   by under eq_Lnorm do rewrite /= mulrC.
 have {f0}fpos : 0 < 'N_p%:E[f] by rewrite lt0e f0 Lnorm_ge0.
 have {g0}gpos : 0 < 'N_q%:E[g] by rewrite lt0e g0 Lnorm_ge0.
-have [foo|foo] := eqVneq 'N_p%:E[f] +oo%E; first by rewrite foo gt0_mulye ?leey.
-have [goo|goo] := eqVneq 'N_q%:E[g] +oo%E; first by rewrite goo gt0_muley ?leey.
+have [foo|foo] := eqVneq 'N_p%:E[f] +oo; first by rewrite foo gt0_mulye ?leey.
+have [goo|goo] := eqVneq 'N_q%:E[g] +oo; first by rewrite goo gt0_muley ?leey.
 pose F := normalized p f; pose G := normalized q g.
 rewrite [leLHS](_ : _ = 'N_1[(F \* G)%R] * 'N_p%:E[f] * 'N_q%:E[g]); last first.
   rewrite !Lnorm1; under [in RHS]eq_integral.
@@ -1072,6 +1059,15 @@ Definition LType1 := LType mu (@lexx _ _ 1%E).
 
 Definition LType2 := LType mu (lee1n 2).
 
+Lemma Lfun_norm (f : T -> R) : f \in Lfun mu 1 -> normr \o f \in Lfun mu 1.
+Proof.
+case/andP; rewrite !inE/= => mf finf; apply/andP; split.
+  by rewrite inE/=; exact: measurableT_comp.
+rewrite inE/=/finite_norm.
+under [X in ('N[_]__[X])%E]eq_fun => x do rewrite -abse_EFin.
+by rewrite Lnorm_abse.
+Qed.
+
 Lemma Lfun_integrable (f : T -> R) r :
   1 <= r -> f \in Lfun mu r%:E ->
   mu.-integrable setT (fun x => (`|f x| `^ r)%:E).

theories/probability.v

@@ -1,7 +1,7 @@
-(* mathcomp analysis (c) 2022 Inria and AIST. License: CeCILL-C.              *)
+(* mathcomp analysis (c) 2025 Inria and AIST. License: CeCILL-C.              *)
 From HB Require Import structures.
-From mathcomp Require Import all_ssreflect.
-From mathcomp Require Import ssralg poly ssrnum ssrint interval archimedean finmap.
+From mathcomp Require Import all_ssreflect ssralg.
+From mathcomp Require Import poly ssrnum ssrint interval archimedean finmap.
 From mathcomp Require Import mathcomp_extra unstable boolp classical_sets.
 From mathcomp Require Import functions cardinality fsbigop.
 From mathcomp Require Import exp numfun lebesgue_measure lebesgue_integral.
@@ -21,27 +21,26 @@ From mathcomp Require Import ftc gauss_integral hoelder.
 (* `lebesgue_integral.v`.                                                     *)
 (*                                                                            *)
 (* ```                                                                        *)
-(*        {RV P >-> T'} == random variable: a measurable function to the      *)
-(*                         measurableType T' from the measured space          *)
-(*                         characterized by the probability P                 *)
-(*     distribution P X == measure image of the probability measure P by the  *)
-(*                         random variable X : {RV P -> T'}                   *)
-(*                         P as type probability T R with T of type           *)
-(*                         measurableType.                                    *)
-(*                         Declared as an instance of probability measure.    *)
-(*              'E_P[X] == expectation of the real measurable function X      *)
-(*       covariance X Y == covariance between real random variable X and Y    *)
-(*              'V_P[X] == variance of the real random variable X             *)
-(*                'M_ X == moment generating function of the random variable  *)
-(*                         X                                                  *)
-(*      {dmfun T >-> R} == type of discrete real-valued measurable functions  *)
-(*        {dRV P >-> R} == real-valued discrete random variable               *)
-(*            dRV_dom X == domain of the discrete random variable X           *)
-(*           dRV_enum X == bijection between the domain and the range of X    *)
-(*              pmf X r := fine (P (X @^-1` [set r]))                         *)
-(*              cdf X r == cumulative distribution function of X              *)
-(*                      := distribution P X `]-oo, r]                         *)
-(*        enum_prob X k == probability of the kth value in the range of X     *)
+(*      {RV P >-> T'} == random variable: a measurable function to the        *)
+(*                       measurableType T' from the measured space            *)
+(*                       characterized by the probability P                   *)
+(*   distribution P X == measure image of the probability measure P by the    *)
+(*                       random variable X : {RV P -> T'}                     *)
+(*                       P as type probability T R with T of type             *)
+(*                       measurableType.                                      *)
+(*                       Declared as an instance of probability measure.      *)
+(*            'E_P[X] == expectation of the real measurable function X        *)
+(*     covariance X Y == covariance between real random variable X and Y      *)
+(*            'V_P[X] == variance of the real random variable X               *)
+(*              'M_ X == moment generating function of the random variable X  *)
+(*    {dmfun T >-> R} == type of discrete real-valued measurable functions    *)
+(*      {dRV P >-> R} == real-valued discrete random variable                 *)
+(*          dRV_dom X == domain of the discrete random variable X             *)
+(*         dRV_enum X == bijection between the domain and the range of X      *)
+(*            pmf X r := fine (P (X @^-1` [set r]))                           *)
+(*            cdf X r == cumulative distribution function of X                *)
+(*                    := distribution P X `]-oo, r]                           *)
+(*      enum_prob X k == probability of the kth value in the range of X       *)
 (* ```                                                                        *)
 (*                                                                            *)
 (* ```                                                                        *)
@@ -618,6 +617,10 @@ Qed.
 End variance.
 Notation "'V_ P [ X ]" := (variance P X).
 
+Definition mmt_gen_fun d (T : measurableType d) (R : realType)
+  (P : probability T R) (X : T -> R) (t : R) := ('E_P[expR \o t \o* X])%E.
+Notation "'M_ X t" := (mmt_gen_fun X t).
+
 Section markov_chebyshev_cantelli.
 Local Open Scope ereal_scope.
 Context d (T : measurableType d) (R : realType) (P : probability T R).
@@ -639,11 +642,8 @@ apply: (le_trans (@le_integral_comp_abse _ _ _ P _ measurableT (EFin \o X)
 - by rewrite unlock.
 Qed.
 
-Definition mmt_gen_fun (X : T -> R) (t : R) := 'E_P[expR \o t \o* X].
-Local Notation "'M_ X t" := (mmt_gen_fun X t).
-
 Lemma chernoff (X : {RV P >-> R}) (r a : R) : (0 < r)%R ->
-  P [set x | X x >= a]%R <= 'M_X r * (expR (- (r * a)))%:E.
+  P [set x | X x >= a]%R <= 'M_P X r * (expR (- (r * a)))%:E.
 Proof.
 move=> t0; rewrite /mmt_gen_fun.
 have -> : expR \o r \o* X = (normr \o normr) \o (expR \o r \o* X).