Convexity of power function

- definition of convex_function - lnorm and equivalence lemma - hoelder for sums - convexity of powR Co-authored-by: Alessandro Bruni <[email protected]>
math-comp · Sep 14, 2023 · eec118a · eec118a
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diff --git a/CHANGELOG_UNRELEASED.md b/CHANGELOG_UNRELEASED.md
@@ -69,6 +69,18 @@
 
 - in `measure.v`:
   + definition `ess_sup`, lemma `ess_sup_ge0`
+- in `convex.v`:
+  + definition `convex_function`
+
+- in `exp.v`:
+  + lemmas `ln_le0`, `ger_powR`, `ler1_powR`, `le1r_powR`, `ger1_powR`,
+    `ge1r_powR`, `ge1r_powRZ`, `le1r_powRZ`
+
+- in `hoelder.v`:
+  + lemmas `lnormE`, `hoelder2`, `convex_powR`
+
+- in `lebesgue_integral.v`:
+  + lemma `ge0_integral_count`
 
 ### Changed
 

diff --git a/theories/convex.v b/theories/convex.v
@@ -149,6 +149,10 @@ Proof. by []. Qed.
 
 End conv_realDomainType.
 
+Definition convex_function (R : realType) (D : set R) (f : R -> R^o) :=
+  forall (t : {i01 R}), {in D &, forall (x y : R^o), (f (x <| t |> y) <= f x <| t |> f y)%R}.
+(* TODO: generalize to convTypes once we have ordered convTypes (mathcomp 2) *)
+
 (* ref: http://www.math.wisc.edu/~nagel/convexity.pdf *)
 Section twice_derivable_convex.
 Context {R : realType}.

diff --git a/theories/exp.v b/theories/exp.v
@@ -586,6 +586,12 @@ Proof.
 by move=> x_gt1; rewrite -ltr_expR expR0 lnK // qualifE (lt_trans _ x_gt1).
 Qed.
 
+Lemma ln_le0 (x : R) : x <= 1 -> ln x <= 0.
+Proof.
+have [x0|x0 x1] := leP x 0; first by rewrite ln0.
+by rewrite -ler_expR expR0 lnK.
+Qed.
+
 Lemma continuous_ln x : 0 < x -> {for x, continuous ln}.
 Proof.
 move=> x_gt0; rewrite -[x]lnK//.
@@ -658,12 +664,46 @@ Qed.
 Lemma powR_eq0_eq0 x p : x `^ p = 0 -> x = 0.
 Proof. by move=> /eqP; rewrite powR_eq0 => /andP[/eqP]. Qed.
 
+Lemma ger_powR a : 0 < a <= 1 -> {homo powR a : x y /~ y <= x}.
+Proof.
+move=> /andP [a0 a1] x y xy.
+rewrite /powR gt_eqF// ler_expR ler_wnmul2r// ln_le0//.
+Qed.
+
 Lemma ler_powR a : 1 <= a -> {homo powR a : x y / x <= y}.
 Proof.
 move=> a1 x y xy.
 by rewrite /powR gt_eqF ?(lt_le_trans _ a1)// ler_expR ler_wpmul2r ?ln_ge0.
 Qed.
 
+Lemma ler1_powR a r : 1 <= a -> r <= 1 -> a >= a `^ r.
+Proof.
+move=> a1 r1.
+rewrite -[in leRHS](@powRr1 a)//; last exact: (le_trans _ a1).
+by rewrite ler_powR.
+Qed.
+
+Lemma le1r_powR a r : 1 <= a -> 1 <= r -> a <= a `^ r.
+Proof.
+move=> a1 r1.
+rewrite -[in leLHS](@powRr1 a)//; last exact: (le_trans _ a1).
+by rewrite ler_powR.
+Qed.
+
+Lemma ger1_powR a r : 0 < a <= 1 -> r <= 1 -> a <= a `^ r.
+Proof.
+move=> /andP [a0 a1] r1.
+rewrite -[in leLHS](@powRr1 a)//; last by rewrite ltW.
+by rewrite ger_powR// a0.
+Qed.
+
+Lemma ge1r_powR a r : 0 < a <= 1 -> 1 <= r -> a >= a `^ r.
+Proof.
+move=> /andP [a0 a1] r1.
+rewrite -[in leRHS](@powRr1 a)//; last by rewrite ltW.
+by rewrite ger_powR// a0.
+Qed.
+
 Lemma gt0_ler_powR (r : R) : 0 <= r ->
   {in `[0, +oo[ &, {homo powR ^~ r : x y / x <= y >-> x <= y}}.
 Proof.
@@ -684,6 +724,22 @@ case: (ltgtP x 0) => // x0 _; case: (ltgtP y 0) => //= y0 _; do ?
 by rewrite lnM// mulrDr expRD.
 Qed.
 
+Lemma ge1r_powRZ x y r : 0 < x <= 1 -> 0 <= y -> 1 <= r -> (x * y) `^ r <= x * (y `^ r).
+Proof.
+move=> /andP [x0 x1] y0 r1.
+rewrite powRM//; last exact: ltW.
+rewrite ler_wpmul2r// ?powR_ge0//.
+by rewrite ge1r_powR// x0.
+Qed.
+
+Lemma le1r_powRZ x y r : x >= 1 -> 0 <= y -> 1 <= r -> (x * y) `^ r >= x * (y `^ r).
+Proof.
+move=> x1 y0 r1.
+rewrite powRM//; last by rewrite (le_trans _ x1).
+rewrite ler_wpmul2r// ?powR_ge0//.
+rewrite le1r_powR//.
+Qed.
+
 Lemma powRrM (x y z : R) : x `^ (y * z) = (x `^ y) `^ z.
 Proof.
 rewrite /powR mulf_eq0; have [_|xN0] := eqVneq x 0.

diff --git a/theories/hoelder.v b/theories/hoelder.v
@@ -4,7 +4,7 @@ From mathcomp Require Import all_ssreflect ssralg ssrnum ssrint interval finmap.
 From mathcomp Require Import mathcomp_extra boolp classical_sets functions.
 From mathcomp Require Import cardinality fsbigop .
 Require Import signed reals ereal topology normedtype sequences real_interval.
-Require Import esum measure lebesgue_measure lebesgue_integral numfun exp.
+Require Import esum measure lebesgue_measure lebesgue_integral numfun exp convex itv.
 
 (******************************************************************************)
 (*                         Hoelder's Inequality                               *)
@@ -89,6 +89,20 @@ Hint Extern 0 (0 <= Lnorm _ _ _) => solve [apply: Lnorm_ge0] : core.
 
 Notation "'N[ mu ]_ p [ f ]" := (Lnorm mu p f).
 
+Section lnorm.
+(* lnorm is just Lnorm applied to counting *)
+Context d {T : measurableType d} {R : realType}.
+
+Local Notation "'N_ p [ f ]" := (Lnorm counting p f).
+
+Lemma lnormE p (f : R^nat) : (0 < p)%R -> 'N_p%:E [f] = (\sum_(k <oo) (`| f k | `^ p)%:E) `^ p^-1.
+Proof.
+move=> p0 /=; rewrite gt_eqF// ge0_integral_count// => k.
+by rewrite lee_fin powR_ge0.
+Qed.
+
+End lnorm.
+
 Section hoelder.
 Context d {T : measurableType d} {R : realType}.
 Variable mu : {measure set T -> \bar R}.
@@ -230,3 +244,112 @@ by rewrite 2!mule1 -EFinD pq.
 Qed.
 
 End hoelder.
+
+Section hoelder2.
+Context (R : realType).
+Local Open Scope ring_scope.
+
+Lemma hoelder2 (a1 a2 b1 b2 : R) (p q : R) : 0 <= a1 -> 0 <= a2 -> 0 <= b1 -> 0 <= b2 ->
+  0 < p -> 0 < q -> p^-1 + q^-1 = 1 ->
+  a1 * b1 + a2 * b2 <= (a1`^p + a2`^p) `^ (p^-1) * (b1`^q + b2`^q)`^(q^-1).
+Proof.
+move=> a10 a20 b10 b20 p0 q0 pq.
+pose f := fun a b n => match n with 0%nat => a | 1%nat => b | _ => 0:R end.
+have mf a b : measurable_fun setT (f a b). done.
+have := @hoelder _ _ _ counting (f a1 a2) (f b1 b2) p q (mf a1 a2) (mf b1 b2) p0 q0 pq.
+rewrite !lnormE//.
+rewrite (nneseries_split 2); last by move=> k; rewrite lee_fin powR_ge0.
+rewrite ereal_series_cond eseries0 ?adde0; last first.
+  by move=> [//|] [//|n _]; rewrite /f /= mulr0 normr0 powR0.
+rewrite 2!big_ord_recr /= big_ord0 add0e powRr1 ?normr_ge0// powRr1 ?normr_ge0//.
+rewrite (nneseries_split 2); last by move=> k; rewrite lee_fin powR_ge0.
+rewrite ereal_series_cond eseries0 ?adde0; last
+  by move=> [//|] [//|n _]; rewrite /f /= normr0 powR0// gt_eqF.
+rewrite 2!big_ord_recr /= big_ord0 add0e -EFinD poweR_EFin.
+rewrite (nneseries_split 2); last by move=> k; rewrite lee_fin powR_ge0.
+rewrite ereal_series_cond eseries0 ?adde0; last
+  by move=> [//|] [//|n _]; rewrite /f /= normr0 powR0// gt_eqF.
+rewrite 2!big_ord_recr /= big_ord0 add0e -EFinD poweR_EFin.
+rewrite -EFinM invr1 powRr1; last by rewrite addr_ge0.
+rewrite lee_fin.
+do 2 (rewrite ger0_norm; last by rewrite mulr_ge0).
+by do 4 (rewrite ger0_norm; last by []).
+Qed.
+
+End hoelder2.
+
+Section convex_powR.
+Context (R : realType).
+Local Open Scope ring_scope.
+
+Lemma lerBr (x y : R) : (0 <= y -> x - y <= x)%R.
+Proof.
+by move=> x0; rewrite lerBlDl ler_addr.
+Qed.
+
+Lemma convex_powR p : 1 <= p ->
+  convex_function `[0, +oo[%classic (@powR R ^~ p).
+Proof.
+move=> p1 t x y.
+rewrite !inE /= !in_itv /= !andbT=> x_ge0 y_ge0.
+pose w1 := `1-(t%:inum).
+pose w2 := t%:inum.
+suff: (w1 *: (x : R^o) + w2 *: (y : R^o)) `^ p<=
+       (w1 *: (x `^ p : R^o) + w2 *: (y `^ p : R^o)) by [].
+have [->|w10] := eqVneq w1 0.
+  rewrite scale0r add0r scale0r add0r.
+  have [->|w20] := eqVneq w2 0.
+    by rewrite !scale0r powR0// gt_eqF ?(lt_le_trans _ p1).
+  by rewrite ge1r_powRZ// /w2 lt_neqAle eq_sym w20 andTb; apply/andP.
+have [->|w20] := eqVneq w2 0.
+  rewrite scale0r addr0 scale0r addr0.
+  by rewrite ge1r_powRZ// ?onem_le1// andbT lt_neqAle eq_sym onem_ge0// andbT.
+have [->|pn1] := eqVneq p 1.
+  rewrite !powRr1// addr_ge0// mulr_ge0 /w1 /w2//onem_ge0//.
+pose q := p / (p - 1).
+have q1 : 1 <= q by rewrite /q ler_pdivl_mulr// ?mul1r ?lerBr// subr_gt0 lt_neqAle eq_sym pn1.
+rewrite -(@powRr1 _ (w1 *: (x `^ p : R^o) + w2 *: (y `^ p : R^o))); last first.
+  by rewrite addr_ge0// mulr_ge0// ?powR_ge0// /w2 ?onem_ge0// ?itv_ge0.
+have -> : 1 = p^-1 * p by rewrite mulVf// lt0r_neq0// (lt_le_trans _ p1).
+rewrite powRrM gt0_ler_powR//.
+- by rewrite (le_trans _ p1).
+- by rewrite in_itv/= andbT addr_ge0// mulr_ge0/w2/w1 ?onem_ge0.
+- by rewrite in_itv/= andbT powR_ge0.
+have -> : (w1 *: (x : R^o) + w2 *: (y : R^o) =
+    w1 `^ (p^-1) * w1 `^ (q^-1) *: (x : R^o) +
+    w2 `^ (p^-1) * w2 `^ (q^-1) *: (y : R^o))%R.
+  rewrite -!powRD; [|exact/implyP..].
+  have -> : p^-1 + q^-1 = 1.
+    rewrite /q invf_div -{1}(mul1r (p^-1)) -mulrDl (addrC p) addrA subrr add0r mulfV//.
+    by rewrite lt0r_neq0// (lt_le_trans _ p1).
+  by rewrite /w2 !powRr1// onem_ge0.
+apply: (@le_trans _ _ ((w1 *: (x `^ p : R^o) + w2 *: (y `^ p : R^o)) `^ (p^-1) * (w1+w2) `^ (q^-1)))%R.
+  pose a1 := w1 `^ (p^-1) * x.
+  pose a2 := w2 `^ (p^-1) * y.
+  pose b1 := w1 `^ (q^-1).
+  pose b2 := w2 `^ (q^-1).
+  have : a1 * b1 + a2 * b2 <= (a1 `^ p + a2 `^ p)`^(p^-1) * (b1 `^ q + b2 `^ q)`^(q^-1).
+    apply: hoelder2 => //.
+    - by rewrite /a1 mulr_ge0// powR_ge0.
+    - by rewrite /a2 mulr_ge0// powR_ge0.
+    - by rewrite /b1 powR_ge0.
+    - by rewrite /b2 powR_ge0.
+    - by rewrite (lt_le_trans _ p1).
+    - by rewrite (lt_le_trans _ q1).
+    - rewrite /q invf_div -{1}div1r -mulrDl addrC -addrA (addrC _ 1) subrr addr0 divff// gt_eqF//.
+      by rewrite (lt_le_trans _ p1)// orbT.
+  rewrite /a1/a2/b1/b2.
+  rewrite powRM ?powR_ge0// -powRrM mulVf; last by rewrite gt_eqF// (lt_le_trans _ p1).
+  rewrite powRr1 ?onem_ge0//.
+  rewrite powRM ?powR_ge0// -powRrM mulVf; last by rewrite gt_eqF// (lt_le_trans _ p1).
+  rewrite powRr1; last by rewrite /w2.
+  rewrite -(@powRrM _ _ _ q) mulVf ?powRr1 ?onem_ge0//; last first.
+    by rewrite gt_eqF// (lt_le_trans _ q1).
+  rewrite -(@powRrM _ _ _ q) mulVf ?powRr1 ?onem_ge0 /w2//; last first.
+    by rewrite gt_eqF// (lt_le_trans _ q1).
+  by rewrite mulrAC (mulrAC _ y) => /le_trans; exact.
+rewrite le_eqVlt; apply/orP; left; apply/eqP.
+by rewrite {2}/w1 {2}/w2 subrK powR1 mulr1.
+Qed.
+
+End convex_powR.
diff --git a/theories/lebesgue_integral.v b/theories/lebesgue_integral.v
@@ -3950,6 +3950,17 @@ rewrite (@integral_measure_series _ _ R (fun n => [the measure _ _ of \d_ n]) se
 - by apply: summable_integral_dirac => //; exact: summable_funepos.
 Qed.
 
+Lemma ge0_integral_count (a : nat -> \bar R) : (forall k, 0 <= a k) ->
+  \int[counting]_t (a t) = \sum_(k <oo) (a k).
+Proof.
+move=> sa.
+transitivity (\int[mseries (fun n => [the measure _ _ of \d_ n]) O]_t a t).
+  congr (integral _ _ _); apply/funext => A.
+  by rewrite /= counting_dirac.
+rewrite (@ge0_integral_measure_series _ _ R (fun n => [the measure _ _ of \d_ n]) setT)//=.
+by apply: eq_eseriesr=> i _; rewrite integral_dirac//= indicE mem_set// mul1e.
+Qed.
+
 End integral_counting.
 
 Section subadditive_countable.