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import OAI.Probability.MatroidProphet.Main
import Mathlib.MeasureTheory.Integral.Prod
namespace OAI
/-! One-sample simulation for an arbitrary measurable complete seed. -/
namespace MatroidProphet.General
open MeasureTheory ProbabilityTheory
variable {n : ℕ} {R : Type*} [MeasurableSpace R]
lemma measurable_mask_membership :
MeasurableSet {x : Finset (Fin n) × Fin n | x.2 ∈ x.1} :=
(Set.toFinite _).measurableSet
lemma measurable_observed (A : HiddenRule n R) :
Measurable (fun x : R × Weights n => observed A x.1 x.2) := by
classical
apply Measurable.of_eval
intro e
have hm : MeasurableSet {x : R × Weights n | e ∈ A.mask x.1} :=
(measurableSet_mem_finset e).preimage (A.measurable_mask.comp measurable_fst)
exact Measurable.ite hm ((measurable_pi_apply e).comp measurable_snd) measurable_const
lemma measurable_simulationHistory (A : HiddenRule n R) (k : Fin n) :
Measurable (fun x : R × (Weights n × History n k) =>
simulationHistory A x.1 x.2.1 x.2.2) := by
classical
apply Measurable.of_eval
intro j
have hh : Measurable (fun x : R × (Weights n × History n k) => x.2.2 j) :=
(measurable_pi_apply j).comp (measurable_snd.comp measurable_snd)
have hm : MeasurableSet {x : R × (Weights n × History n k) |
(x.2.2 j).1 ∈ A.mask x.1} :=
measurable_mask_membership.preimage
((A.measurable_mask.comp measurable_fst).prodMk (measurable_fst.comp hh))
exact (measurable_fst.comp hh).prodMk (Measurable.ite hm
(MatroidProphet.measurable_weight_eval.comp
((measurable_fst.comp measurable_snd).prodMk (measurable_fst.comp hh)))
(measurable_snd.comp hh))
lemma measurable_simulationDecision (A : HiddenRule n R) (k : Fin n) :
Measurable (fun x : R × (Weights n × History n k) =>
simulationDecision A k x.1 x.2.1 x.2.2) := by
classical
have hc : Measurable (fun x : R × (Weights n × History n k) =>
(x.2.2 ⟨k.val, Nat.lt_succ_self _⟩).1) :=
measurable_fst.comp ((measurable_pi_apply
(⟨k.val, Nat.lt_succ_self _⟩ : Fin (k.val + 1))).comp
(measurable_snd.comp measurable_snd))
have hm : MeasurableSet {x : R × (Weights n × History n k) |
(x.2.2 ⟨k.val, Nat.lt_succ_self _⟩).1 ∈ A.mask x.1} :=
measurable_mask_membership.preimage
((A.measurable_mask.comp measurable_fst).prodMk hc)
exact Measurable.ite hm measurable_const
((A.core.measurable_decide k).comp (measurable_fst.prodMk
(((measurable_observed A).comp
(measurable_fst.prodMk (measurable_fst.comp measurable_snd))).prodMk
(measurable_simulationHistory A k))))
noncomputable def sampleSimulation (A : HiddenRule n R) : OnlineRule n R where
decide := simulationDecision A
measurable_decide := measurable_simulationDecision A
lemma observed_glue (A : HiddenRule n R) (r : R) (s v : Weights n) :
observed A r (glue (A.mask r) s v) = observed A r s := by
classical
funext e
by_cases he : e ∈ A.mask r <;> simp [observed, glue, he]
lemma simulationHistory_eq (A : HiddenRule n R) (r : R)
(s v : Weights n) (π : ArrivalOrder n) (k : Fin n) :
simulationHistory A r s (history v π k) = history (glue (A.mask r) s v) π k := rfl
theorem sampleSimulation_acceptedThrough (A : HiddenRule n R) (r : R)
(s v : Weights n) (π : ArrivalOrder n) (t : ℕ) :
acceptedThrough (sampleSimulation A) r s v π t =
hiddenAcceptedThrough A r (glue (A.mask r) s v) π t := by
classical
ext e
by_cases he : e ∈ A.mask r <;>
simp [acceptedThrough, hiddenAcceptedThrough, decisionAt, sampleSimulation,
simulationDecision, history, prefixIndex, simulationHistory_eq, observed_glue, he]
theorem sampleSimulation_reward (A : HiddenRule n R) (r : R)
(s v : Weights n) (π : ArrivalOrder n) :
reward (sampleSimulation A) r s v π = hiddenReward A r (glue (A.mask r) s v) π := by
classical
unfold reward hiddenReward
rw [sampleSimulation_acceptedThrough]
apply Finset.sum_congr rfl
intro e he
have he' : e ∉ A.mask r := (Finset.mem_sdiff.mp he).2
simp [glue, he']
theorem sampleSimulation_feasible (M : Matroid (Fin n)) (A : HiddenRule n R)
(hA : HiddenFeasible M A) : Feasible M (sampleSimulation A) := by
intro r s v π t hs hv
rw [sampleSimulation_acceptedThrough]
apply hA
intro e
classical
by_cases he : e ∈ A.mask r
· simpa [glue, he] using hs e
· simpa [glue, he] using hv e
lemma reward_nonneg (A : OnlineRule n R) (r : R) (s v : Weights n)
(π : ArrivalOrder n) (hv : ∀ e, 0 ≤ v e) : 0 ≤ reward A r s v π :=
Finset.sum_nonneg fun e _ => hv e
lemma reward_le_optimum (M : Matroid (Fin n)) (A : OnlineRule n R)
(hA : Feasible M A) (r : R) (s v : Weights n) (π : ArrivalOrder n)
(hs : ∀ e, 0 ≤ s e) (hv : ∀ e, 0 ≤ v e) :
reward A r s v π ≤ optimum M v :=
sum_le_optimum M v _ (hA r s v π n hs hv)
lemma hiddenWorstReward_le (A : HiddenRule n R) (w : Weights n)
(r : R) (π : ArrivalOrder n) :
hiddenWorstReward A w r ≤ hiddenReward A r w π := by
classical
exact Finset.inf'_le (hiddenReward A r w) (Finset.mem_univ π)
lemma hiddenWorstReward_nonneg (A : HiddenRule n R) (w : Weights n)
(hw : ∀ e, 0 ≤ w e) (r : R) : 0 ≤ hiddenWorstReward A w r := by
classical
apply Finset.le_inf'
intro π _
exact Finset.sum_nonneg fun e _ => hw e
lemma hiddenWorstReward_le_optimum (M : Matroid (Fin n)) (A : HiddenRule n R)
(hA : HiddenFeasible M A) (w : Weights n) (hw : ∀ e, 0 ≤ w e) (r : R) :
hiddenWorstReward A w r ≤ optimum M w := by
apply (hiddenWorstReward_le A w r (Equiv.refl _)).trans
exact sum_le_optimum M w _ (hA w hw r (Equiv.refl _) n)
lemma measurable_decisionAt {n : ℕ} {R : Type*} [MeasurableSpace R] (A : OnlineRule n R)
(π : ArrivalOrder n) (k : Fin n) :
Measurable (fun x : R × (Weights n × Weights n) =>
decisionAt A x.1 x.2.1 x.2.2 π k) :=
(A.measurable_decide k).comp
(measurable_fst.prodMk ((measurable_fst.comp measurable_snd).prodMk
((measurable_history π k).comp (measurable_snd.comp measurable_snd))))
lemma reward_eq_sum {n : ℕ} {R : Type*} [MeasurableSpace R] (A : OnlineRule n R) (r : R)
(s v : Weights n) (π : ArrivalOrder n) :
reward A r s v π =
∑ e : Fin n, if decisionAt A r s v π (π.symm e) = true then v e else 0 := by
classical
unfold reward acceptedThrough
rw [Finset.sum_filter]
apply Finset.sum_congr rfl
intro e _
simp only [(π.symm e).isLt, true_and]
lemma measurable_reward_fixed_order {n : ℕ} {R : Type*} [MeasurableSpace R] (A : OnlineRule n R)
(π : ArrivalOrder n) :
Measurable (fun x : R × (Weights n × Weights n) =>
reward A x.1 x.2.1 x.2.2 π) := by
classical
simp_rw [reward_eq_sum]
apply Finset.measurable_sum
intro e _
have hd := measurable_decisionAt A π (π.symm e)
have ht : MeasurableSet {x : R × (Weights n × Weights n) |
decisionAt A x.1 x.2.1 x.2.2 π (π.symm e) = true} :=
hd (measurableSet_singleton true)
exact Measurable.ite ht
((measurable_pi_apply e).comp (measurable_snd.comp measurable_snd)) measurable_const
/-- The realized reward remains measurable for arbitrary measurable adversarial permutations. -/
theorem measurable_reward {n : ℕ} {R : Type*} [MeasurableSpace R] (A : OnlineRule n R) :
Measurable (fun x : ArrivalOrder n × (R × (Weights n × Weights n)) =>
reward A x.2.1 x.2.2.1 x.2.2.2 x.1) :=
measurable_from_prod_countable_right (measurable_reward_fixed_order A)
@[simp] lemma glue_self (mask : Finset (Fin n)) (w : Weights n) :
glue mask w w = w := by
classical
funext e
simp [glue]
lemma measurable_hiddenReward {n : ℕ} {R : Type*} [MeasurableSpace R] (A : HiddenRule n R) (π : ArrivalOrder n) :
Measurable (fun x : R × Weights n => hiddenReward A x.1 x.2 π) := by
have hm := (measurable_reward_fixed_order (sampleSimulation A) π).comp
(measurable_fst.prodMk (measurable_snd.prodMk measurable_snd))
simpa only [Function.comp_def, sampleSimulation_reward, glue_self] using hm
lemma measurable_hiddenWorstReward {n : ℕ} {R : Type*} [MeasurableSpace R] (A : HiddenRule n R) :
Measurable (fun x : R × Weights n => hiddenWorstReward A x.2 x.1) := by
classical
have hm : Measurable ((Finset.univ : Finset (ArrivalOrder n)).inf'
Finset.univ_nonempty (fun π (x : R × Weights n) => hiddenReward A x.1 x.2 π)) :=
Finset.inf'_induction Finset.univ_nonempty _
(fun _ hf _ hg => hf.inf hg) (fun π _ => measurable_hiddenReward A π)
convert hm using 1
ext x
simp only [hiddenWorstReward, Finset.inf'_apply]
lemma measurable_glue (mask : Finset (Fin n)) :
Measurable (fun x : Weights n × Weights n => glue mask x.1 x.2) :=
MatroidProphet.measurable_glue mask
lemma measurable_glue_seed (mask : R → Finset (Fin n)) (hmask : Measurable mask) :
Measurable (fun x : R × (Weights n × Weights n) => glue (mask x.1) x.2.1 x.2.2) := by
have h : Measurable (fun x : Finset (Fin n) × (Weights n × Weights n) =>
glue x.1 x.2.1 x.2.2) :=
measurable_from_prod_countable_right measurable_glue
exact h.comp ((hmask.comp measurable_fst).prodMk measurable_snd)
theorem glue_fixed_law {Ω : Type*} [MeasurableSpace Ω] (μ : Measure Ω)
(S V : Ω → Weights n) (hS : Measurable S) (hV : Measurable V)
(hi : iIndepFun (pairedCoordinates S V) μ)
(hlaw : ∀ e, μ.map (fun ω => S ω e) = μ.map (fun ω => V ω e))
(mask : Finset (Fin n)) :
μ.map (fun ω => glue mask (S ω) (V ω)) = μ.map V :=
MatroidProphet.glue_fixed_law μ S V hS hV hi hlaw mask
/-- Joint gluing law with an arbitrary measurable complete seed; in particular,
the observation mask may depend on all of that seed. -/
theorem glue_seed_joint_law {Ω : Type*} [MeasurableSpace Ω]
(μ : Measure Ω) [IsProbabilityMeasure μ]
(ν : Measure R) [IsProbabilityMeasure ν]
(S V : Ω → Weights n) (seed : Ω → R)
(hS : Measurable S) (hV : Measurable V) (hseedM : Measurable seed)
(hi : iIndepFun (pairedCoordinates S V) μ)
(hlaw : ∀ e, μ.map (fun ω => S ω e) = μ.map (fun ω => V ω e))
(hseed : IndepFun (fun ω => (S ω, V ω)) seed μ)
(hseedLaw : μ.map seed = ν) (mask : R → Finset (Fin n)) (hmask : Measurable mask) :
MeasurePreserving (fun ω => (seed ω, glue (mask (seed ω)) (S ω) (V ω)))
μ (ν.prod (μ.map V)) := by
have hfiber (r : R) :
(μ.map (fun ω => (S ω, V ω))).map (fun d => glue (mask r) d.1 d.2) = μ.map V := by
rw [Measure.map_map (measurable_glue (mask r)) (hS.prodMk hV)]
exact glue_fixed_law μ S V hS hV hi hlaw (mask r)
have hstart : MeasurePreserving (fun ω => (seed ω, (S ω, V ω))) μ
(ν.prod (μ.map (fun ω => (S ω, V ω)))) := by
refine ⟨hseedM.prodMk (hS.prodMk hV), ?_⟩
rw [hseed.symm.map_prod_eq_prod_map_map hseedM.aemeasurable
(hS.prodMk hV).aemeasurable, hseedLaw]
have hend := (MeasurePreserving.id ν).skew_product
(g := fun (r : R) (d : Weights n × Weights n) => glue (mask r) d.1 d.2)
(measurable_glue_seed mask hmask) (ae_of_all _ hfiber)
exact hend.comp hstart
/-- Nonnegativity of a finite vector is a Borel condition. -/
lemma measurableSet_nonnegative (n : ℕ) :
MeasurableSet {w : Weights n | ∀ e, 0 ≤ w e} := by
simp only [Set.ofPred_forall]
exact MeasurableSet.iInter fun e => measurableSet_le measurable_const (measurable_pi_apply e)
lemma integrable_hidden_product {n : ℕ} {Ξ : Type*} [MeasurableSpace Ξ] (M : Matroid (Fin n)) (A : HiddenRule n Ξ)
(ν : Measure (Ξ)) [IsProbabilityMeasure ν] (ρ : Measure (Weights n)) [SFinite ρ]
(hA : ∀ (w : Weights n), (∀ e, 0 ≤ w e) →
∀ (r : Ξ) (π : ArrivalOrder n) (t : ℕ),
M.Indep (hiddenAcceptedThrough A r w π t : Set (Fin n)))
(hNN : ∀ᵐ w ∂ρ, ∀ e, 0 ≤ w e) (hopt : Integrable (optimum M) ρ) :
Integrable (fun x : Ξ × Weights n => hiddenWorstReward A x.2 x.1)
(ν.prod ρ) := by
apply (hopt.comp_snd ν).mono' (measurable_hiddenWorstReward A).aestronglyMeasurable
filter_upwards [(Measure.quasiMeasurePreserving_snd (μ := ν) (ν := ρ)).ae hNN] with x hx
rw [Real.norm_eq_abs, abs_of_nonneg (hiddenWorstReward_nonneg A x.2 hx x.1)]
exact hiddenWorstReward_le_optimum M A hA x.2 hx x.1
lemma hidden_product_integral_bound {n : ℕ} {Ξ : Type*} [MeasurableSpace Ξ] (M : Matroid (Fin n))
(A : HiddenRule n Ξ) (ν : Measure (Ξ)) [IsProbabilityMeasure ν]
(ρ : Measure (Weights n)) [IsProbabilityMeasure ρ] (c : ℝ)
(hA : ∀ (w : Weights n), (∀ e, 0 ≤ w e) →
∀ (r : Ξ) (π : ArrivalOrder n) (t : ℕ),
M.Indep (hiddenAcceptedThrough A r w π t : Set (Fin n)))
(hNN : ∀ᵐ w ∂ρ, ∀ e, 0 ≤ w e) (hopt : Integrable (optimum M) ρ)
(hbound : ∀ (w : Weights n), (∀ e, 0 ≤ w e) →
c * optimum M w ≤ ∫ r, hiddenWorstReward A w r ∂ν) :
c * (∫ w, optimum M w ∂ρ) ≤
∫ x : Ξ × Weights n, hiddenWorstReward A x.2 x.1 ∂ν.prod ρ := by
have hip := integrable_hidden_product M A ν ρ hA hNN hopt
rw [← integral_const_mul]
calc
_ ≤ ∫ w, ∫ r, hiddenWorstReward A w r ∂ν ∂ρ := by
apply integral_mono_ae (hopt.const_mul c) hip.integral_prod_right
filter_upwards [hNN] with w hw
exact hbound w hw
_ = _ := (integral_prod_symm _ hip).symm
lemma integrable_feasible_reward {n : ℕ} {Ξ : Type*} [MeasurableSpace Ξ] (M : Matroid (Fin n))
(A : OnlineRule n Ξ) (hA : Feasible M A)
{Ω : Type*} [MeasurableSpace Ω] (μ : Measure Ω)
(S V : Ω → Weights n) (R : Ω → Ξ) (π : Ω → ArrivalOrder n)
(hS : Measurable S) (hV : Measurable V) (hR : Measurable R) (hπ : Measurable π)
(hSN : ∀ᵐ ω ∂μ, ∀ e, 0 ≤ S ω e) (hVN : ∀ᵐ ω ∂μ, ∀ e, 0 ≤ V ω e)
(hopt : Integrable (fun ω => optimum M (V ω)) μ) :
Integrable (fun ω => reward A (R ω) (S ω) (V ω) (π ω)) μ := by
have hrm := (measurable_reward A).comp (hπ.prodMk (hR.prodMk (hS.prodMk hV)))
apply hopt.mono' hrm.aestronglyMeasurable
filter_upwards [hSN, hVN] with ω hs hv
change ‖reward A (R ω) (S ω) (V ω) (π ω)‖ ≤ optimum M (V ω)
rw [Real.norm_eq_abs, abs_of_nonneg (reward_nonneg A (R ω) (S ω) (V ω) (π ω) hv)]
exact reward_le_optimum M A hA (R ω) (S ω) (V ω) (π ω) hs hv
/-- The full one-sample integration step preserves the expected minimum over all orders. -/
theorem oneSample_of_hidden {n : ℕ} {Ξ : Type*} [MeasurableSpace Ξ] (M : Matroid (Fin n)) (A : HiddenRule n Ξ)
(ν : Measure (Ξ)) [IsProbabilityMeasure ν] (c : ℝ)
(hA : ∀ (w : Weights n), (∀ e, 0 ≤ w e) →
∀ (r : Ξ) (π : ArrivalOrder n) (t : ℕ),
M.Indep (hiddenAcceptedThrough A r w π t : Set (Fin n)))
(hbound : ∀ (w : Weights n), (∀ e, 0 ≤ w e) →
c * optimum M w ≤ ∫ r, hiddenWorstReward A w r ∂ν)
{Ω : Type*} [MeasurableSpace Ω] (μ : Measure Ω) [IsProbabilityMeasure μ]
(S V : Ω → Weights n) (R : Ω → Ξ)
(hS : Measurable S) (hV : Measurable V) (hR : Measurable R)
(hSN : ∀ᵐ ω ∂μ, ∀ e, 0 ≤ S ω e) (hVN : ∀ᵐ ω ∂μ, ∀ e, 0 ≤ V ω e)
(hi : iIndepFun (pairedCoordinates S V) μ)
(hlaw : ∀ e, μ.map (fun ω => S ω e) = μ.map (fun ω => V ω e))
(hseed : IndepFun (fun ω => (S ω, V ω)) R μ)
(hRlaw : μ.map R = ν)
(hopt : Integrable (fun ω => optimum M (V ω)) μ)
(π : Ω → ArrivalOrder n) (hπ : Measurable π) :
Integrable (fun ω => reward (sampleSimulation A) (R ω) (S ω) (V ω) (π ω)) μ ∧
c * (∫ ω, optimum M (V ω) ∂μ) ≤
∫ ω, reward (sampleSimulation A) (R ω) (S ω) (V ω) (π ω) ∂μ := by
have hj := glue_seed_joint_law μ ν S V R hS hV hR hi hlaw hseed hRlaw A.mask A.measurable_mask
have hoptLaw : Integrable (optimum M) (μ.map V) :=
(integrable_map_measure (measurable_optimum M).aestronglyMeasurable hV.aemeasurable).2 hopt
have hNNLaw : ∀ᵐ w ∂μ.map V, ∀ e, 0 ≤ w e :=
(ae_map_iff hV.aemeasurable (measurableSet_nonnegative n)).2 hVN
have hip := integrable_hidden_product M A ν (μ.map V) hA hNNLaw hoptLaw
have him := hj.integrable_comp_of_integrable hip
have hri := integrable_feasible_reward M (sampleSimulation A)
(sampleSimulation_feasible M A hA) μ S V R π hS hV hR hπ hSN hVN hopt
have hb := hidden_product_integral_bound M A ν (μ.map V) c hA hNNLaw hoptLaw hbound
have hoptEq := integral_map_of_stronglyMeasurable (μ := μ) hV
(measurable_optimum M).stronglyMeasurable
have hminEq := integral_map_of_stronglyMeasurable (μ := μ) hj.measurable
(measurable_hiddenWorstReward A).stronglyMeasurable
rw [hj.map_eq] at hminEq
rw [hoptEq, hminEq] at hb
refine ⟨hri, hb.trans (integral_mono_ae him hri (ae_of_all _ ?_))⟩
intro ω
change hiddenWorstReward A (glue (A.mask (R ω)) (S ω) (V ω)) (R ω) ≤
reward (sampleSimulation A) (R ω) (S ω) (V ω) (π ω)
rw [sampleSimulation_reward]
exact hiddenWorstReward_le A _ (R ω) (π ω)
/-- The manuscript's simulation lemma without any finite-seed restriction. -/
theorem simulation_contract.{u, v} : SimulationContract.{u, v} := by
intro n R mR M A ν hν c hA hbound
let := hν
refine ⟨sampleSimulation A, ?_, sampleSimulation_feasible M A hA,
sampleSimulation_acceptedThrough A, sampleSimulation_reward A, ?_⟩
· intro k r s h
rfl
· intro Ω mΩ μ hμ S V seed hS hV hseedM hSN hVN hi hlaw hseed hseedLaw hopt π hπ
exact ⟨glue_seed_joint_law μ ν S V seed hS hV hseedM hi hlaw hseed hseedLaw
A.mask A.measurable_mask,
oneSample_of_hidden M A ν c hA hbound μ S V seed hS hV hseedM hSN hVN
hi hlaw hseed hseedLaw hopt π hπ⟩
/-- The concrete finite-seed information model is a special case, with exactly
the same decisions rather than an unrelated replacement rule. -/
def OnlineRule.ofFinite {bits : ℕ} (A : MatroidProphet.OnlineRule n bits) :
OnlineRule n (Seed bits) where
decide := A.decide
measurable_decide := A.measurable_decide
def HiddenRule.ofFinite {bits : ℕ} (A : MatroidProphet.HiddenRule n bits) :
HiddenRule n (Seed bits) where
mask := A.mask
measurable_mask := measurable_of_countable A.mask
core := OnlineRule.ofFinite A.core
@[simp] lemma acceptedThrough_ofFinite {bits : ℕ}
(A : MatroidProphet.OnlineRule n bits) (r : Seed bits) (s v : Weights n)
(π : ArrivalOrder n) (t : ℕ) :
acceptedThrough (OnlineRule.ofFinite A) r s v π t =
MatroidProphet.acceptedThrough A r s v π t := rfl
@[simp] lemma hiddenAcceptedThrough_ofFinite {bits : ℕ}
(A : MatroidProphet.HiddenRule n bits) (r : Seed bits) (w : Weights n)
(π : ArrivalOrder n) (t : ℕ) :
hiddenAcceptedThrough (HiddenRule.ofFinite A) r w π t =
MatroidProphet.hiddenAcceptedThrough A r w π t := rfl
@[simp] lemma hiddenWorstReward_ofFinite {bits : ℕ}
(A : MatroidProphet.HiddenRule n bits) (w : Weights n) (r : Seed bits) :
hiddenWorstReward (HiddenRule.ofFinite A) w r = MatroidProphet.hiddenWorstReward A w r := rfl
end MatroidProphet.General
end OAI
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