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| import OAI.Probability.GaussianReplacement.KernelVolume | |
| namespace OAI | |
| open MeasureTheory ProbabilityTheory Set Filter | |
| open scoped ENNReal NNReal RealInnerProductSpace Topology | |
| noncomputable section | |
| namespace CurrentProjection | |
| open InnerProductSpace | |
| open InformationTheory | |
| lemma compProd_withDensity_fst {A B : Type*} [MeasurableSpace A] [MeasurableSpace B] | |
| (μ : Measure A) [IsProbabilityMeasure μ] (κ : Kernel A B) [IsMarkovKernel κ] | |
| (w : A×B → ℝ≥0∞) (hw : Measurable w) | |
| (h1 : ∀ᵐ a ∂μ, ∫⁻ b, w (a,b) ∂κ a = 1) : | |
| ((μ ⊗ₘ κ).withDensity w).fst = μ := by | |
| ext s hs | |
| rw [Measure.fst_apply hs, withDensity_apply _ (hs.preimage measurable_fst), | |
| ←lintegral_indicator (hs.preimage measurable_fst), | |
| Measure.lintegral_compProd (hw.indicator (hs.preimage measurable_fst))] | |
| calc | |
| _ = ∫⁻ a, s.indicator (fun _ => (1:ℝ≥0∞)) a ∂μ := by | |
| apply lintegral_congr_ae | |
| filter_upwards [h1] with a ha | |
| by_cases has : a ∈ s | |
| · simpa only [Set.indicator_of_mem has, Set.mem_preimage, has, | |
| Set.indicator_of_mem] using ha | |
| · simp [Set.indicator_of_notMem, has] | |
| _ = μ s := by simp [lintegral_indicator hs] | |
| section KernelTilt | |
| variable {E : Type*} [NormedAddCommGroup E] [innerProductSpaceRealE : InnerProductSpace ℝ E] | |
| [finiteDimensionalRealE : FiniteDimensional ℝ E] [MeasurableSpace E] [BorelSpace E] [nontrivialE : Nontrivial E] | |
| def reciprocalKernelScale {r : ℕ} (κ : Kernel (Fin r → E) E) (s : E) | |
| (A : Fin r → E) : ℝ≥0∞ := ∫⁻ t, ENNReal.ofReal (‖t-s‖⁻¹) ∂κ A | |
| omit innerProductSpaceRealE finiteDimensionalRealE nontrivialE in | |
| lemma measurable_reciprocalKernelScale {r : ℕ} (κ : Kernel (Fin r → E) E) | |
| [IsMarkovKernel κ] (s : E) : Measurable (reciprocalKernelScale κ s) := by | |
| exact (show Measurable (fun t : E => ENNReal.ofReal (‖t-s‖⁻¹)) by fun_prop).lintegral_kernel | |
| lemma reciprocal_kernel_projection_moment {r q : ℕ} | |
| (hr : r ≤ Module.finrank ℝ E) (hd : Module.finrank ℝ E ≤ 8*r) | |
| (hq : 2*q ≤ r) (hmargin : 2 ≤ r-q) | |
| (κ : Kernel (Fin r → E) E) [IsMarkovKernel κ] (s : E) | |
| (hscale : ∀ᵐ A ∂Measure.pi (fun _ : Fin r => stdGaussian E), | |
| reciprocalKernelScale κ s A ≠ 0 ∧ reciprocalKernelScale κ s A ≠ ∞) | |
| (hsupport : ∀ᵐ z ∂(Measure.pi (fun _ : Fin r => stdGaussian E)) ⊗ₘ κ, | |
| z.2-s ≠ 0 ∧ z.2-s ∈ (rowSpan z.1)ᗮ) | |
| (φ : ℝ → ℝ≥0∞) (hφ : Measurable φ) (hφ1 : ∫⁻ t, φ t = 1) : | |
| ∫⁻ x, (∫⁻ A, (∫⁻ t, φ ⟪t-s,x⟫ ∂κ A) / reciprocalKernelScale κ s A | |
| ∂Measure.pi (fun _ : Fin r => stdGaussian E))^q ∂stdGaussian E ≤ | |
| ENNReal.ofReal (5*kernelSmallBallConstant)^q := by | |
| let γ := Measure.pi (fun _ : Fin r => stdGaussian E) | |
| let P := γ ⊗ₘ κ | |
| let a := reciprocalKernelScale κ s | |
| let w : (Fin r → E)×E → ℝ≥0∞ := fun z => ENNReal.ofReal (‖z.2-s‖⁻¹) / a z.1 | |
| have ha : Measurable a := measurable_reciprocalKernelScale κ s | |
| have hw : Measurable w := by dsimp [w]; fun_prop | |
| have hmass : ∀ᵐ A ∂γ, ∫⁻ t, w (A,t) ∂κ A = 1 := by | |
| filter_upwards [hscale] with A hA | |
| dsimp [w] | |
| simp_rw [div_eq_mul_inv] | |
| rw [lintegral_mul_const _ (by fun_prop)] | |
| exact ENNReal.div_self hA.1 hA.2 | |
| let P' := P.withDensity w | |
| have hfst : P'.fst = γ := compProd_withDensity_fst γ κ w hw hmass | |
| have : IsProbabilityMeasure P' := by | |
| have hp : IsProbabilityMeasure P'.fst := hfst ▸ inferInstance | |
| have : IsProbabilityMeasure (P'.map Prod.fst) := hp | |
| exact Measure.isProbabilityMeasure_of_map (μ:=P') measurable_fst.aemeasurable | |
| let D : (Fin r → E)×E → (Fin r → E)×E := fun z => (z.1,z.2-s) | |
| have hD : Measurable D := by dsimp [D]; fun_prop | |
| let Q := P'.map D | |
| have : IsProbabilityMeasure Q := inferInstance | |
| have hQfst : Q.fst = γ := by | |
| change (P'.map D).map Prod.fst = _ | |
| rw [Measure.map_map measurable_fst hD] | |
| exact hfst | |
| have hQsup : ∀ᵐ z ∂Q, z.2 ≠ 0 ∧ z.2 ∈ (rowSpan z.1)ᗮ := by | |
| have hm : MeasurableSet {z : (Fin r → E)×E | | |
| z.2 ≠ 0 ∧ z.2 ∈ (rowSpan z.1)ᗮ} := by | |
| have he : {z : (Fin r → E)×E | z.2 ∈ (rowSpan z.1)ᗮ} = | |
| {z | rowProjectionL z.1 z.2 = 0} := by | |
| ext z | |
| simp only [Set.mem_ofPred_eq, rowProjectionL_eq, Submodule.starProjection_apply_eq_zero_iff] | |
| exact (measurableSet_eq_fun measurable_snd measurable_const).compl.inter | |
| (by | |
| change MeasurableSet {z : (Fin r → E)×E | z.2 ∈ (rowSpan z.1)ᗮ} | |
| rw [he] | |
| exact measurableSet_eq_fun (measurable_rowProjection_pair r) measurable_const) | |
| apply (ae_map_iff hD.aemeasurable hm).mpr | |
| exact (withDensity_absolutelyContinuous P w).ae_le hsupport | |
| have hmoment := kernel_normalized_projection_moment hr hd hq hmargin Q hQfst hQsup φ hφ hφ1 | |
| have heq (x : E) : (∫⁻ z, ENNReal.ofReal ‖z.2‖ * φ ⟪z.2,x⟫ ∂Q) = | |
| ∫⁻ A, (∫⁻ t, φ ⟪t-s,x⟫ ∂κ A) / a A ∂γ := by | |
| rw [lintegral_map (by fun_prop) hD] | |
| rw [lintegral_withDensity_eq_lintegral_mul P hw (by dsimp [D]; fun_prop)] | |
| calc | |
| _ = ∫⁻ z, φ ⟪z.2-s,x⟫ / a z.1 ∂P := by | |
| apply lintegral_congr_ae | |
| filter_upwards [hsupport] with z hz | |
| change w z * (ENNReal.ofReal ‖z.2-s‖ * φ ⟪z.2-s,x⟫) = _ | |
| dsimp [w] | |
| have hn : 0 < ‖z.2-s‖ := norm_pos_iff.mpr hz.1 | |
| rw [ENNReal.ofReal_inv_of_pos hn] | |
| have hc := ENNReal.inv_mul_cancel (ENNReal.ofReal_pos.mpr hn).ne' ENNReal.ofReal_ne_top | |
| rw [div_eq_mul_inv, div_eq_mul_inv] | |
| calc | |
| _ = ((ENNReal.ofReal ‖z.2-s‖)⁻¹ * ENNReal.ofReal ‖z.2-s‖) * | |
| (φ ⟪z.2-s,x⟫ * (a z.1)⁻¹) := by simp only [mul_assoc, mul_comm, mul_left_comm] | |
| _ = _ := by rw [hc, one_mul] | |
| _ = _ := by | |
| rw [Measure.lintegral_compProd (by fun_prop)] | |
| apply lintegral_congr | |
| intro A | |
| simp_rw [div_eq_mul_inv] | |
| rw [lintegral_mul_const _ (by fun_prop)] | |
| simpa only [heq] using hmoment | |
| end KernelTilt | |
| def negativeLogAbs (x : ℝ) : ℝ := max (-Real.log |x|) 0 | |
| lemma measurable_negativeLogAbs : Measurable negativeLogAbs := by | |
| unfold negativeLogAbs | |
| fun_prop | |
| lemma negativeLogAbs_nonneg (x : ℝ) : 0 ≤ negativeLogAbs x := le_max_right _ _ | |
| lemma integrable_negativeLogAbs_gaussian : | |
| Integrable negativeLogAbs (gaussianReal 0 1) := by | |
| have hl : IntegrableOn Real.log (Set.Icc (-1) 1) volume := | |
| (intervalIntegrable_iff_integrableOn_Icc_of_le (by norm_num : (-1:ℝ) ≤ 1)).mp | |
| intervalIntegral.intervalIntegrable_log' | |
| have hm : IntegrableOn negativeLogAbs (Set.Icc (-1) 1) volume := by | |
| have h := (show Integrable (-Real.log) (volume.restrict (Set.Icc (-1) 1)) from hl.neg).sup (integrable_const 0) | |
| have he : negativeLogAbs = (-Real.log ⊔ fun _ => 0) := by | |
| ext x | |
| simp [negativeLogAbs, Real.log_abs] | |
| rw [IntegrableOn, he] | |
| exact h | |
| have hi : Integrable ((Set.Icc (-1:ℝ) 1).indicator negativeLogAbs) volume := | |
| (integrable_indicator_iff measurableSet_Icc).mpr hm | |
| have he : (Set.Icc (-1:ℝ) 1).indicator negativeLogAbs = negativeLogAbs := by | |
| funext x | |
| by_cases hx : x ∈ Set.Icc (-1:ℝ) 1 | |
| · simp [hx] | |
| · have ha : 1 ≤ |x| := by | |
| simp only [Set.mem_Icc, not_and_or, not_le] at hx | |
| rcases hx with hx | hx | |
| · rw [abs_of_neg (by linarith)] | |
| linarith | |
| · exact (le_abs_self x).trans' hx.le | |
| have hlog := Real.log_nonneg ha | |
| rw [Set.indicator_of_notMem hx, negativeLogAbs, max_eq_right (neg_nonpos.mpr hlog)] | |
| rw [he] at hi | |
| exact hi.mono_measure gaussianReal_le_volume | |
| def regularizedCauchyCross (r e x y : ℝ) : ℝ := | |
| Real.log Real.pi + Real.log ((r*x)^2+(r*y)^2+e^2) - | |
| (1/2:ℝ)*Real.log ((r*x)^2+e^2) | |
| lemma regularizedCauchyCross_upper {r e : ℝ} (hr : 0 ≤ r) (he : 0 < e) | |
| (x y : ℝ) (hx : x ≠ 0) : | |
| regularizedCauchyCross r e x y ≤ | |
| Real.log (max r e) + Real.log Real.pi + x^2+y^2+negativeLogAbs x := by | |
| have ht : 0 < (r*x)^2+(r*y)^2+e^2 := by positivity | |
| have hD : 0 < (r*x)^2+e^2 := by positivity | |
| have hxy : 0 < 1+x^2+y^2 := by positivity | |
| have hlxy : Real.log (1+x^2+y^2) ≤ x^2+y^2 := by | |
| have h := Real.log_le_sub_one_of_pos hxy | |
| linarith | |
| have hex : 0 < |x| := abs_pos.mpr hx | |
| have hlogx : -Real.log |x| ≤ negativeLogAbs x := le_max_left _ _ | |
| rcases le_total r e with hre | her | |
| · have hs : r^2 ≤ e^2 := (sq_le_sq₀ hr he.le).mpr hre | |
| have hu : (r*x)^2+(r*y)^2+e^2 ≤ e^2*(1+x^2+y^2) := by | |
| have h1 := mul_le_mul_of_nonneg_right hs (sq_nonneg x) | |
| have h2 := mul_le_mul_of_nonneg_right hs (sq_nonneg y) | |
| nlinarith | |
| have hlogT := Real.log_le_log ht hu | |
| rw [Real.log_mul (sq_pos_of_pos he).ne' hxy.ne', Real.log_pow] at hlogT | |
| have hlogD := Real.log_le_log (sq_pos_of_pos he) | |
| (show e^2 ≤ (r*x)^2+e^2 by nlinarith [sq_nonneg (r*x)]) | |
| rw [Real.log_pow] at hlogD | |
| rw [max_eq_right hre] | |
| unfold regularizedCauchyCross | |
| norm_num only [Nat.cast_ofNat] at hlogT hlogD | |
| linarith [negativeLogAbs_nonneg x] | |
| · have hrp : 0 < r := he.trans_le her | |
| have hs : e^2 ≤ r^2 := (sq_le_sq₀ he.le hr).mpr her | |
| have hu : (r*x)^2+(r*y)^2+e^2 ≤ r^2*(1+x^2+y^2) := by nlinarith | |
| have hlogT := Real.log_le_log ht hu | |
| rw [Real.log_mul (sq_pos_of_pos hrp).ne' hxy.ne', Real.log_pow] at hlogT | |
| have hlogD := Real.log_le_log (mul_pos (sq_pos_of_pos hrp) (sq_pos_of_ne_zero hx)) | |
| (show r^2*x^2 ≤ (r*x)^2+e^2 by nlinarith [sq_nonneg e]) | |
| rw [Real.log_mul (sq_pos_of_pos hrp).ne' (sq_pos_of_ne_zero hx).ne', | |
| Real.log_pow, Real.log_pow, ←Real.log_abs x] at hlogD | |
| rw [max_eq_left her] | |
| unfold regularizedCauchyCross | |
| norm_num only [Nat.cast_ofNat] at hlogT hlogD | |
| linarith | |
| lemma regularizedCauchyCross_lower {r e : ℝ} (he : 0 < e) (x y : ℝ) : | |
| Real.log Real.pi + Real.log e ≤ regularizedCauchyCross r e x y := by | |
| have hD : 0 < (r*x)^2+e^2 := by positivity | |
| have hDT := Real.log_le_log hD | |
| (show (r*x)^2+e^2 ≤ (r*x)^2+(r*y)^2+e^2 by nlinarith [sq_nonneg (r*y)]) | |
| have heD := Real.log_le_log (sq_pos_of_pos he) | |
| (show e^2 ≤ (r*x)^2+e^2 by nlinarith [sq_nonneg (r*x)]) | |
| rw [Real.log_pow] at heD | |
| unfold regularizedCauchyCross | |
| norm_num only [Nat.cast_ofNat] at heD | |
| linarith | |
| lemma log_regularizedCauchyPDF (r e c x y : ℝ) (he : 0 < e) : | |
| -Real.log (cauchyPDFReal c ⟨Real.sqrt ((r*x)^2+e^2), Real.sqrt_nonneg _⟩ (c+r*y)) = | |
| regularizedCauchyCross r e x y := by | |
| have hD : 0 < (r*x)^2+e^2 := by positivity | |
| have hs : 0 < Real.sqrt ((r*x)^2+e^2) := Real.sqrt_pos.mpr hD | |
| have ht : 0 < (r*x)^2+(r*y)^2+e^2 := by positivity | |
| change -Real.log (Real.pi⁻¹ * Real.sqrt ((r*x)^2+e^2) * | |
| (((c+r*y)-c)^2 + (Real.sqrt ((r*x)^2+e^2))^2)⁻¹) = _ | |
| unfold regularizedCauchyCross | |
| simp only [add_sub_cancel_left, Real.sq_sqrt hD.le] | |
| rw [Real.log_mul (mul_ne_zero (inv_ne_zero Real.pi_pos.ne') hs.ne') (inv_ne_zero (by positivity)), | |
| Real.log_mul (inv_ne_zero Real.pi_pos.ne') hs.ne', Real.log_inv, Real.log_inv, | |
| Real.log_sqrt hD.le] | |
| have heq : (r*y)^2+((r*x)^2+e^2) = (r*x)^2+(r*y)^2+e^2 := by ring | |
| rw [heq] | |
| ring | |
| abbrev standardNormalPair : Measure (ℝ×ℝ) := (gaussianReal 0 1).prod (gaussianReal 0 1) | |
| def cauchyTiltConstant : ℝ := Real.log Real.pi + 2 + | |
| ∫ x, negativeLogAbs x ∂gaussianReal 0 1 | |
| lemma integrable_standardNormal_square : Integrable (fun x : ℝ => x^2) (gaussianReal 0 1) := by | |
| exact (memLp_id_gaussianReal (μ:=0) (v:=1) 2).integrable_sq | |
| lemma integral_standardNormal_square : (∫ x : ℝ, x^2 ∂gaussianReal 0 1) = 1 := by | |
| have h := variance_id_gaussianReal (μ:=0) (v:=1) | |
| rw [variance_eq_integral (by fun_prop)] at h | |
| simpa using h | |
| lemma integrable_regularizedCauchyCross {r e : ℝ} (hr : 0 ≤ r) (he : 0 < e) : | |
| Integrable (fun z : ℝ×ℝ => regularizedCauchyCross r e z.1 z.2) standardNormalPair := by | |
| have hsq1 := integrable_standardNormal_square.comp_fst (ν:=gaussianReal 0 1) | |
| have hsq2 := integrable_standardNormal_square.comp_snd (μ:=gaussianReal 0 1) | |
| have hn := integrable_negativeLogAbs_gaussian.comp_fst (ν:=gaussianReal 0 1) | |
| have hup : Integrable (fun z : ℝ×ℝ => Real.log (max r e)+Real.log Real.pi+ | |
| z.1^2+z.2^2+negativeLogAbs z.1) standardNormalPair := | |
| (((integrable_const _).add hsq1).add hsq2).add hn | |
| have hx : ∀ᵐ z : ℝ×ℝ ∂standardNormalPair, z.1 ≠ 0 := by | |
| have hx0 : ∀ᵐ x : ℝ ∂gaussianReal 0 1, x ≠ 0 := by | |
| apply ae_iff.mpr | |
| apply (gaussianReal_absolutelyContinuous 0 (by norm_num : (1:ℝ≥0) ≠ 0)) | |
| simp | |
| exact Measure.quasiMeasurePreserving_fst.ae hx0 | |
| exact integrable_of_le_of_le (by unfold regularizedCauchyCross; fun_prop) | |
| (ae_of_all _ fun z => regularizedCauchyCross_lower he z.1 z.2) | |
| (hx.mono fun z hz => regularizedCauchyCross_upper hr he z.1 z.2 hz) | |
| (integrable_const _) hup | |
| lemma integral_regularizedCauchyCross {r e : ℝ} (hr : 0 ≤ r) (he : 0 < e) : | |
| (∫ z : ℝ×ℝ, regularizedCauchyCross r e z.1 z.2 ∂standardNormalPair) ≤ | |
| Real.log (max r e) + cauchyTiltConstant := by | |
| have hsq1 := integrable_standardNormal_square.comp_fst (ν:=gaussianReal 0 1) | |
| have hsq2 := integrable_standardNormal_square.comp_snd (μ:=gaussianReal 0 1) | |
| have hn := integrable_negativeLogAbs_gaussian.comp_fst (ν:=gaussianReal 0 1) | |
| have hup : Integrable (fun z : ℝ×ℝ => Real.log (max r e)+Real.log Real.pi+ | |
| z.1^2+z.2^2+negativeLogAbs z.1) standardNormalPair := | |
| (((integrable_const _).add hsq1).add hsq2).add hn | |
| have hx : ∀ᵐ z : ℝ×ℝ ∂standardNormalPair, z.1 ≠ 0 := by | |
| have hx0 : ∀ᵐ x : ℝ ∂gaussianReal 0 1, x ≠ 0 := by | |
| apply ae_iff.mpr | |
| apply (gaussianReal_absolutelyContinuous 0 (by norm_num : (1:ℝ≥0) ≠ 0)) | |
| simp | |
| exact Measure.quasiMeasurePreserving_fst.ae hx0 | |
| have h := integral_mono_ae (integrable_regularizedCauchyCross hr he) hup | |
| (hx.mono fun z hz => regularizedCauchyCross_upper hr he z.1 z.2 hz) | |
| have heq : (∫ z : ℝ×ℝ, Real.log (max r e)+Real.log Real.pi+ | |
| z.1^2+z.2^2+negativeLogAbs z.1 ∂standardNormalPair) = | |
| Real.log (max r e)+cauchyTiltConstant := by | |
| have hc : Integrable (fun _ : ℝ×ℝ => Real.log (max r e)+Real.log Real.pi) | |
| standardNormalPair := integrable_const _ | |
| have h1 := integral_add ((hc.add hsq1).add hsq2) hn | |
| have h2 := integral_add (hc.add hsq1) hsq2 | |
| have h3 := integral_add hc hsq1 | |
| simp only [Pi.add_apply] at h1 h2 h3 | |
| rw [h1, h2, h3] | |
| rw [integral_fun_fst (fun x : ℝ => x^2), integral_fun_snd (fun x : ℝ => x^2), | |
| integral_fun_fst negativeLogAbs, integral_const] | |
| simp only [probReal_univ, one_smul, integral_standardNormal_square] | |
| unfold cauchyTiltConstant | |
| ring | |
| exact h.trans_eq heq | |
| lemma cauchyTiltConstant_pos : 0 < cauchyTiltConstant := by | |
| have h1 : 0 ≤ Real.log Real.pi := Real.log_nonneg (by linarith [Real.pi_gt_three]) | |
| have h2 : 0 ≤ ∫ x, negativeLogAbs x ∂gaussianReal 0 1 := | |
| integral_nonneg (fun x => negativeLogAbs_nonneg x) | |
| unfold cauchyTiltConstant | |
| linarith | |
| section CauchyVector | |
| variable {E : Type*} [NormedAddCommGroup E] [InnerProductSpace ℝ E] | |
| [FiniteDimensional ℝ E] [MeasurableSpace E] [BorelSpace E] | |
| lemma gaussian_inner_map_scaled (v : E) : | |
| (stdGaussian E).map (fun x => ⟪v,x⟫) = | |
| (gaussianReal 0 1).map (fun x => ‖v‖*x) := by | |
| have hi := IsGaussian.map_eq_gaussianReal (μ:=stdGaussian E) (innerSL ℝ v) | |
| rw [integral_strongDual_stdGaussian,variance_dual_stdGaussian] at hi | |
| have he : (fun x : ℝ => ‖v‖*x) = fun x => x*‖v‖ := by funext x; ring | |
| rw [he,gaussianReal_map_mul_const] | |
| have hv : (‖v‖^2).toNNReal = (⟨‖v‖^2,sq_nonneg _⟩ : ℝ≥0) := by | |
| exact Real.toNNReal_of_nonneg (sq_nonneg _) | |
| rw [innerSL_apply_norm] at hi | |
| change (stdGaussian E).map (fun x => ⟪v,x⟫) = gaussianReal 0 (‖v‖^2).toNNReal at hi | |
| rw [hi] | |
| congr 1 <;> simp only [mul_zero,mul_one,hv] | |
| ext | |
| rfl | |
| lemma gaussian_pair_inner_map_scaled (v : E) : | |
| ((stdGaussian E).prod (stdGaussian E)).map | |
| (fun z : E×E => (⟪v,z.1⟫,⟪v,z.2⟫)) = | |
| standardNormalPair.map (fun z : ℝ×ℝ => (‖v‖*z.1,‖v‖*z.2)) := by | |
| change ((stdGaussian E).prod (stdGaussian E)).map (Prod.map (fun x => ⟪v,x⟫) (fun x => ⟪v,x⟫)) = | |
| ((gaussianReal 0 1).prod (gaussianReal 0 1)).map (Prod.map (fun x => ‖v‖*x) (fun x => ‖v‖*x)) | |
| rw [←Measure.map_prod_map (stdGaussian E) (stdGaussian E) (by fun_prop) (by fun_prop), | |
| gaussian_inner_map_scaled,Measure.map_prod_map _ _ (by fun_prop) (by fun_prop)] | |
| lemma gaussian_regularizedCross_integrable (v : E) {e : ℝ} (he : 0 < e) : | |
| Integrable (fun z : E×E => regularizedCauchyCross 1 e ⟪v,z.1⟫ ⟪v,z.2⟫) | |
| ((stdGaussian E).prod (stdGaussian E)) := by | |
| have hm : Measurable (fun z : ℝ×ℝ => regularizedCauchyCross 1 e z.1 z.2) := by | |
| unfold regularizedCauchyCross; fun_prop | |
| have hms : Measurable (fun z : ℝ×ℝ => (‖v‖*z.1,‖v‖*z.2)) := by fun_prop | |
| have hmv : Measurable (fun z : E×E => (⟪v,z.1⟫,⟪v,z.2⟫)) := by fun_prop | |
| have hi := integrable_regularizedCauchyCross (norm_nonneg v) he | |
| have hi' : Integrable (fun z : ℝ×ℝ => regularizedCauchyCross 1 e (‖v‖*z.1) (‖v‖*z.2)) | |
| standardNormalPair := by simpa only [regularizedCauchyCross,one_mul] using hi | |
| have hmap : Integrable (fun z : ℝ×ℝ => regularizedCauchyCross 1 e z.1 z.2) | |
| (standardNormalPair.map (fun z : ℝ×ℝ => (‖v‖*z.1,‖v‖*z.2))) := | |
| (integrable_map_measure hm.aestronglyMeasurable hms.aemeasurable).mpr hi' | |
| rw [←gaussian_pair_inner_map_scaled v] at hmap | |
| exact (integrable_map_measure hm.aestronglyMeasurable hmv.aemeasurable).mp hmap | |
| lemma gaussian_regularizedCross_integral (v : E) {e : ℝ} (he : 0 < e) : | |
| (∫ z : E×E, regularizedCauchyCross 1 e ⟪v,z.1⟫ ⟪v,z.2⟫ | |
| ∂(stdGaussian E).prod (stdGaussian E)) ≤ | |
| Real.log (max ‖v‖ e) + cauchyTiltConstant := by | |
| have hm : Measurable (fun z : ℝ×ℝ => regularizedCauchyCross 1 e z.1 z.2) := by | |
| unfold regularizedCauchyCross; fun_prop | |
| rw [←integral_map (by fun_prop : AEMeasurable (fun z : E×E => (⟪v,z.1⟫,⟪v,z.2⟫)) _) | |
| hm.aestronglyMeasurable,gaussian_pair_inner_map_scaled, | |
| integral_map (by fun_prop) hm.aestronglyMeasurable] | |
| simpa only [regularizedCauchyCross,one_mul] using integral_regularizedCauchyCross (norm_nonneg v) he | |
| end CauchyVector | |
| end CurrentProjection | |
| end | |
| end OAI | |