import Mathlib
import OAI.Probability.SKRatio.Matrices.StandardGaussianProduct

namespace OAI

section
section
noncomputable section
open MeasureTheory ProbabilityTheory InformationTheory Real Set
open scoped NNReal ENNReal
open Filter
open scoped Topology
noncomputable section
open Matrix Real
open scoped BigOperators Matrix.Norms.Frobenius ENNReal NNReal
noncomputable section
open Matrix Real
open scoped BigOperators Matrix.Norms.Frobenius NNReal
noncomputable section
open MeasureTheory ProbabilityTheory Real Set Filter
open MeasureTheory.Measure
open scoped ENNReal NNReal MeasureTheory Topology
open MeasureTheory
noncomputable section
noncomputable section
open MeasureTheory Set NormedSpace
open scoped Topology
noncomputable section
open Matrix Real
open scoped BigOperators Matrix.Norms.Frobenius
noncomputable section
open Set Real
open scoped Topology
noncomputable section
open Matrix Set Filter
open scoped Topology Matrix.Norms.Frobenius
noncomputable section
open Matrix NormedSpace ContinuousLinearMap
open scoped Matrix.Norms.Frobenius
noncomputable section
open Matrix
noncomputable section
open MeasureTheory ProbabilityTheory Real Set
open scoped ENNReal NNReal
noncomputable section
open MeasureTheory ProbabilityTheory InformationTheory Real Set
open scoped NNReal ENNReal
namespace SKRatioGaussian

instance (n : ℕ) : IsProbabilityMeasure (standardGaussianProduct n) := by
  unfold standardGaussianProduct
  infer_instance

variable {ι : Type*} [Fintype ι] [Nonempty ι]

def expSum (κ : ℝ) (x : ι → ℝ) : ℝ := ∑ i, Real.exp (κ * x i)
def softWeight (κ : ℝ) (x : ι → ℝ) (i : ι) : ℝ := Real.exp (κ * x i) / expSum κ x
def smoothMax (κ : ℝ) (x : ι → ℝ) : ℝ := log (expSum κ x) / κ

theorem expSum_pos (κ : ℝ) (x : ι → ℝ) : 0 < expSum κ x := by
  exact Finset.sum_pos (fun i _ => exp_pos _) Finset.univ_nonempty

theorem softWeight_pos (κ : ℝ) (x : ι → ℝ) (i : ι) : 0 < softWeight κ x i :=
  div_pos (exp_pos _) (expSum_pos κ x)

theorem sum_softWeight (κ : ℝ) (x : ι → ℝ) : ∑ i, softWeight κ x i = 1 := by
  simp only [softWeight, ← Finset.sum_div]
  exact div_self (expSum_pos κ x).ne'

theorem softWeight_le_one (κ : ℝ) (x : ι → ℝ) (i : ι) : softWeight κ x i ≤ 1 := by
  rw [← sum_softWeight κ x]
  exact Finset.single_le_sum (fun j _ => (softWeight_pos κ x j).le) (Finset.mem_univ i)

theorem continuous_softWeight (κ : ℝ) (i : ι) : Continuous (fun x : ι → ℝ => softWeight κ x i) := by
  apply Continuous.div
  · exact continuous_exp.comp (continuous_const.mul (continuous_apply i))
  · exact continuous_finsetSum _ (fun j _ => continuous_exp.comp (continuous_const.mul (continuous_apply j)))
  · exact fun x => (expSum_pos κ x).ne'

theorem continuous_smoothMax (κ : ℝ) : Continuous (smoothMax κ : (ι → ℝ) → ℝ) := by
  apply Continuous.div_const
  exact (continuous_finsetSum _ (fun j _ => continuous_exp.comp (continuous_const.mul (continuous_apply j)))).log
    (fun x => (expSum_pos κ x).ne')

omit [Nonempty ι] in
theorem hasDerivAt_expSum {κ t : ℝ} {f : ι → ℝ → ℝ} {df : ι → ℝ}
    (hf : ∀ i, HasDerivAt (f i) (df i) t) :
    HasDerivAt (fun s => expSum κ (fun i => f i s))
      (∑ i, Real.exp (κ * f i t) * (κ * df i)) t := by
  convert! HasDerivAt.fun_sum (fun i _ => ((hf i).const_mul κ).exp) using 1

theorem hasDerivAt_smoothMax {κ t : ℝ} (hκ : κ ≠ 0) {f : ι → ℝ → ℝ} {df : ι → ℝ}
    (hf : ∀ i, HasDerivAt (f i) (df i) t) :
    HasDerivAt (fun s => smoothMax κ (fun i => f i s))
      (∑ i, softWeight κ (fun j => f j t) i * df i) t := by
  convert! ((hasDerivAt_expSum hf).log (expSum_pos κ (fun j => f j t)).ne').div_const κ using 1
  simp only [softWeight]
  have hs : (∑ i, Real.exp (κ * f i t) * (κ * df i)) =
      κ * ∑ i, Real.exp (κ * f i t) * df i := by
    rw [Finset.mul_sum]
    apply Finset.sum_congr rfl
    intro i _
    ring
  rw [hs]
  simp_rw [div_mul_eq_mul_div, ← Finset.sum_div]
  field_simp [hκ, (expSum_pos κ (fun j => f j t)).ne']

theorem hasDerivAt_softWeight {κ t : ℝ} {f : ι → ℝ → ℝ} {df : ι → ℝ}
    (hf : ∀ i, HasDerivAt (f i) (df i) t) (i : ι) :
    HasDerivAt (fun s => softWeight κ (fun j => f j s) i)
      (κ * softWeight κ (fun j => f j t) i *
        (df i - ∑ j, softWeight κ (fun k => f k t) j * df j)) t := by
  convert! (((hf i).const_mul κ).exp).div (hasDerivAt_expSum hf)
    (expSum_pos κ (fun j => f j t)).ne' using 1
  simp only [softWeight]
  have hs : (∑ j, Real.exp (κ * f j t) * (κ * df j)) =
      κ * ∑ j, Real.exp (κ * f j t) * df j := by
    rw [Finset.mul_sum]
    apply Finset.sum_congr rfl
    intro j _
    ring
  rw [hs]
  simp_rw [div_mul_eq_mul_div, ← Finset.sum_div]
  field_simp [(expSum_pos κ (fun j => f j t)).ne']

theorem weighted_abs_le (κ : ℝ) (x v : ι → ℝ) :
    |∑ i, softWeight κ x i * v i| ≤ ∑ i, |v i| := by
  calc
    _ ≤ ∑ i, |softWeight κ x i * v i| := Finset.abs_sum_le_sum_abs _ _
    _ ≤ ∑ i, |v i| := by
      apply Finset.sum_le_sum
      intro i _
      rw [abs_mul, abs_of_pos (softWeight_pos κ x i)]
      exact mul_le_of_le_one_left (abs_nonneg _) (softWeight_le_one κ x i)

omit [Nonempty ι] in
theorem smoothMax_ge {κ : ℝ} (hκ : 0 < κ) (x : ι → ℝ) (i : ι) :
    x i ≤ smoothMax κ x := by
  rw [smoothMax, le_div_iff₀ hκ]
  calc
    x i * κ = log (Real.exp (κ * x i)) := by rw [log_exp]; ring
    _ ≤ log (expSum κ x) := log_le_log (exp_pos _) <|
      Finset.single_le_sum (fun j _ => (exp_pos (κ * x j)).le) (Finset.mem_univ i)

theorem smoothMax_le {κ : ℝ} (hκ : 0 < κ) (x : ι → ℝ) {b : ℝ}
    (hb : ∀ i, x i ≤ b) : smoothMax κ x ≤ b + log (Fintype.card ι) / κ := by
  have hn : (0 : ℝ) < Fintype.card ι := Nat.cast_pos.mpr Fintype.card_pos
  rw [smoothMax, div_le_iff₀ hκ]
  calc
    log (expSum κ x) ≤ log ((Fintype.card ι : ℝ) * Real.exp (κ * b)) := by
      apply log_le_log (expSum_pos _ _)
      calc
        _ ≤ ∑ _ : ι, Real.exp (κ * b) := Finset.sum_le_sum (fun i _ => exp_le_exp.mpr (mul_le_mul_of_nonneg_left (hb i) hκ.le))
        _ = _ := by simp
    _ = _ := by rw [log_mul hn.ne' (exp_pos _).ne', log_exp]; field_simp; ring

variable {ι : Type*} [Fintype ι] [Nonempty ι]

def affineProcess {n : ℕ} (m : ι → ℝ) (a : ι → Fin n → ℝ) (z : Fin n → ℝ) (i : ι) : ℝ :=
  m i + ∑ k, a i k * z k

omit [Fintype ι] [Nonempty ι] in
theorem continuous_affineProcess {n : ℕ} (m : ι → ℝ) (a : ι → Fin n → ℝ) :
    Continuous (affineProcess m a) := by
  apply continuous_pi
  intro i
  exact continuous_const.add (continuous_finsetSum _ (fun k _ => continuous_const.mul (continuous_apply k)))

omit [Fintype ι] [Nonempty ι] in
theorem affineProcess_coordinate_hasDerivAt {n : ℕ} (m : ι → ℝ)
    (a : ι → Fin (n + 1) → ℝ) (i : ι) (k : Fin (n + 1)) (u : Fin n → ℝ) (z : ℝ) :
    HasDerivAt (fun z => affineProcess m a (k.insertNth z u) i) (a i k) z := by
  have he (z : ℝ) : affineProcess m a (k.insertNth z u) i =
      a i k * z + (m i + ∑ l, a i (k.succAbove l) * u l) := by
    rw [affineProcess, Fin.sum_univ_succAbove _ k]
    simp only [Fin.insertNth_apply_same, Fin.insertNth_apply_succAbove]
    ring
  simp_rw [he]
  convert! ((hasDerivAt_id z).const_mul (a i k)).add_const (m i + ∑ l, a i (k.succAbove l) * u l) using 1
  simp

theorem affine_softWeight_coordinate_IBP {n : ℕ} (κ : ℝ) (m : ι → ℝ)
    (a : ι → Fin (n + 1) → ℝ) (i : ι) (k : Fin (n + 1)) :
    (∫ z, z k * softWeight κ (affineProcess m a z) i ∂standardGaussianProduct (n + 1)) =
      ∫ z, κ * softWeight κ (affineProcess m a z) i *
        (a i k - ∑ j, softWeight κ (affineProcess m a z) j * a j k)
        ∂standardGaussianProduct (n + 1) := by
  apply gaussianProduct_coordinate_IBP (C := 1) (D := |κ| * (|a i k| + ∑ j, |a j k|)) k
  · exact (continuous_softWeight κ i).comp (continuous_affineProcess m a)
  · exact (continuous_const.mul ((continuous_softWeight κ i).comp (continuous_affineProcess m a))).mul
      (continuous_const.sub (continuous_finsetSum _ (fun j _ =>
        ((continuous_softWeight κ j).comp (continuous_affineProcess m a)).mul continuous_const)))
  · intro z
    rw [Real.norm_eq_abs, abs_of_pos (softWeight_pos _ _ _)]
    exact softWeight_le_one _ _ _
  · intro z
    rw [norm_mul, norm_mul, Real.norm_eq_abs κ,
      Real.norm_eq_abs (softWeight _ _ _), abs_of_pos (softWeight_pos _ _ _), Real.norm_eq_abs]
    apply mul_le_mul
    · exact mul_le_of_le_one_right (abs_nonneg κ) (softWeight_le_one _ _ _)
    · exact (abs_sub _ _).trans (add_le_add_right (weighted_abs_le κ _ (fun j => a j k)) _)
    · positivity
    · positivity
  · intro u z
    exact hasDerivAt_softWeight (fun j => affineProcess_coordinate_hasDerivAt m a j k u z) i

omit [Nonempty ι] in
theorem weighted_covariance_identity (p u v : ι → ℝ) (hp : ∑ i, p i = 1) :
    (∑ i, p i * u i * v i) - (∑ i, p i * u i) * (∑ i, p i * v i) =
      (1 / 2 : ℝ) * ∑ i, ∑ j, p i * p j * (u i - u j) * (v i - v j) := by
  have he (i j : ι) : p i * p j * (u i - u j) * (v i - v j) =
      (p i * u i * v i) * p j + p i * (p j * u j * v j) -
        (p i * u i) * (p j * v j) - (p i * v i) * (p j * u j) := by ring
  simp_rw [he, Finset.sum_sub_distrib, Finset.sum_add_distrib,
    ← Finset.mul_sum, ← Finset.sum_mul]
  rw [hp]
  ring

theorem smoothMax_norm_le {κ : ℝ} (hκ : 0 < κ) (x : ι → ℝ) :
    ‖smoothMax κ x‖ ≤ ∑ i, |x i| + log (Fintype.card ι) / κ := by
  have hn : (1 : ℝ) ≤ Fintype.card ι := by exact_mod_cast Fintype.card_pos
  have hlog : 0 ≤ log (Fintype.card ι) / κ := div_nonneg (log_nonneg hn) hκ.le
  have hb (i : ι) : |x i| ≤ ∑ j, |x j| :=
    Finset.single_le_sum (fun j _ => abs_nonneg (x j)) (Finset.mem_univ i)
  rw [Real.norm_eq_abs]
  apply abs_le.mpr
  constructor
  · let i : ι := Classical.choice inferInstance
    have hlo := smoothMax_ge hκ x i
    have ha := (abs_le.mp (hb i)).1
    linarith
  · exact smoothMax_le hκ x (fun i => (le_abs_self _).trans (hb i))

def interpolatedCoeff {n : ℕ} (a b : ι → Fin n → ℝ) (t : ℝ) (i : ι) (k : Fin n) : ℝ :=
  sin t * a i k + cos t * b i k

def interpolatedCoeffDeriv {n : ℕ} (a b : ι → Fin n → ℝ) (t : ℝ) (i : ι) (k : Fin n) : ℝ :=
  cos t * a i k - sin t * b i k

def processBound {n : ℕ} (a b : ι → Fin n → ℝ) (z : Fin n → ℝ) : ℝ :=
  ∑ i, ∑ k, (|a i k| + |b i k|) * |z k|

omit [Fintype ι] [Nonempty ι] in
theorem interpolatedCoeff_abs_le {n : ℕ} (a b : ι → Fin n → ℝ) (t : ℝ) (i : ι) (k : Fin n) :
    |interpolatedCoeff a b t i k| ≤ |a i k| + |b i k| := by
  calc
    _ ≤ |sin t * a i k| + |cos t * b i k| := abs_add_le _ _
    _ ≤ 1 * |a i k| + 1 * |b i k| := by
      simp only [abs_mul]
      gcongr
      · exact abs_sin_le_one t
      · exact abs_cos_le_one t
    _ = _ := by ring

omit [Fintype ι] [Nonempty ι] in
theorem interpolatedCoeffDeriv_abs_le {n : ℕ} (a b : ι → Fin n → ℝ) (t : ℝ) (i : ι) (k : Fin n) :
    |interpolatedCoeffDeriv a b t i k| ≤ |a i k| + |b i k| := by
  calc
    _ ≤ |cos t * a i k| + |sin t * b i k| := abs_sub _ _
    _ ≤ 1 * |a i k| + 1 * |b i k| := by
      simp only [abs_mul]
      gcongr
      · exact abs_cos_le_one t
      · exact abs_sin_le_one t
    _ = _ := by ring

omit [Nonempty ι] in
theorem integrable_processBound {n : ℕ} (a b : ι → Fin n → ℝ) :
    Integrable (processBound a b) (standardGaussianProduct n) := by
  apply integrable_finsetSum
  intro i _
  apply integrable_finsetSum
  intro k _
  exact ((integrable_eval (i := k) IsGaussian.integrable_id).norm).const_mul _

omit [Fintype ι] [Nonempty ι] in
theorem interpolated_affine_hasDerivAt {n : ℕ} (m : ι → ℝ) (a b : ι → Fin n → ℝ)
    (z : Fin n → ℝ) (t : ℝ) (i : ι) :
    HasDerivAt (fun t => affineProcess m (interpolatedCoeff a b t) z i)
      (∑ k, interpolatedCoeffDeriv a b t i k * z k) t := by
  convert! (HasDerivAt.fun_sum (fun k _ =>
    (((Real.hasDerivAt_sin t).mul_const (a i k)).add
      ((Real.hasDerivAt_cos t).mul_const (b i k))).mul_const (z k))).const_add (m i) using 1
  apply Finset.sum_congr rfl
  intro k _
  dsimp [interpolatedCoeffDeriv]
  ring

def interpolationDerivative {n : ℕ} (κ : ℝ) (m : ι → ℝ) (a b : ι → Fin n → ℝ)
    (t : ℝ) (z : Fin n → ℝ) : ℝ :=
  ∑ i, softWeight κ (affineProcess m (interpolatedCoeff a b t) z) i *
    ∑ k, interpolatedCoeffDeriv a b t i k * z k

theorem interpolationDerivative_norm_le {n : ℕ} (κ : ℝ) (m : ι → ℝ)
    (a b : ι → Fin n → ℝ) (t : ℝ) (z : Fin n → ℝ) :
    ‖interpolationDerivative κ m a b t z‖ ≤ processBound a b z := by
  rw [Real.norm_eq_abs]
  calc
    _ ≤ ∑ i, |∑ k, interpolatedCoeffDeriv a b t i k * z k| := weighted_abs_le _ _ _
    _ ≤ ∑ i, ∑ k, (|a i k| + |b i k|) * |z k| := by
      apply Finset.sum_le_sum
      intro i _
      apply (Finset.abs_sum_le_sum_abs _ _).trans
      apply Finset.sum_le_sum
      intro k _
      rw [abs_mul]
      exact mul_le_mul_of_nonneg_right (interpolatedCoeffDeriv_abs_le a b t i k) (abs_nonneg _)

theorem interpolated_smoothMax_norm_le {n : ℕ} {κ : ℝ} (hκ : 0 < κ) (m : ι → ℝ)
    (a b : ι → Fin n → ℝ) (t : ℝ) (z : Fin n → ℝ) :
    ‖smoothMax κ (affineProcess m (interpolatedCoeff a b t) z)‖ ≤
      (∑ i, |m i|) + processBound a b z + log (Fintype.card ι) / κ := by
  apply (smoothMax_norm_le hκ _).trans
  gcongr
  rw [processBound, ← Finset.sum_add_distrib]
  apply Finset.sum_le_sum
  intro i _
  apply (abs_add_le _ _).trans
  gcongr
  apply (Finset.abs_sum_le_sum_abs _ _).trans
  apply Finset.sum_le_sum
  intro k _
  rw [abs_mul]
  exact mul_le_mul_of_nonneg_right (interpolatedCoeff_abs_le a b t i k) (abs_nonneg _)

theorem interpolation_hasDerivAt {n : ℕ} {κ : ℝ} (hκ : 0 < κ)
    (m : ι → ℝ) (a b : ι → Fin n → ℝ) (t : ℝ) :
    HasDerivAt (fun t => ∫ z, smoothMax κ (affineProcess m (interpolatedCoeff a b t) z)
      ∂standardGaussianProduct n)
      (∫ z, interpolationDerivative κ m a b t z ∂standardGaussianProduct n) t := by
  have hp (t : ℝ) (i : ι) :
      Continuous (fun z => softWeight κ (affineProcess m (interpolatedCoeff a b t) z) i) :=
    (continuous_softWeight κ i).comp (continuous_affineProcess m _)
  have hf (t : ℝ) : Continuous (fun z => smoothMax κ (affineProcess m (interpolatedCoeff a b t) z)) :=
    (continuous_smoothMax κ).comp (continuous_affineProcess m _)
  have hdf (t : ℝ) : Continuous (interpolationDerivative κ m a b t) := by
    apply continuous_finsetSum
    intro i _
    exact (hp t i).mul (continuous_finsetSum _ (fun k _ => continuous_const.mul (continuous_apply k)))
  have hb : Integrable (fun z => (∑ i, |m i|) + processBound a b z + log (Fintype.card ι) / κ)
      (standardGaussianProduct n) :=
    ((integrable_const _).add (integrable_processBound a b)).add (integrable_const _)
  exact (hasDerivAt_integral_of_dominated_loc_of_deriv_le
    (μ := standardGaussianProduct n) (s := univ) (x₀ := t)
    (F := fun t z => smoothMax κ (affineProcess m (interpolatedCoeff a b t) z))
    (F' := fun t z => interpolationDerivative κ m a b t z)
    (bound := processBound a b)
    Filter.univ_mem (Filter.Eventually.of_forall (fun t => (hf t).aestronglyMeasurable))
    (hb.mono' (hf t).aestronglyMeasurable (ae_of_all _ (interpolated_smoothMax_norm_le hκ m a b t)))
    (hdf t).aestronglyMeasurable
    (ae_of_all _ (fun z t _ => interpolationDerivative_norm_le κ m a b t z))
    (integrable_processBound a b)
    (ae_of_all _ (fun z t _ => hasDerivAt_smoothMax hκ.ne'
      (fun i => interpolated_affine_hasDerivAt m a b z t i)))).2

theorem integrable_affine_weight {n : ℕ} (κ : ℝ) (m : ι → ℝ) (a : ι → Fin n → ℝ) (i : ι) :
    Integrable (fun z => softWeight κ (affineProcess m a z) i) (standardGaussianProduct n) := by
  apply Integrable.of_bound ((continuous_softWeight κ i).comp (continuous_affineProcess m a)).aestronglyMeasurable 1
  exact ae_of_all _ (fun z => by
    simp only [Function.comp_def]
    rw [Real.norm_eq_abs, abs_of_pos (softWeight_pos _ _ _)]
    exact softWeight_le_one _ _ _)

theorem integrable_coordinate_weight {n : ℕ} (κ : ℝ) (m : ι → ℝ)
    (a : ι → Fin n → ℝ) (i : ι) (k : Fin n) :
    Integrable (fun z => z k * softWeight κ (affineProcess m a z) i) (standardGaussianProduct n) := by
  apply Integrable.mul_bdd (integrable_eval (i := k) IsGaussian.integrable_id)
    ((continuous_softWeight κ i).comp (continuous_affineProcess m a)).aestronglyMeasurable
  exact ae_of_all _ (fun z => by
    simp only [Function.comp_def]
    rw [Real.norm_eq_abs, abs_of_pos (softWeight_pos _ _ _)]
    exact softWeight_le_one _ _ _)

theorem integrable_weight_covariance {n : ℕ} (κ : ℝ) (m : ι → ℝ)
    (a : ι → Fin n → ℝ) (i : ι) (k : Fin n) :
    Integrable (fun z => κ * softWeight κ (affineProcess m a z) i *
      (a i k - ∑ j, softWeight κ (affineProcess m a z) j * a j k))
      (standardGaussianProduct n) := by
  have hi : Integrable (fun z => a i k - ∑ j, softWeight κ (affineProcess m a z) j * a j k)
      (standardGaussianProduct n) := by
    apply (integrable_const _).sub
    exact integrable_finsetSum _ (fun j _ => (integrable_affine_weight κ m a j).mul_const _)
  have hm := hi.bdd_mul ((continuous_softWeight κ i).comp (continuous_affineProcess m a)).aestronglyMeasurable
    (ae_of_all _ (fun z => by
      simp only [Function.comp_def]
      rw [Real.norm_eq_abs, abs_of_pos (softWeight_pos κ (affineProcess m a z) i)]
      exact softWeight_le_one _ _ _))
  convert! hm.const_mul κ using 1
  ext z
  simp only [Function.comp_def]
  ring

omit [Nonempty ι] in
theorem weighted_matrix_covariance_identity {n : ℕ} (p : ι → ℝ) (a d : ι → Fin n → ℝ)
    (hp : ∑ i, p i = 1) :
    (∑ i, ∑ k, d i k * p i * (a i k - ∑ j, p j * a j k)) =
      (1 / 2 : ℝ) * ∑ i, ∑ j, p i * p j * ∑ k, (d i k - d j k) * (a i k - a j k) := by
  have hk (k : Fin n) :
      (∑ i, d i k * p i * (a i k - ∑ j, p j * a j k)) =
        (1/2:ℝ) * ∑ i, ∑ j, p i * p j * (d i k - d j k) * (a i k - a j k) := by
    rw [← weighted_covariance_identity p (fun i => d i k) (fun i => a i k) hp]
    simp_rw [mul_sub, Finset.sum_sub_distrib, ← Finset.sum_mul]
    congr 1
    · apply Finset.sum_congr rfl
      intro i _
      ring
    · congr 1
      apply Finset.sum_congr rfl
      intro i _
      ring
  rw [Finset.sum_comm]
  simp_rw [hk, ← Finset.mul_sum]
  congr 1
  rw [Finset.sum_comm]
  apply Finset.sum_congr rfl
  intro i _
  rw [Finset.sum_comm]
  apply Finset.sum_congr rfl
  intro j _
  rw [Finset.mul_sum]
  apply Finset.sum_congr rfl
  intro k _
  ring

theorem gaussian_linear_weight_IBP {n : ℕ} (κ : ℝ) (m : ι → ℝ)
    (a d : ι → Fin (n + 1) → ℝ) :
    (∫ z, ∑ i, softWeight κ (affineProcess m a z) i * ∑ k, d i k * z k
      ∂standardGaussianProduct (n + 1)) =
      (κ / 2) * ∫ z, ∑ i, ∑ j,
        softWeight κ (affineProcess m a z) i * softWeight κ (affineProcess m a z) j *
        ∑ k, (d i k - d j k) * (a i k - a j k)
        ∂standardGaussianProduct (n + 1) := by
  let p := fun z i => softWeight κ (affineProcess m a z) i
  have hi (i : ι) (k : Fin (n + 1)) : Integrable (fun z => d i k * (z k * p z i))
      (standardGaussianProduct (n + 1)) := (integrable_coordinate_weight κ m a i k).const_mul _
  have hr (i : ι) (k : Fin (n + 1)) : Integrable (fun z => d i k *
      (κ * p z i * (a i k - ∑ j, p z j * a j k))) (standardGaussianProduct (n + 1)) :=
    (integrable_weight_covariance κ m a i k).const_mul _
  calc
    _ = ∫ z, ∑ i, ∑ k, d i k * (z k * p z i) ∂standardGaussianProduct (n + 1) := by
      apply integral_congr_ae
      filter_upwards [] with z
      apply Finset.sum_congr rfl
      intro i _
      rw [Finset.mul_sum]
      apply Finset.sum_congr rfl
      intro k _
      dsimp [p]
      ring
    _ = ∑ i, ∑ k, d i k * ∫ z, z k * p z i ∂standardGaussianProduct (n + 1) := by
      rw [integral_finsetSum _ (fun i _ => integrable_finsetSum _ (fun k _ => hi i k))]
      apply Finset.sum_congr rfl
      intro i _
      rw [integral_finsetSum _ (fun k _ => hi i k)]
      simp only [integral_const_mul]
    _ = ∑ i, ∑ k, d i k * ∫ z, κ * p z i * (a i k - ∑ j, p z j * a j k)
        ∂standardGaussianProduct (n + 1) := by
      apply Finset.sum_congr rfl
      intro i _
      apply Finset.sum_congr rfl
      intro k _
      rw [affine_softWeight_coordinate_IBP]
    _ = ∫ z, ∑ i, ∑ k, d i k * (κ * p z i * (a i k - ∑ j, p z j * a j k))
        ∂standardGaussianProduct (n + 1) := by
      rw [integral_finsetSum _ (fun i _ => integrable_finsetSum _ (fun k _ => hr i k))]
      apply Finset.sum_congr rfl
      intro i _
      rw [integral_finsetSum _ (fun k _ => hr i k)]
      simp only [integral_const_mul]
    _ = _ := by
      rw [← integral_const_mul]
      apply integral_congr_ae
      filter_upwards [] with z
      have he := weighted_matrix_covariance_identity (p z) a d (sum_softWeight κ _)
      calc
        _ = κ * ∑ i, ∑ k, d i k * p z i * (a i k - ∑ j, p z j * a j k) := by
          simp only [Finset.mul_sum]
          apply Finset.sum_congr rfl
          intro i _
          apply Finset.sum_congr rfl
          intro k _
          ring
        _ = _ := by rw [he]; dsimp [p]; ring

end SKRatioGaussian
end
end
end
end
end
end
end
end
end
end
end
end
end
end
end

end OAI