Markov Kernels #
A kernel from a measurable space α
to another measurable space β
is a measurable map
α → MeasureTheory.Measure β
, where the measurable space instance on measure β
is the one defined
in MeasureTheory.Measure.instMeasurableSpace
. That is, a kernel κ
verifies that for all
measurable sets s
of β
, a ↦ κ a s
is measurable.
Main definitions #
Classes of kernels:
ProbabilityTheory.Kernel α β
: kernels fromα
toβ
.ProbabilityTheory.IsMarkovKernel κ
: a kernel fromα
toβ
is said to be a Markov kernel if for alla : α
,k a
is a probability measure.ProbabilityTheory.IsZeroOrMarkovKernel κ
: a kernel fromα
toβ
which is zero or a Markov kernel.ProbabilityTheory.IsFiniteKernel κ
: a kernel fromα
toβ
is said to be finite if there existsC : ℝ≥0∞
such thatC < ∞
and for alla : α
,κ a univ ≤ C
. This implies in particular that all measures in the image ofκ
are finite, but is stronger since it requires a uniform bound. This stronger condition is necessary to ensure that the composition of two finite kernels is finite.ProbabilityTheory.IsSFiniteKernel κ
: a kernel is called s-finite if it is a countable sum of finite kernels.
Main statements #
ProbabilityTheory.Kernel.ext_fun
: if∫⁻ b, f b ∂(κ a) = ∫⁻ b, f b ∂(η a)
for all measurable functionsf
and alla
, then the two kernelsκ
andη
are equal.
A kernel from a measurable space α
to another measurable space β
is a measurable function
κ : α → Measure β
. The measurable space structure on MeasureTheory.Measure β
is given by
MeasureTheory.Measure.instMeasurableSpace
. A map κ : α → MeasureTheory.Measure β
is measurable
iff ∀ s : Set β, MeasurableSet s → Measurable (fun a ↦ κ a s)
.
- toFun : α → MeasureTheory.Measure β
The underlying function of a kernel.
Do not use this function directly. Instead use the coercion coming from the
DFunLike
instance. - measurable' : Measurable self.toFun
A kernel is a measurable map.
Do not use this lemma directly. Use
Kernel.measurable
instead.
Instances For
Alias of ProbabilityTheory.Kernel
.
A kernel from a measurable space α
to another measurable space β
is a measurable function
κ : α → Measure β
. The measurable space structure on MeasureTheory.Measure β
is given by
MeasureTheory.Measure.instMeasurableSpace
. A map κ : α → MeasureTheory.Measure β
is measurable
iff ∀ s : Set β, MeasurableSet s → Measurable (fun a ↦ κ a s)
.
Instances For
Notation for Kernel
with respect to a non-standard σ-algebra in the domain.
Equations
- One or more equations did not get rendered due to their size.
Instances For
Notation for Kernel
with respect to a non-standard σ-algebra in the domain and codomain.
Equations
- One or more equations did not get rendered due to their size.
Instances For
Equations
- ProbabilityTheory.Kernel.instFunLike = { coe := ProbabilityTheory.Kernel.toFun, coe_injective' := ⋯ }
Equations
- ProbabilityTheory.Kernel.instZero = { zero := { toFun := 0, measurable' := ⋯ } }
Equations
- ProbabilityTheory.Kernel.instAdd = { add := fun (κ η : ProbabilityTheory.Kernel α β) => { toFun := ⇑κ + ⇑η, measurable' := ⋯ } }
Equations
- ProbabilityTheory.Kernel.instSMulNat = { smul := fun (n : ℕ) (κ : ProbabilityTheory.Kernel α β) => { toFun := n • ⇑κ, measurable' := ⋯ } }
Equations
- ProbabilityTheory.Kernel.instAddCommMonoid = Function.Injective.addCommMonoid (fun (f : ProbabilityTheory.Kernel α β) => ⇑f) ⋯ ⋯ ⋯ ⋯
Equations
- ProbabilityTheory.Kernel.instPartialOrder = PartialOrder.lift (fun (f : ProbabilityTheory.Kernel α β) => ⇑f) ⋯
Equations
- ProbabilityTheory.Kernel.instOrderBot = OrderBot.mk ⋯
Coercion to a function as an additive monoid homomorphism.
Equations
- ProbabilityTheory.Kernel.coeAddHom α β = { toFun := DFunLike.coe, map_zero' := ⋯, map_add' := ⋯ }
Instances For
A kernel is a Markov kernel if every measure in its image is a probability measure.
- isProbabilityMeasure (a : α) : MeasureTheory.IsProbabilityMeasure (κ a)
Instances
A class for kernels which are zero or a Markov kernel.
- eq_zero_or_isMarkovKernel' : κ = 0 ∨ ProbabilityTheory.IsMarkovKernel κ
Instances
A kernel is finite if every measure in its image is finite, with a uniform bound.
Instances
A constant C : ℝ≥0∞
such that C < ∞
(ProbabilityTheory.IsFiniteKernel.bound_lt_top κ
) and
for all a : α
and s : Set β
, κ a s ≤ C
(ProbabilityTheory.Kernel.measure_le_bound κ a s
).
Porting note (https://github.com/leanprover-community/mathlib4/issues/11215): TODO: does it make sense to
-- make ProbabilityTheory.IsFiniteKernel.bound
the least possible bound?
-- Should it be an NNReal
number?
Equations
- ProbabilityTheory.IsFiniteKernel.bound κ = ⋯.choose
Instances For
Sum of an indexed family of kernels.
Equations
- ProbabilityTheory.Kernel.sum κ = { toFun := fun (a : α) => MeasureTheory.Measure.sum fun (n : ι) => (κ n) a, measurable' := ⋯ }
Instances For
A kernel is s-finite if it can be written as the sum of countably many finite kernels.
- tsum_finite : ∃ (κs : ℕ → ProbabilityTheory.Kernel α β), (∀ (n : ℕ), ProbabilityTheory.IsFiniteKernel (κs n)) ∧ κ = ProbabilityTheory.Kernel.sum κs
Instances
A sequence of finite kernels such that κ = ProbabilityTheory.Kernel.sum (seq κ)
. See
ProbabilityTheory.Kernel.isFiniteKernel_seq
and ProbabilityTheory.Kernel.kernel_sum_seq
.
Equations
- κ.seq = ⋯.choose