mathlib3 documentation

probability.kernel.composition

Product and composition of kernels #

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We define

A note on names: The composition-product kernel α β → kernel (α × β) γ → kernel α (β × γ) is named composition in [Kal21] and product on the wikipedia article on transition kernels. Most papers studying categories of kernels call composition the map we call composition. We adopt that convention because it fits better with the use of the name comp elsewhere in mathlib.

Main definitions #

Kernels built from other kernels:

Main statements #

Notations #

Composition-Product of kernels #

We define a kernel composition-product comp_prod : kernel α β → kernel (α × β) γ → kernel α (β × γ).

noncomputable def probability_theory.kernel.comp_prod_fun {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) (η : (probability_theory.kernel × β) γ)) (a : α) (s : set × γ)) :

Auxiliary function for the definition of the composition-product of two kernels. For all a : α, comp_prod_fun κ η a is a countably additive function with value zero on the empty set, and the composition-product of kernels is defined in kernel.comp_prod through measure.of_measurable.

Equations
theorem probability_theory.kernel.comp_prod_fun_empty {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) (η : (probability_theory.kernel × β) γ)) (a : α) :
theorem probability_theory.kernel.comp_prod_fun_Union {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) (η : (probability_theory.kernel × β) γ)) [probability_theory.is_s_finite_kernel η] (a : α) (f : set × γ)) (hf_meas : (i : ), measurable_set (f i)) (hf_disj : pairwise (disjoint on f)) :

Auxiliary lemma for measurable_comp_prod_fun.

Composition-Product of kernels. It verifies ∫⁻ bc, f bc ∂(comp_prod κ η a) = ∫⁻ b, ∫⁻ c, f (b, c) ∂(η (a, b)) ∂(κ a) (see lintegral_comp_prod).

Equations
Instances for probability_theory.kernel.comp_prod
theorem probability_theory.kernel.comp_prod_apply {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} {s : set × γ)} (κ : (probability_theory.kernel α β)) [probability_theory.is_s_finite_kernel κ] (η : (probability_theory.kernel × β) γ)) [probability_theory.is_s_finite_kernel η] (a : α) (hs : measurable_set s) :
((probability_theory.kernel.comp_prod κ η) a) s = ∫⁻ (b : β), (η (a, b)) {c : γ | (b, c) s} κ a
theorem probability_theory.kernel.le_comp_prod_apply {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) [probability_theory.is_s_finite_kernel κ] (η : (probability_theory.kernel × β) γ)) [probability_theory.is_s_finite_kernel η] (a : α) (s : set × γ)) :
∫⁻ (b : β), (η (a, b)) {c : γ | (b, c) s} κ a ((probability_theory.kernel.comp_prod κ η) a) s

ae filter of the composition-product #

theorem probability_theory.kernel.ae_kernel_lt_top {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} {s : set × γ)} {κ : (probability_theory.kernel α β)} [probability_theory.is_s_finite_kernel κ] {η : (probability_theory.kernel × β) γ)} [probability_theory.is_s_finite_kernel η] (a : α) (h2s : ((probability_theory.kernel.comp_prod κ η) a) s ) :
∀ᵐ (b : β) κ a, (η (a, b)) (prod.mk b ⁻¹' s) <
theorem probability_theory.kernel.comp_prod_null {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} {s : set × γ)} {κ : (probability_theory.kernel α β)} [probability_theory.is_s_finite_kernel κ] {η : (probability_theory.kernel × β) γ)} [probability_theory.is_s_finite_kernel η] (a : α) (hs : measurable_set s) :
((probability_theory.kernel.comp_prod κ η) a) s = 0 (λ (b : β), (η (a, b)) (prod.mk b ⁻¹' s)) =ᵐ[κ a] 0
theorem probability_theory.kernel.ae_null_of_comp_prod_null {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} {s : set × γ)} {κ : (probability_theory.kernel α β)} [probability_theory.is_s_finite_kernel κ] {η : (probability_theory.kernel × β) γ)} [probability_theory.is_s_finite_kernel η] {a : α} (h : ((probability_theory.kernel.comp_prod κ η) a) s = 0) :
(λ (b : β), (η (a, b)) (prod.mk b ⁻¹' s)) =ᵐ[κ a] 0
theorem probability_theory.kernel.ae_ae_of_ae_comp_prod {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} {κ : (probability_theory.kernel α β)} [probability_theory.is_s_finite_kernel κ] {η : (probability_theory.kernel × β) γ)} [probability_theory.is_s_finite_kernel η] {a : α} {p : β × γ Prop} (h : ∀ᵐ (bc : β × γ) (probability_theory.kernel.comp_prod κ η) a, p bc) :
∀ᵐ (b : β) κ a, ∀ᵐ (c : γ) η (a, b), p (b, c)

Lebesgue integral #

theorem probability_theory.kernel.lintegral_comp_prod' {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) [probability_theory.is_s_finite_kernel κ] (η : (probability_theory.kernel × β) γ)) [probability_theory.is_s_finite_kernel η] (a : α) {f : β γ ennreal} (hf : measurable (function.uncurry f)) :
∫⁻ (bc : β × γ), f bc.fst bc.snd (probability_theory.kernel.comp_prod κ η) a = ∫⁻ (b : β), ∫⁻ (c : γ), f b c η (a, b) κ a

Lebesgue integral against the composition-product of two kernels.

theorem probability_theory.kernel.lintegral_comp_prod {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) [probability_theory.is_s_finite_kernel κ] (η : (probability_theory.kernel × β) γ)) [probability_theory.is_s_finite_kernel η] (a : α) {f : β × γ ennreal} (hf : measurable f) :
∫⁻ (bc : β × γ), f bc (probability_theory.kernel.comp_prod κ η) a = ∫⁻ (b : β), ∫⁻ (c : γ), f (b, c) η (a, b) κ a

Lebesgue integral against the composition-product of two kernels.

theorem probability_theory.kernel.lintegral_comp_prod₀ {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) [probability_theory.is_s_finite_kernel κ] (η : (probability_theory.kernel × β) γ)) [probability_theory.is_s_finite_kernel η] (a : α) {f : β × γ ennreal} (hf : ae_measurable f ((probability_theory.kernel.comp_prod κ η) a)) :
∫⁻ (z : β × γ), f z (probability_theory.kernel.comp_prod κ η) a = ∫⁻ (x : β), ∫⁻ (y : γ), f (x, y) η (a, x) κ a

Lebesgue integral against the composition-product of two kernels.

theorem probability_theory.kernel.set_lintegral_comp_prod {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) [probability_theory.is_s_finite_kernel κ] (η : (probability_theory.kernel × β) γ)) [probability_theory.is_s_finite_kernel η] (a : α) {f : β × γ ennreal} (hf : measurable f) {s : set β} {t : set γ} (hs : measurable_set s) (ht : measurable_set t) :
∫⁻ (z : β × γ) in s ×ˢ t, f z (probability_theory.kernel.comp_prod κ η) a = ∫⁻ (x : β) in s, ∫⁻ (y : γ) in t, f (x, y) η (a, x) κ a
theorem probability_theory.kernel.set_lintegral_comp_prod_univ_right {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) [probability_theory.is_s_finite_kernel κ] (η : (probability_theory.kernel × β) γ)) [probability_theory.is_s_finite_kernel η] (a : α) {f : β × γ ennreal} (hf : measurable f) {s : set β} (hs : measurable_set s) :
∫⁻ (z : β × γ) in s ×ˢ set.univ, f z (probability_theory.kernel.comp_prod κ η) a = ∫⁻ (x : β) in s, ∫⁻ (y : γ), f (x, y) η (a, x) κ a
theorem probability_theory.kernel.set_lintegral_comp_prod_univ_left {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) [probability_theory.is_s_finite_kernel κ] (η : (probability_theory.kernel × β) γ)) [probability_theory.is_s_finite_kernel η] (a : α) {f : β × γ ennreal} (hf : measurable f) {t : set γ} (ht : measurable_set t) :
∫⁻ (z : β × γ) in set.univ ×ˢ t, f z (probability_theory.kernel.comp_prod κ η) a = ∫⁻ (x : β), ∫⁻ (y : γ) in t, f (x, y) η (a, x) κ a

map, comap #

noncomputable def probability_theory.kernel.map {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) (f : β γ) (hf : measurable f) :

The pushforward of a kernel along a measurable function. We include measurability in the assumptions instead of using junk values to make sure that typeclass inference can infer that the map of a Markov kernel is again a Markov kernel.

Equations
Instances for probability_theory.kernel.map
theorem probability_theory.kernel.map_apply {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} {f : β γ} (κ : (probability_theory.kernel α β)) (hf : measurable f) (a : α) :
theorem probability_theory.kernel.map_apply' {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} {f : β γ} (κ : (probability_theory.kernel α β)) (hf : measurable f) (a : α) {s : set γ} (hs : measurable_set s) :
theorem probability_theory.kernel.lintegral_map {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} {f : β γ} (κ : (probability_theory.kernel α β)) (hf : measurable f) (a : α) {g' : γ ennreal} (hg : measurable g') :
∫⁻ (b : γ), g' b (probability_theory.kernel.map κ f hf) a = ∫⁻ (a : β), g' (f a) κ a
def probability_theory.kernel.comap {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) (g : γ α) (hg : measurable g) :

Pullback of a kernel, such that for each set s comap κ g hg c s = κ (g c) s. We include measurability in the assumptions instead of using junk values to make sure that typeclass inference can infer that the comap of a Markov kernel is again a Markov kernel.

Equations
Instances for probability_theory.kernel.comap
theorem probability_theory.kernel.comap_apply {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} {g : γ α} (κ : (probability_theory.kernel α β)) (hg : measurable g) (c : γ) :
theorem probability_theory.kernel.comap_apply' {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} {g : γ α} (κ : (probability_theory.kernel α β)) (hg : measurable g) (c : γ) (s : set β) :
((probability_theory.kernel.comap κ g hg) c) s = (κ (g c)) s
theorem probability_theory.kernel.lintegral_comap {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} {g : γ α} (κ : (probability_theory.kernel α β)) (hg : measurable g) (c : γ) (g' : β ennreal) :
∫⁻ (b : β), g' b (probability_theory.kernel.comap κ g hg) c = ∫⁻ (b : β), g' b κ (g c)
theorem probability_theory.kernel.prod_mk_left_apply {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) (ca : γ × α) :
theorem probability_theory.kernel.prod_mk_left_apply' {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) (ca : γ × α) (s : set β) :
theorem probability_theory.kernel.lintegral_prod_mk_left {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) (ca : γ × α) (g : β ennreal) :
∫⁻ (b : β), g b (probability_theory.kernel.prod_mk_left γ κ) ca = ∫⁻ (b : β), g b κ ca.snd
theorem probability_theory.kernel.swap_left_apply {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel × β) γ)) (a : β × α) :
theorem probability_theory.kernel.swap_left_apply' {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel × β) γ)) (a : β × α) (s : set γ) :
theorem probability_theory.kernel.lintegral_swap_left {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel × β) γ)) (a : β × α) (g : γ ennreal) :
noncomputable def probability_theory.kernel.swap_right {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α × γ))) :

Define a kernel α (γ × β) from a kernel α (β × γ) by taking the map of prod.swap.

Equations
Instances for probability_theory.kernel.swap_right
theorem probability_theory.kernel.swap_right_apply' {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α × γ))) (a : α) {s : set × β)} (hs : measurable_set s) :
((probability_theory.kernel.swap_right κ) a) s = (κ a) {p : β × γ | p.swap s}
theorem probability_theory.kernel.lintegral_swap_right {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α × γ))) (a : α) {g : γ × β ennreal} (hg : measurable g) :
∫⁻ (c : γ × β), g c (probability_theory.kernel.swap_right κ) a = ∫⁻ (bc : β × γ), g bc.swap κ a
noncomputable def probability_theory.kernel.fst {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α × γ))) :

Define a kernel α β from a kernel α (β × γ) by taking the map of the first projection.

Equations
Instances for probability_theory.kernel.fst
theorem probability_theory.kernel.fst_apply {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α × γ))) (a : α) :
theorem probability_theory.kernel.fst_apply' {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α × γ))) (a : α) {s : set β} (hs : measurable_set s) :
((probability_theory.kernel.fst κ) a) s = (κ a) {p : β × γ | p.fst s}
theorem probability_theory.kernel.lintegral_fst {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α × γ))) (a : α) {g : β ennreal} (hg : measurable g) :
∫⁻ (c : β), g c (probability_theory.kernel.fst κ) a = ∫⁻ (bc : β × γ), g bc.fst κ a
noncomputable def probability_theory.kernel.snd {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α × γ))) :

Define a kernel α γ from a kernel α (β × γ) by taking the map of the second projection.

Equations
Instances for probability_theory.kernel.snd
theorem probability_theory.kernel.snd_apply {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α × γ))) (a : α) :
theorem probability_theory.kernel.snd_apply' {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α × γ))) (a : α) {s : set γ} (hs : measurable_set s) :
((probability_theory.kernel.snd κ) a) s = (κ a) {p : β × γ | p.snd s}
theorem probability_theory.kernel.lintegral_snd {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α × γ))) (a : α) {g : γ ennreal} (hg : measurable g) :
∫⁻ (c : γ), g c (probability_theory.kernel.snd κ) a = ∫⁻ (bc : β × γ), g bc.snd κ a

Composition of two kernels #

noncomputable def probability_theory.kernel.comp {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (η : (probability_theory.kernel β γ)) (κ : (probability_theory.kernel α β)) :

Composition of two s-finite kernels.

Equations
Instances for probability_theory.kernel.comp
theorem probability_theory.kernel.comp_apply {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (η : (probability_theory.kernel β γ)) (κ : (probability_theory.kernel α β)) (a : α) :
theorem probability_theory.kernel.comp_apply' {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (η : (probability_theory.kernel β γ)) (κ : (probability_theory.kernel α β)) (a : α) {s : set γ} (hs : measurable_set s) :
((probability_theory.kernel.comp η κ) a) s = ∫⁻ (b : β), (η b) s κ a
theorem probability_theory.kernel.lintegral_comp {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (η : (probability_theory.kernel β γ)) (κ : (probability_theory.kernel α β)) (a : α) {g : γ ennreal} (hg : measurable g) :
∫⁻ (c : γ), g c (probability_theory.kernel.comp η κ) a = ∫⁻ (b : β), ∫⁻ (c : γ), g c η b κ a

Product of two kernels #

theorem probability_theory.kernel.prod_apply {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) [probability_theory.is_s_finite_kernel κ] (η : (probability_theory.kernel α γ)) [probability_theory.is_s_finite_kernel η] (a : α) {s : set × γ)} (hs : measurable_set s) :
((probability_theory.kernel.prod κ η) a) s = ∫⁻ (b : β), (η a) {c : γ | (b, c) s} κ a
theorem probability_theory.kernel.lintegral_prod {α : Type u_1} {β : Type u_2} {mα : measurable_space α} {mβ : measurable_space β} {γ : Type u_4} {mγ : measurable_space γ} (κ : (probability_theory.kernel α β)) [probability_theory.is_s_finite_kernel κ] (η : (probability_theory.kernel α γ)) [probability_theory.is_s_finite_kernel η] (a : α) {g : β × γ ennreal} (hg : measurable g) :
∫⁻ (c : β × γ), g c (probability_theory.kernel.prod κ η) a = ∫⁻ (b : β), ∫⁻ (c : γ), g (b, c) η a κ a