Generalize operations of random variables and add trans_RV_unif and neg_RV_unif

_CoqProject

@@ -8,8 +8,10 @@ lib/ssrZ.v
 lib/ssrR.v
 lib/realType_ext.v
 lib/Reals_ext.v
+lib/realType_logb.v
 lib/logb.v
 lib/Ranalysis_ext.v
+lib/derive_ext.v
 lib/ssr_ext.v
 lib/f2.v
 lib/ssralg_ext.v

changelog.txt

@@ -1,4 +1,14 @@
 
+* added:
+- in ssralg_ext.v
+  + lemmas mulr_regl, mulr_regr
+- in realType_ext.v
+  + lemmas x_x2_eq, x_x2_max, x_x2_pos, x_x2_nneg, expR1_gt2
+- new file derive_ext.v
+  + lemmas differentiable_{ln, Log}
+  + lemmas is_derive{D, B, N, M, V, Z, X, _sum}_eq
+  + lemmas is_derive1_{lnf, lnf_eq, Logf, Logf_eq, LogfM, LogfM_eq, LogfV, LogfV_eq}
+  + lemmas derivable1_mono, derivable1_homo
 
 - lemma `conv_pt_cset_is_convex` changed into a `Let`
 

information_theory/aep.v

@@ -2,9 +2,8 @@
 (* Copyright (C) 2020 infotheo authors, license: LGPL-2.1-or-later            *)
 From mathcomp Require Import all_ssreflect ssralg ssrnum matrix.
 From mathcomp Require boolp.
-Require Import Reals.
-From mathcomp Require Import Rstruct.
-Require Import ssrR Reals_ext realType_ext ssr_ext bigop_ext ssralg_ext logb.
+From mathcomp Require Import reals exp Rstruct.
+Require Import realType_ext ssr_ext bigop_ext ssralg_ext realType_logb.
 Require Import fdist proba entropy.
 
 (******************************************************************************)
@@ -26,62 +25,64 @@ Local Open Scope entropy_scope.
 Local Open Scope ring_scope.
 Local Open Scope vec_ext_scope.
 
+Import Order.POrderTheory GRing.Theory Num.Theory.
+
 Section mlog_prop.
-Variables (A : finType) (P : {fdist A}).
-Local Open Scope R_scope.
+Context {R : realType}.
+Variables (A : finType) (P : R.-fdist A).
 
-Definition aep_sigma2 := `E ((`-- (`log P)) `^2) - (`H P)^2.
+Definition aep_sigma2 : R := `E ((`-- (`log P)) `^2) - (`H P)^+2.
 
-Lemma aep_sigma2E : aep_sigma2 = \sum_(a in A) P a * (log (P a))^2 - (`H P)^2.
+Lemma aep_sigma2E : aep_sigma2 = \sum_(a in A) P a * (log (P a))^+2 - (`H P)^+2.
 Proof.
 rewrite /aep_sigma2 /Ex [in LHS]/log_RV /sq_RV /comp_RV.
-by under eq_bigr do rewrite mulRC /ambient_dist -mulRR Rmult_opp_opp mulRR.
+by under eq_bigr do rewrite mulrC /ambient_dist expr2 mulrNN -expr2.
 Qed.
 
 Lemma V_mlog : `V (`-- (`log P)) = aep_sigma2.
 Proof.
 rewrite aep_sigma2E /Var E_trans_RV_id_rem -entropy_Ex.
 transitivity
-    (\sum_(a in A) ((- log (P a))^2 * P a - 2 * `H P * - log (P a) * P a +
-                    `H P ^ 2 * P a))%R.
+    (\sum_(a in A) ((- log (P a))^+2 * P a - 2 * `H P * - log (P a) * P a +
+                    `H P ^+ 2 * P a))%R.
   apply eq_bigr => a _.
   rewrite /scalel_RV /log_RV /neg_RV /trans_add_RV /sq_RV /comp_RV /= /sub_RV.
-  by rewrite /ambient_dist; field.
-rewrite big_split /= big_split /= -big_distrr /= (FDist.f1 P) mulR1.
-rewrite (_ : \sum_(a in A) - _ = - (2 * `H P ^ 2))%R; last first.
-  rewrite -{1}big_morph_oppR; congr (- _)%R.
+  by rewrite /ambient_dist -!mulrBl -mulrDl.
+rewrite big_split /= big_split /= -big_distrr /= (FDist.f1 P) mulr1.
+rewrite (_ : \sum_(a in A) - _ = - (2 * `H P ^+ 2))%R; last first.
+  rewrite -{1}big_morph_oppr; congr (- _)%R.
   rewrite [X in X = _](_ : _ =
     \sum_(a in A) (2 * `H P) * (- (P a * log (P a))))%R; last first.
-    by apply eq_bigr => a _; rewrite -!mulRA (mulRC (P a)) mulNR.
-  rewrite -big_distrr [in LHS]/= -{1}big_morph_oppR.
-  by rewrite -/(entropy P) -mulRA /= mulR1.
+    by apply eq_bigr => a _; rewrite (mulrC (P a)) -[in RHS]mulNr mulrA.
+  rewrite -big_distrr [in LHS]/= -{1}big_morph_oppr.
+  by rewrite -/(entropy P) expr2 mulrA.
 set s := ((\sum_(a in A ) _)%R in LHS).
-rewrite (_ : \sum_(a in A) _ = s)%R; last by apply eq_bigr => a _; field.
-rewrite RpowE GRing.expr2 -!RmultE mulR1.
-field.
+rewrite (_ : \sum_(a in A) _ = s)%R; last first.
+  by apply eq_bigr => a _; rewrite sqrrN mulrC.
+by rewrite (mulr_natl _ 2) mulr2n opprD addrA subrK.
 Qed.
 
 Lemma aep_sigma2_ge0 : 0 <= aep_sigma2.
-Proof. rewrite -V_mlog /Var; apply Ex_ge0 => ?; exact: pow_even_ge0. Qed.
-
+Proof. by rewrite -V_mlog /Var; apply: Ex_ge0 => ?; exact: sq_RV_ge0. Qed.
 End mlog_prop.
 
-Definition sum_mlog_prod (A : finType) (P : {fdist A}) n : {RV (P `^ n) -> R} :=
-  (fun t => \sum_(i < n) - log (P t ``_ i))%R.
+Definition sum_mlog_prod {R : realType} (A : finType) (P : R.-fdist A) n :
+    {RV ((P `^ n)%fdist)-> R} :=
+  (fun t => \sum_(i < n) - log (P (t ``_ i)))%R.
 
-Arguments sum_mlog_prod {A} _ _.
+Arguments sum_mlog_prod {R} {A} _ _.
 
-Lemma sum_mlog_prod_sum_map_mlog (A : finType) (P : {fdist A}) n :
+Lemma sum_mlog_prod_sum_map_mlog {R : realType} (A : finType) (P : R.-fdist A) n :
   sum_mlog_prod P n.+1 \=sum (\row_(i < n.+1) `-- (`log P)).
 Proof.
 elim : n => [|n IH].
-- move: (@sum_n_1 A P (\row_i `-- (`log P))).
+- move: (@sum_n_1 _ A P (\row_i `-- (`log P))).
   set mlogP := cast_fun_rV10 _.
   move => HmlogP.
-  set mlogprodP := @sum_mlog_prod _ _ 1.
+  set mlogprodP := @sum_mlog_prod _ _ _ 1.
   suff -> : mlogprodP = mlogP by [].
   rewrite /mlogprodP /mlogP /sum_mlog_prod /cast_fun_rV10 /= mxE /=.
-  by rewrite boolp.funeqE => ta; rewrite big_ord_recl big_ord0 addR0.
+  by rewrite boolp.funeqE => ta; rewrite big_ord_recl big_ord0 addr0.
 - rewrite [X in _ \=sum X](_ : _ =
       row_mx (\row_(i < 1) (`-- (`log P))) (\row_(i < n.+1) `-- (`log P))); last first.
     apply/rowP => b; rewrite !mxE; case: splitP.
@@ -93,55 +94,55 @@ elim : n => [|n IH].
 Qed.
 
 Section aep_k0_constant.
-Local Open Scope R_scope.
-Variables (A : finType) (P : {fdist A}).
+Context {R : realType}.
+Variables (A : finType) (P : R.-fdist A).
 
-Definition aep_bound epsilon := (aep_sigma2 P / epsilon ^ 3)%R.
+Definition aep_bound epsilon : R := (aep_sigma2 P / epsilon ^+ 3)%R.
 
 Lemma aep_bound_ge0 e (_ : 0 < e) : 0 <= aep_bound e.
-Proof. apply divR_ge0; [exact: aep_sigma2_ge0 | exact/pow_lt]. Qed.
+Proof. by apply divr_ge0; [exact: aep_sigma2_ge0 | apply/exprn_ge0/ltW]. Qed.
 
 Lemma aep_bound_decreasing e e' : 0 < e' <= e -> aep_bound e <= aep_bound e'.
 Proof.
-case=> Oe' e'e.
-apply leR_wpmul2l; first exact: aep_sigma2_ge0.
-apply leR_inv => //; first exact/pow_lt.
-apply pow_incr => //; split; [exact/ltRW | exact/e'e ].
+case/andP=> Oe' e'e.
+apply ler_wpM2l; first exact: aep_sigma2_ge0.
+rewrite lef_pV2 ?posrE; [|apply/exprn_gt0..] => //; last first.
+  by rewrite (lt_le_trans _ e'e).
+by rewrite lerXn2r// ?nnegrE ltW// (lt_le_trans _ e'e).
 Qed.
 
 End aep_k0_constant.
 
-
 Section AEP.
-Local Open Scope R_scope.
-Variables (A : finType) (P : {fdist A}) (n : nat) (epsilon : R).
+Context {R : realType}.
+Variables (A : finType) (P : R.-fdist A) (n : nat) (epsilon : R).
 Hypothesis Hepsilon : 0 < epsilon.
 
 Lemma aep : aep_bound P epsilon <= n.+1%:R ->
-  Pr (P `^ n.+1) [set t | (0 < P `^ n.+1 t)%mcR &&
-    (`| (`-- (`log (P `^ n.+1)) `/ n.+1) t - `H P | >= epsilon)%mcR ] <= epsilon.
+  Pr (P `^ n.+1)%fdist [set t | (0 < (P `^ n.+1)%fdist t) &&
+    (`| (`-- (`log (P `^ n.+1)%fdist) `/ n.+1) t - `H P | >= epsilon)%mcR ] <= epsilon.
 Proof.
 move=> Hbound.
-apply (@leR_trans (aep_sigma2 P / (n.+1%:R * epsilon ^ 2))); last first.
+apply (@le_trans _ _ (aep_sigma2 P / (n.+1%:R * epsilon ^+ 2))); last first.
   rewrite /aep_bound in Hbound.
-  apply (@leR_wpmul2r (epsilon / n.+1%:R)) in Hbound; last first.
-    apply divR_ge0; [exact/ltRW/Hepsilon | exact/ltR0n].
-  rewrite [in X in _ <= X]mulRCA mulRV ?INR_eq0' // ?mulR1 in Hbound.
-  apply/(leR_trans _ Hbound)/Req_le; field.
-  by split; [by rewrite INR_eq0 | exact/eqP/gtR_eqF].
+  apply (@ler_wpM2r _ (epsilon / n.+1%:R)) in Hbound; last first.
+    by rewrite divr_ge0// ltW.
+  rewrite [in X in _ <= X]mulrCA mulfV ?pnatr_eq0// ?mulr1 in Hbound.
+  apply/(le_trans _ Hbound).
+  rewrite [in leRHS]mulrA [in leRHS]exprSr [in leRHS]invfM.
+  rewrite -3![in leRHS]mulrA  (mulrA epsilon^-1) mulVf ?gt_eqF// mul1r.
+  by rewrite (mulrC (n.+1%:R)) invfM.
 have Hsum := sum_mlog_prod_sum_map_mlog P n.
 have H1 k i : `E ((\row_(i < k.+1) `-- (`log P)) ``_ i) = `H P.
   by rewrite mxE entropy_Ex.
 have H2 k i : `V ((\row_(i < k.+1) `-- (`log P)) ``_ i) = aep_sigma2 P.
   by rewrite mxE V_mlog.
 have {H1 H2} := (wlln (H1 n) (H2 n) Hsum Hepsilon).
-move/(leR_trans _); apply.
+move/(le_trans _); apply.
 apply/subset_Pr/subsetP => ta; rewrite 2!inE => /andP[H1].
-rewrite /sum_mlog_prod [`-- (`log _)]lock /= -lock /= /scalel_RV /log_RV /neg_RV.
-rewrite fdist_rVE.
-rewrite log_prodR_sumR_mlog //.
-move=> i; apply/RltP.
-move: i; apply/prod_gt0_inv.
+rewrite /sum_mlog_prod [`-- (`log _)]lock /= -lock /scalel_RV /log_RV /neg_RV/=.
+rewrite fdist_rVE log_prodr_sumr_mlog //.
+apply/prod_gt0_inv.
   by move=> x; exact: FDist.ge0.
 by move: H1; rewrite fdist_rVE.
 Qed.