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Measure-Theoretic Probability I
Measure-Theoretic Probability I Steven P.Lalley Winter 2017 1 1 Measure Theory 1.1 Why Measure Theory? There are two different views – not necessarily exclusive – on what “probability” means: the subjectivist view and the frequentist view. To the subjectivist, probability is a system of laws that should govern a rational person’s behavior in situations where a bet must be placed (not necessarily just in a casino, but in situations where a decision must be made about how to proceed when only imperfect information about the outcome of the decision is available, for instance, should I allow Dr. Scissorhands to replace my arthritic knee by a plastic joint?). To the frequentist, the laws of probability describe the long- run relative frequencies of different events in “experiments” that can be repeated under roughly identical conditions, for instance, rolling a pair of dice. For the frequentist inter- pretation, it is imperative that probability spaces be large enough to allow a description of an experiment, like dice-rolling, that is repeated infinitely many times, and that the mathematical laws should permit easy handling of limits, so that one can make sense of things like “the probability that the long-run fraction of dice rolls where the two dice sum to 7 is 1/6”. But even for the subjectivist, the laws of probability should allow for description of situations where there might be a continuum of possible outcomes, or pos- sible actions to be taken. Once one is reconciled to the need for such flexibility, it soon becomes apparent that measure theory (the theory of countably additive, as opposed to merely finitely additive measures) is the only way to go. -
Iasinstitute for Advanced Study
IAInsti tSute for Advanced Study Faculty and Members 2012–2013 Contents Mission and History . 2 School of Historical Studies . 4 School of Mathematics . 21 School of Natural Sciences . 45 School of Social Science . 62 Program in Interdisciplinary Studies . 72 Director’s Visitors . 74 Artist-in-Residence Program . 75 Trustees and Officers of the Board and of the Corporation . 76 Administration . 78 Past Directors and Faculty . 80 Inde x . 81 Information contained herein is current as of September 24, 2012. Mission and History The Institute for Advanced Study is one of the world’s leading centers for theoretical research and intellectual inquiry. The Institute exists to encourage and support fundamental research in the sciences and human - ities—the original, often speculative thinking that produces advances in knowledge that change the way we understand the world. It provides for the mentoring of scholars by Faculty, and it offers all who work there the freedom to undertake research that will make significant contributions in any of the broad range of fields in the sciences and humanities studied at the Institute. Y R Founded in 1930 by Louis Bamberger and his sister Caroline Bamberger O Fuld, the Institute was established through the vision of founding T S Director Abraham Flexner. Past Faculty have included Albert Einstein, I H who arrived in 1933 and remained at the Institute until his death in 1955, and other distinguished scientists and scholars such as Kurt Gödel, George F. D N Kennan, Erwin Panofsky, Homer A. Thompson, John von Neumann, and A Hermann Weyl. N O Abraham Flexner was succeeded as Director in 1939 by Frank Aydelotte, I S followed by J. -
Curriculum Vitae
Massachusetts Institute of Technology School of Engineering Faculty Personnel Record Date: April 1, 2020 Full Name: Charles E. Leiserson Department: Electrical Engineering and Computer Science 1. Date of Birth November 10, 1953 2. Citizenship U.S.A. 3. Education School Degree Date Yale University B. S. (cum laude) May 1975 Carnegie-Mellon University Ph.D. Dec. 1981 4. Title of Thesis for Most Advanced Degree Area-Efficient VLSI Computation 5. Principal Fields of Interest Analysis of algorithms Caching Compilers and runtime systems Computer chess Computer-aided design Computer network architecture Digital hardware and computing machinery Distance education and interaction Fast artificial intelligence Leadership skills for engineering and science faculty Multicore computing Parallel algorithms, architectures, and languages Parallel and distributed computing Performance engineering Scalable computing systems Software performance engineering Supercomputing Theoretical computer science MIT School of Engineering Faculty Personnel Record — Charles E. Leiserson 2 6. Non-MIT Experience Position Date Founder, Chairman of the Board, and Chief Technology Officer, Cilk Arts, 2006 – 2009 Burlington, Massachusetts Director of System Architecture, Akamai Technologies, Cambridge, 1999 – 2001 Massachusetts Shaw Visiting Professor, National University of Singapore, Republic of 1995 – 1996 Singapore Network Architect for Connection Machine Model CM-5 Supercomputer, 1989 – 1990 Thinking Machines Programmer, Computervision Corporation, Bedford, Massachusetts 1975 -
Measure Theory and Probability
Measure theory and probability Alexander Grigoryan University of Bielefeld Lecture Notes, October 2007 - February 2008 Contents 1 Construction of measures 3 1.1Introductionandexamples........................... 3 1.2 σ-additive measures ............................... 5 1.3 An example of using probability theory . .................. 7 1.4Extensionofmeasurefromsemi-ringtoaring................ 8 1.5 Extension of measure to a σ-algebra...................... 11 1.5.1 σ-rings and σ-algebras......................... 11 1.5.2 Outermeasure............................. 13 1.5.3 Symmetric difference.......................... 14 1.5.4 Measurable sets . ............................ 16 1.6 σ-finitemeasures................................ 20 1.7Nullsets..................................... 23 1.8 Lebesgue measure in Rn ............................ 25 1.8.1 Productmeasure............................ 25 1.8.2 Construction of measure in Rn. .................... 26 1.9 Probability spaces ................................ 28 1.10 Independence . ................................. 29 2 Integration 38 2.1 Measurable functions.............................. 38 2.2Sequencesofmeasurablefunctions....................... 42 2.3 The Lebesgue integral for finitemeasures................... 47 2.3.1 Simplefunctions............................ 47 2.3.2 Positivemeasurablefunctions..................... 49 2.3.3 Integrablefunctions........................... 52 2.4Integrationoversubsets............................ 56 2.5 The Lebesgue integral for σ-finitemeasure................. -
An Approximate Logic for Measures
AN APPROXIMATE LOGIC FOR MEASURES ISAAC GOLDBRING AND HENRY TOWSNER Abstract. We present a logical framework for formalizing connections be- tween finitary combinatorics and measure theory or ergodic theory that have appeared in various places throughout the literature. We develop the basic syntax and semantics of this logic and give applications, showing that the method can express the classic Furstenberg correspondence as well as provide short proofs of the Szemer´edi Regularity Lemma and the hypergraph removal lemma. We also derive some connections between the model-theoretic notion of stability and the Gowers uniformity norms from combinatorics. 1. Introduction Since the 1970’s, diagonalization arguments (and their generalization to ul- trafilters) have been used to connect results in finitary combinatorics with results in measure theory or ergodic theory [14]. Although it has long been known that this connection can be described with first-order logic, a recent striking paper by Hrushovski [22] demonstrated that modern developments in model theory can be used to give new substantive results in this area as well. Papers on various aspects of this interaction have been published from a va- riety of perspectives, with almost as wide a variety of terminology [30, 10, 9, 1, 32, 13, 4]. Our goal in this paper is to present an assortment of these techniques in a common framework. We hope this will make the entire area more accessible. We are typically concerned with the situation where we wish to prove a state- ment 1) about sufficiently large finite structures which 2) concerns the finite analogs of measure-theoretic notions such as density or integrals. -
Jelani Nelson Current Position Previous Positions Education
Jelani Nelson Curriculum Vitae John A. Paulson School of Engineering and Applied Sciences Tel: (617) 496-1440 Maxwell Dworkin 125 Fax: (617) 496-3012 33 Oxford St. [email protected] Cambridge, MA 02138 http://people.seas.harvard.edu/~minilek/ Current Position Harvard University Cambridge, MA • John L. Loeb Associate Professor of Engineering and Applied Sciences, Jul 2017{present • Associate Professor of Computer Science, Jul 2017{present Previous Positions Harvard University Cambridge, MA • Assistant Professor of Computer Science, Jul 2013{Jun 2017 Institute for Advanced Study Princeton, NJ • Member, Sep 2012{Jun 2013 • Mentor: Avi Wigderson Princeton University Princeton, NJ • Postdoctoral fellow, Center for Computational Intractibility, Jan 2012{Aug 2012 Mathematical Sciences Research Institute Berkeley, CA • Postdoctoral fellow, Program in Quantitative Geometry, Aug 2011{Dec 2011 • Mentor: Adam Klivans Education Massachusetts Institute of Technology Cambridge, MA • Ph.D. in Computer Science, June 2011. • Advisors: Professor Erik D. Demaine, Professor Piotr Indyk. • Thesis: Sketching and Streaming High-Dimensional Vectors. Massachusetts Institute of Technology Cambridge, MA • M.Eng. in Computer Science, June 2006. • Advisors: Dr. Bradley C. Kuszmaul, Professor Charles E. Leiserson. • Thesis: External-Memory Search Trees with Fast Insertions. Massachusetts Institute of Technology Cambridge, MA • S.B. in Computer Science, June 2005. • S.B. in Mathematics, June 2005. Honors • Presidential Early Career Award for Scientists and Engineers (PECASE), 2017. • Alfred P. Sloan Research Fellow, 2017. • ONR Director of Research Early Career Grant, 2017{2022. • Harvard University Clark Fund Award, 2017. • ONR Young Investigator Award, 2015{2018. • NSF Early Career Development (CAREER) Award, 2014{2019. • George M. Sprowls Award, given for best doctoral theses in computer science at MIT, 2011. -
21 TOPOLOGICAL METHODS in DISCRETE GEOMETRY Rade T
21 TOPOLOGICAL METHODS IN DISCRETE GEOMETRY Rade T. Zivaljevi´cˇ INTRODUCTION A problem is solved or some other goal achieved by “topological methods” if in our arguments we appeal to the “form,” the “shape,” the “global” rather than “local” structure of the object or configuration space associated with the phenomenon we are interested in. This configuration space is typically a manifold or a simplicial complex. The global properties of the configuration space are usually expressed in terms of its homology and homotopy groups, which capture the idea of the higher (dis)connectivity of a geometric object and to some extent provide “an analysis properly geometric or linear that expresses location directly as algebra expresses magnitude.”1 Thesis: Any global effect that depends on the object as a whole and that cannot be localized is of homological nature, and should be amenable to topological methods. HOW IS TOPOLOGY APPLIED IN DISCRETE GEOMETRIC PROBLEMS? In this chapter we put some emphasis on the role of equivariant topological methods in solving combinatorial or discrete geometric problems that have proven to be of relevance for computational geometry and topological combinatorics and with some impact on computational mathematics in general. The versatile configuration space/test map scheme (CS/TM) was developed in numerous research papers over the years and formally codified in [Ziv98].ˇ Its essential features are summarized as follows: CS/TM-1: The problem is rephrased in topological terms. The problem should give us a clue how to define a “natural” configuration space X and how to rephrase the question in terms of zeros or coincidences of the associated test maps. -
1. Σ-Algebras Definition 1. Let X Be Any Set and Let F Be a Collection Of
1. σ-algebras Definition 1. Let X be any set and let F be a collection of subsets of X. We say that F is a σ-algebra (on X), if it satisfies the following. (1) X 2 F. (2) If A 2 F, then Ac 2 F. 1 (3) If A1;A2; · · · 2 F, a countable collection, then [n=1An 2 F. In the above situation, the elements of F are called measurable sets and X (or more precisely (X; F)) is called a measurable space. Example 1. For any set X, P(X), the set of all subsets of X is a σ-algebra and so is F = f;;Xg. Theorem 1. Let X be any set and let G be any collection of subsets of X. Then there exists a σ-algebra, containing G and smallest with respect to inclusion. Proof. Let S be the collection of all σ-algebras containing G. This set is non-empty, since P(X) 2 S. Then F = \A2SA can easily be checked to have all the properties asserted in the theorem. Remark 1. In the above situation, F is called the σ-algebra generated by G. Definition 2. Let X be a topological space (for example, a metric space) and let B be the σ-algebra generated by the set of all open sets of X. The elements of B are called Borel sets and (X; B), a Borel measurable space. Definition 3. Let (X; F) be a measurable space and let Y be any topo- logical space and let f : X ! Y be any function. -
Measure and Integration
Chapter 5 Measure and integration In calculus you have learned how to calculate the size of different kinds of sets: the length of a curve, the area of a region or a surface, the volume or mass of a solid. In probability theory and statistics you have learned how to compute the size of other kinds of sets: the probability that certain events happen or do not happen. In this chapter we shall develop a general theory for the size of sets, a theory that covers all the examples above and many more. Just as the concept of a metric space gave us a general setting for discussing the notion of distance, the concept of a measure space will provide us with a general setting for discussing the notion of size. In calculus we use integration to calculate the size of sets. In this chap- ter we turn the situation around: We first develop a theory of size and then use it to define integrals of a new and more general kind. As we shall sometimes wish to compare the two theories, we shall refer to integration as taught in calculus as Riemann-integration in honor of the German math- ematician Bernhard Riemann (1826-1866) and the new theory developed here as Lebesgue integration in honor of the French mathematician Henri Lebesgue (1875-1941). Let us begin by taking a look at what we might wish for in a theory of size. Assume what we want to measure the size of subsets of a set X (if 2 you need something concrete to concentrate on, you may let X = R and 2 3 think of the area of subsets of R , or let X = R and think of the volume of 3 subsets of R ). -
Measure Theory 1 Measurable Spaces
Measure Theory 1 Measurable Spaces A measurable space is a set S, together with a nonempty collection, , of subsets of S, satisfying the following two conditions: S 1. For any A; B in the collection , the set1 A B is also in . S − S 2. For any A1; A2; , Ai . The elements of ·are· · 2calledS [measurable2 S sets. These two conditions are S summarized by saying that the measurable sets are closed under taking finite differences and countable unions. Think of S as the arena in which all the action (integrals, etc) will take place; and of the measurable sets are those that are \candidates for having a size". In some examples, all the measurable sets will be assigned a \size"; in others, only the smaller measurable sets will be (with the remaining mea- surable sets having, effectively “infinite size"). Several properties of measurable sets are immediate from the definition. 1. The empty set, , is measurable. [Since is nonempty, there exists some measurable set A.;So, A A = is measurable,S by condition 1 above.] − ; 2. For A and B any two measurable sets, A B, A B, and A B are all measurable. [The third is just condition 1\above.[For the second,− apply condition 2 to the sequence A; B; ; ; . For the first, note that ; ; · · · A B = A (A B): Use condition 1 twice.] It follows immediately, by rep\eated application− − of these facts, that the measurable sets are closed under taking any finite numbers of intersections, unions, and differences. 3. For A1; A2; measurable, their intersection, A , is also measurable. -
Notes on Measure Theory and the Lebesgue Integral Maa5229, Spring 2015
NOTES ON MEASURE THEORY AND THE LEBESGUE INTEGRAL MAA5229, SPRING 2015 1. σ-algebras Let X be a set, and let 2X denote the set of all subsets of X. Let Ec denote the complement of E in X, and for E; F ⊂ X, write E n F = E \ F c. Let E∆F denote the symmetric difference of E and F : E∆F := (E n F ) [ (F n E) = (E [ F ) n (E \ F ): Definition 1.1. Let X be a set. A Boolean algebra is a nonempty collection A ⊂ 2X which is closed under finite unions and complements. A σ-algebra is a Boolean algebra which is also closed under countable unions. If M ⊂ N ⊂ 2X are σ-algebras, then M is coarser than N ; likewise N is finer than M . / Remark 1.2. If Eα is any collection of sets in X, then !c [ c \ Eα = Eα: (1) α α Hence a Boolean algebra (resp. σ-algebra) is automatically closed under finite (resp. countable) intersections. It follows that a Boolean algebra (and a σ-algebra) on X always contains ? and X. (Proof: X = E [ Ec and ? = E \ Ec.) Definition 1.3. A measurable space is a pair (X; M ) where M ⊂ 2X is a σ-algebra. A function f : X ! Y from one measurable spaces (X; M ) to another (Y; N ) is called measurable if f −1(E) 2 M whenever E 2 N . / Definition 1.4. A topological space X = (X; τ) consists of a set X and a subset τ of 2X such that (i) ;;X 2 τ; (ii) τ is closed under finite intersections; (iii) τ is closed under arbitrary unions. -
Lecture Notes 9: Measure and Probability Part A: Measure and Integration
Lecture Notes 9: Measure and Probability Part A: Measure and Integration Peter Hammond, based on early notes by Andr´esCarvajal September, 2011; latest revision September 2020, typeset from Probab20A.tex; Recommended textbooks for further reading: H.L. Royden Real Analysis; R.M. Dudley Real Analysis and Probability University of Warwick, EC9A0 Maths for Economists Peter J. Hammond 1 of 57 Outline Measures and Integrals Measurable Spaces Measure Spaces Lebesgue Integration Integrating Simple Functions Integrating Integrable Functions The Lebesgue Integral as an Antiderivative Leibnitz's Formula Revisited Products of Measure Spaces Definition The Gaussian Integral Circular Symmetry and Shell Integration University of Warwick, EC9A0 Maths for Economists Peter J. Hammond 2 of 57 Power Sets Fix an abstract set S 6= ;. In case it is finite, its cardinality, denoted by #S, is the number of distinct elements of S. The power set of S is the family P(S) := fT j T ⊆ Sg of all subsets of S. Exercise Show that the mapping S P(S) 3 T 7! f (T ) 2 f0; 1g := fhxs is2S j 8s 2 S : xs 2 f0; 1gg defined by ( 1 if s 2 T f (T )s = 1T (s) = 0 if s 62 T is a bijection. University of Warwick, EC9A0 Maths for Economists Peter J. Hammond 3 of 57 Constructing a Bijection Proof. S Evidently the mapping T 7! f (T ) = h1T (s)is2S 2 f0; 1g defines a unique point of the Cartesian product f0; 1gS for every T ⊆ S | i.e., for every T 2 P(S). S Conversely, for each hxs is2S 2 f0; 1g , there is a unique set T (hxs is2S ) = fs 2 S j xs = 1g Now, given this hxs is2S , for each r 2 S, one has ( 1 if xr = 1 1fs2Sjxs =1g(r) = 0 if xr = 0 So f (T (hxs is2S )) = h1fs2Sjxs =1g(r)ir2S = hxr ir2S .