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ProbabilityTheory.HasSubgaussianMGF.measure_sum_le_sum_le'šŸ”—

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measure_sum_le_sum_le'šŸ”—

LemmaProbabilityTheory.HasSubgaussianMGF.measure_sum_le_sum_le'

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šŸ”—theorem
ProbabilityTheory.HasSubgaussianMGF.measure_sum_le_sum_le'.{u_1, u_2, u_3} {Ī© : Type u_1} {mĪ© : MeasurableSpace Ī©} {μ : MeasureTheory.Measure Ī©} {ι : Type u_2} {ι' : Type u_3} {X : ι → Ī© → ā„} {cX : ι → NNReal} {s : Finset ι} {Y : ι' → Ī© → ā„} {cY : ι' → NNReal} {t : Finset ι'} [MeasureTheory.IsFiniteMeasure μ] (hX_indep : iIndepFun X μ) (hY_indep : iIndepFun Y μ) (hX_subG : āˆ€ i ∈ s, HasSubgaussianMGF (fun ω => X i ω - ∫ (x : Ī©), X i x āˆ‚Ī¼) (cX i) μ) (hY_subG : āˆ€ j ∈ t, HasSubgaussianMGF (fun ω => Y j ω - ∫ (x : Ī©), Y j x āˆ‚Ī¼) (cY j) μ) (h_indep_sum : IndepFun (fun ω x => X x ω) (fun ω x => Y x ω) μ) (h_le : āˆ‘ j ∈ t, ∫ (x : Ī©), Y j x āˆ‚Ī¼ ≤ āˆ‘ i ∈ s, ∫ (x : Ī©), X i x āˆ‚Ī¼) : MeasureTheory.Measure.real μ {ω | āˆ‘ i ∈ s, X i ω ≤ āˆ‘ j ∈ t, Y j ω} ≤ Real.exp (-(āˆ‘ j ∈ t, ∫ (x : Ī©), Y j x āˆ‚Ī¼ - āˆ‘ i ∈ s, ∫ (x : Ī©), X i x āˆ‚Ī¼) ^ 2 / (2 * (↑(āˆ‘ i ∈ s, cX i) + ↑(āˆ‘ j ∈ t, cY j))))
ProbabilityTheory.HasSubgaussianMGF.measure_sum_le_sum_le'.{u_1, u_2, u_3} {Ī© : Type u_1} {mĪ© : MeasurableSpace Ī©} {μ : MeasureTheory.Measure Ī©} {ι : Type u_2} {ι' : Type u_3} {X : ι → Ī© → ā„} {cX : ι → NNReal} {s : Finset ι} {Y : ι' → Ī© → ā„} {cY : ι' → NNReal} {t : Finset ι'} [MeasureTheory.IsFiniteMeasure μ] (hX_indep : iIndepFun X μ) (hY_indep : iIndepFun Y μ) (hX_subG : āˆ€ i ∈ s, HasSubgaussianMGF (fun ω => X i ω - ∫ (x : Ī©), X i x āˆ‚Ī¼) (cX i) μ) (hY_subG : āˆ€ j ∈ t, HasSubgaussianMGF (fun ω => Y j ω - ∫ (x : Ī©), Y j x āˆ‚Ī¼) (cY j) μ) (h_indep_sum : IndepFun (fun ω x => X x ω) (fun ω x => Y x ω) μ) (h_le : āˆ‘ j ∈ t, ∫ (x : Ī©), Y j x āˆ‚Ī¼ ≤ āˆ‘ i ∈ s, ∫ (x : Ī©), X i x āˆ‚Ī¼) : MeasureTheory.Measure.real μ {ω | āˆ‘ i ∈ s, X i ω ≤ āˆ‘ j ∈ t, Y j ω} ≤ Real.exp (-(āˆ‘ j ∈ t, ∫ (x : Ī©), Y j x āˆ‚Ī¼ - āˆ‘ i ∈ s, ∫ (x : Ī©), X i x āˆ‚Ī¼) ^ 2 / (2 * (↑(āˆ‘ i ∈ s, cX i) + ↑(āˆ‘ j ∈ t, cY j))))

Code

lemma measure_sum_le_sum_le' [IsFiniteMeasure μ]
    (hX_indep : iIndepFun X μ) (hY_indep : iIndepFun Y μ)
    (hX_subG : āˆ€ i ∈ s, HasSubgaussianMGF (fun ω ↦ X i ω - μ[X i]) (cX i) μ)
    (hY_subG : āˆ€ j ∈ t, HasSubgaussianMGF (fun ω ↦ Y j ω - μ[Y j]) (cY j) μ)
    (h_indep_sum : IndepFun (fun ω ↦ (X Ā· ω)) (fun ω ↦ (Y Ā· ω)) μ)
    (h_le : āˆ‘ j ∈ t, μ[Y j] ≤ āˆ‘ i ∈ s, μ[X i]) :
    μ.real {ω | āˆ‘ i ∈ s, X i ω ≤ āˆ‘ j ∈ t, Y j ω}
      ≤ Real.exp (- (āˆ‘ j ∈ t, μ[Y j] - āˆ‘ i ∈ s, μ[X i]) ^ 2
        / (2 * (āˆ‘ i ∈ s, cX i + āˆ‘ j ∈ t, cY j)))
Body uses (1)
Used by (1)

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Proof
by
  refine measure_sum_le_sum_le hX_indep hY_indep hX_subG hY_subG ?_ h_le
  exact h_indep_sum.comp (φ := fun p ↦ āˆ‘ i ∈ s, p i) (ψ := fun p ↦ āˆ‘ j ∈ t, p j)
    (by fun_prop) (by fun_prop)