ML.Ridge

theorem ridgeCoef_unique (X : Matrix Obs Param ℝ) (y : Obs → ℝ) {lam : ℝ} (hlam : 0 < lam) {β : Param → ℝ} (hNE : ((Xᵀ * X) + lam • (1 : Matrix Param Param ℝ)) *ᵥ β = Xᵀ *ᵥ y) : β = ridgeCoef X y lam := by let G : Matrix Param Param ℝ := (Xᵀ * X) + lam • (1 : Matrix Param Param ℝ) have hGpos : G.PosDef := by dsimp [G] exact ridgeGram_posDef X hlam have hGdet : IsUnit G.det := (Matrix.isUnit_iff_isUnit_det G).mp hGpos.isUnit have hclosed : G *ᵥ ridgeCoef X y lam = Xᵀ *ᵥ y := by dsimp [G] exact ridgeCoef_normalEq X y hlam have hsame : G *ᵥ β = G *ᵥ ridgeCoef X y lam := by dsimp [G] at hclosed ⊢ rw [hNE, hclosed] have hcancel := congrArg (fun v : Param → ℝ => G⁻¹ *ᵥ v) hsame simpa [Matrix.mulVec_mulVec, Matrix.nonsing_inv_mul _ hGdet, Matrix.one_mulVec] using hcancel

theorem populationGram_posSemidef (φ : FeatureMap γ K) (P : Measure (γ × ℝ)) [IsFiniteMeasure P] (hφ : ∀ k, Measurable (fun x => φ.φ x k)) (h4 : Integrable (fun z => (∑ k, (φ.φ z.1 k) ^ 2) ^ 2) P) : (populationGram φ P).PosSemidef := by classical have hφ_prod : ∀ k, Measurable (fun z : γ × ℝ => φ.φ z.1 k) := fun k => (hφ k).comp measurable_fst have hsum_meas : Measurable (fun z : γ × ℝ => ∑ k, (φ.φ z.1 k) ^ 2) := measurable_sum _ (fun k _ => (hφ_prod k).pow_const 2) have hsumsq_int : Integrable (fun z : γ × ℝ => ∑ k, (φ.φ z.1 k) ^ 2) P := by refine Integrable.mono' (g := fun z => 1 + (∑ k, (φ.φ z.1 k) ^ 2) ^ 2) ((integrable_const (1 : ℝ)).add h4) hsum_meas.aestronglyMeasurable ?_ refine Filter.Eventually.of_forall (fun z => ?_) have hnn : (0 : ℝ) ≤ ∑ k, (φ.φ z.1 k) ^ 2 := sum_nonneg (fun k _ => sq_nonneg _) rw [Real.norm_of_nonneg hnn] nlinarith [sq_nonneg ((∑ k, (φ.φ z.1 k) ^ 2) - 1)] have hprod_int : ∀ i j, Integrable (fun z : γ × ℝ => φ.φ z.1 i * φ.φ z.1 j) P := by intro i j refine Integrable.mono hsumsq_int ((hφ_prod i).mul (hφ_prod j)).aestronglyMeasurable ?_ refine Filter.Eventually.of_forall (fun z => ?_) let a : ℝ := φ.φ z.1 i let b : ℝ := φ.φ z.1 j let s : ℝ := ∑ k, (φ.φ z.1 k) ^ 2 have hs_nonneg : 0 ≤ s := by dsimp [s] exact sum_nonneg (fun k _ => sq_nonneg _) rw [Real.norm_eq_abs, Real.norm_of_nonneg hs_nonneg] have hi_le : a ^ 2 ≤ s := by dsimp [a, s] exact Finset.single_le_sum (f := fun k => (φ.φ z.1 k) ^ 2) (fun k _ => sq_nonneg _) (Finset.mem_univ i) have hj_le : b ^ 2 ≤ s := by dsimp [b, s] exact Finset.single_le_sum (f := fun k => (φ.φ z.1 k) ^ 2) (fun k _ => sq_nonneg _) (Finset.mem_univ j) have hab_half : |a| * |b| ≤ (a ^ 2 + b ^ 2) / 2 := by have h := two_mul_le_add_sq |a| |b| have hsqa : |a| ^ 2 = a ^ 2 := by rw [sq_abs] have hsqb : |b| ^ 2 = b ^ 2 := by rw [sq_abs] nlinarith have hab_sum : (a ^ 2 + b ^ 2) / 2 ≤ s := by nlinarith calc |φ.φ z.1 i * φ.φ z.1 j| = |a| * |b| := by dsimp [a, b] rw [abs_mul] _ ≤ (a ^ 2 + b ^ 2) / 2 := hab_half _ ≤ s := hab_sum refine Matrix.PosSemidef.of_dotProduct_mulVec_nonneg ?_ ?_ · apply Matrix.IsHermitian.ext intro i j simp [populationGram, mul_comm] · intro x have hterm_int : ∀ i j, Integrable (fun z : γ × ℝ => (x i * x j) * (φ.φ z.1 i * φ.φ z.1 j)) P := by intro i j simpa [mul_assoc] using (hprod_int i j).const_mul (x i * x j) have hquad : star x ⬝ᵥ (populationGram φ P *ᵥ x) = ∫ z, (∑ i, x i * φ.φ z.1 i) ^ 2 ∂P := by calc star x ⬝ᵥ (populationGram φ P *ᵥ x) = ∑ i, ∑ j, x i * ((∫ z, φ.φ z.1 i * φ.φ z.1 j ∂P) * x j) := by simp [dotProduct, mulVec, populationGram, Finset.mul_sum] _ = ∑ i, ∑ j, ∫ z, (x i * x j) * (φ.φ z.1 i * φ.φ z.1 j) ∂P := by refine Finset.sum_congr rfl ?_ intro i _ refine Finset.sum_congr rfl ?_ intro j _ calc x i * ((∫ z, φ.φ z.1 i * φ.φ z.1 j ∂P) * x j) = (x i * x j) * ∫ z, φ.φ z.1 i * φ.φ z.1 j ∂P := by ring _ = ∫ z, (x i * x j) * (φ.φ z.1 i * φ.φ z.1 j) ∂P := by rw [integral_const_mul] _ = ∫ z, ∑ i, ∑ j, (x i * x j) * (φ.φ z.1 i * φ.φ z.1 j) ∂P := by rw [integral_finset_sum univ] · refine Finset.sum_congr rfl ?_ intro i _ rw [integral_finset_sum univ] intro j _ exact hterm_int i j · intro i _ exact integrable_finset_sum univ (fun j _ => hterm_int i j) _ = ∫ z, (∑ i, x i * φ.φ z.1 i) ^ 2 ∂P := by congr 1 funext z rw [sq, Finset.sum_mul_sum] refine Finset.sum_congr rfl ?_ intro i _ refine Finset.sum_congr rfl ?_ intro j _ ring rw [hquad] exact integral_nonneg fun z => sq_nonneg _

theorem empiricalGram_posSemidef (φ : FeatureMap γ K) (Z : ℕ → Ω → γ × ℝ) (n : ℕ) (ω : Ω) : (empiricalGram φ Z n ω).PosSemidef := by unfold empiricalGram apply Matrix.PosSemidef.smul · refine Finset.sum_induction (fun i => vecMulVec (φ.φ (Z i ω).1) (φ.φ (Z i ω).1)) (fun A : Matrix K K ℝ => A.PosSemidef) (fun _ _ hA hB => hA.add hB) Matrix.PosSemidef.zero ?_ intro i _ simpa using (Matrix.posSemidef_vecMulVec_self_star (φ.φ (Z i ω).1) : (vecMulVec (φ.φ (Z i ω).1) (star (φ.φ (Z i ω).1))).PosSemidef) · exact inv_nonneg.mpr (Nat.cast_nonneg n)

theorem sampleRidgeCoef_sub_eq (φ : FeatureMap γ K) (Z : ℕ → Ω → γ × ℝ) {lam : ℝ} (hlam : 0 < lam) (βstar : K → ℝ) (n : ℕ) (ω : Ω) : sampleRidgeCoef φ Z lam n ω - βstar = (empiricalGram φ Z n ω + lam • (1 : Matrix K K ℝ))⁻¹ *ᵥ (empiricalCross φ Z n ω - empiricalGram φ Z n ω *ᵥ βstar - lam • βstar) := by let G : Matrix K K ℝ := empiricalGram φ Z n ω + lam • (1 : Matrix K K ℝ) have hGpos : G.PosDef := by dsimp [G] exact Matrix.PosDef.posSemidef_add (empiricalGram_posSemidef φ Z n ω) (Matrix.PosDef.smul Matrix.PosDef.one hlam) have hGdet : IsUnit G.det := (Matrix.isUnit_iff_isUnit_det G).mp hGpos.isUnit have hG_mul : empiricalGram φ Z n ω *ᵥ βstar + lam • βstar = G *ᵥ βstar := by dsimp [G] rw [Matrix.add_mulVec, Matrix.smul_mulVec, Matrix.one_mulVec] calc sampleRidgeCoef φ Z lam n ω - βstar = G⁻¹ *ᵥ empiricalCross φ Z n ω - βstar := by rfl _ = G⁻¹ *ᵥ empiricalCross φ Z n ω - G⁻¹ *ᵥ (G *ᵥ βstar) := by rw [Matrix.mulVec_mulVec, Matrix.nonsing_inv_mul _ hGdet, Matrix.one_mulVec] _ = G⁻¹ *ᵥ (empiricalCross φ Z n ω - G *ᵥ βstar) := by rw [Matrix.mulVec_sub] _ = G⁻¹ *ᵥ (empiricalCross φ Z n ω - empiricalGram φ Z n ω *ᵥ βstar - lam • βstar) := by rw [← hG_mul] abel_nf

theorem centered_score_mean_isBigOp (φ : FeatureMap γ K) (P : Measure (γ × ℝ)) [IsProbabilityMeasure P] (S : IIDSample Ω (γ × ℝ) μ P) [IsProbabilityMeasure μ] {lam : ℝ} (βstar : K → ℝ) (hpop : IsPopulationRidge P φ lam βstar) (hφ : ∀ k, Measurable (fun x => φ.φ x k)) (hscore : ∀ k, MemLp (fun z => (z.2 - ∑ j, βstar j * φ.φ z.1 j) * φ.φ z.1 k) 2 P) : IsBigOp (fun n ω => ‖empiricalCross φ S.Z n ω - empiricalGram φ S.Z n ω *ᵥ βstar - lam • βstar‖) (fun n => (sqrt (n : ℝ))⁻¹) μ := by classical let g : K → γ × ℝ → ℝ := fun k z => (z.2 - ∑ j, βstar j * φ.φ z.1 j) * φ.φ z.1 k let D : ℕ → Ω → K → ℝ := fun n ω => empiricalCross φ S.Z n ω - empiricalGram φ S.Z n ω *ᵥ βstar - lam • βstar have hφ_prod : ∀ k, Measurable (fun z : γ × ℝ => φ.φ z.1 k) := fun k => (hφ k).comp measurable_fst have hg_meas : ∀ k, Measurable (g k) := by intro k dsimp [g] exact (measurable_snd.sub (measurable_sum _ fun j _ => measurable_const.mul (hφ_prod j))).mul (hφ_prod k) have hcoord : ∀ n ω k, D n ω k = S.sampleMean (g k) n ω - ∫ z, g k z ∂P := by intro n ω k dsimp [D, g, IIDSample.sampleMean, empiricalCross, empiricalGram] rw [hpop k] simp only [smul_eq_mul, mulVec, dotProduct, Matrix.smul_apply, Matrix.sum_apply, Matrix.vecMulVec_apply] simp [Finset.sum_apply] have hgram_sum : (∑ x, (((n : ℝ)⁻¹ * ∑ i ∈ range n, φ.φ (S.Z i ω).1 k * φ.φ (S.Z i ω).1 x) * βstar x)) = (n : ℝ)⁻¹ * ∑ i ∈ range n, (∑ x, βstar x * φ.φ (S.Z i ω).1 x) * φ.φ (S.Z i ω).1 k := by calc (∑ x, (((n : ℝ)⁻¹ * ∑ i ∈ range n, φ.φ (S.Z i ω).1 k * φ.φ (S.Z i ω).1 x) * βstar x)) = ∑ x, (n : ℝ)⁻¹ * ((∑ i ∈ range n, φ.φ (S.Z i ω).1 k * φ.φ (S.Z i ω).1 x) * βstar x) := by refine Finset.sum_congr rfl ?_ intro x _ ring _ = (n : ℝ)⁻¹ * ∑ x, (∑ i ∈ range n, φ.φ (S.Z i ω).1 k * φ.φ (S.Z i ω).1 x) * βstar x := by rw [Finset.mul_sum] _ = (n : ℝ)⁻¹ * ∑ x, ∑ i ∈ range n, (φ.φ (S.Z i ω).1 k * φ.φ (S.Z i ω).1 x) * βstar x := by congr 1 refine Finset.sum_congr rfl ?_ intro x _ rw [Finset.sum_mul] _ = (n : ℝ)⁻¹ * ∑ i ∈ range n, ∑ x, (φ.φ (S.Z i ω).1 k * φ.φ (S.Z i ω).1 x) * βstar x := by congr 1 rw [Finset.sum_comm] _ = (n : ℝ)⁻¹ * ∑ i ∈ range n, (∑ x, βstar x * φ.φ (S.Z i ω).1 x) * φ.φ (S.Z i ω).1 k := by congr 1 refine Finset.sum_congr rfl ?_ intro i _ rw [Finset.sum_mul] refine Finset.sum_congr rfl ?_ intro x _ ring rw [hgram_sum] rw [← mul_sub, ← Finset.sum_sub_distrib] refine congrArg (fun t : ℝ => (n : ℝ)⁻¹ * t) ?_ refine Finset.sum_congr rfl ?_ intro i _ ring have hcoord_big : ∀ k, IsBigOp (fun n ω => D n ω k) (fun n => (sqrt (n : ℝ))⁻¹) μ := by intro k have hk0 := S.sampleMean_sub_isBigOp (hg_meas k) (by simpa [g] using hscore k) let A : ℝ := ∫ z, (g k z) ^ 2 ∂P have hA_nonneg : 0 ≤ A := by dsimp [A] exact integral_nonneg fun z => sq_nonneg _ have hrate_le : ∀ n : ℕ, sqrt (A / (n : ℝ)) ≤ (sqrt A + 1) * (sqrt (n : ℝ))⁻¹ := by intro n calc sqrt (A / (n : ℝ)) = sqrt A * (sqrt (n : ℝ))⁻¹ := by rw [Real.sqrt_div hA_nonneg, div_eq_mul_inv] _ ≤ (sqrt A + 1) * (sqrt (n : ℝ))⁻¹ := by exact mul_le_mul_of_nonneg_right (by linarith [Real.sqrt_nonneg A]) (inv_nonneg.mpr (Real.sqrt_nonneg (n : ℝ))) have hk1 : IsBigOp (fun n ω => S.sampleMean (g k) n ω - ∫ z, g k z ∂P) (fun n => (sqrt A + 1) * (sqrt (n : ℝ))⁻¹) μ := by exact mono_rate (fun n => Real.sqrt_nonneg (A / (n : ℝ))) hrate_le hk0 have hk2 : IsBigOp (fun n ω => S.sampleMean (g k) n ω - ∫ z, g k z ∂P) (fun n => (sqrt (n : ℝ))⁻¹) μ := by exact scale_rate (rn := fun n => (sqrt (n : ℝ))⁻¹) (by linarith [Real.sqrt_nonneg A]) hk1 have hfun : (fun n ω => D n ω k) = (fun n ω => S.sampleMean (g k) n ω - ∫ z, g k z ∂P) := by funext n ω exact hcoord n ω k rw [hfun] exact hk2 have hcoord_abs : ∀ k, IsBigOp (fun n ω => |D n ω k|) (fun n => (sqrt (n : ℝ))⁻¹) μ := by intro k simpa [IsBigOp, abs_abs] using hcoord_big k have hsum_abs : IsBigOp (fun n ω => ∑ k, |D n ω k|) (fun n => (sqrt (n : ℝ))⁻¹) μ := by simpa using (IsBigOp.finset_sum (μ := μ) (s := (Finset.univ : Finset K)) (X := fun k n ω => |D n ω k|) (fun k _ => hcoord_abs k)) refine IsBigOp.of_abs_le (Xn := fun n ω => ‖empiricalCross φ S.Z n ω - empiricalGram φ S.Z n ω *ᵥ βstar - lam • βstar‖) (Yn := fun n ω => ∑ k, |D n ω k|) ?_ hsum_abs intro n ω have hD_eq : D n ω = empiricalCross φ S.Z n ω - empiricalGram φ S.Z n ω *ᵥ βstar - lam • βstar := rfl have hsum_nonneg : 0 ≤ ∑ k, |D n ω k| := sum_nonneg fun k _ => abs_nonneg _ rw [abs_of_nonneg (norm_nonneg _), abs_of_nonneg hsum_nonneg, ← hD_eq] refine (pi_norm_le_iff_of_nonneg hsum_nonneg).2 (fun k => ?_) rw [Real.norm_eq_abs] exact Finset.single_le_sum (f := fun j => |D n ω j|) (fun j _ => abs_nonneg _) (Finset.mem_univ k)

theorem continuousAt_matrixInv_entry {G₀ : Matrix K K ℝ} (hdet : G₀.det ≠ 0) (k l : K) : ContinuousAt (fun M : Matrix K K ℝ => (M⁻¹) k l) G₀ := by have hdet_cont : ContinuousAt (fun M : Matrix K K ℝ => M.det) G₀ := (Continuous.matrix_det continuous_id).continuousAt have hadj : ContinuousAt (fun M : Matrix K K ℝ => M.adjugate k l) G₀ := (Continuous.matrix_elem (Continuous.matrix_adjugate continuous_id) k l).continuousAt have hfun : ContinuousAt (fun M : Matrix K K ℝ => (M.det)⁻¹ * M.adjugate k l) G₀ := (hdet_cont.inv₀ hdet).mul hadj convert hfun using 1 funext M rw [Matrix.inv_def] simp [smul_eq_mul]

theorem sampleRidgeCoef_isBigOp (φ : FeatureMap γ K) (P : Measure (γ × ℝ)) [IsProbabilityMeasure P] (S : IIDSample Ω (γ × ℝ) μ P) [IsProbabilityMeasure μ] {lam : ℝ} (hlam : 0 < lam) (βstar : K → ℝ) (hpop : IsPopulationRidge P φ lam βstar) (hφ : ∀ k, Measurable (fun x => φ.φ x k)) (h4 : Integrable (fun z => (∑ k, (φ.φ z.1 k) ^ 2) ^ 2) P) (hscore : ∀ k, MemLp (fun z => (z.2 - ∑ j, βstar j * φ.φ z.1 j) * φ.φ z.1 k) 2 P) (hGramPosDef : (populationGram φ P + lam • (1 : Matrix K K ℝ)).PosDef) : IsBigOp (fun n ω => ‖sampleRidgeCoef φ S.Z lam n ω - βstar‖) (fun n => (sqrt (n : ℝ))⁻¹) μ := by classical let rn : ℕ → ℝ := fun n => (sqrt (n : ℝ))⁻¹ let D : ℕ → Ω → K → ℝ := fun n ω => empiricalCross φ S.Z n ω - empiricalGram φ S.Z n ω *ᵥ βstar - lam • βstar let Inv : ℕ → Ω → Matrix K K ℝ := fun n ω => (empiricalGram φ S.Z n ω + lam • (1 : Matrix K K ℝ))⁻¹ have hrn_nonneg : ∀ n, 0 ≤ rn n := fun n => inv_nonneg.mpr (Real.sqrt_nonneg (n : ℝ)) have hDnorm : IsBigOp (fun n ω => ‖D n ω‖) rn μ := by simpa [D, rn] using (centered_score_mean_isBigOp φ P S βstar hpop hφ hscore) have hDcoord : ∀ l, IsBigOp (fun n ω => D n ω l) rn μ := by intro l refine IsBigOp.of_abs_le (Yn := fun n ω => ‖D n ω‖) ?_ hDnorm intro n ω have hcoord := norm_le_pi_norm (D n ω) l simpa [Real.norm_eq_abs, abs_of_nonneg (norm_nonneg _)] using hcoord have hφ_prod : ∀ k, Measurable (fun z : γ × ℝ => φ.φ z.1 k) := fun k => (hφ k).comp measurable_fst have hsum_meas : Measurable (fun z : γ × ℝ => ∑ k, (φ.φ z.1 k) ^ 2) := measurable_sum _ (fun k _ => (hφ_prod k).pow_const 2) have hsumsq_int : Integrable (fun z : γ × ℝ => ∑ k, (φ.φ z.1 k) ^ 2) P := by refine Integrable.mono' (g := fun z => 1 + (∑ k, (φ.φ z.1 k) ^ 2) ^ 2) ((integrable_const (1 : ℝ)).add h4) hsum_meas.aestronglyMeasurable ?_ refine Filter.Eventually.of_forall (fun z => ?_) have hnn : (0 : ℝ) ≤ ∑ k, (φ.φ z.1 k) ^ 2 := sum_nonneg (fun k _ => sq_nonneg _) rw [Real.norm_of_nonneg hnn] nlinarith [sq_nonneg ((∑ k, (φ.φ z.1 k) ^ 2) - 1)] have hprod_int : ∀ i j, Integrable (fun z : γ × ℝ => φ.φ z.1 i * φ.φ z.1 j) P := by intro i j refine Integrable.mono hsumsq_int ((hφ_prod i).mul (hφ_prod j)).aestronglyMeasurable ?_ refine Filter.Eventually.of_forall (fun z => ?_) let a : ℝ := φ.φ z.1 i let b : ℝ := φ.φ z.1 j let s : ℝ := ∑ k, (φ.φ z.1 k) ^ 2 have hs_nonneg : 0 ≤ s := by dsimp [s] exact sum_nonneg (fun k _ => sq_nonneg _) rw [Real.norm_eq_abs, Real.norm_of_nonneg hs_nonneg] have hi_le : a ^ 2 ≤ s := by dsimp [a, s] exact Finset.single_le_sum (f := fun k => (φ.φ z.1 k) ^ 2) (fun k _ => sq_nonneg _) (Finset.mem_univ i) have hj_le : b ^ 2 ≤ s := by dsimp [b, s] exact Finset.single_le_sum (f := fun k => (φ.φ z.1 k) ^ 2) (fun k _ => sq_nonneg _) (Finset.mem_univ j) have hab_half : |a| * |b| ≤ (a ^ 2 + b ^ 2) / 2 := by have h := two_mul_le_add_sq |a| |b| have hsqa : |a| ^ 2 = a ^ 2 := by rw [sq_abs] have hsqb : |b| ^ 2 = b ^ 2 := by rw [sq_abs] nlinarith have hab_sum : (a ^ 2 + b ^ 2) / 2 ≤ s := by nlinarith calc |φ.φ z.1 i * φ.φ z.1 j| = |a| * |b| := by dsimp [a, b] rw [abs_mul] _ ≤ (a ^ 2 + b ^ 2) / 2 := hab_half _ ≤ s := hab_sum have hGram_entry : ∀ i j, Tendsto_inProb (fun n ω => empiricalGram φ S.Z n ω i j) (fun _ => populationGram φ P i j) μ := by intro i j have hmean := S.sampleMean_tendsto_inProb ((hφ_prod i).mul (hφ_prod j)) (hprod_int i j) have hfun : (fun n ω => empiricalGram φ S.Z n ω i j) = S.sampleMean (fun z : γ × ℝ => φ.φ z.1 i * φ.φ z.1 j) := by funext n ω simp [empiricalGram, IIDSample.sampleMean, smul_eq_mul, Matrix.smul_apply, Matrix.sum_apply, Matrix.vecMulVec_apply, Finset.mul_sum] rw [hfun] -- `MemLp.mul` now concludes about the point-free product `f * g`; restate it -- in the (definitionally equal) lambda form the goal is phrased with. have hmean' : Tendsto_inProb (S.sampleMean fun z : γ × ℝ => φ.φ z.1 i * φ.φ z.1 j) (fun _ => ∫ z : γ × ℝ, φ.φ z.1 i * φ.φ z.1 j ∂P) μ := hmean simpa [populationGram] using hmean' have hInv_entry : ∀ k l, IsBigOp (fun n ω => Inv n ω k l) (fun _ => (1 : ℝ)) μ := by intro k l have hconv : Tendsto_inProb (fun n ω => Inv n ω k l) (fun _ => ((populationGram φ P + lam • (1 : Matrix K K ℝ))⁻¹) k l) μ := by simpa [Inv] using (Tendsto_inProb.matrix_comp_continuousAt (Mn := fun n ω => empiricalGram φ S.Z n ω) (M₀ := populationGram φ P) (g := fun M : Matrix K K ℝ => ((M + lam • (1 : Matrix K K ℝ))⁻¹) k l) (by have hshift : ContinuousAt (fun M : Matrix K K ℝ => M + lam • (1 : Matrix K K ℝ)) (populationGram φ P) := (continuous_id.add continuous_const).continuousAt have hbase : ContinuousAt (fun A : Matrix K K ℝ => (A⁻¹) k l) (populationGram φ P + lam • (1 : Matrix K K ℝ)) := continuousAt_matrixInv_entry (hdet := (Matrix.PosDef.det_pos hGramPosDef).ne') k l simpa [Function.comp_def] using (ContinuousAt.comp (f := fun M : Matrix K K ℝ => M + lam • (1 : Matrix K K ℝ)) (g := fun A : Matrix K K ℝ => (A⁻¹) k l) hbase hshift)) hGram_entry) exact Tendsto_inProb.isBigOp_one hconv have hcoef_coord : ∀ k, IsBigOp (fun n ω => (sampleRidgeCoef φ S.Z lam n ω - βstar) k) rn μ := by intro k have hsummand : ∀ l ∈ (Finset.univ : Finset K), IsBigOp (fun n ω => Inv n ω k l * D n ω l) rn μ := by intro l _ simpa [rn] using (IsBigOp.mul (μ := μ) (rn := fun _ => (1 : ℝ)) (sn := rn) (Xn := fun n ω => Inv n ω k l) (Yn := fun n ω => D n ω l) (fun _ => zero_le_one) hrn_nonneg (hInv_entry k l) (hDcoord l)) have hsum : IsBigOp (fun n ω => ∑ l ∈ (Finset.univ : Finset K), Inv n ω k l * D n ω l) rn μ := IsBigOp.finset_sum (μ := μ) (s := (Finset.univ : Finset K)) (X := fun l n ω => Inv n ω k l * D n ω l) hsummand refine IsBigOp.of_abs_le (Yn := fun n ω => ∑ l ∈ (Finset.univ : Finset K), Inv n ω k l * D n ω l) ?_ hsum intro n ω have hsub := sampleRidgeCoef_sub_eq φ S.Z hlam βstar n ω have hcoord : (sampleRidgeCoef φ S.Z lam n ω - βstar) k = ∑ l ∈ (Finset.univ : Finset K), Inv n ω k l * D n ω l := by rw [hsub] dsimp [Inv, D] simp [mulVec, dotProduct] rw [hcoord] have hcoord_abs : ∀ k, IsBigOp (fun n ω => |(sampleRidgeCoef φ S.Z lam n ω - βstar) k|) rn μ := by intro k simpa [IsBigOp, abs_abs] using hcoef_coord k have hsum_abs : IsBigOp (fun n ω => ∑ k, |(sampleRidgeCoef φ S.Z lam n ω - βstar) k|) rn μ := by simpa using (IsBigOp.finset_sum (μ := μ) (s := (Finset.univ : Finset K)) (X := fun k n ω => |(sampleRidgeCoef φ S.Z lam n ω - βstar) k|) (fun k _ => hcoord_abs k)) refine IsBigOp.of_abs_le (Xn := fun n ω => ‖sampleRidgeCoef φ S.Z lam n ω - βstar‖) (Yn := fun n ω => ∑ k, |(sampleRidgeCoef φ S.Z lam n ω - βstar) k|) ?_ hsum_abs intro n ω let v : K → ℝ := sampleRidgeCoef φ S.Z lam n ω - βstar have hsum_nonneg : 0 ≤ ∑ k, |v k| := sum_nonneg fun k _ => abs_nonneg _ rw [abs_of_nonneg (norm_nonneg _), abs_of_nonneg hsum_nonneg] change ‖v‖ ≤ ∑ k, |v k| refine (pi_norm_le_iff_of_nonneg hsum_nonneg).2 (fun k => ?_) rw [Real.norm_eq_abs] exact Finset.single_le_sum (f := fun j => |v j|) (fun j _ => abs_nonneg _) (Finset.mem_univ k)

lemma linear_predictor_sub_memLp_of_l4 (φ : FeatureMap γ K) (P : Measure (γ × ℝ)) [IsProbabilityMeasure P] (hφ : ∀ k, Measurable (fun x => φ.φ x k)) (h4 : Integrable (fun z => (∑ k, (φ.φ z.1 k) ^ 2) ^ 2) P) (β βstar : K → ℝ) : MemLp (fun x : γ => (∑ k, β k * φ.φ x k) - ∑ k, βstar k * φ.φ x k) 2 (P.map fst) := by classical have hmeasP : ∀ k, Measurable (fun z : γ × ℝ => φ.φ z.1 k) := fun k => (hφ k).comp measurable_fst have hsum_meas : Measurable (fun z : γ × ℝ => ∑ k, (φ.φ z.1 k) ^ 2) := measurable_sum _ (fun k _ => (hmeasP k).pow_const 2) have hsumsq_int : Integrable (fun z : γ × ℝ => ∑ k, (φ.φ z.1 k) ^ 2) P := by refine Integrable.mono' (g := fun z => 1 + (∑ k, (φ.φ z.1 k) ^ 2) ^ 2) ((integrable_const (1 : ℝ)).add h4) hsum_meas.aestronglyMeasurable ?_ refine Filter.Eventually.of_forall (fun z => ?_) have hnn : (0 : ℝ) ≤ ∑ k, (φ.φ z.1 k) ^ 2 := sum_nonneg (fun k _ => sq_nonneg _) rw [Real.norm_of_nonneg hnn] nlinarith [sq_nonneg ((∑ k, (φ.φ z.1 k) ^ 2) - 1)] have hphisq_int : ∀ k, Integrable (fun z : γ × ℝ => (φ.φ z.1 k) ^ 2) P := by intro k refine Integrable.mono hsumsq_int ((hmeasP k).pow_const 2).aestronglyMeasurable ?_ refine Filter.Eventually.of_forall (fun z => ?_) rw [Real.norm_of_nonneg (sq_nonneg _), Real.norm_of_nonneg (sum_nonneg (fun k _ => sq_nonneg _))] exact Finset.single_le_sum (f := fun k => (φ.φ z.1 k) ^ 2) (fun i _ => sq_nonneg _) (Finset.mem_univ k) have hmemLp : ∀ k, MemLp (fun z : γ × ℝ => φ.φ z.1 k) 2 P := fun k => (memLp_two_iff_integrable_sq (hmeasP k).aestronglyMeasurable).mpr (hphisq_int k) set δ : K → ℝ := β - βstar with hδ have hlin_mem : MemLp (fun z : γ × ℝ => ∑ k, δ k * φ.φ z.1 k) 2 P := by exact memLp_finset_sum (s := (Finset.univ : Finset K)) (fun k _ => (hmemLp k).const_mul (δ k)) have hF_meas : Measurable (fun x : γ => (∑ k, β k * φ.φ x k) - ∑ k, βstar k * φ.φ x k) := (measurable_sum _ (fun k _ => measurable_const.mul (hφ k))).sub (measurable_sum _ (fun k _ => measurable_const.mul (hφ k))) have hmap : (fun z : γ × ℝ => (∑ k, β k * φ.φ z.1 k) - ∑ k, βstar k * φ.φ z.1 k) = fun z : γ × ℝ => ∑ k, δ k * φ.φ z.1 k := by funext z rw [← Finset.sum_sub_distrib] exact Finset.sum_congr rfl (fun k _ => by rw [hδ]; simp [sub_mul]) rw [memLp_map_measure_iff hF_meas.aestronglyMeasurable measurable_fst.aemeasurable] simpa [Function.comp_def, hmap] using hlin_mem

theorem eLpNorm_predictor_sub_le (φ : FeatureMap γ K) (P : Measure (γ × ℝ)) [IsProbabilityMeasure P] (hφ : ∀ k, Measurable (fun x => φ.φ x k)) (h4 : Integrable (fun z => (∑ k, (φ.φ z.1 k) ^ 2) ^ 2) P) (βstar : K → ℝ) : ∃ C : ℝ, 0 ≤ C ∧ ∀ (β : K → ℝ), (eLpNorm (fun x => (∑ k, β k * φ.φ x k) - ∑ k, βstar k * φ.φ x k) 2 (P.map fst)).toReal ≤ C * ‖β - βstar‖ := by classical -- Coordinate measurability on the product space. have hmeasP : ∀ k, Measurable (fun z : γ × ℝ => φ.φ z.1 k) := fun k => (hφ k).comp measurable_fst -- Features are square-integrable under `P` (from the L⁴ feature moment `h4`). have hsum_meas : Measurable (fun z : γ × ℝ => ∑ k, (φ.φ z.1 k) ^ 2) := measurable_sum _ (fun k _ => (hmeasP k).pow_const 2) have hsumsq_int : Integrable (fun z : γ × ℝ => ∑ k, (φ.φ z.1 k) ^ 2) P := by refine Integrable.mono' (g := fun z => 1 + (∑ k, (φ.φ z.1 k) ^ 2) ^ 2) ((integrable_const (1 : ℝ)).add h4) hsum_meas.aestronglyMeasurable ?_ refine Filter.Eventually.of_forall (fun z => ?_) have hnn : (0 : ℝ) ≤ ∑ k, (φ.φ z.1 k) ^ 2 := sum_nonneg (fun k _ => sq_nonneg _) rw [Real.norm_of_nonneg hnn] nlinarith [sq_nonneg ((∑ k, (φ.φ z.1 k) ^ 2) - 1)] have hphisq_int : ∀ k, Integrable (fun z : γ × ℝ => (φ.φ z.1 k) ^ 2) P := by intro k refine Integrable.mono hsumsq_int ((hmeasP k).pow_const 2).aestronglyMeasurable ?_ refine Filter.Eventually.of_forall (fun z => ?_) rw [Real.norm_of_nonneg (sq_nonneg _), Real.norm_of_nonneg (sum_nonneg (fun k _ => sq_nonneg _))] exact Finset.single_le_sum (f := fun k => (φ.φ z.1 k) ^ 2) (fun i _ => sq_nonneg _) (Finset.mem_univ k) have hmemLp : ∀ k, MemLp (fun z : γ × ℝ => φ.φ z.1 k) 2 P := fun k => (memLp_two_iff_integrable_sq (hmeasP k).aestronglyMeasurable).mpr (hphisq_int k) have hCk_ne_top : ∀ k, eLpNorm (fun z : γ × ℝ => φ.φ z.1 k) 2 P ≠ ⊤ := fun k => (hmemLp k).2.ne refine ⟨∑ k, (eLpNorm (fun z : γ × ℝ => φ.φ z.1 k) 2 P).toReal, ?_, ?_⟩ · exact sum_nonneg (fun k _ => ENNReal.toReal_nonneg) intro β set δ : K → ℝ := β - βstar with hδ -- Push the L²(P_X) norm back to `P` via the coordinate projection. have hF_meas : Measurable (fun x : γ => (∑ k, β k * φ.φ x k) - ∑ k, βstar k * φ.φ x k) := (measurable_sum _ (fun k _ => measurable_const.mul (hφ k))).sub (measurable_sum _ (fun k _ => measurable_const.mul (hφ k))) have hmap : eLpNorm (fun x => (∑ k, β k * φ.φ x k) - ∑ k, βstar k * φ.φ x k) 2 (P.map fst) = eLpNorm (fun z : γ × ℝ => ∑ k, δ k * φ.φ z.1 k) 2 P := by rw [eLpNorm_map_measure hF_meas.aestronglyMeasurable measurable_fst.aemeasurable] congr 1 funext z simp only [Function.comp_apply] rw [← Finset.sum_sub_distrib] exact Finset.sum_congr rfl (fun k _ => by rw [hδ]; simp [sub_mul]) -- Triangle inequality + scalar pull-out, coordinatewise. have hsum_le : eLpNorm (fun z : γ × ℝ => ∑ k, δ k * φ.φ z.1 k) 2 P ≤ ∑ k, ‖δ k‖ₑ * eLpNorm (fun z : γ × ℝ => φ.φ z.1 k) 2 P := by have hbound : eLpNorm (fun z : γ × ℝ => ∑ k, δ k * φ.φ z.1 k) 2 P ≤ ∑ k, eLpNorm (fun z : γ × ℝ => δ k * φ.φ z.1 k) 2 P := by have hfun : (fun z : γ × ℝ => ∑ k, δ k * φ.φ z.1 k) = ∑ k, (fun z : γ × ℝ => δ k * φ.φ z.1 k) := by funext z; rw [Finset.sum_apply] rw [hfun] exact eLpNorm_sum_le (μ := P) (p := 2) (f := fun k => fun z : γ × ℝ => δ k * φ.φ z.1 k) (s := (Finset.univ : Finset K)) (fun k _ => ((hmeasP k).const_mul (δ k)).aestronglyMeasurable) (by norm_num) refine hbound.trans (le_of_eq ?_) refine Finset.sum_congr rfl (fun k _ => ?_) rw [show (fun z : γ × ℝ => δ k * φ.φ z.1 k) = δ k • (fun z : γ × ℝ => φ.φ z.1 k) from rfl, eLpNorm_const_smul] -- Replace each coordinate factor by the sup norm `‖δ‖`. have hcoord_le : ∀ k, ‖δ k‖ₑ * eLpNorm (fun z : γ × ℝ => φ.φ z.1 k) 2 P ≤ ‖δ‖ₑ * eLpNorm (fun z : γ × ℝ => φ.φ z.1 k) 2 P := by intro k have hk : ‖δ k‖ₑ ≤ ‖δ‖ₑ := by have : ‖δ k‖ ≤ ‖δ‖ := norm_le_pi_norm δ k simpa [enorm_eq_nnnorm] using ENNReal.coe_le_coe.mpr (by exact_mod_cast this) gcongr have hfinal_le : eLpNorm (fun x => (∑ k, β k * φ.φ x k) - ∑ k, βstar k * φ.φ x k) 2 (P.map fst) ≤ ‖δ‖ₑ * ∑ k, eLpNorm (fun z : γ × ℝ => φ.φ z.1 k) 2 P := by rw [hmap, Finset.mul_sum] exact hsum_le.trans (Finset.sum_le_sum (fun k _ => hcoord_le k)) have hrhs_ne_top : ‖δ‖ₑ * ∑ k, eLpNorm (fun z : γ × ℝ => φ.φ z.1 k) 2 P ≠ ⊤ := by apply ENNReal.mul_ne_top · exact enorm_ne_top · exact (ENNReal.sum_ne_top).mpr (fun k _ => hCk_ne_top k) calc (eLpNorm (fun x => (∑ k, β k * φ.φ x k) - ∑ k, βstar k * φ.φ x k) 2 (P.map fst)).toReal ≤ (‖δ‖ₑ * ∑ k, eLpNorm (fun z : γ × ℝ => φ.φ z.1 k) 2 P).toReal := ENNReal.toReal_mono hrhs_ne_top hfinal_le _ = ‖δ‖ * ∑ k, (eLpNorm (fun z : γ × ℝ => φ.φ z.1 k) 2 P).toReal := by rw [ENNReal.toReal_mul, ENNReal.toReal_sum (fun k _ => hCk_ne_top k)] congr 1 _ = (∑ k, (eLpNorm (fun z : γ × ℝ => φ.φ z.1 k) 2 P).toReal) * ‖β - βstar‖ := by rw [hδ]; ring