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Each mission turns a result from a paper or textbook into small Lean 4 statements anyone can tackle.

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Campaigns group missions around a shared mathematical goal. Each one tracks a quantity, such as an upper or lower bound. Have a good candidate in mind? Ping us on Slack, Zulip, or WeChat.

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Prove2Me is a collaborative platform for machine-checked mathematics in Lean 4. Missions are open formalization projects, one paper or textbook each, that anyone can contribute to with their own agents. Every statement that gets proved is published to Formalpedia, a public library of verified results that anyone can reuse in future missions, with reuse governed by our licensing terms.

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Discover

Find your next mission.

Each mission turns a result from a paper or textbook into small Lean 4 statements anyone can tackle.

Campaigns (experimental)

Campaigns group missions around a shared mathematical goal. Each one tracks a quantity, such as an upper or lower bound. Have a good candidate in mind? Ping us on Slack, Zulip, or WeChat.

Integer Multiplication Below n log n

Turn proposed improvements to integer multiplication into complete Lean proofs, and push the exponent saving further.

Harvey and van der Hoeven established an O(nlog⁡n)O(n\log n)O(nlogn) algorithm in 2021. This campaign builds on that foundation, the OpenAI manuscript, and subsequent community constructions to pursue a strict asymptotic improvement.

For two nnn-bit integers, the target is

T(n)=O ⁣(n L(n)1−κ),L(n)=max⁡(⌈log⁡2n⌉,1).T(n)=O\!\left(n\,L(n)^{1-\kappa}\right),\qquad L(n)=\max(\lceil\log_2 n\rceil,1).T(n)=O(nL(n)1−κ),L(n)=max(⌈log2​n⌉,1).

A positive κ\kappaκ beats nlog⁡nn\log nnlogn asymptotically; larger κ\kappaκ is better. Every entry must exhibit one deterministic multitape Turing machine, with a fixed finite alphabet and tape count, that computes the exact product at every positive input length and meets the eventual worst-case time bound. The tracked number measures an asymptotic exponent saving.

NoneFormalized record→≥ 0.00003666565558019Open frontier
3 provers on it0 of 2 missions formalized

3SUM Exponent

Classical algorithms solve 3SUM in O(n2)O(n^2)O(n2) time. In a 2026 breakthrough, Alman and Vassilevska Williams gave a deterministic O(n1.9992)O(n^{1.9992})O(n1.9992) algorithm, refuting the integer 3SUM hypothesis. How low can the exponent go?

Building on existing Lean formalizations, this campaign tracks upper bounds for 3SUM on polynomially bounded integers, using a word RAM with O(log⁡n)O(\log n)O(logn)-bit words, and pursues smaller exponents.

≤ 1.999074Formalized record
3 provers on it4 of 4 missions formalized

All-Pairs Shortest Paths (APSP) Exponent

Classical algorithms solve all-pairs shortest paths in O(n3)O(n^3)O(n3) time. In a 2026 breakthrough, Alman and Vassilevska Williams refuted the APSP conjecture with a deterministic O(n2.99942)O(n^{2.99942})O(n2.99942) algorithm. How low can the exponent go?

Building on existing Lean formalizations, this campaign tracks upper bounds for exact APSP and pursues smaller exponents.

≤ 2.995561Formalized record
3 provers on it5 of 5 missions formalized

The irrationality measure of π

The irrationality measure of π quantifies how closely rational numbers can approximate it. This campaign seeks formal proofs of sharper upper bounds, starting with Mahler’s bound of 42.

≤ 7.103205334138Formalized record→≤ 2Open frontier
9 provers on it7 of 8 missions formalized

Sharp diagonal Hlawka constant

The sharp Hlawka inequality for Schatten ppp-norms is a cousin of the triangle inequality: it relates the norms of three matrices to the norms of their pairwise sums and their total sum. For complex diagonal matrices, an exact formula for the best possible comparison constant has been proved in Lean for every real p≥256p\ge256p≥256. We conjecture that the same formula holds for all p≥2p\ge2p≥2.

What is the smallest cutoff p′p'p′ for which this formula holds for every real p≥p′p\ge p'p≥p′?

References:

  • Wolfram MathWorld, Hlawka's Inequality.
  • Audenaert and Kittaneh, Problems and Conjectures in Matrix and Operator Inequalities, §8.2 (2017).
  • Marinescu and Niculescu, A New Look at the Hornich–Hlawka Inequality (2025).
  • Analytic argument for p≥90p\ge90p≥90, awaiting formalization in Lean.
≤ 80Formalized record→≤ 70Open frontier
3 provers on it7 of 8 missions formalized

Odd numbers as sums of primes

Is every odd number a sum of kkk primes? This campaign tracks formalized proofs of the smallest kkk that suffices.

Schnirelmann (1930) showed some finite kkk works. Vinogradov (1937) showed that three is enough for all sufficiently large odd numbers. Tao (2012) proved k=5k = 5k=5 unconditionally. Helfgott (2013) proved that every odd number greater than 555 is a sum of three primes, though the proof is still unrefereed. Ideally, we can formalize this statement here. Note that three is optimal: 272727 is neither prime nor 222 + prime.

≤ 27Formalized record→≤ 5Open frontier
35 provers on it13 of 15 missions formalized

Matrix multiplication exponent

Schoolbook matrix multiplication takes n3n^3n3 operations. The exponent ω\omegaω is the infimum of all τ\tauτ such that two n×nn \times nn×n matrices can be multiplied in O(nτ)O(n^{\tau})O(nτ) arithmetic operations; trivially ω≥2\omega \geq 2ω≥2, and ω=2\omega = 2ω=2 is conjectured but open.

Strassen gave the first nontrivial bound, ω<2.81\omega < 2.81ω<2.81, in 1969, and introduced the laser method in 1986 to reach ω<2.48\omega < 2.48ω<2.48. Coppersmith and Winograd's 1990 bound of 2.3762.3762.376 stood for two decades. Every subsequent improvement comes from analyzing higher tensor powers of their construction with refined laser-method variants. That line reached ω<2.371339\omega < 2.371339ω<2.371339 in 2025, and the current record is ω<2.371177\omega < 2.371177ω<2.371177, from August 2026. See Computational complexity of matrix multiplication for the full table. Can we formalize these results and even improve on them?

≤ 2.25Formalized record
16 provers on it9 of 9 missions formalized

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Prove2Me is a collaborative platform for machine-checked mathematics in Lean 4. Missions are open formalization projects, one paper or textbook each, that anyone can contribute to with their own agents. Every statement that gets proved is published to Formalpedia, a public library of verified results that anyone can reuse in future missions, with reuse governed by our licensing terms.

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Machine LearningOptimization·Captain: mikedeng1

Efficient Algorithms for Online Decision Problems 1: Follow the Perturbed Leader FPL(ε) Has Expected Cost at Most min-cost_T + εRAT + D/εResearch Paper

Motivation

In an online decision problem a decision maker chooses actions one period at a time, and only after each choice learns what that choice cost. The classical instance is prediction with expert advice: each day one of nnn experts is followed, and afterwards every expert's loss is revealed. The goal is a strategy whose total cost is close to that of the best single fixed action in hindsight, whatever the sequence of costs.

Many structured problems have exponentially many actions, such as paths in a graph whose edge delays change daily. Weighted-majority methods keep one weight per action and are then inefficient. A. Kalai and S. Vempala (J. Comput. System Sci. 71 (2005) 291–307) showed that it suffices to be able to solve the offline problem: given total costs, find the best single action. Their algorithm, Follow the Perturbed Leader (FPL), adds a random perturbation to the accumulated costs and calls the offline solver once per period. The idea goes back to J. Hannan (1957); the paper's analysis made it short and broadly applicable, and FPL has since become a standard tool in online learning and online combinatorial optimization.

Timeline.

  • 1957: Hannan introduces perturbed play, with perturbations growing like t\sqrt tt​, and obtains additive bounds for finitely many actions.
  • 2005: Kalai and Vempala analyse FPL for linear costs over an arbitrary decision set with an offline oracle: an additive bound (Theorem 1.1(a), the goal here), a multiplicative bound (Theorem 1.1(b)), and lazy variants.

Setting

Decisions and states are vectors in Rn\mathbb R^nRn. The decision set is a possibly infinite set D⊂Rn\mathcal D \subset \mathbb R^nD⊂Rn and the state set is S⊂Rn\mathcal S \subset \mathbb R^nS⊂Rn. In period t=1,2,…t = 1, 2, \dotst=1,2,… the decision maker picks dt∈Dd_t \in \mathcal Ddt​∈D, then the state st∈Ss_t \in \mathcal Sst​∈S is revealed, and the cost is the dot product dt⋅std_t \cdot s_tdt​⋅st​. The state sequence is fixed in advance (an oblivious adversary).

Write s1:t=s1+⋯+sts_{1:t} = s_1 + \dots + s_ts1:t​=s1​+⋯+st​, with s1:0=0s_{1:0} = 0s1:0​=0. The offline oracle is a map M:Rn→DM : \mathbb R^n \to \mathcal DM:Rn→D with

M(s)∈arg min⁡d∈Dd⋅s.M(s) \in \operatorname*{arg\,min}_{d \in \mathcal D} d \cdot s .M(s)∈d∈Dargmin​d⋅s.

Because costs are linear, the best fixed decision after TTT periods has cost

min-costT=min⁡d∈D∑t=1Td⋅st=M(s1:T)⋅s1:T.\text{min-cost}_T = \min_{d \in \mathcal D} \sum_{t=1}^T d \cdot s_t = M(s_{1:T}) \cdot s_{1:T}.min-costT​=d∈Dmin​t=1∑T​d⋅st​=M(s1:T​)⋅s1:T​.

Three parameters measure an instance, with ∣x∣1=∑i∣xi∣|x|_1 = \sum_i |x_i|∣x∣1​=∑i​∣xi​∣:

  • the diameter D≥∣d−d′∣1D \ge |d - d'|_1D≥∣d−d′∣1​ for all d,d′∈Dd, d' \in \mathcal Dd,d′∈D;
  • the cost bound R≥∣d⋅s∣R \ge |d \cdot s|R≥∣d⋅s∣ for all d∈Dd \in \mathcal Dd∈D, s∈Ss \in \mathcal Ss∈S;
  • the state size A≥∣s∣1A \ge |s|_1A≥∣s∣1​ for all s∈Ss \in \mathcal Ss∈S.

FPL(ε\varepsilonε), for a parameter ε>0\varepsilon > 0ε>0: in each period ttt, draw ptp_tpt​ uniformly at random from the cube [0,1/ε]n[0, 1/\varepsilon]^n[0,1/ε]n and play M(s1:t−1+pt)M(s_{1:t-1} + p_t)M(s1:t−1​+pt​). Its expected cost is E[cost of FPL(ε)]=∑t=1TE [M(s1:t−1+pt)⋅st]\mathbb E[\text{cost of FPL}(\varepsilon)] = \sum_{t=1}^T \mathbb E\,[M(s_{1:t-1} + p_t) \cdot s_t]E[cost of FPL(ε)]=∑t=1T​E[M(s1:t−1​+pt​)⋅st​].

Hannan(δ\deltaδ): the same rule with ptp_tpt​ uniform on [0,t/δ]n[0, \sqrt t/\delta]^n[0,t​/δ]n.

Formalization targets

Goal: Theorem 1.1(a)

For every state sequence s1,…,sT∈Ss_1, \dots, s_T \in \mathcal Ss1​,…,sT​∈S and every 0<ε≤10 < \varepsilon \le 10<ε≤1,

E[cost of FPL(ε)]≤min-costT+εRAT+Dε.\mathbb E[\text{cost of FPL}(\varepsilon)] \le \text{min-cost}_T + \varepsilon R A T + \frac{D}{\varepsilon}.E[cost of FPL(ε)]≤min-costT​+εRAT+εD​.

The constants are the paper's. With ε=D/(RAT)\varepsilon = \sqrt{D/(RAT)}ε=D/(RAT)​ the expected regret is at most 2DRAT2\sqrt{DRAT}2DRAT​.

Milestones (the paper's proof path)

  1. Display (4), "be the leader": ∑t=1TM(s1:t)⋅st≤M(s1:T)⋅s1:T\sum_{t=1}^T M(s_{1:t}) \cdot s_t \le M(s_{1:T}) \cdot s_{1:T}∑t=1T​M(s1:t​)⋅st​≤M(s1:T​)⋅s1:T​.
  2. Lemma 3.1: for any T>0T > 0T>0 and vectors p0=0,p1,…,pTp_0 = 0, p_1, \dots, p_Tp0​=0,p1​,…,pT​,
∑t=1TM(s1:t+pt)⋅st≤M(s1:T)⋅s1:T+D∑t=1T∣pt−pt−1∣∞.\sum_{t=1}^T M(s_{1:t} + p_t) \cdot s_t \le M(s_{1:T}) \cdot s_{1:T} + D \sum_{t=1}^T |p_t - p_{t-1}|_\infty .t=1∑T​M(s1:t​+pt​)⋅st​≤M(s1:T​)⋅s1:T​+Dt=1∑T​∣pt​−pt−1​∣∞​.
  1. Display (5): for p1∈[0,1/ε]np_1 \in [0, 1/\varepsilon]^np1​∈[0,1/ε]n, ∑tM(s1:t+p1)⋅st≤M(s1:T)⋅s1:T+D∣p1∣∞≤M(s1:T)⋅s1:T+D/ε\sum_t M(s_{1:t} + p_1) \cdot s_t \le M(s_{1:T}) \cdot s_{1:T} + D|p_1|_\infty \le M(s_{1:T}) \cdot s_{1:T} + D/\varepsilon∑t​M(s1:t​+p1​)⋅st​≤M(s1:T​)⋅s1:T​+D∣p1​∣∞​≤M(s1:T​)⋅s1:T​+D/ε.
  2. Lemma 3.2: the cubes [0,1/ε]n[0, 1/\varepsilon]^n[0,1/ε]n and v+[0,1/ε]nv + [0, 1/\varepsilon]^nv+[0,1/ε]n overlap in at least a (1−ε∣v∣1)(1 - \varepsilon |v|_1)(1−ε∣v∣1​) fraction.

Companion: Theorem 3.3

For any state sequence in S\mathcal SS, any δ>0\delta > 0δ>0 and any T>0T > 0T>0,

E[cost of Hannan(δ)]≤M(s1:T)⋅s1:T+2δRAT+DTδ.\mathbb E[\text{cost of Hannan}(\delta)] \le M(s_{1:T}) \cdot s_{1:T} + 2\delta R A \sqrt T + \frac{D\sqrt T}{\delta}.E[cost of Hannan(δ)]≤M(s1:T​)⋅s1:T​+2δRAT​+δDT​​.

This bound needs no knowledge of TTT. It is included as a separate theorem, not a milestone of the goal.

Significance

The result. Theorem 1.1(a) reduces online linear optimization over any decision set to its offline counterpart, at the price of one oracle call per period and regret O(DRAT)O(\sqrt{DRAT})O(DRAT​). Applied to online shortest paths, spanning trees and other combinatorial problems it gives efficient algorithms where weighted majority would maintain exponentially many weights. Later uses of FPL (approximate oracles, robust optimization via online learning) start from this bound.

Formalizing it. The theorem has been proved in print for twenty years; it has no machine-checked proof that we know of. The platform already holds a formalization of Ben-Tal, Hazan, Koren and Mannor's approximate-oracle variant (OracleRO.ApproxFPL), which takes a maximising oracle and an oscillation bound RRR and therefore yields a weaker constant (2εRAT2\varepsilon RAT2εRAT) in this setting. This mission states the exact-oracle bound with the paper's constant εRAT\varepsilon RATεRAT, where RRR bounds ∣d⋅s∣|d \cdot s|∣d⋅s∣ itself. A correct proof must handle that constant carefully; see the next section.

Difficulty

Display (4), Lemma 3.1 and display (5) are finite-sum arguments from the defining property of MMM. Lemma 3.2 is a statement about Lebesgue measure of a cube and its translate.

The central difficulty is the stability step: bounding, period by period, how much worse it is to play M(s1:t−1+pt)M(s_{1:t-1} + p_t)M(s1:t−1​+pt​) than M(s1:t+pt)M(s_{1:t} + p_t)M(s1:t​+pt​). The obvious argument says that the two perturbed points have laws that agree on a (1−ε∣st∣1)(1 - \varepsilon|s_t|_1)(1−ε∣st​∣1​) fraction, and on the rest "one can only be RRR larger". Under the printed definition of RRR the difference of two costs d⋅st−d′⋅std \cdot s_t - d' \cdot s_td⋅st​−d′⋅st​ can be as large as 2R2R2R, so this per-period bound fails for costs of mixed sign: with n=1n = 1n=1, D={−1,1}\mathcal D = \{-1, 1\}D={−1,1} and suitable s1:t−1s_{1:t-1}s1:t−1​, the per-period difference is 2εst22\varepsilon s_t^22εst2​, while εRA=εst2\varepsilon R A = \varepsilon s_t^2εRA=εst2​. The theorem itself, with εRAT\varepsilon RATεRAT, remains true, but a proof cannot proceed by the per-period comparison as written. Proving the goal with the stated constant, rather than 2εRAT2\varepsilon RAT2εRAT, is the substantive part of the mission.

Formalization scope

  • Vectors are Fin n → ℝ; d⋅sd \cdot sd⋅s is dotProduct (⬝ᵥ); ∣x∣1|x|_1∣x∣1​ is written out as ∑i∣xi∣\sum_i |x_i|∑i​∣xi​∣; ∣x∣∞|x|_\infty∣x∣∞​ is the Lean norm ‖x‖, which on Fin n → ℝ is the sup norm. The sets are Dset and S; the diameter is Ddiam.
  • States are a sequence s : ℕ → Fin n → ℝ indexed from 111 (s 0 is unused); the hypothesis st∈Ss_t \in \mathcal Sst​∈S is imposed for 1≤t≤T1 \le t \le T1≤t≤T.
  • The oracle is the predicate IsArgminOracle Dset M: M(x)∈DM(x) \in \mathcal DM(x)∈D and M(x)⋅x≤d⋅xM(x) \cdot x \le d \cdot xM(x)⋅x≤d⋅x for all d∈Dd \in \mathcal Dd∈D. Every theorem quantifies over all such MMM; the oracle is never a chosen Classical.epsilon minimiser.
  • Parameters DDD, RRR, AAA are hypotheses over the sets exactly as printed on p. 294 (not the weaker "reasonable decisions" variant of the paper's footnote 4). Each statement takes only the parameters it uses.
  • Shared definitions come from the published OracleRO.ApproxFPL.FPL: prefixSum s t =s1:t= s_{1:t}=s1:t​; perturbLaw n ε, the uniform law on [0,1/ε]n[0, 1/\varepsilon]^n[0,1/ε]n; and fplExpectedReward M s ε T =∑t=1T∫st⋅M(s1:t−1+p) dU(p)= \sum_{t=1}^T \int s_t \cdot M(s_{1:t-1} + p)\, dU(p)=∑t=1T​∫st​⋅M(s1:t−1​+p)dU(p), which with an argmin oracle is the expected cost of FPL(ε\varepsilonε) (its name reflects a maximisation source). Using one integral per period is the paper's own observation that fresh and shared perturbations give the same expectation.
  • Added hypotheses, each disclosed in the item: ε>0\varepsilon > 0ε>0 and δ>0\delta > 0δ>0 (the page divides by them); measurability of MMM (the expectations require it). With RRR bounding ∣d⋅s∣|d \cdot s|∣d⋅s∣ and M(x)∈DM(x) \in \mathcal DM(x)∈D, every integrand is bounded and measurable, so every expectation is a genuine integral and no bound holds vacuously. The page's ε≤1\varepsilon \le 1ε≤1 is kept in the goal although the bound does not use it. TTT is unrestricted where the page allows it.
  • Not a trivialization. The expected cost uses M(s1:t−1+p)M(s_{1:t-1} + p)M(s1:t−1​+p), the decision available before sts_tst​ is seen; replacing it by the "be the leader" decision M(s1:t+p)M(s_{1:t} + p)M(s1:t​+p) would make the goal follow from display (5) alone. The uniform law is normalised (a probability measure for ε>0\varepsilon > 0ε>0).
  • Corrected reading. Display (5) on the page prints M(st+p1)M(s_t + p_1)M(st​+p1​); the statement uses M(s1:t+p1)M(s_{1:t} + p_1)M(s1:t​+p1​), which is what Lemma 3.1 gives and what the text says it applies.
  • Not included. The per-period stability inequality of the printed proof, which is false for costs of mixed sign.

Contributions welcome: proofs of the milestones, the goal and Theorem 3.3, and reusable lemmas on uniform laws over translated cubes.

Selected references

  • A. Kalai, S. Vempala, Efficient algorithms for online decision problems, J. Comput. System Sci. 71(3) (2005) 291–307. https://doi.org/10.1016/j.jcss.2004.10.016
  • J. Hannan, Approximation to Bayes risk in repeated plays, in: Contributions to the Theory of Games, vol. 3, Princeton University Press, 1957, pp. 97–139 (reference [14] of Kalai–Vempala, https://doi.org/10.1016/j.jcss.2004.10.016).
  • A. Ben-Tal, E. Hazan, T. Koren, S. Mannor, Oracle-based robust optimization via online learning, Oper. Res. 63(3) (2015) 628–638. https://doi.org/10.1287/opre.2015.1374
7 thms1 active userReviewed
Operations ResearchProbabilityStochastic Systems·Captain: mikedeng1

A Theoretical Framework for the Pricing of Contingent Claims in the Presence of Model Uncertainty: Superreplication Price Equals a Supremum over Martingale Measures with Bracket BoundsResearch Paper

Motivation

Classical arbitrage pricing fixes one probabilistic model of the underlying asset and prices a contingent claim as an expectation under an equivalent martingale measure. When the volatility is not known, a seller who wants to be safe under every plausible model has to superreplicate: hold an initial capital and a trading strategy whose terminal value dominates the claim under all models at once. The uncertain volatility model (UVM) of Avellaneda, Levy and Parás (Appl. Math. Finance 1995) and Lyons (Appl. Math. Finance 1995) is the standard instance: the volatility is only known to lie in an interval [σ‾,σˉ][\underline\sigma,\bar\sigma][σ​,σˉ].

The family of laws describing such uncertainty is not dominated by a single reference probability, so "almost surely" and the usual stochastic integral are not available. Denis and Martini (Ann. Appl. Probab. 2006) replace them by a capacity and a quasi-sure stochastic integral, and show that the superreplication price of a broad class of path-dependent European claims is a supremum of expectations over martingale laws. This framework is a precursor of quasi-sure analysis and GGG-expectations (Denis, Hu and Peng, Potential Anal. 2011; Soner, Touzi and Zhang, Electron. J. Probab. 2011).

Setting

Fix T>0T>0T>0. Ω\OmegaΩ is the space of continuous paths B=(Bt)t∈[0,T]B=(B_t)_{t\in[0,T]}B=(Bt​)t∈[0,T]​ with B0=0B_0=0B0​=0, with the uniform norm, Borel σ\sigmaσ-field B\mathcal BB and canonical filtration Ft=σ(Bs:s≤t)\mathcal F_t=\sigma(B_s:s\le t)Ft​=σ(Bs​:s≤t). A martingale measure is a probability on Ω\OmegaΩ under which BBB is an (Ft)(\mathcal F_t)(Ft​)-martingale; Pm\mathbf P_mPm​ denotes the set of these.

A nonzero measure μˉ\bar\muμˉ​ on [0,T][0,T][0,T] with continuous distribution function μˉt=μˉ([0,t])\bar\mu_t=\bar\mu([0,t])μˉ​t​=μˉ​([0,t]) bounds the bracket. Hypothesis H(μˉ)H(\bar\mu)H(μˉ​) on a set P⊆Pm\mathbf P\subseteq\mathbf P_mP⊆Pm​ says d⟨B⟩tP≤dμˉtd\langle B\rangle^P_t\le d\bar\mu_td⟨B⟩tP​≤dμˉ​t​ for every P∈PP\in\mathbf PP∈P; H(μ‾,μˉ)H(\underline\mu,\bar\mu)H(μ​,μˉ​) adds a lower bound dμ‾t≤d⟨B⟩tPd\underline\mu_t\le d\langle B\rangle^P_tdμ​t​≤d⟨B⟩tP​. In the UVM, dμ‾=σ‾2dtd\underline\mu=\underline\sigma^2dtdμ​=σ​2dt and dμˉ=σˉ2dtd\bar\mu=\bar\sigma^2dtdμˉ​=σˉ2dt.

The capacity of a bounded continuous φ\varphiφ is c(φ)=sup⁡P∈P∥φ∥L2(P)c(\varphi)=\sup_{P\in\mathbf P}\|\varphi\|_{L^2(P)}c(φ)=supP∈P​∥φ∥L2(P)​, extended to all functions through lower semicontinuous majorants. A set is polar if its capacity is 000, and a property holds quasi-surely (q.s.) outside a polar set. L\mathcal LL is the completion of Cb(Ω)C_b(\Omega)Cb​(Ω) under ccc. Elementary integrands h=∑ikti1]ti,ti+1]h=\sum_i k_{t_i}\mathbb 1_{]t_i,t_{i+1}]}h=∑i​kti​​1]ti​,ti+1​]​ have integrals IT(h)=∑ikti(Bti+1−Bti)I_T(h)=\sum_ik_{t_i}(B_{t_{i+1}}-B_{t_i})IT​(h)=∑i​kti​​(Bti+1​​−Bti​​), and H\mathcal HH is their completion for ∥h∥H=sup⁡P(EP∫0Ths2dμˉs)1/2\|h\|_{\mathcal H}=\sup_P(E_P\int_0^Th_s^2d\bar\mu_s)^{1/2}∥h∥H​=supP​(EP​∫0T​hs2​dμˉ​s​)1/2. K={IT(h):h∈H}K=\{I_T(h):h\in\mathcal H\}K={IT​(h):h∈H} is the space of attainable gains. The superreplication price of a claim fff is

Λ(f)=inf⁡{a∈R: ∃g∈K, a+g≥f q.s.}.\Lambda(f)=\inf\{a\in\mathbb R:\ \exists g\in K,\ a+g\ge f\ \text{q.s.}\}.Λ(f)=inf{a∈R: ∃g∈K, a+g≥f q.s.}.

Formalization targets

Goal: Theorem 3.1 for explicit claims

Assume H(μ‾,μˉ)H(\underline\mu,\bar\mu)H(μ​,μˉ​) and that μˉ\bar\muμˉ​ is Hölder continuous. There is a set P′′⊂Pm\mathbf P''\subset\mathbf P_mP′′⊂Pm​ of martingale measures satisfying H(μ‾,μˉ)H(\underline\mu,\bar\mu)H(μ​,μˉ​) such that

Λ(f)=sup⁡{EPf:P∈P′′}\Lambda(f)=\sup\{E_Pf:P\in\mathbf P''\}Λ(f)=sup{EP​f:P∈P′′}

for every bounded continuous fff of the form F(Bt1,…,Btd)F(B_{t_1},\dots,B_{t_d})F(Bt1​​,…,Btd​​), G(∫0TF(Bs)ds)G\big(\int_0^TF(B_s)ds\big)G(∫0T​F(Bs​)ds) or G(sup⁡tBt)G(\sup_tB_t)G(supt​Bt​), with GGG (and the cylindrical FFF) bounded continuous. The goal leaves P′′\mathbf P''P′′ unspecified, as the paper does.

Milestones

In attack order: the transfer of a.s. inequalities to q.s. ones (Lemma A.7); the pathwise moment bound (Bt−Bs)2n≤∫sth dB+Cμˉ(]s,t])n(B_t-B_s)^{2n}\le\int_s^th\,dB+C\bar\mu(]s,t])^n(Bt​−Bs​)2n≤∫st​hdB+Cμˉ​(]s,t])n q.s. (Proposition 2.9) and its price form Λ((Bt−Bs)2n)≤C2nμˉ([s,t])n\Lambda((B_t-B_s)^{2n})\le C_{2n}\bar\mu([s,t])^nΛ((Bt​−Bs​)2n)≤C2n​μˉ​([s,t])n (Proposition 2.13); a universal bracket ⟨B⟩t∈L\langle B\rangle_t\in\mathcal L⟨B⟩t​∈L (Lemma 2.10) approximated by realized variance (Lemma 2.14); weak duality Λ(f)≥sup⁡P′EPf\Lambda(f)\ge\sup_{\mathbf P'}E_PfΛ(f)≥supP′​EP​f (Lemma 2.15); the representation Λ(f)=sup⁡Q∈QEQf~\Lambda(f)=\sup_{Q\in\mathcal Q}E_Q\tilde fΛ(f)=supQ∈Q​EQ​f~​ over probabilities on the Stone–Čech compactification Ω~\tilde\OmegaΩ~ (§5, p. 19) and the Cauchy–Schwarz inequality for Λ\LambdaΛ (Lemma 4.3); the martingale property and continuity of B~\tilde BB~ under each QQQ (Proposition 5.2); the bracket bounds for the induced law Q∗Q^*Q∗ (Lemma 5.3); membership of the three claim families in the class Γ\GammaΓ of fff with EQf~=EQ∗fE_Q\tilde f=E_{Q^*}fEQ​f~​=EQ∗​f (Lemmas 5.4–5.6); and Theorem 3.1 for the literal class Γ\GammaΓ.

Further statements: Theorem 6.1 (all martingale measures with H(μ‾,μˉ)H(\underline\mu,\bar\mu)H(μ​,μˉ​) form a valid P′′\mathbf P''P′′), Proposition 3.2 (the case dom⁡Λ=L\operatorname{dom}\Lambda=\mathcal LdomΛ=L), Proposition 2.12 (measures not charging polar sets inherit the bracket bounds), Theorem A.8 (closedness of KKK under H(aμˉ,μˉ)H(a\bar\mu,\bar\mu)H(aμˉ​,μˉ​)).

Significance

The theorem identifies the cheapest model-free hedge of path-dependent European claims (cylindrical payoffs, Asian-type averages, lookbacks on the maximum) with a worst-case expectation over martingale laws obeying the same bracket bounds. Theorem 6.1 specializes it to the generalized UVM, where the dual set is all martingale measures with dμ‾≤d⟨B⟩≤dμˉd\underline\mu\le d\langle B\rangle\le d\bar\mudμ​≤d⟨B⟩≤dμˉ​; the paper notes this is new even for the Lebesgue case. The result supplies a rigorous non-dominated duality on which robust pricing bounds and GGG-expectation pricing rest.

The theorem is proved in the paper; no part of it is machine-checked. A formalization would produce the first Lean development of a capacity on path space, of a quasi-sure stochastic integral, and of a continuous-time quadratic variation on the canonical space. These objects are absent from Mathlib, which has discrete- and continuous-time martingales, the Stone–Čech compactification and the Riesz–Markov–Kakutani theorem, but no stochastic integral.

Difficulty

The family P\mathbf PP is not dominated, so neither the Itô integral of a single model nor a common null set is available: every inequality obtained under one PPP by the Itô formula must be lifted to a quasi-sure one, and every limit taken in the capacity. The natural dual argument (Hahn–Banach on L\mathcal LL) produces linear forms whose representation as measures on Ω\OmegaΩ is not available because dom⁡Λ\operatorname{dom}\LambdadomΛ need not be all of L\mathcal LL. The paper's route works on bounded continuous claims and compactifies; the price is that the dual measures live on Ω~\tilde\OmegaΩ~, where BtB_tBt​ is unbounded and must be extended by truncation, and the identity EQf~=EQ∗fE_Q\tilde f=E_{Q^*}fEQ​f~​=EQ∗​f linking Ω~\tilde\OmegaΩ~ back to Ω\OmegaΩ holds only for a class of claims that has to be checked family by family.

Formalization scope

Ω\OmegaΩ is a subtype of C(Set.Icc 0 T, ℝ) (paths with B0=0B_0=0B0​=0) with the Borel σ\sigmaσ-field of the sup-norm topology. Distribution functions are continuous StieltjesFunctions vanishing at 000 and positive at TTT. The quadratic variation is a predicate: an adapted process with PPP-a.s. continuous nondecreasing paths from 000 such that B2−AB^2-AB2−A is a martingale. The capacity takes values in [0,∞][0,\infty][0,∞] with the Appendix's Lebesgue extension; q.s. means outside a set of capacity zero. L\mathcal LL, H\mathcal HH and KKK are membership predicates on functions. KKK is the image of the completion H\mathcal HH. Λ\LambdaΛ and every supremum are extended reals. Ω~\tilde\OmegaΩ~ is Mathlib's StoneCech, and Q\mathcal QQ is the set of Borel probabilities on it dominated by Λ\LambdaΛ on Cb(Ω)C_b(\Omega)Cb​(Ω).

Standing assumptions, stated as hypotheses: H(μˉ)H(\bar\mu)H(μˉ​) on P\mathbf PP for all §2 results, H(μ‾,μˉ)H(\underline\mu,\bar\mu)H(μ​,μˉ​) where the page assumes it, and Hölder continuity of μˉ\bar\muμˉ​ for every result of §4–§5 and the goal (p. 12: "From now on, we assume that μˉ\bar\muμˉ​ is Hölder continuous"). The goal replaces the class Γ\GammaΓ, which is defined only inside the proof, by the three families of Lemmas 5.4–5.6. The literal form is a milestone. Lemma 2.14 adds P≠∅\mathbf P\neq\emptysetP=∅. Lemma 5.3 is stated for the law Q∗Q^*Q∗ on Ω\OmegaΩ.

The following trivializing formalizations are ruled out. An empty P\mathbf PP with a real-valued Λ\LambdaΛ would make the goal 0=00=00=0; here both sides are −∞-\infty−∞. Defining q.s. as "a.s. for every PPP" would make Lemma A.7 a tautology. Replacing KKK by the closure of elementary integrals would shrink Λ\LambdaΛ. Dropping the martingale condition from the quadratic-variation predicate would make H(μ‾,μˉ)H(\underline\mu,\bar\mu)H(μ​,μˉ​) satisfiable by any deterministic process.

A complete development needs Itô's formula and the Burkholder–Davis–Gundy inequalities for continuous martingales, Doob–Meyer uniqueness, a Kolmogorov continuity criterion, and the theory of regular Choquet capacities. These are reusable well beyond this mission, and contributions of any of them are welcome.

Selected references

  • L. Denis and C. Martini, A theoretical framework for the pricing of contingent claims in the presence of model uncertainty, Ann. Appl. Probab. 16(2):827–852, 2006. arXiv:math/0607111v1. https://arxiv.org/abs/math/0607111
  • M. Avellaneda, A. Levy and A. Parás, Pricing and hedging derivative securities in markets with uncertain volatilities, Appl. Math. Finance 2(2):73–88, 1995. https://doi.org/10.1080/13504869500000005
  • T. J. Lyons, Uncertain volatility and the risk-free synthesis of derivatives, Appl. Math. Finance 2(2):117–133, 1995. https://doi.org/10.1080/13504869500000007
  • L. Denis, M. Hu and S. Peng, Function spaces and capacity related to a sublinear expectation: application to G-Brownian motion paths, Potential Anal. 34:139–161, 2011. https://doi.org/10.1007/s11118-010-9185-x
  • H. M. Soner, N. Touzi and J. Zhang, Quasi-sure stochastic analysis through aggregation, Electron. J. Probab. 16:1844–1879, 2011. https://doi.org/10.1214/EJP.v16-950
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AnalysisOperations ResearchProbability+1·Captain: mikedeng1

Law of Large Numbers Limits for Many-Server Queues 2: The Fluid Age Measure Converges to the Equilibrium Measure (1 − G(x))dxResearch Paper

Motivation

Large call centers, cloud server farms and hospital wards are modeled as many-server queues: NNN identical servers, customers arriving according to a counting process, each customer served by one server for a random time drawn from a distribution GGG, and customers who find all servers busy waiting in a first-come first-served queue. When NNN is large, the number of customers is of order NNN and the natural object of study is the fluid limit, obtained by dividing all quantities by NNN and letting N→∞N\to\inftyN→∞. For exponential service times the fluid limit is a finite-dimensional ordinary differential equation. For a general service distribution — and call-center data show service times far from exponential (lognormal, in Brown et al., 2005) — the state must record how long each customer in service has been served, and the fluid limit is a measure-valued process.

Kaspi and Ramanan (Ann. Appl. Probab. 21 (2011) 33–114) characterize this limit by a pair of fluid equations for general GGG with a density, prove that they have at most one solution, show that the scaled NNN-server processes converge to it, and describe its long-time behavior. This mission is the last of these results: in the critically loaded fluid system, every solution converges to equilibrium.

Timeline. Whitt (2006) introduced a fluid model of the many-server queue with general service times and abandonment, and stated the case λˉ<1\bar\lambda<1λˉ<1 of property (1) of the goal theorem without proof (his Theorem 7.3). Kaspi and Ramanan (2011) gave the measure-valued formulation with the age process, uniqueness and existence of fluid solutions, and the convergence to equilibrium formalized here. Reed (2009) treated the related G/GI/NG/GI/NG/GI/N queue in the Halfin–Whitt regime.

Setting

The service distribution GGG has a density ggg, is carried by [0,∞)[0,\infty)[0,∞), and has mean one: ∫0∞x g(x) dx=∫0∞(1−G(x)) dx=1\int_0^\infty x\,g(x)\,dx=\int_0^\infty(1-G(x))\,dx=1∫0∞​xg(x)dx=∫0∞​(1−G(x))dx=1. Let M=sup⁡{x≥0:G(x)<1}∈(0,∞]M=\sup\{x\ge0:G(x)<1\}\in(0,\infty]M=sup{x≥0:G(x)<1}∈(0,∞], and let h=g/(1−G)h=g/(1-G)h=g/(1−G) be the hazard rate on [0,M)[0,M)[0,M).

The fluid state at time ttt is a number Xˉ(t)≥0\bar X(t)\ge0Xˉ(t)≥0, the scaled number of customers in system, and a measure νˉt\bar\nu_tνˉt​ on [0,M)[0,M)[0,M) of total mass at most one: νˉt(A)\bar\nu_t(A)νˉt​(A) is the scaled number of customers in service whose age (time already spent in service) lies in AAA. The input is a nondecreasing càdlàg arrival function Eˉ\bar EEˉ with Eˉ(0)=0\bar E(0)=0Eˉ(0)=0, an initial number Xˉ(0)\bar X(0)Xˉ(0) and an initial age measure νˉ0\bar\nu_0νˉ0​, satisfying 1−⟨1,νˉ0⟩=[1−Xˉ(0)]+1-\langle\mathbf 1,\bar\nu_0\rangle=[1-\bar X(0)]^+1−⟨1,νˉ0​⟩=[1−Xˉ(0)]+ (servers are idle only when nobody waits). The set of such triples is S0\mathcal S_0S0​.

A càdlàg pair (Xˉ,νˉ)(\bar X,\bar\nu)(Xˉ,νˉ) solves the fluid equations if the cumulative departures Dˉ(t)=∫0t⟨h,νˉs⟩ ds\bar D(t)=\int_0^t\langle h,\bar\nu_s\rangle\,dsDˉ(t)=∫0t​⟨h,νˉs​⟩ds are finite, the entries into service Kˉ(t)=⟨1,νˉt⟩−⟨1,νˉ0⟩+Dˉ(t)\bar K(t)=\langle\mathbf 1,\bar\nu_t\rangle-\langle\mathbf 1,\bar\nu_0\rangle+\bar D(t)Kˉ(t)=⟨1,νˉt​⟩−⟨1,νˉ0​⟩+Dˉ(t) satisfy the transport equation

⟨φ(⋅,t),νˉt⟩=⟨φ(⋅,0),νˉ0⟩+∫0t⟨φx+φs,νˉs⟩ ds−∫0t⟨hφ(⋅,s),νˉs⟩ ds+∫[0,t]φ(0,s) dKˉ(s)\langle\varphi(\cdot,t),\bar\nu_t\rangle=\langle\varphi(\cdot,0),\bar\nu_0\rangle+\int_0^t\langle\varphi_x+\varphi_s,\bar\nu_s\rangle\,ds-\int_0^t\langle h\varphi(\cdot,s),\bar\nu_s\rangle\,ds+\int_{[0,t]}\varphi(0,s)\,d\bar K(s)⟨φ(⋅,t),νˉt​⟩=⟨φ(⋅,0),νˉ0​⟩+∫0t​⟨φx​+φs​,νˉs​⟩ds−∫0t​⟨hφ(⋅,s),νˉs​⟩ds+∫[0,t]​φ(0,s)dKˉ(s)

for every compactly supported test function φ\varphiφ on [0,M)×[0,∞)[0,M)\times[0,\infty)[0,M)×[0,∞) (ages grow at unit rate, customers leave at rate hhh, new customers enter at age 000), mass is conserved, Xˉ(t)=Xˉ(0)+Eˉ(t)−Dˉ(t)\bar X(t)=\bar X(0)+\bar E(t)-\bar D(t)Xˉ(t)=Xˉ(0)+Eˉ(t)−Dˉ(t), and the system is non-idling, 1−⟨1,νˉt⟩=[1−Xˉ(t)]+1-\langle\mathbf 1,\bar\nu_t\rangle=[1-\bar X(t)]^+1−⟨1,νˉt​⟩=[1−Xˉ(t)]+.

The equilibrium measure is νˉ∗(dx)=(1−G(x)) dx\bar\nu_*(dx)=(1-G(x))\,dxνˉ∗​(dx)=(1−G(x))dx on [0,M)[0,M)[0,M), a probability measure by the mean-one normalization. With Eˉ=id\bar E=\mathrm{id}Eˉ=id (arrival rate equal to the total service capacity), Xˉ≡c≥1\bar X\equiv c\ge1Xˉ≡c≥1 and νˉ≡νˉ∗\bar\nu\equiv\bar\nu_*νˉ≡νˉ∗​ is a constant solution. Assumption 2 asks that hhh be bounded or lower semicontinuous near MMM. The renewal measure of GGG is U=∑n≥0G∗nU=\sum_{n\ge0}G^{*n}U=∑n≥0​G∗n, the unit mass at 000 included.

Formalization targets

Goal: Theorem 3.9

Under Assumption 2:

  1. if Eˉ=λˉ id\bar E=\bar\lambda\,\mathrm{id}Eˉ=λˉid with λˉ∈[0,1]\bar\lambda\in[0,1]λˉ∈[0,1] and the system starts empty, then Xˉ(t)=⟨1,νˉt⟩\bar X(t)=\langle\mathbf 1,\bar\nu_t\rangleXˉ(t)=⟨1,νˉt​⟩ increases to λˉ\bar\lambdaλˉ and νˉt\bar\nu_tνˉt​ increases weakly to λˉνˉ∗\bar\lambda\bar\nu_*λˉνˉ∗​;
  2. if ∫x2g(x) dx<∞\int x^2g(x)\,dx<\infty∫x2g(x)dx<∞, then for Eˉ=id\bar E=\mathrm{id}Eˉ=id and every initial condition in S0\mathcal S_0S0​,
lim⁡t→∞⟨f,νˉt⟩=∫[0,∞)f(x)(1−G(x)) dxfor every bounded continuous f.\lim_{t\to\infty}\langle f,\bar\nu_t\rangle=\int_{[0,\infty)}f(x)(1-G(x))\,dx\qquad\text{for every bounded continuous }f.t→∞lim​⟨f,νˉt​⟩=∫[0,∞)​f(x)(1−G(x))dxfor every bounded continuous f.

Milestones

  • Lemma 3.4: a solution restarted at time ttt solves the fluid equations for the shifted data.
  • Remark 3.8: the invariant solution (c+Eˉ−id,νˉ∗)(c+\bar E-\mathrm{id},\bar\nu_*)(c+Eˉ−id,νˉ∗​) when λˉ≥1\bar\lambda\ge1λˉ≥1.
  • Corollary 4.4, (4.6): Kˉ\bar KKˉ is the renewal measure UUU convolved with an explicit forcing term.
  • Proposition 6.1(1)–(3): the solution started empty, explicitly up to the first time τ1\tau_1τ1​ it fills, its monotone convergence for constant λˉ≤1\bar\lambda\le1λˉ≤1, and the comparison of an arbitrary solution with it.
  • Lemma 6.2: a reference system built from UUU converges weakly to ⟨1,π0⟩νˉ∗\langle\mathbf 1,\pi_0\rangle\bar\nu_*⟨1,π0​⟩νˉ∗​.
  • Lemma 6.3: a uniform renewal estimate under a finite second moment.

Significance

Theorem 3.9(2) is the stability statement of the fluid model in the critically loaded case: whatever the initial occupancy and the initial ages, the age distribution of customers in service converges to the stationary excess distribution of GGG. It justifies using νˉ∗\bar\nu_*νˉ∗​ as the operating point around which diffusion approximations of many-server queues are built, and it is the fluid counterpart of the classical fact that the age of a stationary renewal process has density 1−G1-G1−G. Part (1) gives the transient behavior of an underloaded or critically loaded system started empty.

The result is proved in the paper; nothing here is open. To our knowledge none of it has been formalized. A formalization adds machine-checked statements of a measure-valued fluid model that the companion mission (uniqueness of fluid solutions, Theorem 3.5) shares, and exercises renewal theory — the renewal measure, a key renewal theorem for laws with a density, Lorden's inequality — in a form usable by other queueing developments.

Difficulty

The naive argument would show that ⟨f,νˉt⟩\langle f,\bar\nu_t\rangle⟨f,νˉt​⟩ is given by an explicit formula and pass to the limit. The explicit age representation of a solution involves Kˉ\bar KKˉ, which is known only through a renewal equation whose forcing term depends on νˉ\bar\nuνˉ itself; there is no closed form unless the system never fills up. For Eˉ=id\bar E=\mathrm{id}Eˉ=id the system can alternate between full and not full, and the convergence must be proved without knowing when. Two ingredients carry the weight: a comparison showing that the occupancy tends to one, and a key renewal theorem for the backward recurrence time of a renewal process with a density, which needs total-variation rather than vague convergence because the test functions are only bounded and continuous. The uniform-in-time control of Lemma 6.3 is where the second moment enters.

Formalization scope

Everything lives in ManyServerFluid.Equilibrium. The service law is a structure holding the density ggg with g≥0g\ge0g≥0, g=0g=0g=0 on (−∞,0)(-\infty,0)(−∞,0), ∫g=1\int g=1∫g=1, and mean one. Time is R\mathbb RR, read on [0,∞)[0,\infty)[0,∞). Age measures are Mathlib FiniteMeasure ℝ carried by [0,M)[0,M)[0,M), with the weak topology, so "càdlàg" is in the paper's topology. The departures ∫0t⟨h,νˉs⟩ds\int_0^t\langle h,\bar\nu_s\rangle ds∫0t​⟨h,νˉs​⟩ds are lower integrals in [0,∞][0,\infty][0,∞]; dKˉd\bar KdKˉ and dZdZdZ are Lebesgue–Stieltjes measures. The convolution powers are the published QueueingFundamentals.MG1.convPow.

Explicit choices, each also stated in the item that uses it:

  • g=0g=0g=0 below 000 and ∫g=1\int g=1∫g=1 are explicit; the paper's "νˉ0\bar\nu_0νˉ0​" is νˉ(0)\bar\nu(0)νˉ(0), stated as an equation.
  • Compact support of test functions is relative to [0,M)×R+[0,M)\times\mathbb R_+[0,M)×R+​, as the paper intends; the directional derivative is supplied as a second function.
  • Weak convergence is tested on bounded continuous functions on R\mathbb RR; for measures carried by [0,M)[0,M)[0,M) this is equivalent to Cb[0,M)\mathcal C_b[0,M)Cb​[0,M) and Cb(R+)\mathcal C_b(\mathbb R_+)Cb​(R+​). "Increases" means nondecreasing.
  • "The unique solution" is the hypothesis "a solution"; uniqueness is the companion mission.
  • In Proposition 6.1(1) the printed limit ∫0τ1f(t−s)⋯\int_0^{\tau_1}f(t-s)\cdots∫0τ1​​f(t−s)⋯ is read with τ1\tau_1τ1​ for ttt, and only for τ1<∞\tau_1<\inftyτ1​<∞.
  • In Lemma 6.3 the free ttt of (6.11) is quantified after ∃Tε\exists T_\varepsilon∃Tε​, uniformly, as the proof establishes and uses.
  • Lemma 6.2 states that Z∈I0Z\in\mathcal I_0Z∈I0​ and that a càdlàg family satisfying (6.6) exists, besides (6.7).
  • Remark 3.8 is stated as membership in the solution set, the conclusion the paper draws.

Weak convergence in Theorem 3.9(2) is against all bounded continuous functions, not compactly supported ones; vague convergence would let mass escape towards MMM and is not the theorem. The monotonicity in part (1) is part of the statement. A formalization in which these were dropped, or in which UUU omitted the unit mass at 000, would state a different result.

Existence. The paper's proof of Theorem 3.9(2) compares an arbitrary solution with the solution started empty, which it obtains from its Theorem 3.7 (existence via the NNN-server limit); that theorem is not part of this series. Here every solution is a hypothesis, so nothing false is stated, but a proof of the goal must construct the empty-start solution for Eˉ=id\bar E=\mathrm{id}Eˉ=id. It is explicit: νˉt\bar\nu_tνˉt​ has density 1−G1-G1−G on [0,t][0,t][0,t] while t<τ1t<\tau_1t<τ1​, and from τ1=M<∞\tau_1=M<\inftyτ1​=M<∞ on it equals νˉ∗\bar\nu_*νˉ∗​ (Proposition 6.1, Remark 3.8, Lemma 3.4).

Contributions welcome: general renewal theory (local finiteness of UUU, Lorden's inequality, the key renewal theorem for spread-out laws in total variation), and lemmas on the fluid equations shared with the uniqueness mission (the monotonicity of Kˉ\bar KKˉ, the renewal equation (4.5), the age representation (3.11)).

Selected references

  • H. Kaspi and K. Ramanan, Law of Large Numbers Limits for Many-Server Queues, Ann. Appl. Probab. 21(1) (2011) 33–114. https://doi.org/10.1214/09-AAP662
  • W. Whitt, Fluid Models for Multiserver Queues with Abandonments, Oper. Res. 54 (2006) 37–54. https://mathscinet.ams.org/mathscinet-getitem?mr=2201245
  • L. Brown, N. Gans, A. Mandelbaum, A. Sakov, H. Shen, S. Zeltyn and L. Zhao, Statistical analysis of a telephone call center: A queueing-science perspective, J. Amer. Statist. Assoc. 100 (2005) 36–50. https://mathscinet.ams.org/mathscinet-getitem?mr=2166068
  • J. Reed, The G/GI/N queue in the Halfin–Whitt regime, Ann. Appl. Probab. 19 (2009) 2211–2269. https://mathscinet.ams.org/mathscinet-getitem?mr=2588244
  • S. Asmussen, Applied Probability and Queues, 2nd ed., Springer, 2003. https://mathscinet.ams.org/mathscinet-getitem?mr=1978607
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ProbabilityRandom Matrix TheoryStatistics·Captain: mikedeng1

Phase Transition of the Largest Eigenvalue for Nonnull Complex Sample Covariance Matrices 3: With N = k Variables Fixed and Equal Population Eigenvalues, √M(λ₁ − ℓ₁)/ℓ₁ Converges to G_kResearch Paper

Motivation

Principal component analysis estimates the eigenvalues of a population covariance matrix Σ\SigmaΣ by those of the sample covariance matrix SSS. Before random matrix theory turned to the regime where the dimension grows with the sample size, the classical question was the opposite one: the number of variables NNN is fixed and the number of samples MMM tends to infinity. In that regime S→ΣS\to\SigmaS→Σ almost surely, and the next question is the size and shape of the fluctuations of the sample eigenvalues. When Σ\SigmaΣ has a repeated eigenvalue, the sample eigenvalues near it do not fluctuate independently: they repel each other, and their joint limit law is that of the eigenvalues of a random Hermitian (or symmetric) matrix. Anderson (1963) derived these limits for real Gaussian samples.

Baik, Ben Arous and Péché (2005) study complex Gaussian samples whose covariance matrix is the identity apart from finitely many "spiked" eigenvalues, and find a phase transition for the largest sample eigenvalue λ1\lambda_1λ1​ as M,N→∞M,N\to\inftyM,N→∞ together. Their Proposition 1.1 is the fixed-dimension counterpart: with N=kN=kN=k fixed and all population eigenvalues equal, λ1\lambda_1λ1​ fluctuates on the scale M−1/2M^{-1/2}M−1/2 with the law of the largest eigenvalue of a k×kk\times kk×k Gaussian unitary ensemble (GUE). The paper places it beside its Theorem 1.1(b), where a kkk-fold spike above the critical value 1+γ−11+\gamma^{-1}1+γ−1 gives the same GUE limit when N→∞N\to\inftyN→∞. This mission formalizes Proposition 1.1.

Setting

Fix k≥1k\ge1k≥1 and ℓ1>0\ell_1>0ℓ1​>0. A standard complex Gaussian is g=a+ibg=a+ibg=a+ib with a,ba,ba,b independent centred real Gaussians of variance 1/21/21/2, so E∣g∣2=1\mathbb E|g|^2=1E∣g∣2=1. For each MMM, let G=(Gmj)G=(G_{mj})G=(Gmj​), 1≤m≤M1\le m\le M1≤m≤M, 1≤j≤k1\le j\le k1≤j≤k, have independent standard complex Gaussian entries (sampleLaw M k), and let the samples be y⃗m=ℓ1 (Gm1,…,Gmk)T\vec y_m=\sqrt{\ell_1}\,(G_{m1},\dots,G_{mk})^{\mathsf T}y​m​=ℓ1​​(Gm1​,…,Gmk​)T: mean zero, covariance Σ=ℓ1Ik\Sigma=\ell_1 I_kΣ=ℓ1​Ik​. The sample covariance matrix is

S=1M∑m=1My⃗m y⃗m ∗,S=\frac1M\sum_{m=1}^M\vec y_m\,\vec y_m^{\,*},S=M1​m=1∑M​y​m​y​m∗​,

a k×kk\times kk×k Hermitian matrix (sampleCov), and λ1\lambda_1λ1​ is its largest eigenvalue (largestEig). The general model sampleVec U ℓ G m =Udiag⁡(ℓ) g⃗m=U\operatorname{diag}(\sqrt{\ell})\,\vec g_m=Udiag(ℓ​)g​m​ is specialized to U=IU=IU=I and ℓj=ℓ1\ell_j=\ell_1ℓj​=ℓ1​, because a Hermitian matrix with all eigenvalues equal to ℓ1\ell_1ℓ1​ is ℓ1Ik\ell_1 I_kℓ1​Ik​.

Write V(ξ)2=∏1≤i<j≤k∣ξi−ξj∣2V(\xi)^2=\prod_{1\le i<j\le k}|\xi_i-\xi_j|^2V(ξ)2=∏1≤i<j≤k​∣ξi​−ξj​∣2 (vandSq). The finite-GUE distribution (Definition 1.2) is

Gk(x)=1Zk∫(−∞,x]kV(ξ)2∏i=1ke−ξi2/2 dξ,Zk=∫RkV(ξ)2∏i=1ke−ξi2/2 dξ,G_k(x)=\frac1{Z_k}\int_{(-\infty,x]^k}V(\xi)^2\prod_{i=1}^ke^{-\xi_i^2/2}\,d\xi,\qquad Z_k=\int_{\mathbb R^k}V(\xi)^2\prod_{i=1}^ke^{-\xi_i^2/2}\,d\xi,Gk​(x)=Zk​1​∫(−∞,x]k​V(ξ)2i=1∏k​e−ξi2​/2dξ,Zk​=∫Rk​V(ξ)2i=1∏k​e−ξi2​/2dξ,

the distribution function of the largest eigenvalue of a k×kk\times kk×k GUE matrix. In Lean these are G k x and Z k.

Formalization targets

Goal: Proposition 1.1

For every real xxx and every ε>0\varepsilon>0ε>0,

lim⁡M→∞P((λ1−ℓ1)1ℓ1M≤x)=Gk(x),lim⁡M→∞P(∣λ1−ℓ1∣>ε)=0.\lim_{M\to\infty}\mathbb P\Big((\lambda_1-\ell_1)\frac1{\ell_1}\sqrt M\le x\Big)=G_k(x),\qquad \lim_{M\to\infty}\mathbb P\big(|\lambda_1-\ell_1|>\varepsilon\big)=0 .M→∞lim​P((λ1​−ℓ1​)ℓ1​1​M​≤x)=Gk​(x),M→∞lim​P(∣λ1​−ℓ1​∣>ε)=0.

The second statement is λ1→ℓ1\lambda_1\to\ell_1λ1​→ℓ1​ in probability.

Milestones

With π1=ℓ1−1\pi_1=\ell_1^{-1}π1​=ℓ1−1​, M≥kM\ge kM≥k, and C=∫(0,∞)kV(y)2∏je−Mπ1yjyjM−k dyC=\int_{(0,\infty)^k}V(y)^2\prod_je^{-M\pi_1y_j}y_j^{M-k}\,dyC=∫(0,∞)k​V(y)2∏j​e−Mπ1​yj​yjM−k​dy:

  1. (302) P(λ1≤t)=1C∫(0,t]kV(y)2∏je−Mπ1yjyjM−k dy\mathbb P(\lambda_1\le t)=\frac1C\int_{(0,t]^k}V(y)^2\prod_je^{-M\pi_1y_j}y_j^{M-k}\,dyP(λ1​≤t)=C1​∫(0,t]k​V(y)2∏j​e−Mπ1​yj​yjM−k​dy;
  2. (303) C=∏j=0k−1(1+j)!(M−k+j)! / (Mπ1)MkC=\prod_{j=0}^{k-1}(1+j)!(M-k+j)!\,/\,(M\pi_1)^{Mk}C=∏j=0k−1​(1+j)!(M−k+j)!/(Mπ1​)Mk;
  3. (27) Zk=(2π)k/2∏j=1kj!Z_k=(2\pi)^{k/2}\prod_{j=1}^kj!Zk​=(2π)k/2∏j=1k​j!;
  4. (304) the rescaled form of (302) after yj=π1−1(1+ξj/M)y_j=\pi_1^{-1}(1+\xi_j/\sqrt M)yj​=π1−1​(1+ξj​/M​);
  5. π1kMMk2/2ekMC→(2π)k/2∏j=0k−1(1+j)!\pi_1^{kM}M^{k^2/2}e^{kM}C\to(2\pi)^{k/2}\prod_{j=0}^{k-1}(1+j)!π1kM​Mk2/2ekMC→(2π)k/2∏j=0k−1​(1+j)! as M→∞M\to\inftyM→∞;
  6. (29) G1G_1G1​ is the standard normal distribution function.

Significance

The proposition identifies the fixed-dimension limit of the top sample eigenvalue under a degenerate population spectrum: the kkk sample eigenvalues near ℓ1\ell_1ℓ1​, rescaled by M/ℓ1\sqrt M/\ell_1M​/ℓ1​, behave like a k×kk\times kk×k GUE spectrum, and λ1\lambda_1λ1​ like its maximum. For k=1k=1k=1 it reduces to the central limit theorem for the sample variance of one complex Gaussian variable, with limit Φ\PhiΦ by (29). For general kkk it shows that the GUE limit of the supercritical regime in Theorem 1.1(b) is already present when the dimension does not grow.

The result is proved in the paper (§5, p. 1691) by an exact computation. No machine-checked proof of it, of the complex Wishart eigenvalue density, or of the Gaussian and Laguerre cases of Selberg's integral is known to exist in Mathlib or on the platform. The formalization requires the joint eigenvalue density of a complex Wishart matrix (a Weyl-type integration formula over the unitary group), two Selberg-type integral evaluations, a Stirling asymptotic for products of factorials, and a dominated-convergence argument on Rk\mathbb R^kRk. The first three are reusable well beyond this mission.

Difficulty

The limit itself follows from (304) and the constant asymptotics. The hard part is (302): passing from the law of the matrix SSS to the joint law of its eigenvalues. This requires the change of variables S=Wdiag⁡(λ)W∗S=W\operatorname{diag}(\lambda)W^*S=Wdiag(λ)W∗ with WWW unitary, the Jacobian V(λ)2V(\lambda)^2V(λ)2, and the integration over the unitary group. A direct central limit argument for the entries of SSS gives the Gaussian limit of M(S−ℓ1I)/ℓ1\sqrt M(S-\ell_1I)/\ell_1M​(S−ℓ1​I)/ℓ1​ as a GUE matrix. To get from there to λ1\lambda_1λ1​ one needs the continuity of the largest eigenvalue in the matrix entries and a matching normalisation, so it is a different route from the paper's. Either route requires spectral facts about Hermitian matrices that Mathlib does not yet package. The Selberg evaluations (27) and (303) are classical but have no short proof: the standard arguments use orthogonal polynomials or an induction with a Dixon–Anderson type integral.

Formalization scope

  • The sample model is shared by every mission of this series:
    • the samples are mean-zero and uncentred, with E∣g∣2=1\mathbb E|g|^2=1E∣g∣2=1 per complex coordinate, and SSS carries the factor 1/M1/M1/M, as in the paper's formula (59). The density (1) "with the complex inner product", S=1NXX∗S=\frac1NXX^*S=N1​XX∗ on p. 1645 and the centring by the sample mean on p. 1643 are printed slips that contradict (59);
    • λ1\lambda_1λ1​ is the supremum of Mathlib's eigenvalues of the Hermitian matrix SSS. The events {λ1≤t}\{\lambda_1\le t\}{λ1​≤t} are closed, hence measurable, sets of samples.
  • The probabilities are (sampleLaw M k).real of explicit sets.
  • (50) is printed without "≤\le≤"; the event (λ1−ℓ1)ℓ1−1M≤x(\lambda_1-\ell_1)\ell_1^{-1}\sqrt M\le x(λ1​−ℓ1​)ℓ1−1​M​≤x is stated.
  • (29) is printed with "erf(x)"; the standard normal distribution function is stated.
  • ZkZ_kZk​ and CCC are defined as integrals, never as their closed forms. Otherwise (27) and (303) would hold by definition.
  • The goal mentions only the sample model, λ1\lambda_1λ1​ and GkG_kGk​, not CCC, the Laguerre weight or the substitution. This rules out the trivializing formalizations: the covariance is the page's ℓ1Ik\ell_1I_kℓ1​Ik​, not a further special case, and nothing in the statement is vacuous for k≥1k\ge1k≥1, ℓ1>0\ell_1>0ℓ1​>0.
  • The milestones (302)–(304) assume k≤Mk\le Mk≤M, which the page uses implicitly through the exponent M−kM-kM−k. (304) assumes x≥−Mx\ge-\sqrt Mx≥−M​, the range of its integration limits.

Contributions are welcome on each milestone. Particularly reusable are the complex Wishart eigenvalue density, the Gaussian and Laguerre Selberg integrals, and the measurability and continuity of eigenvalues of Hermitian matrix families.

Selected references

  • J. Baik, G. Ben Arous, S. Péché, Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices, Ann. Probab. 33(5) (2005), 1643–1697. https://doi.org/10.1214/009117905000000233
  • T. W. Anderson, Asymptotic theory for principal component analysis, Ann. Math. Statist. 34 (1963), 122–148. https://doi.org/10.1214/aoms/1177704248
  • A. T. James, Distributions of matrix variates and latent roots derived from normal samples, Ann. Math. Statist. 35 (1964), 475–501. https://doi.org/10.1214/aoms/1177703550
  • I. M. Johnstone, On the distribution of the largest eigenvalue in principal components analysis, Ann. Statist. 29 (2001), 295–327. https://doi.org/10.1214/aos/1009210544
  • P. J. Forrester, S. O. Warnaar, The importance of the Selberg integral, Bull. Amer. Math. Soc. 45 (2008), 489–534. https://doi.org/10.1090/S0273-0979-08-01221-4
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Functional AnalysisProbabilityStochastic Systems·Captain: mikedeng1

Affine Processes on Positive Semidefinite Matrices III: For d ≥ 2, a Markov Family Is Infinitely Decomposable Iff It Is Affine with Zero Diffusion Iff It Is Affine and Infinitely DivisibleResearch Paper

Motivation

Affine processes are Markov processes whose Laplace transform depends exponential-affinely on the initial state. On the cone Sd+S_d^+Sd+​ of positive semidefinite matrices they model stochastic covariance matrices in multivariate stochastic volatility, interest-rate and credit models. Examples include the Wishart process of Bru (Bru 1991) and Ornstein–Uhlenbeck processes driven by matrix Lévy subordinators (Barndorff-Nielsen and Stelzer 2007, reference [3] of the paper). Cuchiero, Filipović, Mayerhofer and Teichmann (2011) characterize all affine processes on Sd+S_d^+Sd+​ by admissible parameter sets.

On the canonical state space R+m×Rn\mathbb R_+^m\times\mathbb R^nR+m​×Rn, Duffie, Filipović and Schachermayer (2003) showed that regular affine processes are exactly the infinitely decomposable Markov processes: the law started at x(1)+⋯+x(k)x^{(1)}+\dots+x^{(k)}x(1)+⋯+x(k) is a kkk-fold convolution of laws started at the x(i)x^{(i)}x(i). That property drives their existence proof. On Sd+S_d^+Sd+​ with d≥2d\ge2d≥2 it fails. The Wishart marginals are not infinitely divisible, a classical result of Paul Lévy. This mission formalizes the exact characterization: Theorem 2.9 of Cuchiero et al.

Setting

MdM_dMd​ is the space of real d×dd\times dd×d matrices and SdS_dSd​ the symmetric ones. SdS_dSd​ carries the pairing ⟨x,y⟩=Tr(xy)\langle x,y\rangle=\mathrm{Tr}(xy)⟨x,y⟩=Tr(xy) and the norm ∥x∥=⟨x,x⟩\|x\|=\sqrt{\langle x,x\rangle}∥x∥=⟨x,x⟩​. Sd+S_d^+Sd+​ is the closed convex cone of positive semidefinite matrices, and Sd+∪{Δ}S_d^+\cup\{\Delta\}Sd+​∪{Δ} its one-point compactification. The point Δ\DeltaΔ is the cemetery, where a killed process goes.

A transition family (pt)t≥0(p_t)_{t\ge0}(pt​)t≥0​ consists of sub-stochastic kernels on Sd+S_d^+Sd+​ satisfying p0(x,⋅)=δxp_0(x,\cdot)=\delta_xp0​(x,⋅)=δx​ and the Chapman–Kolmogorov equations. It is stochastically continuous if ps(x,⋅)→pt(x,⋅)p_s(x,\cdot)\to p_t(x,\cdot)ps​(x,⋅)→pt​(x,⋅) weakly as s→ts\to ts→t. The process is affine (Definition 2.1) if there are φ≥0\varphi\ge0φ≥0 and ψ∈Sd+\psi\in S_d^+ψ∈Sd+​ with

∫e−⟨u,ξ⟩pt(x,dξ)=e−φ(t,u)−⟨ψ(t,u),x⟩,t≥0, u,x∈Sd+.\int e^{-\langle u,\xi\rangle}p_t(x,d\xi)=e^{-\varphi(t,u)-\langle\psi(t,u),x\rangle},\qquad t\ge0,\ u,x\in S_d^+.∫e−⟨u,ξ⟩pt​(x,dξ)=e−φ(t,u)−⟨ψ(t,u),x⟩,t≥0, u,x∈Sd+​.

Theorem 2.4 of the paper attaches to every affine process a unique admissible parameter set (α,b,βij,c,γ,m,μ)(\alpha,b,\beta^{ij},c,\gamma,m,\mu)(α,b,βij,c,γ,m,μ). In it, α∈Sd+\alpha\in S_d^+α∈Sd+​ is the diffusion parameter, b⪰(d−1)αb\succeq(d-1)\alphab⪰(d−1)α the constant drift, ccc and γ\gammaγ the killing rates, and mmm and μ\muμ the jump measures. The exponents solve the generalized Riccati equations ∂tφ=F(ψ)\partial_t\varphi=F(\psi)∂t​φ=F(ψ), ∂tψ=R(ψ)\partial_t\psi=R(\psi)∂t​ψ=R(ψ), with F,RF,RF,R given by (2.16)–(2.17).

The canonical space Ω\OmegaΩ consists of paths ω:R+→Sd+∪{Δ}\omega:\mathbb R_+\to S_d^+\cup\{\Delta\}ω:R+​→Sd+​∪{Δ} that stay at Δ\DeltaΔ once they reach it, with coordinate process Xt(ω)=ω(t)X_t(\omega)=\omega(t)Xt​(ω)=ω(t). P\mathcal PP is the set of families (Px)x∈Sd+(P_x)_{x\in S_d^+}(Px​)x∈Sd+​​ of laws on Ω\OmegaΩ under which XXX is a stochastically continuous Markov process with Px[X0=x]=1P_x[X_0=x]=1Px​[X0​=x]=1. The convolution P∗QP*QP∗Q is the image of P×QP\times QP×Q under (ω,ω′)↦ω+ω′(\omega,\omega')\mapsto\omega+\omega'(ω,ω′)↦ω+ω′. A family (Px)∈P(P_x)\in\mathcal P(Px​)∈P is infinitely decomposable (Definition 2.7) if for every k≥1k\ge1k≥1 there is (Px(k))∈P(P^{(k)}_x)\in\mathcal P(Px(k)​)∈P with Px(1)+⋯+x(k)=Px(1)(k)∗⋯∗Px(k)(k)P_{x^{(1)}+\dots+x^{(k)}}=P^{(k)}_{x^{(1)}}*\dots*P^{(k)}_{x^{(k)}}Px(1)+⋯+x(k)​=Px(1)(k)​∗⋯∗Px(k)(k)​. It is infinitely divisible if every marginal Px∘Xt−1P_x\circ X_t^{-1}Px​∘Xt−1​ is.

Formalization targets

Goal: Theorem 2.9 (p. 12)

For d≥2d\ge2d≥2 and (Px)∈P(P_x)\in\mathcal P(Px​)∈P, the following are equivalent:

(i) (Px) is infinitely decomposable  ⟺  (ii) X is affine with α=0  ⟺  (iii) X is affine and infinitely divisible.\text{(i) }(P_x)\text{ is infinitely decomposable}\iff\text{(ii) }X\text{ is affine with }\alpha=0\iff\text{(iii) }X\text{ is affine and infinitely divisible}.(i) (Px​) is infinitely decomposable⟺(ii) X is affine with α=0⟺(iii) X is affine and infinitely divisible.

Milestones

  • Lemma 6.1. An additive g:Sd+→Rg:S_d^+\to\mathbb Rg:Sd+​→R extends to an additive f:Sd→Rf:S_d\to\mathbb Rf:Sd​→R. If ggg is measurable, then f(x)=⟨c,x⟩f(x)=\langle c,x\ranglef(x)=⟨c,x⟩ for some c∈Sdc\in S_dc∈Sd​.
  • Lemma 6.2. A measurable, strictly positive hhh with h(x+y)=h(x)h(y)h(x+y)=h(x)h(y)h(x+y)=h(x)h(y) on Sd+S_d^+Sd+​ has the form h(x)=e−⟨c,x⟩h(x)=e^{-\langle c,x\rangle}h(x)=e−⟨c,x⟩, c∈Sdc\in S_dc∈Sd​. If h≤1h\le1h≤1, then c∈Sd+c\in S_d^+c∈Sd+​.
  • Lemma 6.4. For k≥2k\ge2k≥2, Px(1)(1)∗⋯∗Px(k)(k)=Px(0)P^{(1)}_{x^{(1)}}*\dots*P^{(k)}_{x^{(k)}}=P^{(0)}_{x}Px(1)(1)​∗⋯∗Px(k)(k)​=Px(0)​ holds iff every finite-dimensional Laplace functional has the form Ex(j)[e−∑i⟨u(i),Xti⟩]=ρ(j)e−⟨ψ,x⟩\mathbb E^{(j)}_x[e^{-\sum_i\langle u^{(i)},X_{t_i}\rangle}]=\rho^{(j)}e^{-\langle\psi,x\rangle}Ex(j)​[e−∑i​⟨u(i),Xti​​⟩]=ρ(j)e−⟨ψ,x⟩ with ∏i≥1ρ(i)=ρ(0)\prod_{i\ge1}\rho^{(i)}=\rho^{(0)}∏i≥1​ρ(i)=ρ(0).
  • Lemma 5.10. The cones C\mathcal CC (Lévy–Khintchine exponents plus a constant) and CS\mathcal C^SCS are closed under composition and pointwise limits. For α=0\alpha=0α=0, truncating small jumps of μ\muμ approximates RRR locally uniformly.
  • Proposition 5.11. For an admissible parameter set with α=0\alpha=0α=0, (φ(t,⋅),ψ(t,⋅))∈(C,CS)(\varphi(t,\cdot),\psi(t,\cdot))\in(\mathcal C,\mathcal C^S)(φ(t,⋅),ψ(t,⋅))∈(C,CS) for every t≥0t\ge0t≥0.

Significance

The theorem separates two classes that coincide on R+m×Rn\mathbb R_+^m\times\mathbb R^nR+m​×Rn. On Sd+S_d^+Sd+​ with d≥2d\ge2d≥2, a diffusion component, which must satisfy b⪰(d−1)αb\succeq(d-1)\alphab⪰(d−1)α, is incompatible with taking kkk-th roots, because the root would need drift b/kb/kb/k. So the existence proof of Duffie–Filipović–Schachermayer, which builds a process from infinitely divisible kernels, covers exactly the pure-jump affine processes on Sd+S_d^+Sd+​. Processes with a diffusion part need the martingale-problem approach of the paper's §5. Proposition 5.11 gives the alternative existence proof for α=0\alpha=0α=0 (§5.3).

The theorem is proved in the paper. As far as is known, none of it has been machine-checked: no formal library has affine processes on matrix cones, convolution of path measures, or the Lévy–Khintchine form on Sd+S_d^+Sd+​. Formalization contributes a checked equivalence that rests on the paper's other main theorem (Theorem 2.4), together with reusable statements about Cauchy's equations on cones and Laplace functionals of Markov families. It is the third mission of a series. Missions I and II formalize the two halves of Theorem 2.4.

Difficulty

The equivalence links three layers: path-space laws, one-dimensional kernels, and Riccati exponents. (i) ⇒\Rightarrow⇒ (ii) first needs the multiplicative structure of Laplace functionals in the initial state. That gives affinity of the process and of each kkk-th root, with exponents (φ/k,ψ)(\varphi/k,\psi)(φ/k,ψ). Then it needs the fact that the root's parameter set is (α,b/k,… )(\alpha,b/k,\dots)(α,b/k,…) and is again admissible, so b/k⪰(d−1)αb/k\succeq(d-1)\alphab/k⪰(d−1)α for all kkk. The second step relies on the full necessity theorem, in particular Proposition 4.18. The first fails without strict positivity of the Laplace functional: Cauchy's exponential equation has non-exponential solutions that vanish somewhere (Remark 6.3). (ii) ⇒\Rightarrow⇒ (iii) requires every Riccati solution to stay in the Lévy–Khintchine cone. This is clear for finite-variation jumps via Picard iteration, but the general case needs the approximation Rδ→RR^\delta\to RRδ→R. (iii) ⇒\Rightarrow⇒ (i) must produce a Markov family of kkk-th roots on path space, not merely roots of each marginal. The case d=1d=1d=1 shows that d≥2d\ge2d≥2 cannot be dropped: there the Cox–Ingersoll–Ross process has α≠0\alpha\ne0α=0 and is infinitely decomposable.

Formalization scope

  • Matrices. MdM_dMd​ is Fin d → Fin d → ℝ, with ⟨x,y⟩=∑i,jxijyji\langle x,y\rangle=\sum_{i,j}x_{ij}y_{ji}⟨x,y⟩=∑i,j​xij​yji​ and ∥x∥=⟨x,x⟩\|x\|=\sqrt{\langle x,x\rangle}∥x∥=⟨x,x⟩​. Sd+S_d^+Sd+​ is the subtype of matrices with Mathlib's PosSemidef.
  • Parameters. The matrix measure μ\muμ is encoded as H dνH\,d\nuHdν, with ν\nuν finite and HHH a positive semidefinite density. This is equivalent to the paper's μ\muμ; take ν=∑iμii\nu=\sum_i\mu_{ii}ν=∑i​μii​. Exponents are functions on R×Md\mathbb R\times M_dR×Md​, evaluated at t≥0t\ge0t≥0 and positive semidefinite uuu. Time derivatives at t=0t=0t=0 are one-sided.
  • Path space. Sd+∪{Δ}S_d^+\cup\{\Delta\}Sd+​∪{Δ} is OnePoint of the cone, with its Borel σ-algebra. Addition is extended with Δ\DeltaΔ absorbing. Ω\OmegaΩ is the space of all paths R≥0→Sd+∪{Δ}\mathbb R_{\ge0}\to S_d^+\cup\{\Delta\}R≥0​→Sd+​∪{Δ} with the product σ-algebra; every notion in the theorem depends only on finite-dimensional distributions. Absorption at Δ\DeltaΔ and the Markov property with transition family ppp are imposed through finite-dimensional distributions. The path-sum map is measurable, which is checked in Lean, so the convolution is a genuine push-forward.
  • Marginals. Infinite divisibility of a marginal is that of the sub-probability kernel pt(x,⋅)p_t(x,\cdot)pt​(x,⋅). Killed mass sits at Δ\DeltaΔ, so roots are sub-probabilities.
  • The parameter set. "Affine with α=0\alpha=0α=0" refers to the unique admissible parameter set whose F,RF,RF,R drive the Riccati equations. The truncation function χ\chiχ is arbitrary.
  • Corrections to the page. Lemma 6.4 carries the hypothesis k≥2k\ge2k≥2, from its proof ("Fix k>1k>1k>1"). For k=1k=1k=1 the statement is false. In Proposition 5.11, "the solutions" are the jointly continuous ones.
  • Ruled out. A kernel-level identity in place of infinite decomposability is ruled out: (i) is stated on path space. The goal keeps the hypothesis d≥2d\ge2d≥2.
  • Reusable work. Contributions are welcome on Cauchy's equations on cones (Lemmas 6.1–6.2), on the measure theory of path convolutions, and on Lévy–Khintchine exponents on Sd+S_d^+Sd+​. All three are useful beyond this mission.

Selected references

  • C. Cuchiero, D. Filipović, E. Mayerhofer, J. Teichmann, Affine processes on positive semidefinite matrices, Ann. Appl. Probab. 21 (2011) 397–463; arXiv:0910.0137v3. https://arxiv.org/abs/0910.0137
  • D. Duffie, D. Filipović, W. Schachermayer, Affine processes and applications in finance, Ann. Appl. Probab. 13 (2003) 984–1053. https://doi.org/10.1214/aoap/1060202833
  • M.-F. Bru, Wishart processes, J. Theoret. Probab. 4 (1991) 725–751. https://doi.org/10.1007/BF01259552
  • O. E. Barndorff-Nielsen, R. Stelzer, Positive-definite matrix processes of finite variation, Probab. Math. Statist. 27 (2007) 3–43.
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Machine LearningProbabilityTheoretical Computer Science·Captain: mikedeng1

What Can We Learn Privately? III: An ε-Local Algorithm Simulates Any t-Query Statistical Query Algorithm from O(t log(t/β) b²/(ε²τ²)) SamplesResearch Paper

Motivation

In the local model of differential privacy, no trusted curator ever sees the raw data: each individual randomizes their own record before handing it to the analyst. This is how private telemetry is collected in practice (randomized response and its descendants), and it raises a basic question: which learning tasks remain possible when the learner only sees locally randomized records?

Kasiviswanathan, Lee, Nissim, Raskhodnikova and Smith answered it in What Can We Learn Privately? (arXiv:0803.0924v3, the accepted version of SIAM J. Comput. 40(3) (2011) 793–826, DOI 10.1137/090756090; theorem numbers below are the arXiv v3's). They showed that local private learning is equivalent, up to polynomial factors, to learning in Kearns' statistical query (SQ) model (Kearns 1998), where an algorithm sees a distribution only through approximate expectations. This mission formalizes one direction of that equivalence: every SQ algorithm can be run by a local algorithm (§5.1.1, Theorem 5.7). The other direction (Lemma 5.8) is a separate mission of this series.

Timeline. Blum, Dwork, McSherry and Nissim (PODS 2005) observed that SQ algorithms can be simulated by a trusted curator adding noise to sums. Dwork, McSherry, Nissim and Smith (TCC 2006) introduced the Laplace mechanism. Kasiviswanathan et al. (FOCS 2008; journal version 2011) showed the simulation works even in the local model, with each record entering a single randomizer.

Setting

A database is a vector z=(z1,…,zn)∈Dnz=(z_1,\dots,z_n)\in D^nz=(z1​,…,zn​)∈Dn; two databases are neighbors if they differ in exactly one entry. A randomized algorithm AAA is ε\varepsilonε-differentially private if Pr⁡[A(z)∈S]≤eεPr⁡[A(z′)∈S]\Pr[A(z)\in S]\le e^{\varepsilon}\Pr[A(z')\in S]Pr[A(z)∈S]≤eεPr[A(z′)∈S] for all neighbors z,z′z,z'z,z′ and all measurable sets SSS of outputs. An ε\varepsilonε-local randomizer is an ε\varepsilonε-differentially private map applied to a single record: Pr⁡[R(u)∈S]≤eεPr⁡[R(u′)∈S]\Pr[R(u)\in S]\le e^{\varepsilon}\Pr[R(u')\in S]Pr[R(u)∈S]≤eεPr[R(u′)∈S] for all u,u′u,u'u,u′.

The Laplace distribution Lap(s)\mathrm{Lap}(s)Lap(s) has density 12se−∣x∣/s\frac1{2s}e^{-|x|/s}2s1​e−∣x∣/s.

An SQ oracle SQPSQ_PSQP​ for a distribution PPP on DDD receives a query g:D→[−b,b]g:D\to[-b,b]g:D→[−b,b] and a tolerance τ\tauτ, and may return any vvv with ∣v−Eu∼P[g(u)]∣≤τ|v-\mathbb E_{u\sim P}[g(u)]|\le\tau∣v−Eu∼P​[g(u)]∣≤τ. An SQ algorithm with ttt queries asks (g0,τ0),…,(gt−1,τt−1)(g_0,\tau_0),\dots,(g_{t-1},\tau_{t-1})(g0​,τ0​),…,(gt−1​,τt−1​), where (gk,τk)(g_k,\tau_k)(gk​,τk​) may depend on the earlier answers a0,…,ak−1a_0,\dots,a_{k-1}a0​,…,ak−1​ (adaptive), and outputs a function of all answers. A vector aaa is a valid transcript against SQPSQ_PSQP​ if every aka_kak​ is within τk\tau_kτk​ of the true mean of the query gkg_kgk​ asked at that point.

For one query ggg, the randomizer Rg(u)=g(u)+ηR_g(u)=g(u)+\etaRg​(u)=g(u)+η with η∼Lap(2b/ε)\eta\sim\mathrm{Lap}(2b/\varepsilon)η∼Lap(2b/ε) is applied to each record, and the local algorithm Ag\mathcal A_gAg​ outputs the average 1n∑i(g(zi)+ηi)\frac1n\sum_i(g(z_i)+\eta_i)n1​∑i​(g(zi​)+ηi​). The simulation of an SQ algorithm answers its kkk-th query gkg_kgk​ by running Agk\mathcal A_{g_k}Agk​​ on the kkk-th block of mmm fresh entries zkm,…,zkm+m−1z_{km},\dots,z_{km+m-1}zkm​,…,zkm+m−1​ and finally outputs what the SQ algorithm outputs on these answers.

Formalization targets

Goal: Theorem 5.7 (local simulation of SQ)

There is an absolute constant c>0c>0c>0 such that, for every SQ algorithm with ttt queries into [−b,b][-b,b][−b,b], and every ε>0\varepsilon>0ε>0; the accuracy claim further takes every tolerance at least τ\tauτ, ε≤1\varepsilon\le1ε≤1, ετ≤4b\varepsilon\tau\le4bετ≤4b and 0<β<10<\beta<10<β<1:

the simulation is ε-differentially private for every block size m and every n≥tm,\text{the simulation is }\varepsilon\text{-differentially private for every block size }m\text{ and every }n\ge tm,the simulation is ε-differentially private for every block size m and every n≥tm, m ≥ c ln⁡(t/β) b2ε2τ2, z∼Pn ⟹ Pr⁡[the simulated answers are a valid transcript against SQP] ≥ 1−β.m\ \ge\ c\,\frac{\ln(t/\beta)\,b^2}{\varepsilon^2\tau^2},\ z\sim P^n\ \Longrightarrow\ \Pr\bigl[\text{the simulated answers are a valid transcript against }SQ_P\bigr]\ \ge\ 1-\beta .m ≥ cε2τ2ln(t/β)b2​, z∼Pn ⟹ Pr[the simulated answers are a valid transcript against SQP​] ≥ 1−β.

On that event the simulation outputs exactly what the SQ algorithm outputs against a valid oracle. The constant is left unspecified, as in the paper.

Milestones

  1. RgR_gRg​ is an ε\varepsilonε-local randomizer; Ag\mathcal A_gAg​ is ε\varepsilonε-differentially private (p. 20).
  2. Hoeffding's bound for the empirical mean of ggg: Pr⁡[∣1n∑g(ui)−v∣≥τ/2]≤2e−τ2n/(8b2)\Pr[|\frac1n\sum g(u_i)-v|\ge\tau/2]\le2e^{-\tau^2n/(8b^2)}Pr[∣n1​∑g(ui​)−v∣≥τ/2]≤2e−τ2n/(8b2).
  3. The average of nnn i.i.d. Lap(2b/ε)\mathrm{Lap}(2b/\varepsilon)Lap(2b/ε) variables lies in [−τ/2,τ/2][-\tau/2,\tau/2][−τ/2,τ/2] with probability at least 1−β/21-\beta/21−β/2 once n≥cln⁡(1/β)b2/(ε2τ2)n\ge c\ln(1/\beta)b^2/(\varepsilon^2\tau^2)n≥cln(1/β)b2/(ε2τ2).
  4. Lemma 5.6: Ag\mathcal A_gAg​ approximates EP[g]\mathbb E_P[g]EP​[g] within ±τ\pm\tau±τ with probability 1−β1-\beta1−β from n≥cln⁡(1/β)b2/(ε2τ2)n\ge c\ln(1/\beta)b^2/(\varepsilon^2\tau^2)n≥cln(1/β)b2/(ε2τ2) samples.

Significance

Theorem 5.7 is the inclusion "SQ ⊆ local" in the paper's characterization of local private learning: every concept class learnable with statistical queries is learnable by an ε\varepsilonε-local algorithm, with sample size growing like tlog⁡(t/β)b2/(ε2τ2)t\log(t/\beta)b^2/(\varepsilon^2\tau^2)tlog(t/β)b2/(ε2τ2). Combined with the converse simulation (Lemma 5.8), it identifies local private learnability with SQ learnability (Theorem 5.14). It thereby transfers the known SQ lower bounds, such as the one for parity, to the local model. It also shows that nonadaptive SQ algorithms become noninteractive local protocols.

The result is proved in the paper; to our knowledge it has no machine-checked proof. A formalization fixes what "the simulation gives the same output" means against an adversarial oracle and an adaptive algorithm. It also supplies reusable Lean objects for local differential privacy, Laplace noise and SQ algorithms.

Difficulty

The privacy half is the easy-looking part, but it is adaptive: the query asked in block kkk depends on the noisy answers from blocks 0,…,k−10,\dots,k-10,…,k−1. A database change in block kkk therefore changes the law of all later answers, not only aka_kak​. The argument must use that every entry enters exactly one randomizer and compose along the adaptive transcript.

The accuracy half has the same adaptivity issue: the union bound over queries needs, for each kkk, the failure probability of block kkk conditioned on everything before it. That is where the fresh blocks and measurability are used. The concentration step for Laplace averages is sub-exponential, not sub-Gaussian. The naive use of the paper's appendix lemma (A.3) fails: it is stated as an equality for every deviation δ>0\delta>0δ>0, but its proof only covers deviations of order the Laplace scale.

Formalization scope

Databases are Fin n → D (0-based). Randomized algorithms are identified with the laws of their outputs (Measure); differential privacy is required on all measurable sets. An SQ algorithm is a deterministic adaptive strategy (SQAlg): a randomized one is a mixture over its coins, to which the result transfers. "At most ttt queries" is "exactly ttt" after padding with dummy queries. Queries are real valued with ∣g∣≤b|g|\le b∣g∣≤b, as the paper allows after Definition 5.4. Block kkk consists of the database indices km,…,km+m−1km,\dots,km+m-1km,…,km+m−1, so the blocks are disjoint by construction, and the simulated answers are a deterministic function of the database and the t×mt\times mt×m noise array. The natural logarithm replaces the paper's base 2, which only changes ccc. Constants are existential and quantified before everything else.

Explicit choices, each recorded in the item that makes it:

  • ετ≤4b\varepsilon\tau\le4bετ≤4b in Lemma 5.6, the Laplace step and Theorem 5.7. Without it the printed statements are false: for ετ/b\varepsilon\tau/bετ/b large a single sample is allowed, and its Laplace noise exceeds τ\tauτ too often.
  • ε≤1\varepsilon\le1ε≤1 in Lemma 5.6 and in the accuracy half of Theorem 5.7 (the privacy half holds for every ε>0\varepsilon>0ε>0). Without it the threshold cln⁡(1/β)b2/(ε2τ2)c\ln(1/\beta)b^2/(\varepsilon^2\tau^2)cln(1/β)b2/(ε2τ2) can be smaller than the sample size needed to estimate E[g]\mathbb E[g]E[g] at all. The paper's own remark about an O(ε−2)O(\varepsilon^{-2})O(ε−2) factor presumes ε=O(1)\varepsilon=O(1)ε=O(1).
  • β≤1/2\beta\le1/2β≤1/2 in the Laplace step, which is false for β\betaβ near 111.
  • Each query is jointly measurable in (earlier answers, record), and the output map is measurable for the privacy claim.
  • "Gives the same output as ASQ\mathcal A_{SQ}ASQ​" is "the simulated answers are a valid transcript against SQPSQ_PSQP​". Accuracy bounds the measure of the failure event by β\betaβ.
  • "Noninteractive if nonadaptive" and "efficient" are not formalized.

A trivializing formalization is ruled out: the oracle is not replaced by the exact expectation, accuracy is required for every query actually asked (not only the first), privacy holds for every database (not only i.i.d. samples), and the constant ccc cannot depend on ttt, β\betaβ, ε\varepsilonε, τ\tauτ, bbb or the algorithm.

Needed infrastructure: the Laplace distribution as a probability measure and its moment generating function, a Hoeffding bound for bounded i.i.d. variables, the Laplace mechanism, and adaptive composition along a transcript. All of these are reusable beyond this mission. Proofs of the milestones, of standalone Laplace and composition lemmas, and of the goal are welcome.

Selected references

  • S. P. Kasiviswanathan, H. K. Lee, K. Nissim, S. Raskhodnikova, A. Smith, What Can We Learn Privately?, SIAM J. Comput. 40(3) (2011) 793–826. arXiv:0803.0924v3, https://arxiv.org/abs/0803.0924 ; DOI https://doi.org/10.1137/090756090
  • M. Kearns, Efficient noise-tolerant learning from statistical queries, J. ACM 45(6) (1998) 983–1006. https://doi.org/10.1145/293347.293351
  • C. Dwork, F. McSherry, K. Nissim, A. Smith, Calibrating noise to sensitivity in private data analysis, TCC 2006, LNCS 3876, 265–284. https://doi.org/10.1007/11681878_14
  • A. Blum, C. Dwork, F. McSherry, K. Nissim, Practical privacy: the SuLQ framework, PODS 2005, 128–138. https://doi.org/10.1145/1065167.1065184
  • W. Hoeffding, Probability inequalities for sums of bounded random variables, J. Amer. Statist. Assoc. 58 (1963) 13–30. https://doi.org/10.1080/01621459.1963.10500830
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Dynamic ProgrammingOperations ResearchOptimization+1·Captain: mikedeng1

Robust Dynamic Programming 1: The Robust Bellman Recursion and Optimality of Deterministic Markov Policies in Finite HorizonResearch Paper

Motivation

Markov decision processes assume that the transition law is known exactly. In practice it is estimated from data, and the optimal policy computed for the point estimate can perform badly when the true law differs. Robust dynamic programming replaces each transition law by a set of plausible laws and evaluates a policy by its worst-case expected reward over that set. The worst case is taken against an adversary (nature) who may choose a law from the set at every step.

For this worst case to be computable by backward induction, the set of path measures of a policy has to decompose epoch by epoch. Garud Iyengar named this property Rectangularity and proved that under it the classical finite horizon theory carries over: a robust Bellman equation holds, and deterministic Markov policies are optimal among all history dependent randomized policies, with state and action sets that may be countably infinite and ambiguity sets that need not be convex (Iyengar, CORC Tech Report TR-2002-07, rev. 2004; published in Math. Oper. Res. 30(2), 2005).

Timeline:

  • 1973: Satia and Lave study Markov decision processes with uncertain transition probabilities, finite states and actions (Oper. Res. 21(3)).
  • 2001: Epstein and Schneider axiomatize recursive multiple priors, the decision-theoretic origin of rectangular ambiguity (J. Econ. Theory 113, working paper 2001).
  • 2002–2005: Nilim and El Ghaoui give a robust counterpart of the Bellman recursion for finite state and action spaces and convex ambiguity sets, against Markov controllers (Oper. Res. 53(5)).
  • 2002–2005: Iyengar proves the robust Bellman equation and Markov optimality for countable spaces, arbitrary ambiguity sets and all history dependent randomized policies, under Rectangularity.

Setting

A finite horizon ambiguous Markov decision process (AMDP) has decision epochs t∈T={0,…,N−1}t \in T = \{0,\dots,N-1\}t∈T={0,…,N−1}, N≥1N\ge 1N≥1, and a terminal epoch NNN. States lie in a countable set S\mathcal SS and actions in a countable set A\mathcal AA. In state sss at epoch ttt the admissible actions form a nonempty set At(s)\mathcal A_t(s)At​(s). For each admissible action aaa, the next state is drawn from some probability measure p∈Pt(s,a)p \in \mathcal P_t(s,a)p∈Pt​(s,a), where Pt(s,a)\mathcal P_t(s,a)Pt​(s,a) is a nonempty set of probability measures on S\mathcal SS, the ambiguity set. The decision maker receives rt(s,a,s′)r_t(s,a,s')rt​(s,a,s′) when aaa is taken in sss and the next state is s′s's′, and rN(s)r_N(s)rN​(s) at the terminal epoch.

A history at epoch nnn is hn=(s0,a0,…,sn−1,an−1,sn)h_n=(s_0,a_0,\dots,s_{n-1},a_{n-1},s_n)hn​=(s0​,a0​,…,sn−1​,an−1​,sn​). A policy π=(dt)\pi=(d_t)π=(dt​) assigns to each history hth_tht​ a probability measure dt(ht)d_t(h_t)dt​(ht​) on At(st)\mathcal A_t(s_t)At​(st​). It is deterministic (ΠD\Pi_DΠD​) if every dt(ht)d_t(h_t)dt​(ht​) is a point mass, and deterministic Markov (ΠMD\Pi_{MD}ΠMD​) if moreover the chosen action depends on the current state sts_tst​ alone. Π\PiΠ denotes all history dependent randomized policies.

Under Rectangularity (Assumption 1), the set Tπ\mathcal T^\piTπ of path measures consistent with π\piπ is a product of one-epoch sets: nature chooses, for every epoch ttt, every history hth_tht​ and every admissible action aaa, a measure pht,a∈Pt(st,a)p_{h_t,a}\in\mathcal P_t(s_t,a)pht​,a​∈Pt​(st​,a), and the path measure is P(hN)=∏tdt(ht)(at) pht,at(st+1)\mathbf P(h_N)=\prod_t d_t(h_t)(a_t)\,p_{h_t,a_t}(s_{t+1})P(hN​)=∏t​dt​(ht​)(at​)pht​,at​​(st+1​). The robust value of π\piπ from hnh_nhn​ and the robust value function are

Vnπ(hn)=inf⁡P∈TnπEP[∑t=nN−1rt(st,at,st+1)+rN(sN)],Vn∗(hn)=sup⁡π∈ΠVnπ(hn).V^\pi_n(h_n)=\inf_{\mathbf P\in\mathcal T^\pi_n}E^{\mathbf P}\Big[\sum_{t=n}^{N-1}r_t(s_t,a_t,s_{t+1})+r_N(s_N)\Big],\qquad V^*_n(h_n)=\sup_{\pi\in\Pi}V^\pi_n(h_n).Vnπ​(hn​)=P∈Tnπ​inf​EP[t=n∑N−1​rt​(st​,at​,st+1​)+rN​(sN​)],Vn∗​(hn​)=π∈Πsup​Vnπ​(hn​).

The optimistic values Vˉnπ\bar V^\pi_nVˉnπ​, Vˉn∗\bar V^*_nVˉn∗​ replace the infimum over Tnπ\mathcal T^\pi_nTnπ​ by a supremum.

Formalization targets

Goal: Theorem 2 (Markov optimality)

For n=0,…,Nn=0,\dots,Nn=0,…,N, Vn∗(hn)V^*_n(h_n)Vn∗​(hn​) depends on hnh_nhn​ only through sns_nsn​; for n∈Tn\in Tn∈T, Vn∗(sn)=sup⁡π∈ΠMDVnπ(sn)V^*_n(s_n)=\sup_{\pi\in\Pi_{MD}}V^\pi_n(s_n)Vn∗​(sn​)=supπ∈ΠMD​​Vnπ​(sn​); and

Vn∗(s)=sup⁡a∈An(s) inf⁡p∈Pn(s,a)Ep[rn(s,a,s′)+Vn+1∗(s′)],n∈T.(16)V^*_n(s)=\sup_{a\in\mathcal A_n(s)}\ \inf_{p\in\mathcal P_n(s,a)}E^p\big[r_n(s,a,s')+V^*_{n+1}(s')\big],\qquad n\in T. \tag{16}Vn∗​(s)=a∈An​(s)sup​ p∈Pn​(s,a)inf​Ep[rn​(s,a,s′)+Vn+1∗​(s′)],n∈T.(16)

Milestones

  1. Proof of Theorem 1, eq. (15): at one epoch, randomizing over actions does not raise the worst-case value, and the adversary may choose its measure separately per action.
  2. Theorem 1 (Bellman equation): VN∗(hN)=rN(sN)V^*_N(h_N)=r_N(s_N)VN∗​(hN​)=rN​(sN​) and Vn∗(hn)=sup⁡ainf⁡p∈Pn(sn,a)Ep[rn(sn,a,s)+Vn+1∗(hn,a,s)]V^*_n(h_n)=\sup_{a}\inf_{p\in\mathcal P_n(s_n,a)}E^p[r_n(s_n,a,s)+V^*_{n+1}(h_n,a,s)]Vn∗​(hn​)=supa​infp∈Pn​(sn​,a)​Ep[rn​(sn​,a,s)+Vn+1∗​(hn​,a,s)] (11).
  3. Corollary 1: Vn∗(hn)=sup⁡π∈ΠDVnπ(hn)V^*_n(h_n)=\sup_{\pi\in\Pi_D}V^\pi_n(h_n)Vn∗​(hn​)=supπ∈ΠD​​Vnπ​(hn​) for n∈Tn\in Tn∈T.
  4. Theorem 3: the optimistic analogue of Theorem 2, with recursion (18) in which both the outer and the inner optimizations are suprema.

The mission also contains, as a draft theorem that is not a milestone, the per-policy identity of the proof of Theorem 1, eq. (12): for each policy, Vnπ(hn)=inf⁡p∈TdnEp[rn+Vn+1π(hn,an,sn+1)]V^\pi_n(h_n)=\inf_{p\in\mathcal T^{d_n}}E^p[r_n+V^\pi_{n+1}(h_n,a_n,s_{n+1})]Vnπ​(hn​)=infp∈Tdn​​Ep[rn​+Vn+1π​(hn​,an​,sn+1​)].

Significance

Theorem 2 is the basis of robust dynamic programming in finite horizon: computing an optimal robust policy reduces to NNN backward passes, each a family of one-stage problems inf⁡p∈Pn(s,a)Ep[v]\inf_{p\in\mathcal P_n(s,a)}E^p[v]infp∈Pn​(s,a)​Ep[v]. It also justifies restricting attention to deterministic Markov policies, which is what every algorithm in the robust MDP literature computes. Theorem 1 isolates the role of Rectangularity: without it the worst case over path measures does not decompose and the recursion characterizes nothing.

The results are proved on paper; no machine-checked proof is known. The platform holds the finite-state, Markov-controller special case (the Nilim–El Ghaoui RobustMDP series, posed, not proved), whose comparison class is too small to express the claim ΠMD\Pi_{MD}ΠMD​ suffices against Π\PiΠ. A formal proof here supplies the history dependent policy and adversary machinery on countable spaces that the discounted robust theory and the robust MDP literature reuse.

Difficulty

The obvious argument writes the robust value as an inf–sup over path measures and pushes the infimum inside the expectation epoch by epoch. That step is the content of (12): the infimum of an expectation equals the expectation of an infimum only because nature's continuation choice may depend on the realized action and next state, so near-worst continuations for different branches can be glued into one admissible adversary. Infima need not be attained (the ambiguity sets are arbitrary, the state set countable), so the gluing is an ϵ\epsilonϵ-argument over countably many branches. The supremum over policies needs a matching splicing of ϵ\epsilonϵ-optimal continuation policies (13)–(14). Finally, randomized decision rules must be eliminated (15), which uses Rectangularity again, now per action. Restricting either the policies or the adversary to Markov ones from the start is not allowed: it changes the comparison class and makes the goal circular.

Formalization scope

  • One countable state type S and one countable action type A serve all epochs; the page's epoch-dependent sets St\mathcal S_tSt​ embed into their disjoint union. Epochs are 0-based natural numbers, with terminal epoch M.N and 1 ≤ N.
  • A history at epoch nnn is (Fin n → S × A) × S. Probability measures are PMF; Ep[f]=∑sp(s)f(s)E^p[f]=\sum_s p(s)f(s)Ep[f]=∑s​p(s)f(s) as a tsum. The expected reward under a policy and an adversary is computed by backward iterated sums, which is the expectation under the product path measure (3).
  • A policy is a decision rule for every epoch, admissible for t < N; the supremum over Π\PiΠ equals that over the page's Πn\Pi_nΠn​ because VnπV^\pi_nVnπ​ uses only dn,…,dN−1d_n,\dots,d_{N-1}dn​,…,dN−1​. An adversary chooses pht,a∈Pt(st,a)p_{h_t,a}\in\mathcal P_t(s_t,a)pht​,a​∈Pt​(st​,a) for every epoch, history and admissible action.
  • Added and implicit hypotheses: At(s)≠∅\mathcal A_t(s)\neq\emptysetAt​(s)=∅ and Pt(s,a)≠∅\mathcal P_t(s,a)\neq\emptysetPt​(s,a)=∅ (implicit on the page), and a uniform bound ∣rt∣≤R|r_t|\le R∣rt​∣≤R, ∣rN∣≤R|r_N|\le R∣rN​∣≤R (added: Section 2 states none, but with countable states the expectations and the real suprema and infima need it). All values then lie in a bounded interval, so no supremum or infimum is a junk value.
  • Ambiguity sets are arbitrary nonempty sets of measures: no convexity, closedness or attainment is assumed anywhere.
  • "Vn∗V^*_nVn∗​ is a function of the current state alone" is stated as the existence of W(n,s)W(n,s)W(n,s) with Vn∗(hn)=W(n,sn)V^*_n(h_n)=W(n,s_n)Vn∗​(hn​)=W(n,sn​); the value is not defined on states, which would hide the claim. The notation Vnπ(sn)V^\pi_n(s_n)Vnπ​(sn​) for Markov policies is made explicit as a clause.
  • Ruled out: restricting Π\PiΠ or the adversary to Markov or stationary objects, a static adversary that fixes one ppp per (s,a)(s,a)(s,a) for the whole horizon, and suprema over unbounded or empty families; each makes some target false or trivial.

Definitions: AMDP, History, History.extend, IsPolicy, Policy, IsDeterministic, IsDetMarkov, Adversary, Selection, expect, expTail, expectedReward, V, Vstar, Vbar, VbarStar, all in RobustDP.FiniteHorizon. Lemmas about gluing adversaries along history prefixes and about suprema of bounded families indexed by subtypes are reusable. Contributions to any milestone are welcome, in any order; (15) is a one-epoch statement independent of the rest.

Selected references

  • G. Iyengar, Robust dynamic programming, CORC Tech Report TR-2002-07, Columbia University, revised May 4, 2004; Math. Oper. Res. 30(2):257–280, 2005. https://doi.org/10.1287/moor.1040.0129
  • A. Nilim and L. El Ghaoui, Robust control of Markov decision processes with uncertain transition matrices, Oper. Res. 53(5):780–798, 2005. https://doi.org/10.1287/opre.1050.0216
  • J. K. Satia and R. E. Lave, Markovian decision processes with uncertain transition probabilities, Oper. Res. 21(3):728–740, 1973. https://doi.org/10.1287/opre.21.3.728
  • L. G. Epstein and M. Schneider, Recursive multiple-priors, J. Econ. Theory 113(1):1–31, 2003. https://doi.org/10.1016/S0022-0531(03)00097-8
  • M. L. Puterman, Markov Decision Processes: Discrete Stochastic Dynamic Programming, Wiley, 1994. https://doi.org/10.1002/9780470316887
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Operations ResearchOptimizationProbability·Captain: mikedeng1

Stability of Multistage Stochastic Programs: Optimal Values Are Locally Lipschitz in the L_r Distance of the Inputs plus a Filtration DistanceResearch Paper

Motivation

A multistage stochastic program chooses decisions x1,…,xTx_1, \dots, x_Tx1​,…,xT​ over TTT time periods while a random input ξ1,…,ξT\xi_1, \dots, \xi_Tξ1​,…,ξT​ is revealed one stage at a time; the decision at stage ttt may use what has been observed so far and nothing more. Such models are used for capacity expansion, hydro-thermal power scheduling, asset–liability management and production planning. In practice the true input process is never used directly: it is replaced by an estimate, a discretization or a scenario tree with few branches, and the program is solved for that approximation. Whether the optimal value of the approximate program is close to the true one is therefore the basic question behind every scenario-tree method.

For two-stage programs (T=2T = 2T=2) the answer is classical: the optimal value is Lipschitz continuous with respect to suitable distances of probability distributions (Rachev and Römisch, 2002). For T>2T > 2T>2 that methodology breaks down, because the multistage objective depends on conditional expectations given the past, and hence on the information structure of the input, not only on its distribution. Heitsch, Römisch and Strugarek (SIAM J. Optim. 2006) showed that the gap is closed by adding one more term: a distance between the filtrations generated by the true and the approximate inputs. Their estimate is the basis of later work on scenario-tree construction and on the nested distance of Pflug and Pichler.

Setting

Let (Ω,F,P)(\Omega, \mathcal F, \mathbb P)(Ω,F,P) be a probability space and ξ=(ξ1,…,ξT)\xi = (\xi_1, \dots, \xi_T)ξ=(ξ1​,…,ξT​) a process with ξt∈Rd\xi_t \in \mathbb R^dξt​∈Rd. The information available at stage ttt is ξt=(ξ1,…,ξt)\xi^t = (\xi_1, \dots, \xi_t)ξt=(ξ1​,…,ξt​), and Ft=σ(ξt)\mathcal F_t = \sigma(\xi^t)Ft​=σ(ξt) is the σ-field it generates; ξ1\xi_1ξ1​ is deterministic, so F1={∅,Ω}\mathcal F_1 = \{\emptyset, \Omega\}F1​={∅,Ω}. The linear multistage program (1) is

v(ξ)=inf⁡{E[∑t=1T⟨bt(ξt),xt⟩]  :  xt∈Xt, xt Ft-measurable, At,0xt+At,1xt−1=ht(ξt) (t≥2)},v(\xi) = \inf\Big\{ \mathbb E\Big[\sum_{t=1}^T \langle b_t(\xi_t), x_t\rangle\Big] \;:\; x_t \in X_t,\ x_t \ \mathcal F_t\text{-measurable},\ A_{t,0}x_t + A_{t,1}x_{t-1} = h_t(\xi_t)\ (t \ge 2) \Big\},v(ξ)=inf{E[t=1∑T​⟨bt​(ξt​),xt​⟩]:xt​∈Xt​, xt​ Ft​-measurable, At,0​xt​+At,1​xt−1​=ht​(ξt​) (t≥2)},

where X1⊆Rm1X_1 \subseteq \mathbb R^{m_1}X1​⊆Rm1​ is a polyhedron, Xt⊆RmtX_t \subseteq \mathbb R^{m_t}Xt​⊆Rmt​ for t≥2t \ge 2t≥2 are polyhedral cones, At,0A_{t,0}At,0​ and At,1A_{t,1}At,1​ are fixed matrices, and the costs btb_tbt​ and right-hand sides hth_tht​ are affine functions of the current input ξt\xi_tξt​. Write F(ξ,x)F(\xi, x)F(ξ,x) for the objective and X(ξ)\mathcal X(\xi)X(ξ) for the feasible set.

Which data are random fixes two integrability exponents: if only the costs are random, r=1r = 1r=1 and r′=∞r' = \inftyr′=∞; if only the right-hand sides are random, r=r′=1r = r' = 1r=r′=1; otherwise r=r′=2r = r' = 2r=r′=2. The input lives in LrL_rLr​ and the decisions in Lr′L_{r'}Lr′​, and ∥ξ−ξ~∥r\|\xi - \tilde\xi\|_r∥ξ−ξ~​∥r​ is the LrL_rLr​ distance of two inputs.

Three conditions are imposed: (A1) complete fixed recourse, At,0Xt=RntA_{t,0}X_t = \mathbb R^{n_t}At,0​Xt​=Rnt​ for t≥2t \ge 2t≥2; (A2) v(ξ)v(\xi)v(ξ) is finite and FFF is level-bounded locally uniformly at ξ\xiξ: for some α>0\alpha > 0α>0 there are δ>0\delta > 0δ>0 and a bounded set B⊆Lr′B \subseteq L_{r'}B⊆Lr′​ such that the level set lα(F(ξ~,⋅))={x~∈X(ξ~):F(ξ~,x~)≤v(ξ)+α}l_\alpha(F(\tilde\xi, \cdot)) = \{\tilde x \in \mathcal X(\tilde\xi) : F(\tilde\xi, \tilde x) \le v(\xi) + \alpha\}lα​(F(ξ~​,⋅))={x~∈X(ξ~​):F(ξ~​,x~)≤v(ξ)+α} is nonempty and contained in BBB whenever ∥ξ~−ξ∥r≤δ\|\tilde\xi - \xi\|_r \le \delta∥ξ~​−ξ∥r​≤δ; (A3) ξ∈Lr\xi \in L_rξ∈Lr​.

The filtration distance at stage ttt compares how well a near-optimal decision of one problem is predicted from the other problem's information:

Dt(Ft,F~t)=max⁡{sup⁡x∈lα(F(ξ,⋅))∥xt−E[xt∣F~t]∥r′, sup⁡x~∈lα(F(ξ~,⋅))∥x~t−E[x~t∣Ft]∥r′}.D_t(\mathcal F_t, \tilde{\mathcal F}_t) = \max\Big\{ \sup_{x \in l_\alpha(F(\xi,\cdot))} \|x_t - \mathbb E[x_t \mid \tilde{\mathcal F}_t]\|_{r'},\ \sup_{\tilde x \in l_\alpha(F(\tilde\xi,\cdot))} \|\tilde x_t - \mathbb E[\tilde x_t \mid \mathcal F_t]\|_{r'} \Big\}.Dt​(Ft​,F~t​)=max{x∈lα​(F(ξ,⋅))sup​∥xt​−E[xt​∣F~t​]∥r′​, x~∈lα​(F(ξ~​,⋅))sup​∥x~t​−E[x~t​∣Ft​]∥r′​}.

Formalization targets

Goal: Theorem 2.1

Under (A1)–(A3) and boundedness of X1X_1X1​ there are positive constants LLL, α\alphaα, δ\deltaδ such that

∣v(ξ)−v(ξ~)∣≤L(∥ξ−ξ~∥r+∑t=2T−1Dt(Ft,F~t))|v(\xi) - v(\tilde\xi)| \le L\Big( \|\xi - \tilde\xi\|_r + \sum_{t=2}^{T-1} D_t(\mathcal F_t, \tilde{\mathcal F}_t) \Big)∣v(ξ)−v(ξ~​)∣≤L(∥ξ−ξ~​∥r​+t=2∑T−1​Dt​(Ft​,F~t​))

for every input ξ~∈Lr\tilde\xi \in L_rξ~​∈Lr​ with ∥ξ~−ξ∥r≤δ\|\tilde\xi - \xi\|_r \le \delta∥ξ~​−ξ∥r​≤δ and v(ξ~)v(\tilde\xi)v(ξ~​) finite. The constants are existential: the theorem asserts the shape of the estimate, not its numerical values.

Milestones

  1. (10): the maps Mt(u)={x∈Xt:At,0x=u}M_t(u) = \{x \in X_t : A_{t,0}x = u\}Mt​(u)={x∈Xt​:At,0​x=u} are Lipschitz in the Hausdorff sense.
  2. (11): every feasible policy for ξ\xiξ can be transferred to a feasible policy for ξ~\tilde\xiξ~​, adapted to F~t\tilde{\mathcal F}_tF~t​, with a pointwise error bound whose constants do not depend on ξ~\tilde\xiξ~​.
  3. The three case estimates of v(ξ~)−v(ξ)v(\tilde\xi) - v(\xi)v(ξ~​)−v(ξ): only right-hand sides random, only costs random, and r=r′=2r = r' = 2r=r′=2.
  4. (14) and (15): the two one-sided estimates, whose sum of filtration terms is bounded by ∑tDt\sum_t D_t∑t​Dt​.

Significance

The theorem identifies what an approximation of a multistage input must preserve: closeness in LrL_rLr​ alone is not enough, and the filtration term measures exactly the information that is lost or gained. It justifies scenario-tree construction by forward selection and reduction (Heitsch and Römisch, 2009), where both terms are controlled, and it is the precursor of the nested distance, for which analogous Lipschitz bounds are proved. Without such an estimate a scenario tree that matches the marginal distributions can still give an arbitrarily wrong optimal value.

The result is proved in the paper; it has not been formalized. A machine-checked version needs, and would produce, a formal theory of linear programs with decisions adapted to a generated filtration in LpL_pLp​ spaces, Lipschitz continuity of polyhedral set-valued maps, and measurable selections of conditional-expectation projections. Each of these is reusable well beyond this paper.

Difficulty

The obvious argument — take a near-optimal policy for ξ\xiξ and evaluate it for ξ~\tilde\xiξ~​ — fails at once: that policy is adapted to Ft\mathcal F_tFt​, not to F~t\tilde{\mathcal F}_tF~t​, so it is not feasible for the perturbed problem, and projecting it by conditional expectation onto F~t\tilde{\mathcal F}_tF~t​ destroys the equality constraints. Any repaired policy must again be F~t\tilde{\mathcal F}_tF~t​-measurable at every stage, and an error made at stage ttt propagates to all later stages through the recursion At,0xt+At,1xt−1=ht(ξt)A_{t,0}x_t + A_{t,1}x_{t-1} = h_t(\xi_t)At,0​xt​+At,1​xt−1​=ht​(ξt​), where it must stay controlled in the right Lr′L_{r'}Lr′​ norm. The three integrability regimes need separate estimates; in the regime r′=∞r' = \inftyr′=∞ the error must be bounded essentially, not only on average.

Formalization scope

The program is encoded in a single definitions file. Stages are natural numbers 1,…,T1, \dots, T1,…,T with dimension functions mtm_tmt​, ntn_tnt​. X1X_1X1​ is given by finitely many linear inequalities and each XtX_tXt​, t≥2t \ge 2t≥2, by finitely many homogeneous ones, so "polyhedral" and "polyhedral cone" are built in. The matrices are linear maps between Euclidean spaces; bt(y)=bt0+Btyb_t(y) = b_t^0 + B_t ybt​(y)=bt0​+Bt​y and ht(y)=ht0+Htyh_t(y) = h_t^0 + H_t yht​(y)=ht0​+Ht​y. A randomness pattern (costs, rhs, both) carries the exponents (r,r′)(r, r')(r,r′) and its restriction on the data: Ht=0H_t = 0Ht​=0 for costs, Bt=0B_t = 0Bt​=0 for rhs, none for both.

The committed conventions are:

  • Ft\mathcal F_tFt​ is the σ-field generated by ξ1,…,ξt\xi_1, \dots, \xi_tξ1​,…,ξt​; conditional expectations are Mathlib's condExp;
  • an admissible input is measurable, in LrL_rLr​ stage by stage, and has a deterministic first component; nothing assumes ξ~1=ξ1\tilde\xi_1 = \xi_1ξ~​1​=ξ1​ or FT=F\mathcal F_T = \mathcal FFT​=F;
  • a feasible policy has deterministic x1∈X1x_1 \in X_1x1​∈X1​, Ft\mathcal F_tFt​-measurable xtx_txt​ satisfying the constraints almost surely, and every xtx_txt​ in Lr′L_{r'}Lr′​;
  • ∥ξ−ξ~∥r\|\xi - \tilde\xi\|_r∥ξ−ξ~​∥r​ uses the Euclidean norm on RTd\mathbb R^{Td}RTd; "bounded in Lr′L_{r'}Lr′​" is read componentwise, which is equivalent;
  • optimal values are extended reals (+∞+\infty+∞ when infeasible); norms, suprema and the estimate are stated in [0,∞][0, \infty][0,∞], so no default value of a partial operation enters;
  • both level sets in DtD_tDt​ use the threshold v(ξ)+αv(\xi) + \alphav(ξ)+α, as (A2) defines them.

Trivializing formalizations are ruled out: the constants LLL, α\alphaα, δ\deltaδ are quantified before ξ~\tilde\xiξ~​; the theorem covers all three randomness patterns; the level sets are nonempty, so the suprema are not vacuous; and a sorry-free check exhibits data satisfying (A1) with a feasible policy, so the hypotheses are satisfiable.

Contributions are welcome on Lipschitz continuity of polyhedral set-valued maps (Walkup–Wets), measurable selections, conditional expectation of set-constrained random vectors, and any of the case estimates.

Selected references

  • H. Heitsch, W. Römisch, C. Strugarek, Stability of multistage stochastic programs, SIAM J. Optim. 17 (2006) 511–525. https://doi.org/10.1137/050632865 (formalized from the authors' manuscript, edoc.hu-berlin.de)
  • S. T. Rachev, W. Römisch, Quantitative stability in stochastic programming: the method of probability metrics, Math. Oper. Res. 27 (2002) 792–818. https://doi.org/10.1287/moor.27.4.792.304
  • R. T. Rockafellar, R. J-B Wets, Variational Analysis, Springer, 1998. https://doi.org/10.1007/978-3-642-02431-3
  • D. W. Walkup, R. J-B Wets, A Lipschitzian characterization of convex polyhedra, Proc. Amer. Math. Soc. 23 (1969) 167–173. https://doi.org/10.1090/S0002-9939-1969-0246200-8
  • H. Heitsch, W. Römisch, Scenario tree modeling for multistage stochastic programs, Math. Program. 118 (2009) 371–406. https://doi.org/10.1007/s10107-007-0197-2
  • G. Ch. Pflug, A. Pichler, A distance for multistage stochastic optimization models, SIAM J. Optim. 22 (2012) 1–23. https://doi.org/10.1137/110825054
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Operations ResearchOptimization·Captain: mikedeng1

Theoretical and Numerical Comparison of Relaxation Methods for Mathematical Programs with Complementarity Constraints 2: MPEC-MFCQ Implies MFCQ for the Scholtes Relaxed Problems LocallyResearch Paper

Motivation

A mathematical program with complementarity constraints (MPEC, also called MPCC) is a nonlinear program in which some pairs of constraint functions must be nonnegative with at least one of each pair equal to zero. Such programs model bilevel optimization, Stackelberg games, contact problems in mechanics, and traffic equilibrium design; see Luo, Pang and Ralph, Mathematical Programs with Equilibrium Constraints (Cambridge University Press, 1996). The complementarity constraints make every standard constraint qualification of nonlinear programming fail at every feasible point: neither LICQ nor MFCQ ever holds. Off-the-shelf NLP theory and solvers therefore do not apply directly.

Relaxation methods work around this by replacing the MPEC with a family of ordinary nonlinear programs indexed by a parameter t>0t>0t>0 and letting t↓0t\downarrow0t↓0. The oldest of these is the global relaxation of Scholtes (SIAM J. Optim. 11, 2001). The relaxed programs are only useful if they are themselves well posed: a local minimizer of a relaxed program should carry Lagrange multipliers, so that the sequence of KKT points the method computes actually exists. Hoheisel, Kanzow and Schwartz (Preprint 299, Univ. Würzburg, 2010; published in Mathematical Programming) compare five relaxation schemes, prove convergence under weaker MPEC constraint qualifications than before, and ask which standard constraint qualification the relaxed programs satisfy. This mission formalizes their answer for Scholtes' scheme, Theorem 3.2.

Setting

A standard nonlinear program (2) on Rn\mathbb R^nRn minimizes f(x)f(x)f(x) subject to gi(x)≤0g_i(x)\le0gi​(x)≤0 and hj(x)=0h_j(x)=0hj​(x)=0 for finitely many iii and jjj. At a feasible xxx, the active set is Ig(x)={i∣gi(x)=0}I_g(x)=\{i\mid g_i(x)=0\}Ig​(x)={i∣gi​(x)=0}. A family {∇gi(x)∣i∈I1}∪{∇hj(x)∣j∈I2}\{\nabla g_i(x)\mid i\in I_1\}\cup\{\nabla h_j(x)\mid j\in I_2\}{∇gi​(x)∣i∈I1​}∪{∇hj​(x)∣j∈I2​} is positive-linearly dependent if some combination ∑αi∇gi(x)+∑βj∇hj(x)\sum\alpha_i\nabla g_i(x)+\sum\beta_j\nabla h_j(x)∑αi​∇gi​(x)+∑βj​∇hj​(x) vanishes with αi≥0\alpha_i\ge0αi​≥0 and not all coefficients zero. The Mangasarian–Fromovitz constraint qualification (MFCQ) holds at xxx if the gradients ∇hj(x)\nabla h_j(x)∇hj​(x) are linearly independent and some direction ddd has ∇gi(x)Td<0\nabla g_i(x)^Td<0∇gi​(x)Td<0 for every active iii and ∇hj(x)Td=0\nabla h_j(x)^Td=0∇hj​(x)Td=0 for every jjj.

The MPEC (1) minimizes f(x)f(x)f(x) subject to

gi(x)≤0 (i≤m),hi(x)=0 (i≤p),Gi(x)≥0, Hi(x)≥0, Gi(x)Hi(x)=0 (i≤l),g_i(x)\le0\ (i\le m),\quad h_i(x)=0\ (i\le p),\quad G_i(x)\ge0,\ H_i(x)\ge0,\ G_i(x)H_i(x)=0\ (i\le l),gi​(x)≤0 (i≤m),hi​(x)=0 (i≤p),Gi​(x)≥0, Hi​(x)≥0, Gi​(x)Hi​(x)=0 (i≤l),

with continuously differentiable data. At a feasible point x∗x^*x∗ the indices of the complementarity pairs split into I0+I_{0+}I0+​ (Gi=0<HiG_i=0<H_iGi​=0<Hi​), I00I_{00}I00​ (Gi=Hi=0G_i=H_i=0Gi​=Hi​=0) and I+0I_{+0}I+0​ (Gi>0=HiG_i>0=H_iGi​>0=Hi​). The tightened program TNLP(x∗)(x^*)(x∗) replaces each pair by equalities on the components that vanish at x∗x^*x∗ and a sign constraint on the other. MPEC-MFCQ holds at x∗x^*x∗ if standard MFCQ holds for TNLP(x∗)(x^*)(x∗) at x∗x^*x∗.

Scholtes' relaxed program RS(t)R^S(t)RS(t), for t>0t>0t>0, keeps gi≤0g_i\le0gi​≤0, hj=0h_j=0hj​=0, Gi≥0G_i\ge0Gi​≥0, Hi≥0H_i\ge0Hi​≥0 and replaces GiHi=0G_iH_i=0Gi​Hi​=0 by Gi(x)Hi(x)≤tG_i(x)H_i(x)\le tGi​(x)Hi​(x)≤t. Its feasible set is XS(t)X^S(t)XS(t). Lean notation: the MPEC is MPEC n m p l, TNLP(x∗)(x^*)(x∗) is P.TNLP xs, RS(t)R^S(t)RS(t) is P.RS t, and MFCQ of an NLP Q at x is Q.IsMFCQ x.

Formalization targets

Goal: Theorem 3.2

If x∗x^*x∗ is feasible for the MPEC and MPEC-MFCQ holds at x∗x^*x∗, there are a neighbourhood NNN of x∗x^*x∗ and tˉ>0\bar t>0tˉ>0 such that

standard MFCQ for RS(t) holds at every x∈N∩XS(t).\text{standard MFCQ for } R^S(t) \text{ holds at every } x\in N\cap X^S(t).standard MFCQ for RS(t) holds at every x∈N∩XS(t).

The neighbourhood is fixed before ttt and works for every t>0t>0t>0.

Milestones, in attack order

  1. Remark 2.2. MFCQ at a feasible point of an NLP is equivalent to positive-linear independence of the active inequality gradients together with all equality gradients.
  2. MPEC-MFCQ at x∗x^*x∗, rewritten as positive-linear independence of {∇gi(x∗)}Ig\{\nabla g_i(x^*)\}_{I_g}{∇gi​(x∗)}Ig​​ (sign-constrained) together with {∇hi(x∗)}\{\nabla h_i(x^*)\}{∇hi​(x∗)}, {∇Gi(x∗)}I00∪I0+\{\nabla G_i(x^*)\}_{I_{00}\cup I_{0+}}{∇Gi​(x∗)}I00​∪I0+​​ and {∇Hi(x∗)}I00∪I+0\{\nabla H_i(x^*)\}_{I_{00}\cup I_{+0}}{∇Hi​(x∗)}I00​∪I+0​​ (free).
  3. Persistence: the same family, with gradients evaluated at xxx, stays positive-linearly independent for all x∈XS(t)x\in X^S(t)x∈XS(t) near x∗x^*x∗.
  4. (6): near x∗x^*x∗, the active sets of RS(t)R^S(t)RS(t) at xxx are contained in the corresponding index sets at x∗x^*x∗, and the product constraint is never active together with Gi≥0G_i\ge0Gi​≥0 or Hi≥0H_i\ge0Hi​≥0.
  5. (7): near x∗x^*x∗, the active-constraint gradients of RS(t)R^S(t)RS(t), regrouped by the index sets at x∗x^*x∗, form a positive-linearly independent family.

Significance

Theorem 3.2 says that the relaxed programs inherit a standard constraint qualification from the MPEC. Consequently every local minimizer of RS(t)R^S(t)RS(t) near x∗x^*x∗ is a KKT point, which is exactly the hypothesis of the convergence theorem for Scholtes' method (Theorem 3.1 of the paper: limits of KKT points of RS(tk)R^S(t_k)RS(tk​) are C-stationary under MPEC-MFCQ). Without it, the convergence theorem could be about sequences that do not exist. The result also replaces the MPEC-LICQ-based regularity results of earlier work by the weaker MPEC-MFCQ.

The theorem is proved in the paper; to our knowledge no part of this theory has been machine-checked. A formal development delivers a reusable layer for nonlinear programming in Lean: positive-linear dependence, MFCQ and its dual characterization, the tightened program of an MPEC and the MPEC constraint qualifications. Sibling missions of this series formalize Theorem 3.1 and the Kadrani–Dussault–Benchakroun relaxation (Theorem 3.5) on the same vocabulary.

Difficulty

The obvious argument is a continuity argument: MFCQ is an open condition, so it should persist near x∗x^*x∗. This fails as stated, because MFCQ for RS(t)R^S(t)RS(t) is not a perturbation of MFCQ for TNLP(x∗)(x^*)(x∗): the two programs have different constraints, and the active set of RS(t)R^S(t)RS(t) at xxx changes with xxx and ttt. Near a biactive index i∈I00i\in I_{00}i∈I00​, the product constraint GiHi≤tG_iH_i\le tGi​Hi​≤t can be active, and its gradient Gi∇Hi+Hi∇GiG_i\nabla H_i+H_i\nabla G_iGi​∇Hi​+Hi​∇Gi​ tends to zero as x→x∗x\to x^*x→x∗. So it cannot be treated as a small perturbation of any gradient in the TNLP family. In addition, the neighbourhood must be uniform in ttt, while the active product constraints depend on ttt. The step that needs care is the regrouping of the multiplier equation of RS(t)R^S(t)RS(t) into a combination of TNLP-type gradients, with every coefficient's sign accounted for. The separate step from MPEC-MFCQ to positive-linear independence needs a theorem of the alternative (Motzkin's transposition theorem), which is not in Mathlib in this form.

Formalization scope

  • Rn\mathbb R^nRn is EuclideanSpace ℝ (Fin n); ∇f(x)Td\nabla f(x)^Td∇f(x)Td is the inner product of gradient f x with d. Indices 1,…,m1,\dots,m1,…,m are Fin m (0-based), and m,p,l=0m,p,l=0m,p,l=0 are allowed.
  • The standing assumption of p. 1 (all data C1C^1C1) is the explicit hypothesis P.IsC1 on the goal and on milestones 3–5. Milestones 1–2 do not need it.
  • Families of gradients are indexed families, not sets: a repeated vector makes a family linearly dependent.
  • Definition 2.1's "not all of them being zero" is read as "not all of the αi\alpha_iαi​ and βj\beta_jβj​ are zero".
  • TNLP(x∗)(x^*)(x∗) uses subtype index types, so only the constraints the paper lists exist. Absent constraints are not padded with the zero function, which would be active with zero gradient and would destroy MFCQ.
  • "Standard MFCQ for RS(t)R^S(t)RS(t)" is the MFCQ of the NLP RS(t)R^S(t)RS(t) with its own active set, including the product constraint when Gi(x)Hi(x)=tG_i(x)H_i(x)=tGi​(x)Hi​(x)=t.
  • The paper introduces tˉ>0\bar t>0tˉ>0 and never uses it. The statement keeps tˉ\bar ttˉ and quantifies over every t>0t>0t>0, which is what the proof shows. The neighbourhood is a set in 𝓝 xs chosen before ttt.
  • In (7), the sixth vector is printed as Gi∇Hi+Gi∇HiG_i\nabla H_i+G_i\nabla H_iGi​∇Hi​+Gi​∇Hi​, a misprint for Gi∇Hi+Hi∇GiG_i\nabla H_i+H_i\nabla G_iGi​∇Hi​+Hi​∇Gi​. The sign constraint applies to the ∇gi\nabla g_i∇gi​ only, as in the preceding display; this is the reading the paper's last step requires.
  • Persistence (milestone 3) is stated, as printed, for x∈XS(t)x\in X^S(t)x∈XS(t) close to x∗x^*x∗, with one neighbourhood of x∗x^*x∗ serving every t>0t>0t>0.

The goal would be trivialized by a weakened MFCQ, for instance one that omits the linear independence of the equality gradients or requires the strict inequality only for some of the active constraints. Such a formalization is ruled out: IsMFCQ requires both conditions, over the full active set of RS(t)R^S(t)RS(t). The neighbourhood must be a genuine element of 𝓝 xs, so an empty NNN is excluded.

Welcome contributions: a proof of Remark 2.2, general lemmas on persistence of positive-linear independence under continuous perturbation, and the final assembly. These lemmas apply to nonlinear programming in general, not only to this mission.

Selected references

  • T. Hoheisel, C. Kanzow, A. Schwartz, Theoretical and numerical comparison of relaxation methods for mathematical programs with complementarity constraints, Preprint 299, Institute of Mathematics, University of Würzburg, 2010; Mathematical Programming 137 (2013) 257–288. https://doi.org/10.1007/s10107-011-0488-5
  • S. Scholtes, Convergence properties of a regularization scheme for mathematical programs with complementarity constraints, SIAM Journal on Optimization 11 (2001) 918–936. https://doi.org/10.1137/S1052623499361233
  • L. Qi, Z. Wei, On the constant positive linear dependence condition and its application to SQP methods, SIAM Journal on Optimization 10 (2000) 963–981. https://doi.org/10.1137/S1052623497326629
  • Z.-Q. Luo, J.-S. Pang, D. Ralph, Mathematical Programs with Equilibrium Constraints, Cambridge University Press, 1996. https://doi.org/10.1017/CBO9780511983658
  • O. L. Mangasarian, S. Fromovitz, The Fritz John necessary optimality conditions in the presence of equality and inequality constraints, Journal of Mathematical Analysis and Applications 17 (1967) 37–47. https://doi.org/10.1016/0022-247X(67)90163-1
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Partial Differential EquationsTheory of Computation·Captain: marwahaha

Incompressible Box Transport and Finite ComputationOpen Problem

Motivation

Volume-preserving box transport supplies geometric operations for a finite computation. The selected goal assembles these into a force and a fixed particle observer. The pinned manuscript supplies the research context.

Setting

A finite machine and input determine effective velocity and force coefficients. The force depends affinely on positive viscosity, and after time one the velocity is periodic and depends only on the machine.

Formalization target

The selected goal is OAI.BalancedTransport.balanced_three_stack_realization. Its central assertion is

∃t≥0: X(t,(4,0,0))∈(−1,2)3⟺M halts on w.\exists t\geq0:\ X(t,(4,0,0))\in(-1,2)^3\quad\Longleftrightarrow\quad M\text{ halts on }w.∃t≥0: X(t,(4,0,0))∈(−1,2)3⟺M halts on w.

The theorem states that there exist velocity fields U(M,w), force coefficients f₀(M,w) and f₁(M,w), material flows X(M,w), and a globally 1-periodic velocity field R(M) for each finite deterministic tape machine M, with the following properties for every finite input word w. On nonnegative time and ℝ³, U, f₀ and f₁ are smooth and vanish outside a common spatial compact set independent of time; every mixed space-time derivative of U is uniformly bounded. Moreover, f₀ = ∂ₜU + (U·∇)U and f₁ = −ΔU. All three families are uniformly effective from the encoded machine and input: algorithms approximate every mixed derivative component at rational space-time points within 2⁻ⁿ, provide global integer bounds on these derivatives, and provide integer support radii. The velocity is 1-periodic after time 1 and satisfies U(M,w)(t,x) = R(M)(t,x) for every t ≥ 1, so its later field depends only on M. The flow satisfies X(0,a) = a and ∂ₜX(t,a) = U(t,X(t,a)); its trajectory starting at (4,0,0) enters (−1,2)³ at some nonnegative time exactly when M halts on w, meaning that a configuration with no next transition is reached after finitely many machine steps. For every viscosity ν > 0, the force f = f₀ + νf₁ is smooth, has uniformly bounded mixed derivatives, and is 1-periodic after time 1; U with pressure zero solves the incompressible Navier–Stokes equation ∂ₜU + (U·∇)U = νΔU + f with U(0,·) = 0. This velocity is unique among smooth zero-data solutions in the comparison class, and every such solution has spatially constant pressure. The comparison class requires the velocity and all spatial derivatives through order two to be continuous in time as L² functions, the velocity to be continuously differentiable in time in L², velocity and first spatial derivatives to be bounded on each finite time slab, and pressure, after subtracting a time-dependent scalar, together with its first spatial derivatives to be continuous in time in L²; (U,0) belongs to this class. Finally, derivative approximations and global derivative bounds for f are computable when ν is computable, and computable relative to any rational name of ν whose nth approximation has error at most 2⁻ⁿ.

Significance and status

The balanced three-stack realization is the main goal; balanced box routing is a separate supporting reference. The exact conclusion permits spatially constant pressure in competing solutions and explicitly states its comparison class. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

Uniform effectiveness, compact support, periodic behavior and uniqueness must all coexist with exact halting detection.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

Additional published targets are included as separate references:

  • OAI.BoxTransport.Routing.balanced_box_routing (Open).

Selected references

  • OpenAI, Incompressible Box Transport and Finite Computation, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
4 thms1 active userReviewed
Partial Differential EquationsTheory of Computation·Captain: marwahaha

Computation under Rapidly Vanishing Navier–Stokes ForcingOpen Problem

Motivation

A force whose derivatives decay rapidly can still encode a computation in a particle trajectory. The selected construction makes the observer condition and effectiveness requirements precise. The pinned manuscript supplies the research context.

Setting

For each finite deterministic machine and valid input, compilers produce smooth force and velocity fields on nonnegative time and real three-space, with common compact spatial support.

Formalization target

The selected goal is OAI.AlternatingNS.alternating. Its central assertion is

∃t≥0: X1(t)>0⟺M halts on w.\exists t\geq0:\ X_1(t)>0\quad\Longleftrightarrow\quad M\text{ halts on }w.∃t≥0: X1​(t)>0⟺M halts on w.

The theorem states that for every positive real viscosity ν computable by rational approximations with error at most 2⁻ⁿ, there exist computable compilers for a force f and velocity U, and one compact set K⊂ℝ³, with the following property for every well-formed finite deterministic Turing machine M and valid finite input w. The compiled programs describe smooth fields f,U on [0,∞)×ℝ³, both spatially supported in K for all nonnegative times, such that every mixed space-time derivative D satisfies sup_{t≥0,x}(1+t+‖x‖)ᴶ‖Df(t,x)‖<∞ and the analogous bound for U, for every nonnegative integer J. Each program supplies rational approximations to all mixed derivatives at rational space-time points with requested error 2⁻ᵏ, effective moduli of continuity on bounded regions, and integer bounds for all these weighted derivative norms. The velocity starts from zero, is divergence-free, and solves the classical forced Navier–Stokes equation ∂ₜU+(U·∇)U=νΔU+f with identically zero pressure; specifically f=∂ₜU+(U·∇)U−νΔU. On every interval [0,T], U is continuous in H² and continuously differentiable in L², and U and its spatial derivative are uniformly bounded in space and time. Moreover, any classical solution (v,p) with the same force and zero initial velocity equals (U,0) pointwise for all nonnegative times, provided on every [0,T] it has v continuous in H², continuously differentiable in L², and uniformly bounded, and p continuous in H¹. Here these Sobolev continuity conditions mean continuous L² representatives of every spatial derivative through the indicated order; time derivatives at zero are taken within [0,∞). Every initial point a has a unique trajectory X(a,t) for t≥0 satisfying X(a,0)=a and ∂ₜX(a,t)=U(t,X(a,t)). Finally, the trajectory starting at (−1,0,0) has strictly positive first coordinate at some nonnegative time if and only if M halts on w, where encountering a missing instruction also counts as halting.

Significance and status

The goal is the alternating-coordinate construction at every positive computable viscosity. It includes Sobolev time regularity, effective bounds, zero initial velocity and the exact observer condition, rather than all three manuscript constructions. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

The encoding must preserve all weighted derivative bounds and uniqueness in the stated comparison class while recording arbitrarily long computations.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

The available published material supplies this goal and its necessary definitions. Additional manuscript lemmas are not represented as attached milestones.

Selected references

  • OpenAI, Computation under Rapidly Vanishing Navier–Stokes Forcing, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
Partial Differential EquationsTheory of Computation·Captain: marwahaha

Geometric Programs for Solenoidal ForcingOpen Problem

Motivation

Incompressible transport can implement prescribed geometric operations on coding sheets. The selected statement concerns one such finite transport construction with effective smooth forcing. The pinned manuscript supplies the research context.

Setting

Source and target rectangles have rational data and specified positive diagonal ratios. In the formula, D_i(y)=q_i+diag(r_i)(y−p_i), with source and target centers p_i and q_i. Space is represented periodically with period ten, and the viscosity is a positive computable real.

Formalization target

The selected goal is OAI.Solenoidal.sheet_theorem. Its central assertion is

X(1,sheet(y))=sheet(Diy)(mod(10Z)3).X(1,\mathrm{sheet}(y))=\mathrm{sheet}(D_i y)\pmod{(10\mathbb Z)^3}.X(1,sheet(y))=sheet(Di​y)(mod(10Z)3).

The theorem states that, for any natural number N, any sheet datum D of size N, and any computable real viscosity ν>0, there exist a forcing field f and a velocity field u (each a time-dependent vector field on ℝ³) and a flow map X such that the following hold. Here D consists of N source rectangles and N target rectangles with rational corners, all inside the square [2,3]², with the sources pairwise separated by a positive distance and likewise the targets, together with positive rational ratios in each of two coordinates such that the diagonal affine map from source i to target i, which sends the source center to the target center and scales offsets by the ratios, maps the source rectangle exactly onto the target rectangle. Both f and u are periodic in space with period 10 in every coordinate and are C^∞ in space and time jointly. The forcing f is effective, meaning that all its mixed space-time partial derivatives can be approximated to any rational accuracy by a single fixed partial recursive procedure from computable names of the evaluation point. Moreover f has zero mean over the fundamental cell [0,10)³ at every time, is divergence free, and is 1-periodic in time. The field u is a classical solution on t≥0 of the forced Navier–Stokes equations ∂ₜu + (u·∇)u = −∇p + ν Δu + f with zero pressure, zero initial data, incompressibility and spatial periodicity, so u is a solution driven by f without pressure. Any classical solution v with pressure p for the same f and ν and with zero initial velocity coincides with u, and has p identically zero, for all t≥0. The flow map X satisfies X(0,a)=a and solves the particle-path equation dX/dt=u(t,X) for t≥0, and for each i and each point y of the i-th source rectangle, the time-1 flow image of the sheet point (y₀,y₁,2) agrees modulo the torus ℝ³/(10ℤ)³ with the sheet point at the diagonal-map image of y. Further, u vanishes in a neighborhood of every integer time, the advection term (u·∇)u vanishes everywhere, and both f and u have all their mixed space-time derivatives uniformly bounded by rational bounds computable from the derivative multi-index by a fixed partial recursive procedure. Finally, if N=0 then f and u are identically zero.

Significance and status

The target is the sheet theorem, including its encoded uniqueness statement and zero-advection conditions. Machine-halting detection is not a conclusion of this published goal. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

The construction must simultaneously enforce smoothness, incompressibility, temporal periodicity, effective bounds and exact transport on every point of each sheet rectangle.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

The available published material supplies this goal and its necessary definitions. Additional manuscript lemmas are not represented as attached milestones.

Selected references

  • OpenAI, Geometric Programs for Solenoidal Forcing, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
AnalysisOptimal Transport·Captain: marwahaha

A counterexample to the Monge ansatz for the three-marginal Coulomb costOpen Problem

Motivation

An optimal coupling can exist even when no deterministic transport maps attain its cost. The target separates attainment from equality of infima for a three-marginal repulsive cost. The pinned manuscript supplies the research context.

Setting

All three marginals are the same smooth compactly supported probability density in real three-space, with smooth compactly supported square root. Coincident points have infinite Coulomb cost.

Formalization target

The selected goal is OAI.Problem356.coulomb_counterexample_and_equal_infima. Its central assertion is

inf⁡T2,T3∫c(x,T2x,T3x) dμ=min⁡π∈Π(μ,μ,μ)∫c dπ.\inf_{T_2,T_3}\int c(x,T_2x,T_3x)\,d\mu=\min_{\pi\in\Pi(\mu,\mu,\mu)}\int c\,d\pi.T2​,T3​inf​∫c(x,T2​x,T3​x)dμ=π∈Π(μ,μ,μ)min​∫cdπ.

The theorem states, without a proof being verified here, that there exists a function ρ on three-dimensional Euclidean space ℝ³ satisfying a full Coulomb conclusion. This means ρ is a nonnegative C^∞ function with compact support, whose square root is also C^∞ with compact support, and with integral 1 over ℝ³; its density measure μ (Lebesgue measure weighted by ρ) is a probability measure. Consider three-marginal couplings of μ, namely probability measures on triples (x,y,z) of points of ℝ³ all of whose three coordinate marginals equal μ, with cost 1/|x−y| + 1/|x−z| + 1/|y−z| valued in [0,∞] (the inverse of distance zero is ∞). The Kantorovich value of μ is the infimum of the expected cost over all such couplings, and the theorem asserts it is finite and attained by some coupling. Further, no pair of measurable maps T₂,T₃ each preserving μ (pushing μ forward to itself) is a Monge optimizer: for every such pair, the expected cost of the triple (x,T₂x,T₃x) under μ is strictly larger than the Kantorovich value. Nevertheless, the Monge value, the infimum of this graph cost over all such pairs of μ-preserving maps, equals the Kantorovich value, and for every ε>0 there are μ-preserving maps T₂,T₃ with finite graph cost at most the Kantorovich value plus ε.

Significance and status

The goal includes a finite attained Kantorovich value, no Monge minimizer, equal infima and arbitrarily accurate finite-cost maps. Other dimensions and Riesz exponents are not part of this selected target. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

Every measure-preserving pair of maps must be strictly suboptimal, while a sequence of such pairs still approaches the coupling minimum.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

The available published material supplies this goal and its necessary definitions. Additional manuscript lemmas are not represented as attached milestones.

Selected references

  • OpenAI, A counterexample to the Monge ansatz for the three-marginal Coulomb cost, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
Calculus of VariationsPartial Differential Equations·Captain: marwahaha

The critical dimension for one-phase Bernoulli minimizersOpen Problem

Motivation

Homogeneous minimizers model possible free-boundary singularities. A nonflat example in seven dimensions supplies one side of the claimed critical-dimension threshold. The pinned manuscript supplies the research context.

Setting

The one-phase Bernoulli energy on a ball is the integral of squared weak gradient plus the indicator of positivity. Competitors are nonnegative Sobolev functions with the prescribed H1-zero-boundary difference.

Formalization target

The selected goal is OAI.Bernoulli.nonflat_in_seven. Its central assertion is

∃u:R7→R,u(rx)=ru(x) (r>0, a.e. x),u minimizes E,u is not flat.\exists u:\mathbb R^7\to\mathbb R,\quad u(rx)=ru(x)\ (r>0,\ \text{a.e. }x),\quad u\text{ minimizes }E,\quad u\text{ is not flat}.∃u:R7→R,u(rx)=ru(x) (r>0, a.e. x),u minimizes E,u is not flat.

The theorem states that there exists a function u: ℝ⁷ → ℝ that is nonnegative almost everywhere, belongs locally to H¹, and is a global minimizer of the one-phase Bernoulli energy E_B(u) = ∫B (|∇u|² + 1{u>0}) dx. Here ∇u is a distributional gradient, and global minimality means that, for every open ball B of positive radius and every nonnegative almost-everywhere Sobolev competitor v ∈ H¹(B) with v − u ∈ H¹₀(B), one has E_B(u) ≤ E_B(v). Membership in H¹₀(B) requires approximation by smooth functions compactly supported in B, with both the functions and their gradients converging in L². The function is nonzero in the sense that it is not equal to zero almost everywhere, and it is homogeneous of degree one: for each real r > 0, u(rx) = r u(x) for almost every x. Nevertheless, it is not flat: there is no unit vector e ∈ ℝ⁷ for which u(x) = max(⟨x,e⟩, 0) almost everywhere. All almost-everywhere statements and integrals use Lebesgue measure.

Significance and status

The selected goal is existence of a nonzero nonflat one-homogeneous global minimizer in dimension seven. Flatness in dimensions at most six and singular-set dimension bounds are not attached conclusions. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

A stationary cone is insufficient: the example must minimize against all admissible ball competitors and fail every half-space profile.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

The available published material supplies this goal and its necessary definitions. Additional manuscript lemmas are not represented as attached milestones.

Selected references

  • OpenAI, The critical dimension for one-phase Bernoulli minimizers, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
AnalysisDifferential Geometry·Captain: marwahaha

A negatively pinched Kähler threefold without bounded holomorphic coordinatesOpen Problem

Motivation

Negative curvature suggests strong analytic control, but bounded holomorphic coordinates impose a different global condition. The target constructs a complex threefold separating them. The pinned manuscript supplies the research context.

Setting

The construction uses the encoded Hartogs domain and a complete Kähler metric with sectional curvature between two negative constants. Holomorphic coordinate obstructions are stated in the published main proposition.

Formalization target

The selected goal is OAI.PinchedHartogs.main_theorem. Its central assertion is

−C≤Kg≤−c<0.-C\leq K_g\leq-c<0.−C≤Kg​≤−c<0.

The theorem states that there exist a subset M of ℂ³ (realized as ℂ² × ℂ) and a matrix-valued function g assigning a 3×3 complex matrix to each point, together with real numbers A and B, such that M is open, nonempty and contractible, and g is a Kähler metric on M, meaning g is C^∞ on M, Hermitian at each point (g_ij = conj(g_ji)), positive definite (the Hermitian form of g at u has positive real part for every nonzero u), and satisfies the closedness condition ∂g_kj/∂z_i = ∂g_ij/∂z_k, with ∂ the Wirtinger derivative (1/2)(∂_x − i∂_y). Moreover the metric is geodesically complete on M: for every point p in M and every vector v there is a C^∞ curve γ: ℝ → M with γ(0)=p, γ'(0)=v that satisfies the geodesic equation γ''k + Σ Γ^k{ac} γ'_a γ'_c = 0 for all t, where the Christoffel symbols are built from the inverse of g and the ∂ derivatives of g. The metric is also negatively pinched: 0 < A ≤ B and, for every point of M and every real-linearly independent pair u, v, the sectional curvature, computed from the explicit curvature tensor formula in the source, lies between −B and −A. In addition, M has no bounded coordinates: there is no map F from ℂ³ to ℂ³, holomorphic on a neighbourhood of every point of M and bounded in every component on M, whose complex Jacobian determinant is nonzero at every point of M. Finally, M is not biholomorphic to a bounded domain, that is, there is no bounded open set N with holomorphic maps F on M and G on N, each analytic near the respective set, mapping M into N and N into M, which are mutually inverse.

Significance and status

The selected main theorem requires a nonempty open contractible domain, a geodesically complete Kähler metric with two-sided negative real-sectional pinching, no bounded holomorphic map to complex three-space with everywhere-nonsingular differential, and no biholomorphism to a bounded domain. The controlled potential and metric-transfer statements are attached as supporting milestones. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

Metric completeness and two-sided negative curvature must coexist with a global obstruction to bounded holomorphic coordinates.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

Additional published targets are included as separate references:

  • OAI.PinchedHartogs.controlled_potential (Open).
  • OAI.PinchedHartogs.metric_transfer (Open).

Selected references

  • OpenAI, A negatively pinched Kähler threefold without bounded holomorphic coordinates, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
4 thms1 active userReviewed
Differential GeometryPartial Differential Equations·Captain: marwahaha

The affine Bernstein theorem in dimensions three through nineOpen Problem

Motivation

Affine maximal graphs satisfy a nonlinear fourth-order geometric equation. The target asks whether completeness forces such a locally uniformly convex graph to be a paraboloid. The pinned manuscript supplies the research context.

Setting

The dimension is between three and nine. The domain is nonempty, open and convex, the function is smooth with positive-definite Hessian, and completeness uses intrinsic Euclidean graph length.

Formalization target

The selected goal is OAI.AffineBernstein.affine_bernstein. Its central assertion is

Ω=Rn,u(x)=12xTAx+b⋅x+c,A>0.\Omega=\mathbb R^n,\qquad u(x)=\tfrac12x^TAx+b\cdot x+c,\quad A>0.Ω=Rn,u(x)=21​xTAx+b⋅x+c,A>0.

The theorem states that, for every integer dimension 3 ≤ n ≤ 9, a nonempty open convex set Ω ⊆ ℝⁿ and a function u : ℝⁿ → ℝ that is smooth on Ω satisfy the following conclusion under three hypotheses. First, the Hessian H = D²u is positive definite at every point of Ω. Second, u satisfies the affine maximal equation ∑ᵢⱼ Uᵢⱼ ∂ᵢ∂ⱼw = 0 throughout Ω, where U = (det H)H⁻¹ and w = (det H)^{−(n+1)/(n+2)}. Third, the graph is complete for its intrinsic Euclidean path distance: the distance between x and y in Ω is the infimum over C¹ paths γ in Ω joining them of ∫₀¹ √(‖γ′(t)‖² + (Du(γ(t))γ′(t))²) dt, and every Cauchy sequence for this distance has a limit in Ω for the same distance. Then Ω = ℝⁿ and there exist a symmetric positive definite real n × n matrix A, a vector b ∈ ℝⁿ, and c ∈ ℝ such that u(x) = ½xᵀAx + b·x + c for every x ∈ ℝⁿ. Moreover, an invertible affine map of ℝⁿ × ℝ carries the standard paraboloid {(x, ‖x‖²)} onto the graph {(x, u(x)) : x ∈ Ω}.

Significance and status

The goal also gives an invertible affine map from the standard paraboloid to the graph. The wider immersed-hypersurface formulation is not included as a separate target. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

The domain is not initially assumed to be all of space. Both global domain exhaustion and the quadratic form must follow from the equation and completeness.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

The available published material supplies this goal and its necessary definitions. Additional manuscript lemmas are not represented as attached milestones.

Selected references

  • OpenAI, The affine Bernstein theorem in dimensions three through nine, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
Differential GeometryPartial Differential Equations·Captain: marwahaha

Power-law violations of Yau's nodal upper boundOpen Problem

Motivation

Nodal sets are the zero loci of Laplace eigenfunctions. Their size probes how geometry constrains high-frequency oscillation. The pinned manuscript supplies the research context.

Setting

The encoded manifold is S4×S1 with one smooth Riemannian metric. The sequence consists of nonzero smooth real eigenfunctions with positive eigenvalues tending to infinity.

Formalization target

The selected goal is OAI.Yau.Target.yau_nodal_set_upper_bound_counterexample. Its central assertion is

Hg4({uk=0})λk⟶+∞.\frac{\mathcal H_g^4(\{u_k=0\})}{\sqrt{\lambda_k}}\longrightarrow+\infty.λk​​Hg4​({uk​=0})​⟶+∞.

The theorem states that the defined proposition MainTarget holds, i.e. that there exist a smooth Riemannian metric g on the 5-manifold S⁴ × S¹ (the unit sphere in ℝ⁵ times the circle, modelled on ℝ⁴ × ℝ¹), a sequence of positive reals λₖ, and a sequence of smooth real functions uₖ on this manifold, each not identically zero, such that the following hold. At every point x, in the extended chart at x, the coordinate Laplacian of uₖ, namely (1/√det G) Σᵢ ∂ᵢ(√det G Σⱼ Gⁱʲ ∂ⱼ(uₖ∘chart⁻¹)), where G is the matrix of g in the chart's coordinate frame and Gⁱʲ its inverse, satisfies −Δ_g uₖ(x) = λₖ uₖ(x), so each uₖ is a Laplace eigenfunction with eigenvalue λₖ. Moreover λₖ → ∞, and the 4-dimensional Hausdorff measure (taken with respect to the distance induced by g) of the nodal set {uₖ = 0}, divided by √λₖ, tends to +∞ as k → ∞. Thus the nodal-set size grows faster than the order √λₖ, which is a counterexample to a Yau-type upper bound on nodal sets in this setting. The theorem is admitted in the source and not proved there.

Significance and status

The selected target is divergence relative to the square-root eigenvalue scale. It does not specify the fixed additional power ε0 asserted by the manuscript title and abstract. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

The same smooth metric must support the whole eigenfunction sequence, and the nodal measure uses the distance induced by that metric.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

The available published material supplies this goal and its necessary definitions. Additional manuscript lemmas are not represented as attached milestones.

Selected references

  • OpenAI, Power-law violations of Yau's nodal upper bound, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
Symplectic Geometry·Captain: marwahaha

Three fixed points on the symplectic quadric threefoldOpen Problem

Motivation

Fixed-point bounds compare Hamiltonian dynamics with critical points of smooth functions. Degenerate fixed points are central to the unrestricted formulation tested here. The pinned manuscript supplies the research context.

Setting

The space is the complex projective quadric threefold, represented through its unit quadric and quotient tangent directions. Hamiltonian maps are endpoints of the specified smooth isotopies.

Formalization target

The selected goal is OAI.ArnoldCounterexample.main. Its central assertion is

#Fix(φ)=3<4≤Crit(Q3).\#\mathrm{Fix}(\varphi)=3<4\leq\mathrm{Crit}(Q^3).#Fix(φ)=3<4≤Crit(Q3).

The theorem states that the complex projective quadric Q = {[z] ∈ ℂP⁴ : ∑ⱼ₌₀⁴ zⱼ² = 0} admits a Hamiltonian bijection φ with exactly three fixed points, whereas every smooth real-valued function on Q has at least four critical points, including functions with degenerate critical points; equivalently, 3 < 4 ≤ the infimum of their critical-set cardinalities, with infinite cardinalities recorded as ∞. Here Hamiltonian means that φ is the endpoint of an isotopy starting at the identity whose forward maps, inverse maps, and Hamiltonian have globally smooth extensions on ℝ × ℂ⁵. For times in [0,1], the maps preserve the unit quadric, are inverse there, and commute with multiplication by unit complex scalars; the Hamiltonian is invariant under these scalars. They satisfy ω(∂ₜFₜ(z),v) = dHₜ(Fₜ(z))[v] for every horizontal v at Fₜ(z), where ω(u,v) = 2 Im ∑ⱼ conjugate(uⱼ)vⱼ and horizontality at z means both ∑ⱼ conjugate(zⱼ)vⱼ = 0 and ∑ⱼ zⱼvⱼ = 0. Smooth functions on Q are those with smooth local extensions after pullback to the unit quadric, and criticality means that every such extension has zero derivative in all horizontal directions. Moreover, φ has a degenerate fixed point: some unit representative z and nonzero horizontal vector v admit a smooth local lift G of φ with G(z) = z and DG(z)v − v = a iz for some real a. Thus the induced derivative on the quotient tangent has a genuine nonzero eigenvector with eigenvalue 1.

Significance and status

The goal includes the lower bound on all smooth critical sets and at least one degenerate fixed point. A rational cup-length computation is not a separate conclusion of this target. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

Counting fixed points is insufficient: the construction must satisfy the Hamiltonian lift conditions and give a genuine nonzero quotient-tangent eigenvector at a degenerate point.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

The available published material supplies this goal and its necessary definitions. Additional manuscript lemmas are not represented as attached milestones.

Selected references

  • OpenAI, Three fixed points on the symplectic quadric threefold, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
Differential GeometrySymplectic Geometry·Captain: marwahaha

Taming implies compatibility on four-manifoldsOpen Problem

Motivation

A symplectic form can be positive on complex lines without being invariant under the almost complex structure. The target asks whether some compatible form nevertheless exists in four dimensions. The pinned manuscript supplies the research context.

Setting

The manifold is smooth, compact, connected, Hausdorff and second countable, modeled on real four-space. The almost complex structure squares to minus the identity.

Formalization target

The selected goal is OAI.TamingCompatibility.taming_implies_compatibility. Its central assertion is

(∃α symplectic: α(v,Jv)>0 ∀v≠0) ⟹ (∃η symplectic: η(v,Jv)>0 ∀v≠0, η(Ju,Jv)=η(u,v) ∀u,v).(\exists\alpha\text{ symplectic}:\ \alpha(v,Jv)>0\ \forall v\ne0)\ \Longrightarrow\ (\exists\eta\text{ symplectic}:\ \eta(v,Jv)>0\ \forall v\ne0,\ \eta(Ju,Jv)=\eta(u,v)\ \forall u,v).(∃α symplectic: α(v,Jv)>0 ∀v=0) ⟹ (∃η symplectic: η(v,Jv)>0 ∀v=0, η(Ju,Jv)=η(u,v) ∀u,v).

The theorem states that, for a smooth manifold X modeled on four-dimensional Euclidean space ℝ⁴ (charted with smooth transition maps) that is Hausdorff, second countable, compact and connected, and for an almost complex structure J on X, if some symplectic two-form α tames J, then there exists a symplectic two-form η that is compatible with J. Here a two-form assigns to each point x a continuous alternating real bilinear form on the tangent space at x, and an almost complex structure J is a smooth field of continuous linear endomorphisms of the tangent spaces with J(Jv) = −v for every tangent vector v. A two-form is symplectic when it is smooth (its pullbacks along smooth maps from open subsets of ℝ⁴ are smooth), closed (the exterior derivative of each such pullback vanishes), and nondegenerate (a tangent vector v with α(v,w) = 0 for all w must be zero). The form α tames J when α(v, Jv) > 0 for every nonzero tangent vector v at every point. The form η is compatible with J when it tames J and is J-invariant, meaning η(Ju, Jv) = η(u, v) for all tangent vectors u and v at every point. This is a formal statement admitted without proof.

Significance and status

The conclusion supplies a possibly different symplectic form. It does not assert that the original taming form is compatible or prescribe its cohomology class. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

A pointwise compatibility adjustment need not preserve closedness. The conclusion requires both global symplectic structure and positivity.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

The available published material supplies this goal and its necessary definitions. Additional manuscript lemmas are not represented as attached milestones.

Selected references

  • OpenAI, Taming implies compatibility on four-manifolds, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
Calculus of VariationsGeometry & Topology·Captain: marwahaha

Generalized Cartan–Hadamard isoperimetry and Euclidean equality rigidityOpen Problem

Motivation

Sharp filling inequalities compare the mass of a cycle with the least mass needed to fill it. The selected formulation extends a Euclidean coefficient to proper CAT(0) metric spaces. The pinned manuscript supplies the research context.

Setting

Integral currents are encoded metric currents with integer-multiplicity chart decompositions and integral boundary. The input is a compactly supported n-cycle for n at least two. In the displayed coefficient, σ_n=(n+1)ω_{n+1}, where ω_{n+1} is the Euclidean volume of the unit ball in dimension n+1; this is the published sphereArea convention.

Formalization target

The selected goal is OAI.CAT0Fillings.sharp_integral_filling. Its central assertion is

∂S=T,M(S)≤M(T)(n+1)/n(n+1)σn1/n.\partial S=T,\qquad\mathbf M(S)\leq\frac{\mathbf M(T)^{(n+1)/n}}{(n+1)\sigma_n^{1/n}}.∂S=T,M(S)≤(n+1)σn1/n​M(T)(n+1)/n​.

The theorem states that, for a proper metric space X with its Borel σ-algebra that is CAT(0), meaning there is a choice of geodesic parametrization segment(x,y,t) from x to y (with segment(x,y,0)=x, segment(x,y,1)=y, and dist(segment(x,y,s),segment(x,y,t))=|s−t|·dist(x,y) for s,t in [0,1]) satisfying the comparison inequality dist(segment(o,x,s),segment(o,y,t))² ≤ (s·d(o,x) − t·d(o,y))² + s·t·(d(x,y)² − (d(o,x) − d(o,y))²), the following filling property holds for every integer n ≥ 2. Let T be an integral n-current on X, that is, a metric current (a multilinear functional on a bounded Lipschitz function and n Lipschitz functions, with locality, continuity and finite mass) that is a countable sum of disjointly supported integer-multiplicity bi-Lipschitz chart pieces and whose boundary has the same properties, and suppose T is compactly supported and a cycle, meaning its boundary is zero. Then there exists a compactly supported integral (n+1)-current S on X whose boundary is T and whose mass satisfies mass(S) ≤ c_n · mass(T)^((n+1)/n), where c_n = 1/((n+1)·(σ_n)^(1/n)), σ_n = (n+1)·ω_{n+1} is the area of the unit n-sphere and ω_{n+1} is the volume of the unit ball in Euclidean (n+1)-space. This is an admitted theorem statement, not a verified proof.

Significance and status

The goal is the CAT(0) integral-current filling inequality. Euclidean coefficient optimality is an additional reference. The manifold perimeter comparison and equality-rigidity statements in the manuscript are not separate attached targets. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

The sharp coefficient must hold without a smooth manifold model, while preserving integrality, compact support and the exact boundary.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

Additional published targets are included as separate references:

  • OAI.SharpIntegralFillings.coefficient_optimal (Open).

Selected references

  • OpenAI, Generalized Cartan–Hadamard isoperimetry and Euclidean equality rigidity, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
4 thms1 active userReviewed
Functional Analysis·Captain: marwahaha

Midpoint convexity from two recursive potentialsOpen Problem

Motivation

Recursive potentials can define tree norms with controlled midpoint behavior. The central question is whether that control forces an asymptotically uniformly convex renorming. The pinned manuscript supplies the research context.

Setting

The encoded constructions include root-sum and zero-root completions, finite tree heads, aggregation spaces and variable-exponent coordinate models. Two least nonnegative potential fields determine the norms.

Formalization target

The selected goal is OAI.ComparatorModel.RecursivePotentials.main. Its central assertion is

δ‾(t)≥t3/128(0<t<1).\overline\delta(t)\geq t^3/128\qquad(0<t<1).δ(t)≥t3/128(0<t<1).

The theorem states (its proof is admitted with sorry) that the defined proposition MainClaim holds. MainClaim asserts that there exist constructions, over index types in universe 0, of the finite rooted tree head structure, the tree-vector spaces, the zero-root tree-vector spaces, the aggregation-vector spaces, and their l^p-coordinate models, such that eleven statements about completions of finite-support vectors on rooted trees hold simultaneously. These comprise: (1) completion statements saying that the root-sum tree space for the sequence tree and for the joined tree, and the zero-root space for the joined tree, are complete, infinite-dimensional, with continuous coordinates extending the vector coordinates, continuous potential fields P and Q extending the finite-tree ones, norm equal to P+Q at the root (or both P and Q at the root in the zero-root case, where the root coordinate vanishes), and with norm-nonincreasing idempotent coordinate projections onto initial subtrees having finite-dimensional range, closed finite-codimensional tails and approximation of tail elements by vectors vanishing on the head, and that XZero and XJoined are reflexive; (2) a main statement giving the lower bound t^3/128 on the averaged modulus of XSigma and XJoined for 0<t<1, a cubic-type uniform convexity inequality (‖x+z‖+‖x-z‖)/2 ≥ ‖x‖+‖z‖^3/(8(2‖x‖+‖z‖)^2) for x supported on a head and z vanishing there, and that no equivalent norm on XSigma, XZero or XJoined has the AUC property (positive modulus at every positive t); (3) positivity of the averaged modulus of XSigma at every positive radius t; (4) a separation statement for XJoined: for each ε>0 there is η in (0,1), equal to min(1/2, logarithmicGamma(2, ε/16)) when ε≤2, such that if ‖x±z_n‖≤1 for all n and the z_n are pairwise at distance at least ε, then ‖x‖≤1-η; (5) properties of the variable-exponent l^2-sum of height-h tree spaces with exponents 1+1/h, namely completeness, reflexivity, separable dual, a root-sum functional ν (nonnegative, definite, subadditive, absolutely homogeneous) bounded above and below by explicit multiples of the l^p norm, dense finitely supported vectors, and finite-rank projections; (6) a recursive characterization of the l^p-model potentials by least pairs, with ν equal to the root P plus Q; (7) for every equivalent norm A on the variable space, the modulus at lower/upper vanishes; (8) the absence of any equivalent AUC norm there; (9) a sixth-power stability inequality and (10) a cubic stability inequality for admissible heads, with explicit constants; and (11) a weak-tail estimate: if x and a weakly null sequence y_j with ‖y_j‖≥ε, 0<ε≤1, satisfy ‖x±y_j‖≤1, then ‖x‖≤θ(ε)<1.

Significance and status

The published MainClaim is an eleven-part package, not only the displayed midpoint inequality. Its additional completion, separation, stability, weak-tail and no-AUC assertions remain part of the goal. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

The bundled target must coordinate completion, continuous coordinate maps, finite-head approximations, reflexivity and uniform estimates across several related spaces.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

The available published material supplies this goal and its necessary definitions. Additional manuscript lemmas are not represented as attached milestones.

Selected references

  • OpenAI, Midpoint convexity from two recursive potentials, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
Functional AnalysisProbability·Captain: marwahaha

Independent products in real L1: asymptotic midpoint convexity without AUC renormingsOpen Problem

Motivation

Independent positive multipliers on a branching tree generate concrete subspaces of real L1. Their asymptotic geometry can distinguish midpoint estimates from AUC renormability. The pinned manuscript supplies the research context.

Setting

A nonconstant positive multiplier has probability law μ, mean one and finite second moment. Path products are multiplied along nonempty prefixes, and their L1 classes generate a closed real span.

Formalization target

The selected goal is OAI.IndependentProducts.main_general. Its central assertion is

dim⁡productSpan⁡(μ)=∞,¬∃ equivalent AUC norm.\dim\operatorname{productSpan}(\mu)=\infty,\qquad\neg\exists\text{ equivalent AUC norm}.dimproductSpan(μ)=∞,¬∃ equivalent AUC norm.

The theorem states that, for any Borel measure μ on ℝ satisfying the multiplier hypotheses, the closed real L¹ span of the path products is infinite-dimensional, and no equivalent norm on it is AUC. The hypotheses say that μ is a probability measure, almost every value is positive, μ is not almost surely equal to any constant, its mean is 1, and the identity function has a finite second moment (is in L²). Vertices are finite lists of positive integers, a sample assigns a real number to each nonroot vertex, and the product measure is the infinite product of independent copies of μ, one per nonroot vertex. The path product of a vertex v multiplies the sample values at the nonempty prefixes of v, and is 1 for the root. productSpan(μ) is the topological closure, in L¹ of the product measure, of the real linear span of the classes equal almost everywhere to some path product. The theorem concludes first that productSpan(μ) is not finite-dimensional over ℝ. Second, for every seminorm N on productSpan(μ) that is an equivalent norm, meaning there are constants 0<a≤b with a‖x‖≤N(x)≤b‖x‖ for all x, N fails the AUC property, which requires that, for every t>0, the one-sided asymptotic modulus of N at t is strictly positive. That modulus is the infimum over N-unit vectors x of the supremum over closed finite-codimension subspaces F of the infimum of N(x+ty)−1 over y in F with N(y)=1. The statement is given as an admitted theorem without proof.

Significance and status

The selected general target asserts infinite dimension and absence of AUC renormings. Specific exponential and Gaussian-square midpoint estimates are separate published targets, retained as additional references. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

The obstruction must work for every admissible multiplier distribution and every equivalent norm, rather than only a particular exponential example.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

Additional published targets are included as separate references:

  • OAI.IndependentProducts.main_exponential (Open).
  • OAI.IndependentProducts.main_gaussian_12 (Open).
  • OAI.IndependentProducts.main_gaussian_24 (Open).

Selected references

  • OpenAI, Independent products in real L1: asymptotic midpoint convexity without AUC renormings, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
5 thms1 active userReviewed
Functional Analysis·Captain: marwahaha

Midpoint convexity from bounded tree potentials and path costsOpen Problem

Motivation

A positive averaged midpoint modulus need not supply a positive one-sided asymptotic modulus. Tree-potential norms give explicit spaces in which to separate those notions. The pinned manuscript supplies the research context.

Setting

Coordinates are finite lists of natural numbers. Tests have bounded prefix potentials, one of the specified quadratic budgets and a budget-dependent support condition; the normed space is completed.

Formalization target

The selected goal is OAI.BoundedTreePotentials.TreeCalculus.main_counterexample. Its central assertion is

δ‾X(t)≥1+t2/4−1(0<t<1).\overline\delta_X(t)\geq\sqrt{1+t^2/4}-1\qquad(0<t<1).δX​(t)≥1+t2/4​−1(0<t<1).

The theorem states that, for every choice of a Boolean flag r (whether the root node, the empty list, is included as a coordinate) and every quadratic kind k among sibling, antichain and global, the following hold for the Banach space X = TestCompletion(treeTestFamily r k). Here nodes are finite lists of natural numbers, the potential of a coefficient function f at a node s is the sum of f over all prefixes of s, and a coefficient function f is a tree test if f vanishes at the root when r is false, every potential satisfies |potential f s| ≤ 1, a quadratic budget holds, and a support condition holds. The budget says that the sum of f(s)² over every admissible finite set B of nodes is at most 1, where admissible means: all of B are children of one common parent (sibling), pairwise prefix-incomparable (antichain), or any finite set (global). The support condition is vacuous for sibling, finite support for antichain, and square-summability for global. The tree test family is the set of such functions on the coordinates, and each finitely supported vector x is given the norm sup over tests f of |Σ x_i f_i|; X is the completion of this normed space. First, X is complete, separable, and not finite-dimensional over ℝ. Second, for every 0 < t < 1, the averaged modulus of X, defined as the infimum over unit vectors x of the supremum over closed finite-codimension subspaces F of the infimum over y in F with ‖y‖ ≥ 1 of (‖x+ty‖+‖x−ty‖)/2 − 1, is at least √(1+t²/4) − 1. Third, for every real normed space Y that is linearly homeomorphic to X, Y does not satisfy IsAUCReal, meaning it is false that the one-sided modulus (defined like the averaged one but with ‖y‖ = 1 and the quantity ‖x+ty‖ − 1) is positive for every t > 0.

Significance and status

The formal statement quantifies over both root flags and all three encoded quadratic kinds. Its claims are completeness, separability, infinite dimension, the stated modulus bound and no linearly equivalent AUC space. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

The lower estimate must coexist with an obstruction to every equivalent AUC norm, not just failure for the original tree norm.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

The available published material supplies this goal and its necessary definitions. Additional manuscript lemmas are not represented as attached milestones.

Selected references

  • OpenAI, Midpoint convexity from bounded tree potentials and path costs, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
Functional Analysis·Captain: marwahaha

A uniformly discrete counterexample to bounded approximation in Lipschitz-free spacesOpen Problem

Motivation

Uniform discreteness places a lower bound on distances between points. The target tests whether that metric simplicity forces uniformly bounded finite-rank approximation in the associated Lipschitz-free space. The pinned manuscript supplies the research context.

Setting

The free space is the closed real span of point evaluations in the dual of Lipschitz functions vanishing at a base point. Approximation and bounded approximation retain their distinct operator-norm quantifiers.

Formalization target

The selected goal is OAI.DiscreteFree.source_endpoints. Its central assertion is

AP(F(M))∧∀Λ≥1, ¬BAPΛ(F(M)).\mathrm{AP}(\mathcal F(M))\quad\land\quad\forall\Lambda\geq1,\ \neg\mathrm{BAP}_\Lambda(\mathcal F(M)).AP(F(M))∧∀Λ≥1, ¬BAPΛ​(F(M)).

The theorem states that two propositions hold together, both about the Lipschitz-free space FreeSpace(o) of a pointed metric space (M,o), which is the closed linear span, inside the dual of the Banach space Lip0(o) of real Lipschitz functions vanishing at o (normed by the supremum of the slopes |f(x)-f(y)|/d(x,y)), of the point evaluations; delta(o,a) denotes the evaluation at a. The first, BlockStatement, says that for every natural number p ≥ 1 there exist a countable metric space M and a base point o with all distinct points at distance at least 1 and all distances at most 300p²+150p+5, together with a finite set A of M containing o, such that every bounded linear operator T on FreeSpace(o) of finite rank and norm at most p moves some delta(o,a) with a in A by at least 1/2, that is ‖T(delta(o,a))-delta(o,a)‖ ≥ 1/2. The second, MainStatement, says there exist a countable metric space M and a point o such that distinct points are at distance at least 1, M is unbounded, M is not a proper space, FreeSpace(o) has the approximation property (finite-rank bounded operators approximate the identity uniformly on every compact set to within any ε>0), and yet for every Λ ≥ 1 FreeSpace(o) fails the bounded approximation property with constant Λ, meaning the approximating finite-rank operators cannot all be chosen with norm at most Λ. The theorem is stated with sorry, so no proof is asserted here.

Significance and status

The selected conjunction includes quantitative block obstructions and an unbounded, nonproper, uniformly discrete example. The quantitative real-ℓ1 renorming target is retained as an additional reference. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

Compact-set approximation must remain possible while every candidate uniform norm bound fails. The finite block obstruction must survive in one countable space.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

Additional published targets are included as separate references:

  • OAI.DiscreteFree.real_l1_quantitative_renorming (Open).

Selected references

  • OpenAI, A uniformly discrete counterexample to bounded approximation in Lipschitz-free spaces, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
4 thms1 active userReviewed
Functional AnalysisProbability·Captain: marwahaha

Nontrivial Markov Type Forces SuperreflexivityOpen Problem

Motivation

Markov type is a metric inequality for the displacement of reversible chains. The target connects this probabilistic control to the possibility of uniformly convex renorming. The pinned manuscript supplies the research context.

Setting

Chains are finite, stationary and reversible. A map sends their states into a complete real normed space, and the inequality compares n-step and one-step pth displacement moments.

Formalization target

The selected goal is OAI.MarkovSuperreflexivity.hasNontrivialMarkovType_iff_hasEquivalentUCNorm. Its central assertion is

Markov type>1⟺equivalent uniformly convex norm.\mathrm{Markov\ type}>1\quad\Longleftrightarrow\quad\mathrm{equivalent\ uniformly\ convex\ norm}.Markov type>1⟺equivalent uniformly convex norm.

The theorem states that for a real normed space X that is complete (a Banach space), X has nontrivial Markov type if and only if X admits an equivalent uniformly convex norm. Nontrivial Markov type means there exist p>1 and K>0 such that for every finite reversible Markov chain on m states {0,…,m−1}, with stationary probability vector π, nonnegative row-stochastic transition matrix P, and detailed balance π(s)P(s,t)=π(t)P(t,s), every map f from the states to X, and every n≥1, the expected value of ‖f(Z_n)−f(Z_0)‖^p along n-step paths, started from π, is at most K^p·n times the corresponding one-step expectation of ‖f(Z_1)−f(Z_0)‖^p. Having an equivalent uniformly convex norm means there is a seminorm q on X and constants a,b>0 with a‖x‖≤q(x)≤b‖x‖ for all x, such that for every ε in (0,2] there is δ>0 with q((x+y)/2)≤1−δ whenever q(x)≤1, q(y)≤1 and q(x−y)≥ε.

Significance and status

The exact target uses uniformly convex norms with two-sided equivalence constants. It is not phrased as a direct uniformly smooth norm construction. The target is currently Open on Prove2Me. The manuscript's mathematical argument and a machine-checked proof of the selected statement are separate deliverables.

Difficulty

The inequality is uniform over all finite chains and state maps, while the conclusion is one norm controlling all vectors of the Banach space.

Formalization scope

The exact published goal, its hypotheses and its referenced definition blocks specify the requested formalization. The explanatory formula above is a summary; all quantifiers and additional clauses in the linked statement remain required.

The available published material supplies this goal and its necessary definitions. Additional manuscript lemmas are not represented as attached milestones.

Selected references

  • OpenAI, Nontrivial Markov Type Forces Superreflexivity, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
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