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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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Campaigns (experimental)

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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.

Block Sensitivity vs. Sensitivity

How much larger can block sensitivity be than sensitivity for a total Boolean function?

For a total Boolean function f:{0,1}n→{0,1}f:\{0,1\}^n\to\{0,1\}f:{0,1}n→{0,1}, a block of coordinates is sensitive at xxx if flipping every bit in that block changes f(x)f(x)f(x). Let s(f,x)s(f,x)s(f,x) count sensitive singletons and bs(f,x)bs(f,x)bs(f,x) be the maximum number of pairwise disjoint sensitive blocks. Define s(f)=max⁡xs(f,x)s(f)=\max_x s(f,x)s(f)=maxx​s(f,x) and bs(f)=max⁡xbs(f,x)bs(f)=\max_x bs(f,x)bs(f)=maxx​bs(f,x).

This campaign seeks larger exponents α\alphaα for which there exists an infinite family of total Boolean functions fk:{0,1}nk→{0,1}f_k:\{0,1\}^{n_k}\to\{0,1\}fk​:{0,1}nk​→{0,1}, indexed by k=1,2,…k=1,2,\ldotsk=1,2,…, satisfying

s(fk)→∞,bs(fk)≥s(fk)α−o(1)as k→∞.s(f_k)\to\infty,\qquad bs(f_k)\ge s(f_k)^{\alpha-o(1)}\quad\text{as }k\to\infty.s(fk​)→∞,bs(fk​)≥s(fk​)α−o(1)as k→∞.

Here o(1)o(1)o(1) denotes a quantity tending to zero as k→∞k\to\inftyk→∞. Higher is better. The classical exponent is 222, and Huang's bound gives a ceiling of 444.

OpenAI's construction achieves an exponent strictly greater than 222.

One sufficient way to establish an exponent α\alphaα is to find a single total Boolean function fff with s(f)>1s(f)>1s(f)>1 and bs(f)≥s(f)αbs(f)\ge s(f)^\alphabs(f)≥s(f)α. Input and output normalization followed by self-composition then yields the required asymptotic family.

≥ 2.131121719190Formalized record→≥ 2.15Open frontier
9 provers on it18 of 19 missions formalized

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.

≥ 3.6 × 10−5Formalized record→≥ 5.1 × 10−5Open frontier
8 provers on it4 of 7 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.

≤ 1.960614Formalized record→≤ 1.9202796Open frontier
4 provers on it7 of 8 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.

≤ 7.101862832357Formalized record→≤ 2Open frontier
17 provers on it8 of 9 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.
≤ 16Formalized record
5 provers on it13 of 13 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.

≤ 23Formalized record→≤ 5Open frontier
38 provers on it15 of 17 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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Functional AnalysisOperations ResearchProbability·Captain: mikedeng1

Conditional Risk Mappings: A Positively Homogeneous Lower Semicontinuous Conditional Risk Mapping Is the Supremum of Countably Many Conditional ExpectationsResearch Paper

Motivation

Risk measures quantify the danger of an uncertain cost XXX by a single number. The axiomatic theory of coherent and convex risk measures (Artzner, Delbaen, Eber and Heath, Coherent measures of risk, 1999; Föllmer and Schied, Convex measures of risk and trading constraints, 2002) is static: the risk is evaluated once, with no information beyond what is known at time zero. Multistage stochastic optimization and dynamic risk management need risk evaluated conditionally: at time 1 part of the uncertainty has been resolved, and the risk of a time-2 cost should be a function of what is known at time 1.

Ruszczyński and Shapiro, in Conditional risk mappings (preprint of February 21, 2004; journal version Mathematics of Operations Research 31(3), 2006), extend their earlier static theory (Optimization of convex risk functions, Math. Oper. Res. 31(3), 2006) to this conditional setting. They define conditional risk mappings by three axioms, derive a pointwise conjugate duality, and show that positively homogeneous conditional risk mappings are, under regularity conditions, suprema of countably many conditional expectations. The last result explains the word conditional: the conditional expectation is the prototype, and every positively homogeneous conditional risk mapping is a worst case over a countable family of them.

Setting

Let Ω\OmegaΩ be a set with σ\sigmaσ-algebras F1⊂F2\mathcal F_1\subset\mathcal F_2F1​⊂F2​; F1\mathcal F_1F1​ is the information available when risk is evaluated. Let X2\mathcal X_2X2​ be a real vector space of F2\mathcal F_2F2​-measurable functions X:Ω→RX:\Omega\to\mathbb RX:Ω→R, and X1⊂X2\mathcal X_1\subset\mathcal X_2X1​⊂X2​ a subspace of F1\mathcal F_1F1​-measurable ones. Let Y2\mathcal Y_2Y2​ be a real vector space of finite signed measures on (Ω,F2)(\Omega,\mathcal F_2)(Ω,F2​) with ∫∣X∣ d∣μ∣<∞\int|X|\,d|\mu|<\infty∫∣X∣d∣μ∣<∞, and pair them by

⟨μ,X⟩=∫ΩX dμ.\langle\mu,X\rangle=\int_\Omega X\,d\mu .⟨μ,X⟩=∫Ω​Xdμ.

Both spaces carry locally convex topologies that are compatible with this pairing: the continuous linear functionals on each space are exactly the pairings with elements of the other. Two standing conditions hold throughout: (C) if μ∈Y2\mu\in\mathcal Y_2μ∈Y2​ is not a nonnegative measure, some nonnegative X∈X2X\in\mathcal X_2X∈X2​ has ⟨μ,X⟩<0\langle\mu,X\rangle<0⟨μ,X⟩<0; (C′) 1B∈X1\mathbb 1_B\in\mathcal X_11B​∈X1​ for every B∈F1B\in\mathcal F_1B∈F1​.

A conditional risk mapping is a map ρ:X2→X1\rho:\mathcal X_2\to\mathcal X_1ρ:X2​→X1​ with, writing ρω(X)=[ρ(X)](ω)\rho_\omega(X)=[\rho(X)](\omega)ρω​(X)=[ρ(X)](ω):

  • (A1) convexity: ρω(tX+(1−t)Y)≤tρω(X)+(1−t)ρω(Y)\rho_\omega(tX+(1-t)Y)\le t\rho_\omega(X)+(1-t)\rho_\omega(Y)ρω​(tX+(1−t)Y)≤tρω​(X)+(1−t)ρω​(Y) for t∈[0,1]t\in[0,1]t∈[0,1];
  • (A2) monotonicity: Y(ω′)≥X(ω′)Y(\omega')\ge X(\omega')Y(ω′)≥X(ω′) for all ω′\omega'ω′ implies ρω(Y)≥ρω(X)\rho_\omega(Y)\ge\rho_\omega(X)ρω​(Y)≥ρω​(X);
  • (A3) translation equivariance: ρ(X+Y)=ρ(X)+Y\rho(X+Y)=\rho(X)+Yρ(X+Y)=ρ(X)+Y for every Y∈X1Y\in\mathcal X_1Y∈X1​.

Costs are minimised: smaller XXX is better. All inequalities hold at every ω∈Ω\omega\in\Omegaω∈Ω, not almost surely. ρ\rhoρ is positively homogeneous if ρ(tX)=tρ(X)\rho(tX)=t\rho(X)ρ(tX)=tρ(X) for t>0t>0t>0, and lower semicontinuous if each ρω\rho_\omegaρω​ is.

The conjugate is ρ∗(μ,ω)=sup⁡X{⟨μ,X⟩−ρω(X)}∈R‾\rho^*(\mu,\omega)=\sup_{X}\{\langle\mu,X\rangle-\rho_\omega(X)\}\in\overline{\mathbb R}ρ∗(μ,ω)=supX​{⟨μ,X⟩−ρω​(X)}∈R and the risk envelope is A(ω)={μ:ρ∗(μ,ω)<∞}\mathcal A(\omega)=\{\mu:\rho^*(\mu,\omega)<\infty\}A(ω)={μ:ρ∗(μ,ω)<∞}. PY2\mathcal P_{\mathcal Y_2}PY2​​ denotes the probability measures in Y2\mathcal Y_2Y2​, and PY2∣F1(ω)\mathcal P_{\mathcal Y_2|\mathcal F_1}(\omega)PY2​∣F1​​(ω) those ν\nuν with ν(B)=1B(ω)\nu(B)=\mathbb 1_B(\omega)ν(B)=1B​(ω) for all B∈F1B\in\mathcal F_1B∈F1​. A map ω↦μω\omega\mapsto\mu_\omegaω↦μω​ is weakly* F1\mathcal F_1F1​-measurable if every ω↦⟨μω,X⟩\omega\mapsto\langle\mu_\omega,X\rangleω↦⟨μω​,X⟩ is F1\mathcal F_1F1​-measurable. For such a selection of A\mathcal AA, the operator [Qμ(ν)](A)=∫μω(A) dν(ω)[\mathbb Q_\mu(\nu)](A)=\int\mu_\omega(A)\,d\nu(\omega)[Qμ​(ν)](A)=∫μω​(A)dν(ω) acts on Y2\mathcal Y_2Y2​. Assumption (K): PY2\mathcal P_{\mathcal Y_2}PY2​​ is compact, and every such Qμ\mathbb Q_\muQμ​ maps PY2\mathcal P_{\mathcal Y_2}PY2​​ into itself with a closed graph. Finally, μ(⋅)\mu(\cdot)μ(⋅) is the conditional probability of ν\nuν given F1\mathcal F_1F1​ if each ω↦μω(A)\omega\mapsto\mu_\omega(A)ω↦μω​(A) is F1\mathcal F_1F1​-measurable and ∫Sμω(A) dν=ν(A∩S)\int_S\mu_\omega(A)\,d\nu=\nu(A\cap S)∫S​μω​(A)dν=ν(A∩S) for S∈F1S\in\mathcal F_1S∈F1​, A∈F2A\in\mathcal F_2A∈F2​; then Eν[X∣F1](ω)=⟨μω,X⟩\mathbb E_\nu[X|\mathcal F_1](\omega)=\langle\mu_\omega,X\rangleEν​[X∣F1​](ω)=⟨μω​,X⟩.

Formalization targets

Goal: Theorem 2 (p. 11)

If X2\mathcal X_2X2​ is separable, (K) holds and ρ\rhoρ is a positively homogeneous, lower semicontinuous conditional risk mapping, then there are probability measures νi∈PY2\nu^i\in\mathcal P_{\mathcal Y_2}νi∈PY2​​, i∈Ni\in\mathbb Ni∈N, with

ρω(X)=sup⁡i∈NEνi[X∣F1](ω)for all X∈X2, ω∈Ω,\rho_\omega(X)=\sup_{i\in\mathbb N}\mathbb E_{\nu^i}[X|\mathcal F_1](\omega)\qquad\text{for all }X\in\mathcal X_2,\ \omega\in\Omega,ρω​(X)=i∈Nsup​Eνi​[X∣F1​](ω)for all X∈X2​, ω∈Ω,

each conditional expectation being the integral against a weakly* F1\mathcal F_1F1​-measurable conditional probability of νi\nu^iνi.

Milestones

  1. dom⁡ρ∗(⋅,ω)⊆PY2∣F1(ω)\operatorname{dom}\rho^*(\cdot,\omega)\subseteq\mathcal P_{\mathcal Y_2|\mathcal F_1}(\omega)domρ∗(⋅,ω)⊆PY2​∣F1​​(ω) (proof of Theorem 1, pp. 5–6).
  2. Theorem 1 (p. 5): ρω(X)=sup⁡μ∈PY2∣F1(ω){⟨μ,X⟩−ρ∗(μ,ω)}\rho_\omega(X)=\sup_{\mu\in\mathcal P_{\mathcal Y_2|\mathcal F_1}(\omega)}\{\langle\mu,X\rangle-\rho^*(\mu,\omega)\}ρω​(X)=supμ∈PY2​∣F1​​(ω)​{⟨μ,X⟩−ρ∗(μ,ω)}, and its converse.
  3. (3.8) (p. 6): for positively homogeneous ρ\rhoρ, ρ∗(⋅,ω)\rho^*(\cdot,\omega)ρ∗(⋅,ω) is the indicator of a closed convex A(ω)\mathcal A(\omega)A(ω) and ρω(X)=sup⁡μ∈A(ω)⟨μ,X⟩\rho_\omega(X)=\sup_{\mu\in\mathcal A(\omega)}\langle\mu,X\rangleρω​(X)=supμ∈A(ω)​⟨μ,X⟩.
  4. Lemma 1 (p. 11): for separable X2\mathcal X_2X2​, countably many weakly* measurable selections of A\mathcal AA suffice.
  5. Under (K), each Qμ\mathbb Q_\muQμ​ has a fixed point in PY2\mathcal P_{\mathcal Y_2}PY2​​ (p. 10).
  6. Proposition 3 (p. 9): a fixed point νˉ\bar\nuνˉ of Qμ\mathbb Q_\muQμ​ has μ\muμ as its conditional probability given F1\mathcal F_1F1​.

Corollary 1 (p. 10, singleton envelopes give a conditional expectation) and Proposition 2 (p. 7, ρ(YX)=Yρ(X)\rho(YX)=Y\rho(X)ρ(YX)=Yρ(X) for nonnegative F1\mathcal F_1F1​-step functions YYY) are included as further statements.

Significance

Theorem 2 identifies the positively homogeneous conditional risk mappings with suprema of conditional expectations. It is the conditional analogue of the representation of a coherent risk measure as a worst-case expectation over a set of probability measures. It shows that the axioms (A1)–(A3), stated at every ω\omegaω, are the right abstraction of "conditional": nothing beyond conditional expectations and a supremum is needed to generate them. Theorem 1, the pointwise duality on which it rests, is what makes conditional risk mappings usable in multistage problems. Its envelope form (3.8) is what the paper's composition results and dynamic programming equations in §5–§7 manipulate.

The results are proved in the paper, partly by reference: the duality of Theorem 1 by applying the authors' earlier unconditional theorem "verbatim" at each ω\omegaω, Lemma 1 through a measurable-selection theorem, and Theorem 2 through Kakutani's fixed-point theorem. None of them is formalized. A formalization would check these deferred steps. In particular the passage, in the proof of Lemma 1, from a dense subset of X2\mathcal X_2X2​ to all of X2\mathcal X_2X2​ uses only lower semicontinuity of ρω\rho_\omegaρω​, and whether that suffices in every separable paired space is open to scrutiny.

Difficulty

Theorem 1 needs the Fenchel–Moreau theorem in a general locally convex space, paired through integrals against signed measures. Mathlib's convex duality is mostly finite-dimensional or normed, and the extended-real bookkeeping of conjugates is delicate. The main obstacle is Lemma 1. The envelope A(ω)\mathcal A(\omega)A(ω) can be uncountable, and choosing countably many selections that are simultaneously measurable in ω\omegaω and exhaust the supremum for every XXX requires a measurable-selection theorem for multifunctions with values in Y2\mathcal Y_2Y2​, a space that need not be metrizable. The obvious argument fixes a dense sequence XnX_nXn​, picks ε\varepsilonε-optimal measures for each XnX_nXn​, and passes to general XXX by semicontinuity. As written, that last step appears to need more than the proof supplies: approximation of ⟨μ,X⟩\langle\mu,X\rangle⟨μ,X⟩ by ⟨μ,Xn⟩\langle\mu,X_n\rangle⟨μ,Xn​⟩ uniformly over the chosen μ\muμ needs more than lower semicontinuity of ρω\rho_\omegaρω​. The fixed-point step needs a Kakutani-type theorem in a locally convex space, which Mathlib does not provide.

Formalization scope

X2\mathcal X_2X2​ and Y2\mathcal Y_2Y2​ are abstract real vector spaces with their own topologies (instances of IsTopologicalAddGroup, ContinuousSMul ℝ, LocallyConvexSpace ℝ), realised by injective linear maps into Ω→R\Omega\to\mathbb RΩ→R and into Mathlib's SignedMeasure Ω. They are not subspaces of Ω→R\Omega\to\mathbb RΩ→R with the pointwise topology. The ambient MeasurableSpace Ω is F2\mathcal F_2F2​; F1≤F2\mathcal F_1\le\mathcal F_2F1​≤F2​ is a structure field. The pairing is ∫X dμ+−∫X dμ−\int X\,d\mu^+-\int X\,d\mu^-∫Xdμ+−∫Xdμ−, and integrability against ∣μ∣|\mu|∣μ∣ is a field, so no integral takes a junk value. Compatibility includes continuity of both pairings as well as the representation of continuous functionals. The paper's space Y1\mathcal Y_1Y1​ is not modelled; no statement uses it.

Committed conventions:

  • every statement holds at every ω\omegaω; there are no a.e. classes;
  • the conjugate and the supremum in (3.6) are in EReal;
  • suprema of real numbers ((3.8), (4.7), (4.9)) are least upper bounds (IsLUB), never sSup on R\mathbb RR;
  • (K) is taken in its closed-graph form and quantifies over every weakly* measurable selection;
  • separability is that of the topology of X2\mathcal X_2X2​.

Two hypotheses are added where the page relies on them implicitly. Ω\OmegaΩ is nonempty in the goal, Corollary 1 and the fixed-point milestone. 1A∈X2\mathbb 1_A\in\mathcal X_21A​∈X2​ for every A∈F2A\in\mathcal F_2A∈F2​ is assumed in the goal, Proposition 3 and Corollary 1, because the paper derives measurability of ω↦μω(A)\omega\mapsto\mu_\omega(A)ω↦μω​(A) from weak* measurability.

The goal cannot be satisfied by an almost-everywhere version of a conditional expectation chosen separately for each XXX, which would allow ρ\rhoρ itself as a "version". Each Eνi[⋅∣F1]\mathbb E_{\nu^i}[\cdot|\mathcal F_1]Eνi​[⋅∣F1​] is integration against one kernel κi\kappa^iκi that is a conditional probability of νi\nu^iνi. The goal mentions no selection, fixed point or Kakutani; Qμ\mathbb Q_\muQμ​ appears only inside (K).

Contributions are welcome on all of the following:

  • Fenchel–Moreau duality for paired locally convex spaces;
  • measurable selections of weakly* measurable multifunctions;
  • a Kakutani–Fan–Glicksberg or Schauder–Tychonoff fixed-point theorem.

All three are reusable beyond this mission.

Selected references

  • A. Ruszczyński, A. Shapiro, Conditional risk mappings, preprint dated February 21, 2004; Mathematics of Operations Research 31(3):544–561, 2006. https://doi.org/10.1287/moor.1060.0204
  • A. Ruszczyński, A. Shapiro, Optimization of convex risk functions, Mathematics of Operations Research 31(3):433–452, 2006. https://doi.org/10.1287/moor.1050.0186
  • P. Artzner, F. Delbaen, J.-M. Eber, D. Heath, Coherent measures of risk, Mathematical Finance 9(3):203–228, 1999. https://doi.org/10.1111/1467-9965.00068
  • H. Föllmer, A. Schied, Convex measures of risk and trading constraints, Finance and Stochastics 6(4):429–447, 2002. https://doi.org/10.1007/s007800200072
  • P. Billingsley, Probability and Measure, 3rd ed., Wiley, 1995 (conditional probability, pp. 430–431).
8 thms1 active userReviewed
Functional AnalysisProbabilityStochastic Systems·Captain: mikedeng1

Affine Processes on Positive Semidefinite Matrices II: Every Admissible Parameter Set Determines a Unique Affine Process on the PSD Cone with Generator (2.12)Research Paper

Motivation

Stochastic models of covariance matrices need processes that stay in the cone of positive semidefinite matrices. Wishart processes (Bru, 1991) and their extensions underlie multivariate stochastic-volatility and term-structure models in finance (see §1 of Cuchiero et al. for the literature). They are used because their Laplace transforms are explicit: they are exponential-affine in the initial state, and their exponents solve matrix Riccati equations. Cuchiero, Filipović, Mayerhofer and Teichmann (arXiv:0910.0137, Ann. Appl. Probab. 2011) classify all such affine processes on the cone. Theorem 2.4 of that paper says that affine processes on Sd+S_d^+Sd+​ correspond one-to-one to admissible parameter sets. This mission formalizes the converse direction of that correspondence: every admissible parameter set is realized by exactly one affine process.

Timeline:

  • Bru (1991, MR1132135) constructs Wishart processes for specific parameters.
  • Duffie, Filipović and Schachermayer (Ann. Appl. Probab. 2003, MR1994043) characterize affine processes on the canonical state space R+m×Rn\mathbb R_+^m\times\mathbb R^nR+m​×Rn, with existence through the martingale problem.
  • Cuchiero et al. (2011) give the full characterization on Sd+S_d^+Sd+​. The necessity of admissibility and the existence-and-uniqueness converse are proved in separate sections (§4 and §5).

Setting

Let SdS_dSd​ be the real symmetric d×dd\times dd×d matrices with ⟨x,y⟩=Tr⁡(xy)\langle x,y\rangle=\operatorname{Tr}(xy)⟨x,y⟩=Tr(xy), let Sd+S_d^+Sd+​ be the positive semidefinite cone, and let Sd++S_d^{++}Sd++​ be its interior. Write x⪯yx\preceq yx⪯y when y−x∈Sd+y-x\in S_d^+y−x∈Sd+​. A time-homogeneous, possibly killed Markov process on Sd+S_d^+Sd+​ with transition kernels pt(x,dξ)p_t(x,d\xi)pt​(x,dξ) is affine if it is stochastically continuous and

∫Sd+e−⟨u,ξ⟩pt(x,dξ)=e−φ(t,u)−⟨ψ(t,u),x⟩,t≥0, u,x∈Sd+,\int_{S_d^+}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^+,∫Sd+​​e−⟨u,ξ⟩pt​(x,dξ)=e−φ(t,u)−⟨ψ(t,u),x⟩,t≥0, u,x∈Sd+​,

for functions φ≥0\varphi\ge0φ≥0 and ψ∈Sd+\psi\in S_d^+ψ∈Sd+​.

An 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) (Definition 2.3) consists of the following:

  • a diffusion matrix α∈Sd+\alpha\in S_d^+α∈Sd+​;
  • a drift b⪰(d−1)αb\succeq(d-1)\alphab⪰(d−1)α;
  • killing rates c≥0c\ge0c≥0 and γ∈Sd+\gamma\in S_d^+γ∈Sd+​;
  • a jump measure mmm with ∫(∥ξ∥∧1) m(dξ)<∞\int(\|\xi\|\wedge1)\,m(d\xi)<\infty∫(∥ξ∥∧1)m(dξ)<∞;
  • a matrix of finite measures μ\muμ, which gives the state-dependent jump kernel M(x,dξ)=⟨x,μ(dξ)⟩/(∥ξ∥2∧1)M(x,d\xi)=\langle x,\mu(d\xi)\rangle/(\|\xi\|^2\wedge1)M(x,dξ)=⟨x,μ(dξ)⟩/(∥ξ∥2∧1);
  • linear drift coefficients βij\beta^{ij}βij, with the inward-pointing conditions (2.9) and (2.11) on ∂Sd+\partial S_d^+∂Sd+​.

These data define the operator (2.12),

Af(x)=12∑Aijkl(x)∂ij,kl2f+∑(bij+Bij(x))∂ijf−(c+⟨γ,x⟩)f+∫(f(x+ξ)−f(x))m(dξ)+∫(f(x+ξ)−f(x)−⟨χ(ξ),∇f⟩)M(x,dξ),\mathcal Af(x)=\tfrac12\sum A_{ijkl}(x)\partial^2_{ij,kl}f+\sum(b_{ij}+B_{ij}(x))\partial_{ij}f-(c+\langle\gamma,x\rangle)f+\int(f(x+\xi)-f(x))m(d\xi)+\int(f(x+\xi)-f(x)-\langle\chi(\xi),\nabla f\rangle)M(x,d\xi),Af(x)=21​∑Aijkl​(x)∂ij,kl2​f+∑(bij​+Bij​(x))∂ij​f−(c+⟨γ,x⟩)f+∫(f(x+ξ)−f(x))m(dξ)+∫(f(x+ξ)−f(x)−⟨χ(ξ),∇f⟩)M(x,dξ),

with Aijkl(x)=xikαjl+xilαjk+xjkαil+xjlαikA_{ijkl}(x)=x_{ik}\alpha_{jl}+x_{il}\alpha_{jk}+x_{jk}\alpha_{il}+x_{jl}\alpha_{ik}Aijkl​(x)=xik​αjl​+xil​αjk​+xjk​αil​+xjl​αik​. They also define the functions F(u)F(u)F(u) and R(u)R(u)R(u) of (2.16)–(2.17), which drive the generalized Riccati equations ∂tφ=F(ψ)\partial_t\varphi=F(\psi)∂t​φ=F(ψ), φ(0,u)=0\varphi(0,u)=0φ(0,u)=0 and ∂tψ=R(ψ)\partial_t\psi=R(\psi)∂t​ψ=R(ψ), ψ(0,u)=u\psi(0,u)=uψ(0,u)=u.

Formalization targets

Goal: Theorem 2.4, second part (= Proposition 5.9)

For every admissible parameter set there is a transition family (pt)(p_t)(pt​) and there are exponents (φ,ψ)(\varphi,\psi)(φ,ψ) such that:

(i) p is affine with exponents (φ,ψ);(ii) S+⊂D(Ap), Apf=(2.12);(iii) (φ,ψ) solves (2.14)–(2.15);\text{(i) } p \text{ is affine with exponents } (\varphi,\psi);\quad\text{(ii) } \mathcal S_+\subset D(\mathcal A_p),\ \mathcal A_pf=\text{(2.12)};\quad\text{(iii) } (\varphi,\psi) \text{ solves (2.14)–(2.15)};(i) p is affine with exponents (φ,ψ);(ii) S+​⊂D(Ap​), Ap​f=(2.12);(iii) (φ,ψ) solves (2.14)–(2.15); (iv) every affine p′ whose generator equals (2.12) on S+ satisfies pt′=pt for t≥0.\text{(iv) every affine } p' \text{ whose generator equals (2.12) on } \mathcal S_+ \text{ satisfies } p'_t=p_t \text{ for } t\ge0.(iv) every affine p′ whose generator equals (2.12) on S+​ satisfies pt′​=pt​ for t≥0.

Milestones, in attack order

  1. Theorem 4.8: a comparison theorem for matrix ODEs whose vector field is quasi-monotone increasing (Volkmann).
  2. Lemma 5.1: RRR is analytic on Sd++S_d^{++}Sd++​ and quasi-monotone increasing on Sd+S_d^+Sd+​.
  3. Lemma 5.2: the growth bound ⟨u,R(u)⟩≤K2(∥u∥2+1)\langle u,R(u)\rangle\le\frac K2(\|u\|^2+1)⟨u,R(u)⟩≤2K​(∥u∥2+1).
  4. Proposition 5.3: unique global R+×Sd++\mathbb R_+\times S_d^{++}R+​×Sd++​-valued Riccati solutions, analytic in (t,u)(t,u)(t,u).
  5. Lemma 5.5: the regularized operators Aε,δ,n\mathcal A^{\varepsilon,\delta,n}Aε,δ,n converge to A\mathcal AA uniformly on S+\mathcal S_+S+​.
  6. Lemma 5.7 (second part): the boundary condition ⟨b−12∑Dσklσkl,u⟩≥0\langle b-\frac12\sum D\sigma^{kl}\sigma^{kl},u\rangle\ge0⟨b−21​∑Dσklσkl,u⟩≥0 on ∂Sd+\partial S_d^+∂Sd+​.
  7. Lemma 5.6: the regularized martingale problems have Sd+S_d^+Sd+​-valued càdlàg solutions.
  8. Lemma 5.8: the martingale problem for A\mathcal AA has an Sd+∪{Δ}S_d^+\cup\{\Delta\}Sd+​∪{Δ}-valued càdlàg solution.

Significance

Together with the necessity direction (companion mission I in this series), the goal makes admissibility an exact characterization. Every admissible parameter set, including those with jumps of infinite activity and state-dependent killing, defines a well-posed Markov model on Sd+S_d^+Sd+​. Its Laplace transform is then given by the Riccati flow, which is what makes the model computationally tractable. The intermediate results are reusable on their own:

  • the matrix comparison theorem applies to any ODE on symmetric matrices;
  • the Riccati well-posedness on Sd++S_d^{++}Sd++​ holds for vector fields that need not be Lipschitz at ∂Sd+\partial S_d^+∂Sd+​;
  • the martingale-problem framework on a one-point compactification is used beyond this paper.

The theorem is proved in the paper; it is not formalized anywhere. No formal library contains affine processes, generalized Riccati equations on matrix cones, quasi-monotone comparison theorems or martingale problems with jumps. Formalizing them requires all of that infrastructure.

Difficulty

The obvious route is to solve the Riccati equation (2.15) on Sd+S_d^+Sd+​ by Picard iteration and to show invariance of the cone from the inward-pointing condition. That route fails because RRR need not be Lipschitz at ∂Sd+\partial S_d^+∂Sd+​: the integral term can have unbounded derivative there (Remark 5.4). Standard invariance theorems therefore do not apply. Instead, quasi-monotonicity keeps the solution away from the boundary.

The obvious construction of the process is also blocked. Stroock's existence and uniqueness theory for martingale problems needs Rn\mathbb R^nRn and a uniformly elliptic diffusion part, and neither holds on the cone, where the diffusion degenerates at the boundary. Existence must go through regularized operators with bounded smooth coefficients, then tightness in the Skorokhod space of Sd+∪{Δ}S_d^+\cup\{\Delta\}Sd+​∪{Δ} and a limit. Uniqueness in law comes from the Riccati solutions. The killing terms ccc and γ\gammaγ are added last.

Formalization scope

Conventions committed to in Lean:

  • MdM_dMd​ is the function type Fin d → Fin d → ℝ, with ⟨x,y⟩=∑ijxijyji\langle x,y\rangle=\sum_{ij}x_{ij}y_{ji}⟨x,y⟩=∑ij​xij​yji​ and its norm.
  • Sd+S_d^+Sd+​ is the subtype of positive semidefinite matrices, with the subspace topology and Borel structure.
  • Partial derivatives ∂/∂xij\partial/\partial x_{ij}∂/∂xij​ are taken in the symmetrized directions 12(Eij+Eji)\tfrac12(E^{ij}+E^{ji})21​(Eij+Eji).
  • The matrix measure μ\muμ is encoded as H dνH\,d\nuHdν with a finite measure ν\nuν and a positive semidefinite density HHH. This encoding is equivalent; take ν=∑iμii\nu=\sum_i\mu_{ii}ν=∑i​μii​.
  • The test space S+\mathcal S_+S+​ is represented by Schwartz functions on MdM_dMd​, restricted to the cone. The generator is the uniform limit of (Ptf−f)/t(P_tf-f)/t(Pt​f−f)/t.
  • Transition families are indexed by t∈Rt\in\mathbb Rt∈R, and only t≥0t\ge0t≥0 enters. Uniqueness is equality for t≥0t\ge0t≥0, never ∃!.
  • Analyticity on Sd++S_d^{++}Sd++​ is analyticity of y↦G((y+y⊤)/2)y\mapsto G((y+y^\top)/2)y↦G((y+y⊤)/2) on an open subset of MdM_dMd​.
  • Martingale problems carry an existentially quantified probability space, the natural filtration and càdlàg paths (the platform predicate EthierKurtz.HasCadlagPaths).
  • The cut-offs ϕn\phi_nϕn​ and ηε\eta_\varepsilonηε​ of §5.2 are arbitrary functions with the properties the paper lists. The paper fixes some and uses only those properties.
  • The case condition of (5.7) is tested on ϕn(x)x\phi_n(x)xϕn​(x)x, the argument of ηε\eta_\varepsilonηε​, rather than on xxx as printed. The printed reading makes sε,ns_{\varepsilon,n}sε,n​ discontinuous off Sd+S_d^+Sd+​, which contradicts the paper's claim sε,n∈Cb∞(Sd,Sd)s_{\varepsilon,n}\in C_b^\infty(S_d,S_d)sε,n​∈Cb∞​(Sd​,Sd​). The two readings agree on Sd+S_d^+Sd+​.
  • In Theorem 4.8, "locally Lipschitz" is read as Lipschitz in the state variable, locally uniformly in time. This is weaker than joint local Lipschitz continuity in (t,x)(t,x)(t,x).
  • Every statement that contains one of the integrals of (2.12), (2.16), (2.17) or (5.10) also asserts that its integrand is integrable.
  • Hypotheses not present on the page: none. Lemmas 5.1 and 5.2 assume less than the section's standing assumptions (not the drift condition (2.4)).

Trivializing formalizations are excluded:

  • Lean's value 000 for a non-integrable integral is ruled out by the integrability conclusions.
  • A pointwise generator would be weaker than the paper's notion, so the generator is the uniform limit.
  • An ∃! over transition families would be false at negative times, so uniqueness is stated for t≥0t\ge0t≥0.
  • A martingale problem is not posed for a fixed probability space, and X0=xX_0=xX0​=x is required almost surely.

Needed infrastructure, reusable beyond this mission: matrix calculus on SdS_dSd​ (square roots, spectral derivatives), comparison theorems for quasi-monotone ODEs, analytic dependence of ODE solutions, tightness in Skorokhod space, and martingale problems on locally compact spaces. Contributions are welcome at any of these levels, as are alternative proofs of the milestones.

Selected references

  • C. Cuchiero, D. Filipović, E. Mayerhofer, J. Teichmann, Affine processes on positive semidefinite matrices, Ann. Appl. Probab. 21 (2011) 397–463; cited from arXiv:0910.0137v3. https://arxiv.org/abs/0910.0137v3
  • D. Duffie, D. Filipović, W. Schachermayer, Affine processes and applications in finance, Ann. Appl. Probab. 13 (2003) 984–1053. https://mathscinet.ams.org/mathscinet-getitem?mr=1994043
  • M.-F. Bru, Wishart processes, J. Theoret. Probab. 4 (1991) 725–751. https://mathscinet.ams.org/mathscinet-getitem?mr=1132135
  • S. N. Ethier, T. G. Kurtz, Markov Processes: Characterization and Convergence, Wiley, New York, 1986. https://mathscinet.ams.org/mathscinet-getitem?mr=0838085
  • P. Volkmann, Über die Invarianz konvexer Mengen und Differentialungleichungen in einem normierten Raume, Math. Ann. 203 (1973) 201–210. https://mathscinet.ams.org/mathscinet-getitem?mr=0322305
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Machine LearningProbabilityStatistics·Captain: mikedeng1

Nuclear-Norm Penalization and Optimal Rates for Noisy Low-Rank Matrix Completion 5: With Gaussian Noise and λ = 3b√2 σ√(log p/n), the Lasso Satisfies a Sharp Sparsity Oracle InequalityResearch Paper

Motivation

The Lasso is the standard estimator for high-dimensional linear regression: from nnn noisy linear measurements of an unknown vector β∗∈Rp\beta^*\in\mathbb R^pβ∗∈Rp, with ppp possibly much larger than nnn, it minimizes the empirical squared error plus an ℓ1\ell_1ℓ1​ penalty. Its theoretical guarantees are usually stated as sparsity oracle inequalities: the prediction error of the Lasso is bounded by the best trade-off, over all candidate vectors β\betaβ, between the approximation error of β\betaβ and a term proportional to the number of nonzero components of β\betaβ.

Before this paper, such inequalities for the Lasso carried a leading constant strictly larger than 111 in front of the approximation error. The inequalities of Bunea, Tsybakov and Wegkamp (EJS 2007) and of Bickel, Ritov and Tsybakov (Ann. Statist. 2009, Theorem 6.1) have this form, and the paper notes that sharpness "was not achieved in the previous work on the Lasso" (p. 24). A leading constant larger than 111 means the bound is not informative when the true regression function is far from every sparse linear combination: the inequality then only says that the Lasso is within a constant factor of the best approximation.

Koltchinskii, Lounici and Tsybakov (arXiv:1011.6256v4; Ann. Statist. 39(5), 2011) study nuclear-norm penalized estimation of low-rank matrices in the trace regression model. Their general oracle inequality for a linear subspace of matrices (Theorem 2) has leading constant 111. Restricted to diagonal matrices with a fixed design, the trace regression model becomes ordinary linear regression and the estimator becomes the Lasso. Section 5.4 of the paper draws the consequence: a sharp (leading constant 111) sparsity oracle inequality for the Lasso with Gaussian noise, Theorem 14. This mission formalizes that theorem. The source is the arXiv preprint arXiv:1011.6256v4.

Setting

Fix integers n≥1n\ge1n≥1 and p≥2p\ge2p≥2 and fixed vectors x1,…,xn∈Rpx_1,\dots,x_n\in\mathbb R^px1​,…,xn​∈Rp, the rows of the design matrix X=(x1,…,xn)⊤∈Rn×p\mathbb X=(x_1,\dots,x_n)^\top\in\mathbb R^{n\times p}X=(x1​,…,xn​)⊤∈Rn×p. The diagonal elements of the Gram matrix 1nX⊤X\frac1n\mathbb X^\top\mathbb Xn1​X⊤X are assumed not larger than 111. The observations are

Yi=xi⊤β∗+ξi,i=1,…,n,Y_i = x_i^\top\beta^*+\xi_i,\qquad i=1,\dots,n,Yi​=xi⊤​β∗+ξi​,i=1,…,n,

with ξ1,…,ξn\xi_1,\dots,\xi_nξ1​,…,ξn​ independent N(0,σ2)\mathcal N(0,\sigma^2)N(0,σ2) random variables, σ>0\sigma>0σ>0.

For z∈Rdz\in\mathbb R^dz∈Rd, ∣z∣1=∑j∣z(j)∣|z|_1=\sum_j|z(j)|∣z∣1​=∑j​∣z(j)∣, ∣z∣2=(∑jz(j)2)1/2|z|_2=(\sum_jz(j)^2)^{1/2}∣z∣2​=(∑j​z(j)2)1/2 and ∣z∣∞=max⁡j∣z(j)∣|z|_\infty=\max_j|z(j)|∣z∣∞​=maxj​∣z(j)∣. For J⊆{1,…,p}J\subseteq\{1,\dots,p\}J⊆{1,…,p}, uJu_JuJ​ agrees with uuu on JJJ and vanishes on JcJ^cJc. The support of β\betaβ is J(β)={j:β(j)≠0}J(\beta)=\{j:\beta(j)\neq0\}J(β)={j:β(j)=0} and the sparsity M(β)M(\beta)M(β) is its cardinality.

Given λ>0\lambda>0λ>0, a Lasso estimator is any minimizer

β^λ∈arg⁡min⁡β∈Rp{1n∑i=1n(Yi−xi⊤β)2+λ∣β∣1}.\hat\beta^\lambda\in\arg\min_{\beta\in\mathbb R^p}\Big\{\frac1n\sum_{i=1}^n(Y_i-x_i^\top\beta)^2+\lambda|\beta|_1\Big\}.β^​λ∈argβ∈Rpmin​{n1​i=1∑n​(Yi​−xi⊤​β)2+λ∣β∣1​}.

The restricted constant at β\betaβ, with J=J(β)J=J(\beta)J=J(β) and c0≥0c_0\ge0c0​≥0, is

μc0(β)=inf⁡{μ′>0: ∣uJ∣2≤μ′ n−1/2∣Xu∣2  for all u∈Rp with ∣uJc∣1≤c0∣uJ∣1},\mu_{c_0}(\beta)=\inf\Big\{\mu'>0:\ |u_J|_2\le\mu'\,n^{-1/2}|\mathbb Xu|_2\ \text{ for all } u\in\mathbb R^p \text{ with } |u_{J^c}|_1\le c_0|u_J|_1\Big\},μc0​​(β)=inf{μ′>0: ∣uJ​∣2​≤μ′n−1/2∣Xu∣2​  for all u∈Rp with ∣uJc​∣1​≤c0​∣uJ​∣1​},

equal to +∞+\infty+∞ when the set is empty, and μ(β)=μ5(β)\mu(\beta)=\mu_5(\beta)μ(β)=μ5​(β). It is the inverse of a restricted eigenvalue computed at the single support J(β)J(\beta)J(β); the paper obtains it from its matrix quantity μc0(A)\mu_{c_0}(A)μc0​​(A) for A=diag⁡βA=\operatorname{diag}\betaA=diagβ. Finally M=1n∑iξixi\mathbf M=\frac1n\sum_i\xi_ix_iM=n1​∑i​ξi​xi​ is the noise vector.

Formalization targets

Goal: Theorem 14 (p. 25)

Let λ=Cσlog⁡p/n\lambda=C\sigma\sqrt{\log p/n}λ=Cσlogp/n​ with C=3b2C=3b\sqrt2C=3b2​, b≥1b\ge1b≥1. With probability at least 1−1pb2−1πlog⁡p1-\frac{1}{p^{b^2-1}\sqrt{\pi\log p}}1−pb2−1πlogp​1​,

1n∣X(β^λ−β∗)∣22≤inf⁡β∈Rp{1n∣X(β−β∗)∣22+C2σ2μ2(β)M(β)log⁡pn}.\frac1n|\mathbb X(\hat\beta^\lambda-\beta^*)|_2^2\le\inf_{\beta\in\mathbb R^p}\Big\{\frac1n|\mathbb X(\beta-\beta^*)|_2^2+C^2\sigma^2\frac{\mu^2(\beta)M(\beta)\log p}{n}\Big\}.n1​∣X(β^​λ−β∗)∣22​≤β∈Rpinf​{n1​∣X(β−β∗)∣22​+C2σ2nμ2(β)M(β)logp​}.

The event is uniform over all β\betaβ, and the statement holds for every Lasso minimizer.

Milestones

  1. The cone step ((2.20)–(2.22), p. 11, diagonal case): if λ≥3∥M∥∞\lambda\ge3\|\mathbf M\|_\inftyλ≥3∥M∥∞​ and ⟨β^−β∗,β^−β⟩L2(Π)>0\langle\hat\beta-\beta^*,\hat\beta-\beta\rangle_{L_2(\Pi)}>0⟨β^​−β∗,β^​−β⟩L2​(Π)​>0, then ∣(β^−β)Jc∣1≤5∣(β^−β)J∣1|(\hat\beta-\beta)_{J^c}|_1\le5|(\hat\beta-\beta)_J|_1∣(β^​−β)Jc​∣1​≤5∣(β^​−β)J​∣1​ for J=J(β)J=J(\beta)J=J(β).
  2. Theorem 2 for the Lasso (p. 11 with pp. 11–12, 24–26): deterministically, if λ≥3∥M∥∞\lambda\ge3\|\mathbf M\|_\inftyλ≥3∥M∥∞​,
1n∣X(β^λ−β∗)∣22≤inf⁡β[1n∣X(β−β∗)∣22+λ2μ2(β)M(β)].\frac1n|\mathbb X(\hat\beta^\lambda-\beta^*)|_2^2\le\inf_{\beta}\Big[\frac1n|\mathbb X(\beta-\beta^*)|_2^2+\lambda^2\mu^2(\beta)M(\beta)\Big].n1​∣X(β^​λ−β∗)∣22​≤βinf​[n1​∣X(β−β∗)∣22​+λ2μ2(β)M(β)].
  1. The Gaussian tail bound (proof of Theorem 14, p. 25): P(∣N∣>z)≤2/π e−z2/2/zP(|N|>z)\le\sqrt{2/\pi}\,e^{-z^2/2}/zP(∣N∣>z)≤2/π​e−z2/2/z for N∼N(0,1)N\sim\mathcal N(0,1)N∼N(0,1), z>0z>0z>0.
  2. The noise bound (proof of Theorem 14, p. 25): with probability at least 1−1pb2−1πlog⁡p1-\frac{1}{p^{b^2-1}\sqrt{\pi\log p}}1−pb2−1πlogp​1​, ∥M∥∞≤bσ2log⁡p/n\|\mathbf M\|_\infty\le b\sigma\sqrt{2\log p/n}∥M∥∞​≤bσ2logp/n​.

Significance

Theorem 14 gives an oracle inequality for the Lasso whose leading constant is exactly 111. As a consequence (Corollary 4 of the paper), under the restricted eigenvalue condition RE(s,5)(s,5)(s,5) of Bickel, Ritov and Tsybakov the Lasso's prediction error is at most the best sss-sparse approximation error plus C2σ2M(β)log⁡p/(nκ2(s,5))C^2\sigma^2M(\beta)\log p/(n\kappa^2(s,5))C2σ2M(β)logp/(nκ2(s,5)), which improves the non-sharp inequality of that paper. The bound also shows that the matrix-valued argument of the paper, written for nuclear-norm penalization, specializes cleanly to the vector case; the same argument underlies the matrix completion results of the other missions of this series.

The result is proved in the paper. As far as a search of the platform shows, no formal proof of a sharp oracle inequality for the Lasso exists; the platform has the non-sharp Bickel–Ritov–Tsybakov inequality as an open statement (LassoDantzig.Oracle.theorem_6_1). This mission produces a machine-checked version of the deterministic inequality, of the Gaussian concentration step, and of their combination, with the restricted constant defined exactly as in the paper.

Difficulty

The deterministic part is where the obvious argument fails. The usual Lasso analysis compares the objective at β^\hat\betaβ^​ and at a candidate β\betaβ, controls the noise cross term, and rearranges; every version of that argument in the earlier literature loses a multiplicative factor in front of the approximation error 1n∣X(β−β∗)∣22\frac1n|\mathbb X(\beta-\beta^*)|_2^2n1​∣X(β−β∗)∣22​, and the factor cannot be pushed to 111 by tuning constants. The sharp bound has to come from a finer use of the optimality of β^\hat\betaβ^​, and the cone constant 555 in μ(β)=μ5(β)\mu(\beta)=\mu_5(\beta)μ(β)=μ5​(β) is tied to the threshold λ≥3∥M∥∞\lambda\ge3\|\mathbf M\|_\inftyλ≥3∥M∥∞​. Formally, optimality conditions for a nonsmooth convex function on Rp\mathbb R^pRp (the subdifferential of ∣⋅∣1|\cdot|_1∣⋅∣1​) are infrastructure that has to be in place.

The probabilistic part needs the distribution of a linear combination of independent Gaussians, a Mills-ratio tail bound that is not in Mathlib, and a union bound over ppp coordinates, with the exact constants of the paper.

Formalization scope

Vectors are functions Fin p → ℝ, and the design is given by its rows x i : Fin p → ℝ. All statements are in vector form, as the paper itself writes Section 5.4; no matrix library is needed. The Lasso is an argmin predicate, and statements hold for every minimizer; in the goal, β^\hat\betaβ^​ is a function of the outcome that is a minimizer at every outcome, and no measurability of β^\hat\betaβ^​ is assumed (the bad event is bounded in outer measure).

The restricted constant is formalized through its witnesses: the theorems hold for every μ′\mu'μ′ in the set whose infimum is μ(β)\mu(\beta)μ(β). This is equivalent to the infimum, because the bounds are continuous and increasing in μ′\mu'μ′. A real-valued infimum would be 000 on an empty set and would make the oracle inequality false, so it is deliberately not used. The infimum over β\betaβ is stated as "for every β\betaβ", inside the event.

Hypotheses added relative to the page, each disclosed in the item's Formalization Note: p≥2p\ge2p≥2 (for p=1p=1p=1, log⁡p=0\log p=0logp=0 and the printed probability divides by zero), n≥1n\ge1n≥1, σ>0\sigma>0σ>0, and measurability of the noise variables. λ>0\lambda>0λ>0 is the paper's standing assumption. The condition λ≥3∥M∥∞\lambda\ge3\|\mathbf M\|_\inftyλ≥3∥M∥∞​ is written coordinatewise. In the deterministic milestones the noise is a fixed vector and M=1n∑iξixi\mathbf M=\frac1n\sum_i\xi_ix_iM=n1​∑i​ξi​xi​, which is the paper's M\mathbf MM for a fixed design and centred noise. No printed slip affects these statements. The constant C=3b2C=3b\sqrt2C=3b2​ is kept as printed.

A trivializing formalization would assume the event ∥M∥∞≤bσ2log⁡p/n\|\mathbf M\|_\infty\le b\sigma\sqrt{2\log p/n}∥M∥∞​≤bσ2logp/n​ in the goal, or use a real infimum for μ(β)\mu(\beta)μ(β); both are ruled out. Contributions of reusable infrastructure are welcome: the Gaussian tail bound, the law of a weighted sum of independent Gaussians, and the subdifferential of the ℓ1\ell_1ℓ1​ norm.

Selected references

  • V. Koltchinskii, K. Lounici, A. B. Tsybakov, Nuclear-norm penalization and optimal rates for noisy low-rank matrix completion, arXiv:1011.6256v4 (2016); Ann. Statist. 39(5), 2011. https://arxiv.org/abs/1011.6256
  • P. J. Bickel, Y. Ritov, A. B. Tsybakov, Simultaneous analysis of Lasso and Dantzig selector, Ann. Statist. 37(4), 2009. https://doi.org/10.1214/08-AOS620
  • F. Bunea, A. B. Tsybakov, M. H. Wegkamp, Sparsity oracle inequalities for the Lasso, Electron. J. Statist. 1, 2007. https://doi.org/10.1214/07-EJS008
  • R. Tibshirani, Regression shrinkage and selection via the lasso, J. R. Statist. Soc. B 58(1), 1996. https://doi.org/10.1111/j.2517-6161.1996.tb02080.x
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Operations ResearchOptimization·Captain: mikedeng1

Theoretical and Numerical Comparison of Relaxation Methods for Mathematical Programs with Complementarity Constraints 3: Kadrani et al. Relaxation Limits Are M-Stationary under MPEC-CPLDResearch Paper

Motivation

Mathematical programs with complementarity constraints (MPCCs, also called MPECs) model optimization problems in which some constraints say that, for every index iii, at least one of two nonnegative quantities Gi(x)G_i(x)Gi​(x), Hi(x)H_i(x)Hi​(x) must vanish. They arise in bilevel optimization, Stackelberg games, the design of equilibria in traffic and electricity markets, and contact problems in mechanics (Luo, Pang, Ralph 1996). Standard nonlinear-programming algorithms do not apply directly: at every feasible point of an MPEC the Mangasarian–Fromovitz constraint qualification fails, so the classical convergence theory of SQP or interior-point methods gives no guarantees.

Relaxation methods replace the MPEC by a sequence of better-behaved nonlinear programs R(tk)R(t_k)R(tk​) with a parameter tk↓0t_k \downarrow 0tk​↓0, solve each one approximately, and study the limits of the computed points. The question every relaxation method has to answer is what kind of stationary point such limits are, and under which constraint qualification.

Timeline of the result formalized here:

  • 2001: Scholtes introduces the global relaxation GiHi≤tG_iH_i \le tGi​Hi​≤t and proves that limits are C-stationary under MPEC-LICQ (SIAM J. Optim. 11).
  • 2009: Kadrani, Dussault and Benchakroun propose a relaxation whose feasible set is the union of two shifted orthants (below), and prove that limits are M-stationary under MPEC-LICQ (SIAM J. Optim. 20).
  • 2010–2013: Hoheisel, Kanzow and Schwartz compare five relaxation schemes; for the Kadrani et al. scheme they replace MPEC-LICQ by the much weaker MPEC-CPLD (Theorem 3.5 of the Würzburg preprint, published in Math. Program. 137).

Setting

The MPEC (1) on Rn\mathbb R^nRn is

min⁡f(x)  s.t.  gi(x)≤0 (i≤m), hi(x)=0 (i≤p), Gi(x)≥0, Hi(x)≥0, Gi(x)Hi(x)=0 (i≤l),\min f(x)\ \text{ s.t. }\ g_i(x)\le 0\ (i\le m),\ h_i(x)=0\ (i\le p),\ G_i(x)\ge 0,\ H_i(x)\ge 0,\ G_i(x)H_i(x)=0\ (i\le l),minf(x)  s.t.  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 x∗x^*x∗ the index sets are Ig={i∣gi(x∗)=0}I_g=\{i\mid g_i(x^*)=0\}Ig​={i∣gi​(x∗)=0}, I0+={i∣Gi(x∗)=0<Hi(x∗)}I_{0+}=\{i\mid G_i(x^*)=0<H_i(x^*)\}I0+​={i∣Gi​(x∗)=0<Hi​(x∗)}, I00={i∣Gi(x∗)=0=Hi(x∗)}I_{00}=\{i\mid G_i(x^*)=0=H_i(x^*)\}I00​={i∣Gi​(x∗)=0=Hi​(x∗)} (the biactive set) and I+0={i∣Gi(x∗)>0=Hi(x∗)}I_{+0}=\{i\mid G_i(x^*)>0=H_i(x^*)\}I+0​={i∣Gi​(x∗)>0=Hi​(x∗)}.

A feasible x∗x^*x∗ is weakly stationary if there are multipliers λ≥0\lambda\ge 0λ≥0 with λigi(x∗)=0\lambda_ig_i(x^*)=0λi​gi​(x∗)=0, μ\muμ, γ\gammaγ, ν\nuν such that

∇f(x∗)+∑iλi∇gi(x∗)+∑iμi∇hi(x∗)−∑iγi∇Gi(x∗)−∑iνi∇Hi(x∗)=0,\nabla f(x^*)+\sum_i\lambda_i\nabla g_i(x^*)+\sum_i\mu_i\nabla h_i(x^*)-\sum_i\gamma_i\nabla G_i(x^*)-\sum_i\nu_i\nabla H_i(x^*)=0,∇f(x∗)+i∑​λi​∇gi​(x∗)+i∑​μi​∇hi​(x∗)−i∑​γi​∇Gi​(x∗)−i∑​νi​∇Hi​(x∗)=0,

with γi=0\gamma_i=0γi​=0 on I+0I_{+0}I+0​ and νi=0\nu_i=0νi​=0 on I0+I_{0+}I0+​. It is M-stationary if the same multipliers satisfy, for every i∈I00i\in I_{00}i∈I00​, either γi>0\gamma_i>0γi​>0 and νi>0\nu_i>0νi​>0, or γiνi=0\gamma_i\nu_i=0γi​νi​=0.

The tightened program TNLP(x∗)(x^*)(x∗) replaces the complementarity constraints by Gi=0≤HiG_i=0\le H_iGi​=0≤Hi​ on I0+I_{0+}I0+​, Gi≥0=HiG_i\ge 0=H_iGi​≥0=Hi​ on I+0I_{+0}I+0​ and Gi=Hi=0G_i=H_i=0Gi​=Hi​=0 on I00I_{00}I00​. CPLD (constant positive linear dependence) for a nonlinear program says: whenever a set of active-constraint gradients is positive-linearly dependent at x∗x^*x∗ (a nontrivial vanishing combination with nonnegative coefficients on the inequalities), the same gradients stay linearly dependent on a neighbourhood of x∗x^*x∗. MPEC-CPLD is CPLD for TNLP(x∗)(x^*)(x∗).

The relaxation of Kadrani et al. is, for t>0t>0t>0,

RKDB(t):min⁡f(x)  s.t.  g(x)≤0, h(x)=0, Gi(x)≥−t, Hi(x)≥−t, (Gi(x)−t)(Hi(x)−t)≤0.R^{KDB}(t):\quad\min f(x)\ \text{ s.t. }\ g(x)\le 0,\ h(x)=0,\ G_i(x)\ge -t,\ H_i(x)\ge -t,\ (G_i(x)-t)(H_i(x)-t)\le 0.RKDB(t):minf(x)  s.t.  g(x)≤0, h(x)=0, Gi​(x)≥−t, Hi​(x)≥−t, (Gi​(x)−t)(Hi​(x)−t)≤0.

A stationary point of RKDB(t)R^{KDB}(t)RKDB(t) is a feasible point with KKT multipliers.

Formalization targets

Goal: Theorem 3.5

tk↓0,xk stationary for RKDB(tk),xk→x∗,MPEC-CPLD at x∗ ⟹ x∗ is M-stationary for (1).t_k\downarrow 0,\quad x^k \text{ stationary for } R^{KDB}(t_k),\quad x^k\to x^*,\quad \text{MPEC-CPLD at } x^*\ \Longrightarrow\ x^* \text{ is M-stationary for (1)}.tk​↓0,xk stationary for RKDB(tk​),xk→x∗,MPEC-CPLD at x∗ ⟹ x∗ is M-stationary for (1).

Milestones, in proof order

  1. MPEC-CPLD written out in terms of the MPEC data (§2.2, display (3)).
  2. The KKT conditions of RKDB(tk)R^{KDB}(t_k)RKDB(tk​) recast with ηiG,k=−γik(Hi(xk)−tk)\eta^{G,k}_i=-\gamma^k_i(H_i(x^k)-t_k)ηiG,k​=−γik​(Hi​(xk)−tk​), ηiH,k=−γik(Gi(xk)−tk)\eta^{H,k}_i=-\gamma^k_i(G_i(x^k)-t_k)ηiH,k​=−γik​(Gi​(xk)−tk​): identity (11), disjointness (13), signs (14).
  3. Eventual support inclusions (12) into I00∪I0+I_{00}\cup I_{0+}I00​∪I0+​ and I00∪I+0I_{00}\cup I_{+0}I00​∪I+0​.
  4. Reduction to linearly independent gradients (15).
  5. Boundedness of the multiplier sequence under MPEC-CPLD.
  6. Weak stationarity of the limit x∗x^*x∗.

Significance

Local minimizers of an MPEC are M-stationary under weak constraint qualifications, whereas strong stationarity needs stronger ones such as MPEC-LICQ; a C-stationary point, the kind of limit the Scholtes relaxation delivers, may still admit first-order descent directions. Theorem 3.5 shows that the Kadrani et al. relaxation reaches M-stationary limits under a constraint qualification that is implied by MPEC-LICQ and MPEC-MFCQ and that holds, for instance, whenever all constraint functions are affine. It separates this scheme from the Scholtes and Steffensen–Ulbrich relaxations in the comparison of the paper.

The theorem is proved in the paper. As far as is known, no part of MPEC theory (constraint qualifications for MPECs, the stationarity hierarchy, relaxation schemes) has a machine-checked proof in Lean or Mathlib. This mission produces a formal account of the stationarity notions of Definition 2.3, of CPLD and MPEC-CPLD, and a complete formal proof of the convergence result, including the standard constraints ggg, hhh that the paper's proof skips for brevity.

Difficulty

The obvious argument passes to the limit in the KKT conditions of RKDB(tk)R^{KDB}(t_k)RKDB(tk​). This fails because the multipliers need not be bounded: unlike under MPEC-LICQ or MPEC-MFCQ, MPEC-CPLD does not by itself bound KKT multipliers, and the KKT points of the relaxed programs need not satisfy any constraint qualification themselves (Example 3.6 of the paper). The second difficulty is the biactive set I00I_{00}I00​: the product constraint contributes multipliers ηG,k\eta^{G,k}ηG,k, ηH,k\eta^{H,k}ηH,k to both ∇Gi\nabla G_i∇Gi​ and ∇Hi\nabla H_i∇Hi​, with signs that are not fixed a priori, so a naive limit of the multipliers only gives C-stationarity-type information, or none at all.

Formalization scope

Rn\mathbb R^nRn is EuclideanSpace ℝ (Fin n) and gradients are Mathlib's gradient; indices are 0-based (Fin m, Fin p, Fin l), and m,p,lm,p,lm,p,l may be zero. Explicit choices fixed by the formalization:

  • The standing assumption of p. 1 (all data C1C^1C1) is a hypothesis P.IsC1 of every analytic statement.
  • "{tk}↓0\{t_k\}\downarrow 0{tk​}↓0" is tk>0t_k>0tk​>0, ttt nonincreasing, tk→0t_k\to 0tk​→0.
  • "Stationary point" of an NLP means feasible with KKT multipliers (p. 5).
  • Gradient sets are indexed families; linear (in)dependence is LinearIndependent ℝ of a family indexed by a disjoint union of subtypes, so repeated gradients count as dependent.
  • In positive-linear dependence (Definition 2.1), "not all of them being zero" refers to all coefficients; the sign constraint is on the inequality part only.
  • "Linearly dependent for all x∈N(x∗)x\in N(x^*)x∈N(x∗)" is ∀ᶠ y in 𝓝 x*.
  • Definition 2.3 is used with its two misprints corrected (μi∇hi(x∗)\mu_i\nabla h_i(x^*)μi​∇hi​(x∗); λigi(x∗)=0\lambda_ig_i(x^*)=0λi​gi​(x∗)=0 for i≤mi\le mi≤m); weak and M-stationarity include feasibility of x∗x^*x∗, which the goal derives rather than assumes.
  • TNLP(x∗)(x^*)(x∗) has exactly the constraints the paper lists (subtype index sets, no padding with zero constraints).
  • The standard constraints ggg, hhh, skipped in the paper's proof, are kept in every statement; displays (12) and (15) are extended by their ggg, hhh parts.

Two trivializing readings are ruled out. M-stationarity uses one multiplier tuple for both the weak-stationarity equation and the condition on I00I_{00}I00​; separate multipliers would make the sign condition vacuous. MPEC-CPLD demands linear dependence on a whole neighbourhood of x∗x^*x∗, not only at x∗x^*x∗; the pointwise version is a different hypothesis.

A complete development needs the gradient calculus of products and compositions on EuclideanSpace, a Carathéodory-type lemma (a conic combination can be reduced to one over linearly independent vectors with the same signs), and compactness of bounded sequences in finite dimensions. The Carathéodory lemma and the CPLD/positive-linear-dependence layer are reusable for any constraint-qualification argument in nonlinear programming. Proofs of individual milestones, and of the lemma behind (15), are welcome independently of the goal.

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
  • A. Kadrani, J.-P. Dussault, A. Benchakroun, A new regularization scheme for mathematical programs with complementarity constraints, SIAM Journal on Optimization 20 (2009) 78–103. https://doi.org/10.1137/070705490
  • 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
  • S. Steffensen, M. Ulbrich, A new relaxation scheme for mathematical programs with equilibrium constraints, SIAM Journal on Optimization 20 (2010) 2504–2539. https://doi.org/10.1137/090748883
  • Z.-Q. Luo, J.-S. Pang, D. Ralph, Mathematical Programs with Equilibrium Constraints, Cambridge University Press, 1996. https://doi.org/10.1017/CBO9780511983658
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Markov ChainOperations ResearchProbability+1·Captain: mikedeng1

Validity of Heavy Traffic Steady-State Approximations in Generalized Jackson Networks: Scaled Stationary Queue Lengths Converge to the Stationary Distribution of the Reflected Brownian MotionResearch Paper

Motivation

Open networks of single-server queues with general (non-exponential) interarrival and service times, generalized Jackson networks (GJNs), model manufacturing lines, communication networks and service systems. Their stationary distributions are almost never available in closed form. The standard engineering approximation replaces the scaled queue-length vector by the stationary distribution of a reflected Brownian motion (RBM) in the orthant, which is the diffusion limit of the network in heavy traffic, when every station is close to full utilisation.

The diffusion limit itself (Reiman, 1984) is a statement about the process on finite time intervals. Using the RBM's stationary law as an approximation of the network's stationary law requires interchanging two limits: time to infinity (steady state) and traffic intensity to one (heavy traffic). For a long time this interchange was assumed rather than proved.

Timeline.

  • 1984. Reiman proved the process-level heavy-traffic limit for open queueing networks started empty (doi:10.1287/moor.9.3.441).
  • 1987. Harrison and Williams characterised when an orthant RBM has a stationary distribution and showed it is unique (doi:10.1080/17442508708833469).
  • 1995. Dai related fluid-model stability to positive Harris recurrence of multiclass networks (doi:10.1214/aoap/1177004828).
  • 2006. Gamarnik and Zeevi proved the interchange of limits for GJNs whose primitives have exponential moments (arXiv:math/0410066). This mission formalizes that result.

Setting

There are JJJ stations. Station jjj receives external arrivals with i.i.d. interarrival times of law FA,jF_{A,j}FA,j​ (rate αj\alpha_jαj​, or no arrivals at all) and serves jobs first-in-first-out with i.i.d. service times of law FS,jF_{S,j}FS,j​ (mean mjm_jmj​, rate μj=1/mj\mu_j = 1/m_jμj​=1/mj​). A job finishing at jjj moves to kkk with probability pjkp_{jk}pjk​ or leaves. The routing matrix PPP is substochastic with spectral radius below one. Interarrival and service times have uniformly bounded conditional exponential moments of their residual lives (conditions (1)–(2)). The traffic equation λ=α+P′λ\lambda = \alpha + P'\lambdaλ=α+P′λ gives the effective rates λ=[I−P′]−1α\lambda = [I-P']^{-1}\alphaλ=[I−P′]−1α and the traffic intensities ρj=λjmj\rho_j = \lambda_j m_jρj​=λj​mj​.

The queue lengths Q(t)Q(t)Q(t) are not Markov. The state Qˉ(t)=(Q(t),a^(t),v^(t))\bar Q(t) = (Q(t),\hat a(t),\hat v(t))Qˉ​(t)=(Q(t),a^(t),v^(t)), which adds the elapsed interarrival and service times, is a Markov process on X=Z+J×R+2J\mathcal X = \mathbb Z_+^J\times\mathbb R_+^{2J}X=Z+J​×R+2J​. A law π\piπ on X\mathcal XX is stationary if Qˉ(0)∼π\bar Q(0)\sim\piQˉ​(0)∼π implies Qˉ(t)∼π\bar Q(t)\sim\piQˉ​(t)∼π for all t≥0t\ge0t≥0.

Heavy traffic. Fix a critically loaded network Ξ\XiΞ (ρj=1\rho_j=1ρj​=1 for all jjj) and a vector κ0>0\kappa^0>0κ0>0. The network Ξn\Xi^nΞn slows the arrivals of Ξ\XiΞ at station jjj by the factor 1−κj0/n1-\kappa^0_j/\sqrt n1−κj0​/n​, so that ρjn=1−κj/n<1\rho^n_j = 1-\kappa_j/\sqrt n<1ρjn​=1−κj​/n​<1 for an explicit κ>0\kappa>0κ>0 (display (17)). Let πn\pi^nπn be any stationary distribution of Ξn\Xi^nΞn, and let π^n\hat\pi^nπ^n be the law of Qn(0)/nQ^n(0)/\sqrt nQn(0)/n​ under πn\pi^nπn.

The RBM. For a Brownian motion WWW with drift β\betaβ and covariance Γ\GammaΓ, the RBM ZZZ with parameters (β,Γ,I−P′)(\beta,\Gamma,I-P')(β,Γ,I−P′) solves the Skorohod problem Z=W+[I−P′]Y≥0Z = W + [I-P']Y\ge0Z=W+[I−P′]Y≥0, with YYY nondecreasing and increasing only when ZZZ is on the boundary. Here β=−(I−P′)M−1κ\beta = -(I-P')M^{-1}\kappaβ=−(I−P′)M−1κ and Γ\GammaΓ is the explicit covariance matrix of Reiman's theorem, built from μ\muμ, α\alphaα, PPP and the squared coefficients of variation ca,j2c^2_{a,j}ca,j2​, cs,j2c^2_{s,j}cs,j2​ of Ξ\XiΞ.

Formalization targets

Goal: Theorem 8 (p. 18)

π^n ⇒ πRBM(n→∞),\hat\pi^n\ \Rightarrow\ \pi_{\mathrm{RBM}}\qquad(n\to\infty),π^n ⇒ πRBM​(n→∞),

where πRBM\pi_{\mathrm{RBM}}πRBM​ is the unique stationary distribution of the (β,Γ,I−P′)(\beta,\Gamma,I-P')(β,Γ,I−P′)-RBM. The formal goal asserts three things: a stationary distribution of the RBM exists, it is the only one, and π^n\hat\pi^nπ^n converges weakly to it, for every choice of stationary distributions πn\pi^nπn.

Milestones

  1. Theorems 5 and 6 (pp. 15–16). For a general Markov process, a geometric Lyapunov function Φ\PhiΦ gives EπΦ≤ϕ(t0)K/(1−γ)\mathbb E_\pi\Phi\le\phi(t_0)K/(1-\gamma)Eπ​Φ≤ϕ(t0​)K/(1−γ). A Lyapunov function with control of L2L_2L2​ gives an exponential tail Pπ(Φ>s)≲e−θs\mathbb P_\pi(\Phi>s)\lesssim e^{-\theta s}Pπ​(Φ>s)≲e−θs.
  2. Proposition 1 (p. 11). The fluid model drains in time at most w′z/min⁡jμj(1−ρj)w'z/\min_j\mu_j(1-\rho_j)w′z/minj​μj​(1−ρj​), where w=e′[I−P′]−1w=e'[I-P']^{-1}w=e′[I−P′]−1.
  3. Lemma A.1 and Propositions 2–3 (pp. 17, 25). The net input deviates from its fluid path by O(n)O(\sqrt n)O(n​) uniformly over initial states. As a result, Φ(z,a,v)=w′z\Phi(z,a,v)=w'zΦ(z,a,v)=w′z is a Lyapunov function for Ξn\Xi^nΞn with drift −n-\sqrt n−n​ over time nt0nt_0nt0​.
  4. Theorem 7 and Corollary 1 (pp. 17–18). Pπn(n−1/2w′Qn(0)>s)≤C1e−c1s\mathbb P_{\pi^n}(n^{-1/2}w'Q^n(0)>s)\le C_1e^{-c_1s}Pπn​(n−1/2w′Qn(0)>s)≤C1​e−c1​s uniformly in nnn. Hence {π^n}\{\hat\pi^n\}{π^n} is tight.
  5. Theorems 4, 3 and 2 (cited). Reiman's process limit from a general initial law; Harrison and Williams's existence and uniqueness theorem for the RBM's stationary distribution; existence of πn\pi^nπn.

Significance

The result. Theorem 8 justifies the use of the RBM's stationary distribution, which is computable or at least numerically tractable, as an approximation of steady-state queue lengths of a heavily loaded network. Theorem 7 also shows that each stationary queue is of order (1−ρ∗n)−1(1-\rho^{*n})^{-1}(1−ρ∗n)−1 uniformly in nnn. Together with Theorem 8 this gives convergence of all moments (Corollary 2 of the paper) and, through Theorems 9–12, steady-state approximations of sojourn times and product-form limits.

Formalizing it. No part of this argument is machine-checked. The formalization would add reusable infrastructure for queueing theory in Lean: a Markov-state model of a generalized Jackson network with residual times, Lyapunov bounds on stationary distributions of general Markov processes (Theorems 5–6), and the link between tightness and identification of limit points for stationary laws. Reiman's theorem (Theorem 4) and the Harrison–Williams theorem (Theorem 3) are cited by the paper and are themselves open formalization targets.

Difficulty

Tightness and Reiman's theorem do not combine on their own. Reiman's theorem describes the network on finite time intervals, started empty, while a stationary distribution describes it as time goes to infinity; nothing in the finite-horizon limit forces a limit point of π^n\hat\pi^nπ^n to be stationary for the RBM, or forces different subsequences to have the same limit. The interchange therefore needs the process limit from an arbitrary initial law and the uniqueness of the RBM's stationary law, besides tightness.

The tightness step is the technical core. Moment bounds must be uniform in nnn and in the initial residual times. A Lyapunov argument on the workload w′Qw'Qw′Q over a time horizon of order nnn requires deviation bounds of order n\sqrt nn​ for renewal processes started at arbitrary ages. This is why the residual-life conditions (1)–(2) appear, and why the strong approximation of Lemma A.2 is used. A naive drift argument over a fixed time horizon fails: in heavy traffic the drift of w′Qw'Qw′Q per unit time is only of order n−1/2n^{-1/2}n−1/2.

Formalization scope

  • Stations are Fin J, vectors Fin J → ℝ, P′P'P′ is Pᵀ, and the norm ∥⋅∥\|\cdot\|∥⋅∥ is the ℓ1\ell^1ℓ1 norm, written as an explicit sum. The spectral-radius condition is Pm→0P^m\to0Pm→0.
  • A network is its data (J,FA,FS,P)(\mathcal J, F_A, F_S, P)(J,FA​,FS​,P) plus the predicate IsGJN (positive times, conditions (1)–(2), substochastic PPP). AjA_jAj​ and SjS_jSj​ count renewal epochs in [0,t][0,t][0,t]. The initial times aj(0)a_j(0)aj​(0), vj(0)v_j(0)vj​(0) are residual lives given the elapsed ages a^j(0)\hat a_j(0)a^j​(0), v^j(0)\hat v_j(0)v^j​(0). States carry their elapsed times as reals; the predicate InStateSpace cuts out X=Z+J×R+2J\mathcal X=\mathbb Z_+^J\times\mathbb R_+^{2J}X=Z+J​×R+2J​, and the uniform bounds over initial states (Lemma A.1, Propositions 2–3) and the initial laws of Theorem 4 range over X\mathcal XX only.
  • A realization from an initial law is a probability space carrying the primitives with their joint law and processes Q,BQ, BQ,B satisfying the dynamics (4)–(5) almost surely. E[⋅∣Qˉ(0)=x]\mathbb E[\cdot\mid\bar Q(0)=x]E[⋅∣Qˉ​(0)=x] is the expectation under a realization from δx\delta_xδx​. Stationarity of π\piπ means: a realization from π\piπ exists, and every realization from π\piπ has Qˉ(t)∼π\bar Q(t)\sim\piQˉ​(t)∼π for all t≥0t\ge0t≥0.
  • The heavy-traffic scaling is read as ajn=aj/(1−κj0/n)a^n_j = a_j/(1-\kappa^0_j/\sqrt n)ajn​=aj​/(1−κj0​/n​). The printed aj(1−κj0/n)a_j(1-\kappa^0_j/\sqrt n)aj​(1−κj0​/n​) would overload every Ξn\Xi^nΞn, so no πn\pi^nπn would exist. κ\kappaκ is defined so that (17) holds exactly, and every statement about Ξn\Xi^nΞn is for all large nnn.
  • The RBM is built on the published Reiman84.QueueLength.Paths (Brownian motion with drift and covariance, and the reflection pair). An RBM stationary law must be a probability measure carried by R+J\mathbb R^J_+R+J​. Weak convergence of laws on RJ\mathbb R^JRJ uses Mathlib's topology on ProbabilityMeasure. Theorem 4's process convergence is in coupling form with the uniform topology on [0,T][0,T][0,T].
  • Quantities lim sup⁡n(⋅)<∞\limsup_n(\cdot)<\inftylimsupn​(⋅)<∞ are rendered as one finite bound valid for all large nnn. Expectations of nonnegative quantities are lower Lebesgue integrals in [0,∞][0,\infty][0,∞]. Constants "depending only on Ξ\XiΞ" are quantified before nnn and before the stationary distributions.
  • Disclosed departures from the page:
    • ϕ(t0)<∞\phi(t_0)<\inftyϕ(t0​)<∞ is assumed in Theorem 5.
    • {Φ>K}≠∅\{\Phi>K\}\neq\emptyset{Φ>K}=∅ is assumed in Theorem 6. Its tail constant (29) is stated as (γθ/2)−1(\gamma\theta/2)^{-1}(γθ/2)−1, which is what the paper's proof yields, instead of the printed (1−γθ/2)−1(1-\gamma\theta/2)^{-1}(1−γθ/2)−1.
    • Γ\GammaΓ is positive definite in Theorem 3, the hypothesis of Harrison and Williams.
    • The derivative bound w′q˙(t)≤−min⁡jμj(1−ρj)w'\dot q(t)\le-\min_j\mu_j(1-\rho_j)w′q˙​(t)≤−minj​μj​(1−ρj​) of Proposition 1 is stated for ρj≤1\rho_j\le1ρj​≤1 at every station; the page states it unconditionally, and it fails when two stations are overloaded.
    • Theorems 5 and 6 are stated for the time-t0t_0t0​ transition kernel of the Markov process.
  • A trivializing formalization is ruled out explicitly. The goal keeps the existence and uniqueness of πRBM\pi_{\mathrm{RBM}}πRBM​ as conjuncts, stationarity requires a realization to exist, and the RBM's stationary law must live on the orthant. Hence neither an impossible network nor an empty RBM notion makes the goal vacuous.
  • Contributions are welcome on any milestone. The cited Theorems 2–4 are substantial on their own, and Theorems 5–6 are independent of queueing.

Selected references

  • D. Gamarnik and A. Zeevi, Validity of heavy traffic steady-state approximations in generalized Jackson networks, Ann. Appl. Probab. 16(1), 2006, 56–90. arXiv:math/0410066, doi:10.1214/105051605000000638
  • M. I. Reiman, Open queueing networks in heavy traffic, Math. Oper. Res. 9(3), 1984, 441–458. doi:10.1287/moor.9.3.441
  • J. M. Harrison and R. J. Williams, Brownian models of open queueing networks with homogeneous customer populations, Stochastics 22, 1987, 77–115. doi:10.1080/17442508708833469
  • J. G. Dai, On positive Harris recurrence of multiclass queueing networks: a unified approach via fluid limit models, Ann. Appl. Probab. 5(1), 1995, 49–77. doi:10.1214/aoap/1177004828
  • H. Chen and D. D. Yao, Fundamentals of Queueing Networks: Performance, Asymptotics, and Optimization, Springer, 2001 (reference [11] of the paper; Chapter 7).
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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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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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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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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
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 AnalysisMathematical Logic·Captain: marwahaha

A counterexample to Naimark's problem in ZFCOpen Problem

Motivation

Uniqueness of irreducible representations is a strong condition on a C*-algebra. The target asks for a counterexample to the expected compact-operator characterization without added set-theoretic hypotheses. The pinned manuscript supplies the research context.

Setting

Representations are nonzero star homomorphisms on complete complex inner product spaces. Irreducibility is expressed by closed invariant subspaces, and equivalence by an intertwining linear isometry.

Formalization target

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

∃A:simple(A)∧unique irreducible representation(A)∧A≇K(H).\exists A:\quad\mathrm{simple}(A)\land\mathrm{unique\ irreducible\ representation}(A)\land A\not\cong\mathcal K(H).∃A:simple(A)∧unique irreducible representation(A)∧A≅K(H).

The theorem states that, for every universe level choice, there exists a type A carrying a C*-algebra structure (over ℂ) with the following five properties. First, A is simple in the sense that it is nontrivial and its only closed two-sided ideals are {0} and A itself. Second, A is not finite-dimensional as a complex vector space. Third, there is a continuous linear functional τ : A → ℂ that is a faithful tracial state: τ has norm 1, τ(aa) is a nonnegative real number for every a, τ(ab) = τ(ba) for all a and b, and τ(aa) > 0 whenever a ≠ 0. Fourth, A has a unique irreducible representation up to unitary equivalence: whenever π and ρ are nonzero star-homomorphisms (non-unital algebra homomorphisms preserving star) from A into the bounded operators on complete complex inner product spaces H and K, taken in the stated universe levels, and each has no closed invariant subspace other than 0 and the whole space, there is a linear isometric isomorphism U : H → K with U(π(a)x) = ρ(a)(Ux) for all a and x. Fifth, for every complete complex inner product space H in the stated universe, A is not isomorphic to the algebra of compact operators on H, meaning there is no injective star-homomorphism φ : A → B(H) whose range is exactly the set of compact operators on H.

Significance and status

The target explicitly requires simplicity, infinite dimension, a faithful tracial state and failure of all compact-operator isomorphisms in the stated universes. No additional set-theoretic hypothesis appears in its binders. 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 combine infinite dimension, a faithful trace and uniqueness across the specified representation universes.

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 Naimark's problem in ZFC, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
AlgebraFunctional Analysis·Captain: marwahaha

Vanishing of higher bounded Hochschild cohomologyOpen Problem

Motivation

Hochschild cohomology measures whether a cocycle equation admits a primitive. In an operator algebra the boundedness requirement is part of the mathematical problem. The pinned manuscript supplies the research context.

Setting

Cochains are continuous complex multilinear maps into the von Neumann algebra itself, with its natural left and right multiplication actions.

Formalization target

The selected goal is OAI.BoundedHochschild.KadisonRingrose.main_result. Its central assertion is

df=0⟹∃g: dg=f,deg⁡(f)=n+2.df=0\quad\Longrightarrow\quad\exists g:\ dg=f,\qquad\deg(f)=n+2.df=0⟹∃g: dg=f,deg(f)=n+2.

The theorem states that, for a complex von Neumann algebra M (a C*-algebra with a partial order making it star-ordered, equipped with the W*-algebra structure), and any natural number n, every bounded Hochschild cocycle of degree n+2 with values in M is a coboundary. Here a cochain of degree m is a continuous complex m-linear map from M^m to M. The Hochschild differential of a cochain f of degree m, evaluated at (v_0,...,v_m), is v_0 f(v_1,...,v_m) plus the sum over j from 0 to m-1 of (-1)^(j+1) f(v_0,...,v_j v_{j+1},...,v_m), where the j-th and (j+1)-th inputs are multiplied into one, plus (-1)^(m+1) f(v_0,...,v_{m-1}) v_m. The hypothesis is that f has degree n+2 and its differential vanishes at every (n+3)-tuple of elements of M. The conclusion is that there exists a continuous multilinear cochain g of degree n+1 whose differential equals f at every (n+2)-tuple of elements of M.

Significance and status

The goal covers every natural n, hence degrees at least two. It does not include a separately referenced degree-one inner-derivation theorem. 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

An algebraic primitive is insufficient: the lower-degree cochain must remain continuous and bounded in the encoded operator-norm sense.

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, Vanishing of higher bounded Hochschild cohomology, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
Functional Analysis·Captain: marwahaha

A counterexample to Kaplansky's quasitrace conjecture and failure of tensor-product stable finitenessOpen Problem

Motivation

Quasitraces behave linearly on commutative subalgebras but need not initially be additive on all positive elements. A uniform defect on a fixed pair would separate them from traces. The pinned manuscript supplies the research context.

Setting

The algebra is separable and carries a normalized 2-quasitrace, meaning a quasitrace with the specified extension to two by two matrices. The witnesses are positive contractions.

Formalization target

The selected goal is OAI.Kaplansky.kaplansky_quasitrace_counterexample. Its central assertion is

Re⁡(τ(a+b)−τ(a)−τ(b))≥1/144.\operatorname{Re}(\tau(a+b)-\tau(a)-\tau(b))\geq1/144.Re(τ(a+b)−τ(a)−τ(b))≥1/144.

The theorem (admitted in the source, not proved there) states that there exists a separable C*-algebra A, with its complex C*-algebra structure, for which the following hold. First, A carries a normalized 2-quasitrace. Here a 1-quasitrace is a function τ : A → ℂ such that τ(xx) is a nonnegative complex number for all x; τ(xx) = τ(xx*); τ(h + i k) = τ(h) + i τ(k) for self-adjoint h and k; and the restriction of τ to every norm-closed commutative (non-unital) star-subalgebra over ℂ is ℂ-linear. It is normalized if τ(1) = 1, and it is a 2-quasitrace if it extends to a 1-quasitrace σ on the 2×2 matrices over A (as a C*-matrix algebra) satisfying σ of the matrix with a in the upper-left corner and zeros elsewhere equal to τ(a) for all a. Second, there are positive contractions a and b in A, meaning each is of the form x*x and has norm at most 1, such that every normalized 2-quasitrace τ on A satisfies Re(τ(a+b) − τ(a) − τ(b)) ≥ 1/144. So no such τ is additive on this pair.

Significance and status

The selected goal is the quantitative quasitrace counterexample. The stable-finiteness and tensor-product consequences are retained as a separate published bundle. 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 positive contractions must exhibit the defect for every normalized 2-quasitrace, while at least one such quasitrace exists.

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.KaplanskyConsequences.stable_finiteness_bundle (Open).

Selected references

  • OpenAI, A counterexample to Kaplansky's quasitrace conjecture and failure of tensor-product stable finiteness, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
4 thms1 active userReviewed
Functional AnalysisGroup Theory·Captain: marwahaha

An explicit obstruction to nuclear norm-ultrapower embeddingsOpen Problem

Motivation

Norm ultrapowers permit approximations along a free ultrafilter. An explicit algebra excluded from every nuclear target ultrapower tests the limits of this embedding mechanism. The pinned manuscript supplies the research context.

Setting

The group is the stated dyadic semidirect product. Its full group C*-algebra is specified by a universal property, and the ultrapower is bounded sequences modulo norm-null sequences along the ultrafilter.

Formalization target

The selected goal is OAI.NuclearUltrapower.main_no_embedding. Its central assertion is

A↪̸Bωfor every nonzero unital nuclear B.A\not\hookrightarrow B^\omega\quad\text{for every nonzero unital nuclear }B.A↪Bωfor every nonzero unital nuclear B.

The theorem states that, working in universe level 0, there exist a nonzero unital complex C*-algebra A and a group homomorphism ι from G into the unitary group of A such that the following hold. Here G is the semidirect product of the additive group of 3-vectors over the dyadic rationals Z[1/2] by SL₃(ℤ) × ℤ, where a matrix acts linearly on the vectors and the integer n acts by multiplication by 2ⁿ. First, (A, ι) is the full group C*-algebra of G: the span of ι(G) is dense in A, and every homomorphism of G into the unitaries of a nonzero unital C*-algebra D extends uniquely to a unital -homomorphism A → D. Second, A is separable as a topological space. Third, for every nonzero unital C-algebra B that is nuclear in the tensor-norm sense (minimal and maximal C*-tensor norms agree on B ⊗ C for every C*-algebra C) and every free ultrafilter ω on ℕ (one containing no finite set), there is no injective unital -homomorphism from A into the norm ultrapower of B, namely bounded B-valued sequences modulo those tending to 0 along ω. Fourth, there exist a nonzero unital C-algebra O and two elements s₀, s₁ of O satisfying the Cuntz relations (each sᵢsᵢ = 1 and s₀s₀ + s₁s₁* = 1), with O universal for these relations, such that for every free ultrafilter ω there is likewise no injective unital *-homomorphism from A into the norm ultrapower of O. The theorem is admitted in the source, not proved.

Significance and status

The goal includes separability, the full group universal property, nonembedding and the Cuntz-algebra corollary in the stated base universe. 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 single source algebra must obstruct all nuclear targets and free ultrafilters. Universal full-group and Cuntz-algebra constructions are part of the target.

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, An explicit obstruction to nuclear norm-ultrapower embeddings, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
Functional Analysis·Captain: marwahaha

Kadison's similarity theorem through uniform derivation estimatesOpen Problem

Motivation

A bounded algebra representation need not visibly preserve adjoints. The similarity problem asks whether one bounded change of Hilbert-space coordinates restores that structure. The pinned manuscript supplies the research context.

Setting

Representations are continuous unital complex algebra homomorphisms into bounded operators on a complete complex inner product space. The conjugating operator must have a bounded inverse.

Formalization target

The selected goal is OAI.KadisonSimilarity.similarityTheorem. Its central assertion is

Sπ(a∗)S−1=(Sπ(a)S−1)∗.S\pi(a^*)S^{-1}=(S\pi(a)S^{-1})^*.Sπ(a∗)S−1=(Sπ(a)S−1)∗.

The theorem states that, for every C*-algebra A in universe u and every complex inner product space K in universe v that is complete (a Hilbert space), every bounded unital representation of A on K is similar to a star representation. Here a bounded unital representation is a continuous ℂ-algebra homomorphism π from A into the algebra of bounded linear operators on K; being an algebra homomorphism of unital algebras, it preserves the identity. Similarity to a star representation means that there is an invertible bounded operator S on K, with bounded inverse, such that for every a in A, S π(a*) S⁻¹ equals the adjoint of S π(a) S⁻¹. Equivalently, the conjugated map a ↦ S π(a) S⁻¹ commutes with the involution. This is the Kadison similarity statement as a defined proposition SimilarityTheorem, and the source declares it as a theorem whose proof is admitted rather than supplied.

Significance and status

Similarity is the selected goal. The two commutator formulations and explicit hyperreflexivity estimate remain distinct references with their own constants and universes. 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

One operator S must work simultaneously for every algebra element. Uniform matrix-amplification estimates cannot acquire a dimension-dependent constant.

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.KadisonSimilarity.universalCommutatorTheorem (Open).
  • OAI.KadisonSimilarity.universalHyperreflexivity (Open).
  • OAI.Kadison.uniform_commutator (Open).

Selected references

  • OpenAI, Kadison's similarity theorem through uniform derivation estimates, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
6 thms1 active userReviewed
Functional Analysis·Captain: marwahaha

An isomorphism of the free group factorsOpen Problem

Motivation

Group von Neumann algebras encode a free group's regular representation as an operator algebra. Whether the rank remains visible in that algebra is the motivating isomorphism problem. The pinned manuscript supplies the research context.

Setting

The parameter runs over extended nonnegative reals greater than one. Integer ranks use group factors, infinity uses countably many generators, and other parameters use the encoded stabilized corner model.

Formalization target

The selected goal is OAI.FreeGroupFactorMain.Interpolation.allInterpolatedIsomorphic. Its central assertion is

L(Fr)≅L(Fs)(1<r,s≤∞).L(\mathbb F_r)\cong L(\mathbb F_s)\qquad(1<r,s\leq\infty).L(Fr​)≅L(Fs​)(1<r,s≤∞).

The theorem states that for any two extended nonnegative real parameters r and s, both strictly greater than 1 (so either may be infinite), the interpolated factors attached to r and s are isomorphic as C*-algebras with trace and topology, meaning the type of normal tracial equivalences between them is nonempty. The interpolated factor at a parameter is chosen by cases: for r = ∞ it is the group von Neumann algebra of the free group on countably many generators; for r equal to a natural number n it is the group von Neumann algebra of the free group on n generators; otherwise it is the corner pAp of the stabilization of the rank-two free group algebra, cut down by a selected star projection p whose stabilized projection trace is the real number 1/√(r−1), with the trace being the stabilized trace rescaled by the inverse of that value. Each carries its canonical trace or this rescaled trace and an ultraweak-type topology. A NormalTracialEquiv between two such models consists of a ℂ-linear star-algebra isomorphism that preserves the traces and is continuous in both directions for the given topologies.

Significance and status

The goal is a nonempty type of normal tracial equivalences between the precise interpolated models. Statements about fundamental groups 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 required equivalence must preserve the algebra, involution and trace, and be continuous in both directions for the specified topologies.

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, An isomorphism of the free group factors, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
Mathematical PhysicsRepresentation Theory·Captain: marwahaha

Strongly rational unitary vertex operator algebras and conformal netsOpen Problem

Motivation

Vertex operator algebras describe conformal theories algebraically, while conformal nets describe local operator algebras. Passing between them requires analytic control of fields. The pinned manuscript supplies the research context.

Setting

The selected algebra is simple, unitary, CFT-type and strongly rational. Its modes act on an inner product space, and smeared fields act on the Hilbert completion.

Formalization target

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

energy bounds ∧ strong locality ∧ irreducible conformal net.\mathrm{energy\ bounds}\ \land\ \mathrm{strong\ locality}\ \land\ \mathrm{irreducible\ conformal\ net}.energy bounds ∧ strong locality ∧ irreducible conformal net.

The theorem states that, for a CFT-type vertex operator algebra A on a complex inner product space V (a vertex algebra with vacuum, state-field map and Jacobi identity, together with a conformal vector, central charge, finite-dimensional graded pieces with degree-zero part spanned by the vacuum, conformal vector in degree 2 acting as the grading operator, and the Virasoro relations), equipped with a unitary structure U (an antilinear involution fixing the vacuum and conformal vector, compatible with all modes, together with a unit-norm vacuum and an invariance relation between a mode and the corresponding mode of the transformed adjoint-side vector), if A is simple (nonzero vacuum and no ideals other than 0 and the whole space) and strongly rational (self-contragredient, rational in the sense that every admissible weak module is completely reducible, and C2-cofinite), then three things hold. First, A has polynomial energy bounds: for every a in V there are C>0 and natural numbers p,k with ||a_(n) b|| ≤ C(1+|n|)^p ||(1+L_0)^k b|| for all integers n and all b in V. Second, the CKLW strong locality property holds: all vectors satisfy these bounds, and for every proper circle arc I the von Neumann algebra generated by closed smeared fields supported in I, built on the completion of V, lies in the commutant of the algebra attached to the complementary arc. Third, the assignment of these interval algebras to proper arcs admits the structure of an irreducible conformal net, meaning a separable Hilbert space with isotony, locality, a continuous Mobius representation extended to a continuous projective representation of smooth circle diffeomorphisms with covariance and locality of the action, a unit invariant vacuum that is unique up to scalar and cyclic, a positive self-adjoint Hamiltonian generating the rotation flow, and trivial commutant of all interval algebras apart from scalars.

Significance and status

The target proves polynomial energy bounds, the specified CKLW strong locality property, and existence of an irreducible conformal-net structure. Complete rationality, category equivalences and extension classification are not conclusions of this 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

Formal algebraic identities must yield polynomial operator bounds and locality for closed smeared fields on the completion.

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, Strongly rational unitary vertex operator algebras and conformal nets, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
Mathematical PhysicsQuantum Mechanics·Captain: marwahaha

A Fock-space inequality and the Laughlin spectral gapOpen Problem

Motivation

A known zero-energy vector does not by itself give a uniform positive gap above it. The Laughlin problem asks for a lower bound controlling every competing antisymmetric state. The pinned manuscript supplies the research context.

Setting

At N particles set Q=3(N−1). States are complex functions on finite configurations, with antisymmetry under exchanging particles. The energy is a sum of squared pair-annihilation amplitudes.

Formalization target

The selected goal is OAI.LaughlinGap.thm_main. Its central assertion is

125dist⁡(ψ,CΨL)2≤E(ψ).\frac1{25}\operatorname{dist}(\psi,\mathbb C\Psi_{\rm L})^2\leq E(\psi).251​dist(ψ,CΨL​)2≤E(ψ).

The theorem states that there is a threshold N₀ ≥ 2 such that for every N ≥ N₀ and every antisymmetric complex-valued state ψ on N particles, each with local levels 0,…,Q where Q = 3(N−1), one has (1/25)·d(ψ)² ≤ E(ψ). Here a state assigns a complex number to each configuration a : Fin N → {0,…,Q}, and antisymmetric means that swapping the values at two distinct positions i and j negates ψ. The energy E(ψ) sums, over pairs i<j, over p = 0,…,2Q−2, and over configurations a with a_i = a_j = 0, the squared modulus of the pair amplitude, which is the sum over x,y of pairCoefficient(Q,p,x,y)·ψ(a with a_i replaced by x and a_j by y). The pair coefficient vanishes unless x+y = p+1, in which case it equals (x−y)/√2 times the square root of Q^{(x)}·Q^{(y)}·p! divided by Q·(2Q−2)^{(p)}·x!·y!, where m^{(k)} is the descending factorial. The Laughlin vector is built from the polynomial ∏{i<j}(x{i,0}x_{j,1} − x_{j,0}x_{i,1})³ in variables indexed by particle and a Boolean: its coefficient at the monomial with exponent a_i on x_{i,1} and Q−a_i on x_{i,0} is divided by ∏_i √C(Q,a_i). The quantity d(ψ)² is the infimum over complex c of the sum over configurations of |ψ(a) − c·Laughlin(a)|², the squared distance from ψ to the line spanned by the Laughlin vector, with no normalization of ψ assumed.

Significance and status

The selected goal has constant 1/25 and no normalization requirement on the state. The Fock-space inequality, the earlier 1/100 formulation and the planar endpoint are separate references; they retain their own representations and constants. 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 bound must be uniform for all sufficiently large particle numbers and for every state, rather than a variational estimate on a selected excitation.

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.Laughlin.mainTarget_proved (Open).
  • OAI.LaughlinFock.thm_fock (Open).
  • OAI.Laughlin.planar_gap (Open).

Selected references

  • OpenAI, A Fock-space inequality and the Laughlin spectral gap, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
8 thms1 active userReviewed
AnalysisMathematical Physics·Captain: marwahaha

Generalized outer-electron radii of neutral Coulomb atomsOpen Problem

Motivation

An exterior electron count defines a radius of a neutral atom without selecting individual electrons. Its scaling tests how well Thomas–Fermi theory describes the outer region of the full interacting atom. The pinned manuscript supplies the research context.

Setting

Choose any normalized ground state for each neutral atom with N+1 electrons. The radius is the infimum of radii outside which the expected electron mass is at most m.

Formalization target

The selected goal is OAI.NeutralAtom.generalized_outer_radii. Its central assertion is

m1/3Rmupper, m1/3Rmlower⟶(81π2/2)1/3.m^{1/3}R_m^{\rm upper},\ m^{1/3}R_m^{\rm lower}\longrightarrow (81\pi^2/2)^{1/3}.m1/3Rmupper​, m1/3Rmlower​⟶(81π2/2)1/3.

The theorem states that, for every choice of wavefunctions Ψ_N for neutral atoms with N+1 electrons and nuclear charge Z=N+1 (each a spin-dependent complex function of N+1 positions in three-dimensional space, with spins taking two values), such that each Ψ_N is a normalized ground state, the outer radii of the atoms obey a Thomas–Fermi-type scaling law. A normalized ground state is an antisymmetric wavefunction with a weak gradient, square-integrable in each spin component together with its gradient, with finite Coulomb integrals against |Ψ|², total squared norm 1 summed over spins, and minimal energy among all such normalized functions. The energy is half the squared L² norm of the gradient plus the expectation of the Coulomb potential, which is −Z times the sum of inverse distances of electrons to the nucleus plus the sum of inverse inter-electron distances over pairs. The electron density is N+1 times the spin-summed integral of |Ψ|² over the other N positions, and the radius for m is the infimum of r≥0 such that the density mass outside the ball of radius r is at most m. For each m, upperRadius and lowerRadius are the limsup and liminf, in the extended reals, of these radii as N→∞ with N+1>m. With bTF=(81π²/2)^(1/3), the theorem states that both m^(1/3)·upperRadius(m) and m^(1/3)·lowerRadius(m) converge to bTF as m→∞ through the natural numbers.

Significance and status

The target uses extended-real upper and lower radii, followed by a natural-number limit in m. No spherical symmetry is assumed, and the atom remains neutral. 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 assertion must hold for every choice of ground states. The inner large-charge limsup and liminf cannot be silently replaced with an assumed pointwise limit.

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, Generalized outer-electron radii of neutral Coulomb atoms, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
AnalysisMathematical Physics·Captain: marwahaha

Generalized ionization energies for full Coulomb atomsOpen Problem

Motivation

Removing outer electrons changes an atom's energy on a smaller scale than its total binding energy. A total-energy asymptotic alone does not determine the difference. The pinned manuscript supplies the research context.

Setting

The quantum model uses antisymmetric spin-dependent wavefunctions, two spin states, weak gradients and the full nuclear and electron-electron Coulomb interactions. The comparison is with the Thomas–Fermi density functional.

Formalization target

The selected goal is OAI.CoulombAtom.generalized_ionization. Its central assertion is

I(m,Z)/m7/3⟶a,m→∞, Z/m→∞.I(m,Z)/m^{7/3}\longrightarrow a,\qquad m\to\infty,\ Z/m\to\infty.I(m,Z)/m7/3⟶a,m→∞, Z/m→∞.

The theorem states that the proposition MainStatement holds: there is a real constant a>0 such that three asymptotic statements about atomic ionization energies all hold with this same a. Here the quantum energy of N electrons around a nucleus of charge Z is the infimum, taken over admissible spin-dependent wavefunctions on (ℝ³)^N, of the energy (1/2) times the total squared L² norm of all gradient components, minus Z times the expectation of Σᵢ 1/|xᵢ|, plus the expectation of Σ_{i<j} 1/|xᵢ−xⱼ|, with energy defined as 0 when N=0. Admissibility means that each spin component and each prescribed gradient component is square integrable, the gradient components are the weak partial derivatives of the values, the values are antisymmetric under simultaneous permutation of spins and positions (by the sign of the permutation, almost everywhere), the total squared norm summed over spins is 1, and the nuclear and electron-electron Coulomb densities are integrable. The ionization energy of removing m electrons from a neutral atom of charge Z is ionization(m,Z)=E(Z, Z−m)−E(Z, Z), with natural-number subtraction. The Thomas-Fermi energy tfEnergy(Z,M) is the infimum over nonnegative integrable densities ρ on ℝ³ of total mass M, with ρ^{5/3}, ρ/|x| and ρ(x)ρ(y)/|x−y| integrable, of (3/10)(3π²)^{2/3}∫ρ^{5/3} − Z∫ρ/|x| + (1/2)∬ρ(x)ρ(y)/|x−y|, and tfIonization(m,Z)=tfEnergy(Z,Z−m)−tfEnergy(Z,Z) for real m and Z. The three conclusions are: for every real m>0, tfIonization(m,Z) tends to a·m^{7/3} as the real number Z tends to infinity; for all natural-number sequences m_j, Z_j with 1≤m_j<Z_j, m_j→∞ and Z_j/m_j→∞, the ratio ionization(m_j,Z_j)/m_j^{7/3} tends to a; and as m→∞ through the naturals, both limsup and liminf over Z of ionization(m,Z), each divided by m^{7/3}, tend to a.

Significance and status

The main proposition includes a positive common constant, the fixed-m Thomas–Fermi limit, the joint quantum limit, and normalized limsup and liminf limits. It concerns energies rather than outer-electron radii. 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

Errors negligible relative to the total atomic energy can still dominate ionization energies. The common leading constant must work in the joint regime and both iterated limits.

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, Generalized ionization energies for full Coulomb atoms, preprint, 2026. Manuscript.
  • OpenAI, accompanying formal statements, commit adc7f1241b42. Selected goal source.
2 thms1 active userReviewed
Differential GeometryMathematical Physics·Captain: marwahaha

Area-controlled end replacement and the Bondi Penrose inequality in the CKS classOpen Problem

Motivation

Replacing a hyperboloidal end by an asymptotically flat end can connect Bondi mass with ADM mass. The source seeks a replacement that preserves interior geometry, the energy condition, and almost all enclosing area. The source is OpenAI's September 2026 manuscript.

Setting

A CKS exterior datum describes a three-dimensional hyperboloidal end and its mass aspect. Its Bondi charge is energy-momentum (E,P)(E,P)(E,P), assumed strictly future timelike. An enclosing cut is a surface in the supplied geometric class; its area is computed from the metric.

Formalization targets

gR≥(1−ε(R))g,ε(R)→0,mADM(gR)=E2−∣P∣2+ηR,0≤ηR≤2R−1/2.g_R\ge(1-\varepsilon(R))g,\quad\varepsilon(R)\to0,\quad m_{\mathrm{ADM}}(g_R)=\sqrt{E^2-|P|^2}+\eta_R,\quad0\le\eta_R\le2R^{-1/2}.gR​≥(1−ε(R))g,ε(R)→0,mADM​(gR​)=E2−∣P∣2​+ηR​,0≤ηR​≤2R−1/2.

For a connected, Hausdorff, second countable smooth 3-manifold N with boundary and a smooth Riemannian metric g with a smooth symmetric tensor field K, such that N is orientable, the boundary is compact and nonempty, g is complete, and (g,K) satisfies the pointwise local-chart physical dominant energy condition PhysicalDEC, the following holds. Suppose d is a CKS exterior-end datum for (g,K): a coordinate end outside radius d.chart.radius in which g and K are represented by smooth perturbations, together with a smooth mass aspect function on the sphere and the tensor patches realizing it. If the Bondi charge (energy, momentum) of d's mass aspect, (E,P), is timelike, meaning |P|<E, then there exist another such datum d', a radius R₀ with d'.chart.radius<R₀ and 12≤R₀, and a function ε with ε(R)→0 as R→∞, such that d' has Bondi charge (√(E²−|P|²),0), and the minimal enclosing area of g is finite. Moreover, for every R≥R₀ one has 0≤ε(R)<1 and there are a complete smooth metric gR, a smooth symmetric tensor field kR, spatial tensor fields G and k on Euclidean 3-space, and a number η with these properties. The pair (gR,kR) agrees with (g,K) at every point outside the chart domain or with chart coordinate norm at most R, and satisfies PhysicalDEC and integrable constraints. Also gR≥(1−ε(R))g as quadratic forms. On the end, gR and kR equal the end metrics built from G and k in d'.chart. Each Cartesian component of G minus the identity satisfies the order-1 Symbol condition from CKSADM, and k vanishes where ‖x‖>2R². As r→∞ the spatial ADM energy of G tends to √(E²−|P|²)+η and the ADM momentum of (G,k) tends to 0, with 0≤η≤2R^(−1/2). Finally, gR has finite minimal enclosing area, (1−ε(R)) times the minimum enclosing area of g is at most that of gR, and for every outer domain D the cut areas of g and gR are finite and satisfy (1−ε(R))·cutArea(g,D)≤cutArea(gR,D).

The goal is OAI.CKSSourceExterior.area_controlled_end_replacement. Supporting targets are listed below; they retain their individual hypotheses and are separate statements.

  • schwarzschild equality examples.

Significance

The selected goal constructs end replacements with zero limiting ADM momentum and quantitative area comparison, including minimum enclosing area. The Schwarzschild equality examples are attached as a separate target. The manuscript presents a mathematical argument; the attached goal currently has status Open, so the requested contribution is a Lean proof of the displayed formal target.

Difficulty

Changing the end can create a cheaper enclosing surface or violate the dominant energy condition. Agreement on each retained interior region does not alone prevent either problem.

Formalization scope

The manifold is a connected Hausdorff second-countable smooth three-manifold with compact nonempty boundary, and the original complete data satisfy the physical dominant energy condition. The main target is end replacement; it does not itself state the final Bondi–Penrose inequality. The equality-example target keeps its stronger boundary and no-additional-horizon hypotheses.

The shared definitions are supplied by CKSBondiPenrose, CKSBondiPenrose_002. The target uses Lean 4.33.1 with the pinned Mathlib environment. Contributions should preserve the existing statement and develop reusable supporting lemmas in its definitions.

Selected references

  • OpenAI, Area-controlled end replacement and the Bondi Penrose inequality in the CKS class, preprint, September 2026. Manuscript.
  • OpenAI, accompanying Lean statement. Pinned source.
4 thms1 active userReviewed
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