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Differential GeometryOptimal Transport·Captain: wurtle

Weak Hessian bounds along every geodesic in RCD spacesResearch Paper

Motivation: from weak Hessian bounds to every geodesic

On a smooth Riemannian manifold, an upper bound ∇2F≤G g\nabla^2F\le G\,g∇2F≤Gg on the Hessian of a function FFF immediately bounds the second derivative of FFF along every geodesic: (F∘σ)′′≤∣σ˙∣2 G∘σ(F\circ\sigma)''\le|\dot\sigma|^2\,G\circ\sigma(F∘σ)′′≤∣σ˙∣2G∘σ. In non-smooth geometry this step breaks down. On metric measure spaces with Ricci curvature bounded below in the synthetic sense — the RCD(K,N)\mathrm{RCD}(K,N)RCD(K,N) spaces — Hessians exist only weakly: inequalities are tested against the reference measure mmm, whereas a single prescribed geodesic can lie in a set of measure zero. Passing from a distributional Hessian bound to a statement about every individual geodesic is a recurring need, for example in characterizing lower bounds on sectional curvature synthetically (in the same release the preprint accompanies an OpenAI preprint on Gigli's distributional-curvature characterization of Alexandrov spaces). Earlier results get this passage only under extra regularity.

Timeline

  • 2014 — Savaré's self-improvement of the Bakry–Émery condition gives a measure-valued Bochner calculus on RCD(K,∞)\mathrm{RCD}(K,\infty)RCD(K,∞) spaces (Savaré 2014).
  • 2015 — Ambrosio, Gigli and Savaré identify Bakry–Émery bounds with Riemannian curvature-dimension bounds (Ann. Probab. 2015). Ketterer uses an exponential change of measure under a Hessian assumption with Sobolev regularity (Ketterer 2015, Thm 7.1).
  • 2018 — Gigli's second-order calculus on RCD\mathrm{RCD}RCD spaces: Hessians of test functions and ∇∇g∇g=∇(Γ(g)/2)\nabla_{\nabla g}\nabla g=\nabla(\Gamma(g)/2)∇∇g​∇g=∇(Γ(g)/2) (Gigli, Mem. AMS 2018). Han passes from infinitesimal to weak convexity by entropy convexity for e−aume^{-au}me−aum, assuming second-order Sobolev regularity (Han 2018); Sturm treats semiconvex functions by vanishing entropy (Sturm 2018).
  • 2020 — Kapovitch and Ketterer derive geodesic convexity from an L2L^2L2-Hessian bound for Laplacian-domain functions (J. reine angew. Math. 2020, Thm 4.7).
  • 2021 — Braun, Habermann and Sturm develop variable-curvature equivalences (J. Math. Pures Appl. 2021).
  • 2024–2025 — Brena and Gigli discuss the passage from weak Hessian bounds to geodesic convexity and propose a change-of-measure route, identifying the regularity it needs (Potential Anal. 2025, Remarks 2.3–2.4). Deng proves that finite-dimensional RCD(K,N)\mathrm{RCD}(K,N)RCD(K,N) spaces are non-branching (Geom. Topol. 2025, Thm 1.3).
  • 2026 — An OpenAI preprint, Weak Hessian bounds along every geodesic in RCD spaces (OpenAI Math Release, September 24, 2026), claims the passage under only bounded Lipschitz regularity of FFF and bounded continuous GGG. It has not been peer reviewed, and the claim has not been formally verified.

Setting

(M,d,m)(M,d,m)(M,d,m) is a complete separable metric space with a Borel measure mmm that charges every nonempty open set and is finite on bounded sets. RCD(K,N)\mathrm{RCD}(K,N)RCD(K,N), for K∈RK\in\mathbb RK∈R and 1<N<∞1<N<\infty1<N<∞, means the (unreduced) Lott–Sturm–Villani curvature-dimension condition CD(K,N)\mathrm{CD}(K,N)CD(K,N) for optimal transport between absolutely continuous probability measures with finite second moment, together with a quadratic Cheeger energy (infinitesimal Hilbertianity).

The minimal weak upper gradient ∣∇f∣|\nabla f|∣∇f∣ is defined through test plans (probability measures on absolutely continuous curves with bounded compression and finite kinetic energy). Polarization gives Γ(u,v)=⟨∇u,∇v⟩\Gamma(u,v)=\langle\nabla u,\nabla v\rangleΓ(u,v)=⟨∇u,∇v⟩, and the Laplacian is the nonpositive generator, ∫Γ(u,v) dm=−∫(Δu)v dm\int\Gamma(u,v)\,dm=-\int(\Delta u)v\,dm∫Γ(u,v)dm=−∫(Δu)vdm. The test class consists of bounded, globally Lipschitz ggg in the domain of Δ\DeltaΔ with Δg∈W1,2\Delta g\in W^{1,2}Δg∈W1,2. For such compactly supported ggg and nonnegative compactly supported Lipschitz hhh, the weak Hessian evaluation of FFF is

HF(∇g,∇g)(h)=−∫M(Γ(h,g)+h Δg) Γ(F,g) dm−∫Mh Γ ⁣(F,12Γ(g)) dm.H_F(\nabla g,\nabla g)(h)= -\int_M\big(\Gamma(h,g)+h\,\Delta g\big)\,\Gamma(F,g)\,dm-\int_M h\,\Gamma\!\big(F,\tfrac12\Gamma(g)\big)\,dm .HF​(∇g,∇g)(h)=−∫M​(Γ(h,g)+hΔg)Γ(F,g)dm−∫M​hΓ(F,21​Γ(g))dm.

A constant-speed minimizing geodesic is a curve σ:[0,1]→M\sigma:[0,1]\to Mσ:[0,1]→M with d(σs,σt)=∣s−t∣ ℓd(\sigma_s,\sigma_t)=|s-t|\,\elld(σs​,σt​)=∣s−t∣ℓ, where ℓ=d(σ0,σ1)\ell=d(\sigma_0,\sigma_1)ℓ=d(σ0​,σ1​). All of these notions are defined from scratch in the Lean development (IsTestPlan, weakGradient, gamma, IsLaplacian, IsTestFunction, weakHessian, CurvatureDimension, RCD).

Formalization targets

Goal: weak Hessian bounds along every geodesic (Theorem 1.1)

Let (M,d,m)(M,d,m)(M,d,m) be a full-support RCD(K,N)\mathrm{RCD}(K,N)RCD(K,N) space with 1<N<∞1<N<\infty1<N<∞. Let FFF be bounded and globally Lipschitz and GGG bounded and continuous, and assume

HF(∇g,∇g)(h)≤∫Mh G Γ(g) dmH_F(\nabla g,\nabla g)(h)\le\int_M h\,G\,\Gamma(g)\,dmHF​(∇g,∇g)(h)≤∫M​hGΓ(g)dm

for all compactly supported test functions ggg and all nonnegative h∈Lipc(M)h\in\mathrm{Lip}_c(M)h∈Lipc​(M). Then every constant-speed minimizing geodesic σ\sigmaσ of length ℓ\ellℓ satisfies (F∘σ)′′≤ℓ2 G∘σ(F\circ\sigma)''\le\ell^2\,G\circ\sigma(F∘σ)′′≤ℓ2G∘σ in distributions on (0,1)(0,1)(0,1):

∫01F(σt) φ′′(t) dt≤ℓ2∫01G(σt) φ(t) dtfor all 0≤φ∈Cc∞(0,1).\int_0^1F(\sigma_t)\,\varphi''(t)\,dt\le\ell^2\int_0^1G(\sigma_t)\,\varphi(t)\,dt\qquad\text{for all } 0\le\varphi\in C_c^\infty(0,1).∫01​F(σt​)φ′′(t)dt≤ℓ2∫01​G(σt​)φ(t)dtfor all 0≤φ∈Cc∞​(0,1).

The goal is published on the platform with status Open: no machine-checked proof exists yet.

Significance

The result itself. If the source's proof is correct, the theorem makes a measure-theoretic Hessian inequality usable on every prescribed geodesic, including geodesics that are invisible to almost-everywhere statements. For constant G=cG=cG=c it says that t↦F(σt)−cℓ2t2/2t\mapsto F(\sigma_t)-c\ell^2t^2/2t↦F(σt​)−cℓ2t2/2 is concave on every geodesic. Compared with earlier results, FFF needs only to be bounded and Lipschitz (no second-order Sobolev or Laplacian-domain regularity), GGG may vary in space, and mmm may have infinite total mass. Such geodesic convexity statements feed into synthetic characterizations of sectional-curvature lower bounds and into rigidity arguments on RCD\mathrm{RCD}RCD spaces.

Formalizing it. The statement depends on a large definitional layer: test plans, weak upper gradients, Cheeger energy, the Laplacian, Lott–Sturm–Villani CD(K,N)\mathrm{CD}(K,N)CD(K,N) and the weak Hessian. None of these is in Mathlib. Formalizing them faithfully is reusable infrastructure for the whole theory of metric measure spaces with Ricci bounds. The proof itself relies on deep inputs (Savaré's self-improvement, the Ambrosio–Gigli–Savaré and Braun–Habermann–Sturm equivalences, Deng's non-branching theorem), so the realistic path is to state those inputs as milestones.

Difficulty

A weak Hessian bound holds only after integration against mmm. A naive argument would average the bound over a family of geodesics and then localize, but a fixed geodesic can carry zero measure, and almost-everywhere statements about transport geodesics say nothing about it. The natural fix — change the measure to eλFme^{\lambda F}meλFm and use entropy convexity — requires the weighted Bochner inequality on the weighted test class. A Lipschitz weight does not preserve that class: the drift term Γ(V,u)\Gamma(V,u)Γ(V,u) need not be Sobolev, as an explicit Euclidean example in the source shows (Remark 4.2). Localizing to one geodesic also needs uniqueness of geodesics between nearby endpoints, which in this generality comes from non-branching of finite-dimensional RCD\mathrm{RCD}RCD spaces.

Formalization scope

  • XXX is a MetricSpace with Borel σ-algebra, CompleteSpace and SeparableSpace; mmm is a Measure X with FullSupport and FiniteOnBoundedSets. RCD m K N is the unreduced CurvatureDimension with the τ\tauτ coefficients for all N′≥NN'\ge NN′≥N, plus QuadraticCheegerEnergy (the parallelogram law for Cheeger energy).
  • IsTestFunction requires the function itself (not merely a representative) to be bounded and globally Lipschitz, in the Laplacian domain, with Sobolev Laplacian. WeakHessianUpperBound m F G quantifies over compactly supported test functions ggg and compactly supported nonnegative Lipschitz hhh.
  • Geodesics are continuous maps Set.Icc 0 1 → X with d(σs,σt)=∣s−t∣ d(σ0,σ1)d(\sigma_s,\sigma_t)=|s-t|\,d(\sigma_0,\sigma_1)d(σs​,σt​)=∣s−t∣d(σ0​,σ1​), so constant curves are included (the conclusion is then trivial). The conclusion CurveSecondDerivativeBound integrates over [0,1][0,1][0,1] against smooth nonnegative φ\varphiφ with tsupport φ ⊆ Ioo 0 1.
  • Choice-based definitions (weakGradient, laplacian) return 000 when the object does not exist. The hypotheses on FFF (bounded Lipschitz) and the test-function requirements ensure that the relevant gradients and Laplacians exist, so the hypothesis is not vacuous.
  • Contributions welcome: a faithful library of test plans, minimal weak upper gradients and the Laplacian on metric measure spaces; the Lott–Sturm–Villani CD(K,N)\mathrm{CD}(K,N)CD(K,N) condition; entropy and Wasserstein geodesics.

Selected references

  • N. Gigli, Nonsmooth differential geometry — an approach tailored for spaces with Ricci curvature bounded from below, Mem. Amer. Math. Soc. 251 (2018). https://doi.org/10.1090/memo/1196
  • G. Savaré, Self-improvement of the Bakry–Émery condition and Wasserstein contraction of the heat flow in RCD(K,∞)\mathrm{RCD}(K,\infty)RCD(K,∞) metric measure spaces, Discrete Contin. Dyn. Syst. 34 (2014), 1641–1661. https://doi.org/10.3934/dcds.2014.34.1641
  • L. Ambrosio, N. Gigli and G. Savaré, Bakry–Émery curvature-dimension condition and Riemannian Ricci curvature bounds, Ann. Probab. 43 (2015), 339–404. https://doi.org/10.1214/14-AOP907
  • M. Braun, K. Habermann and K.-T. Sturm, Optimal transport, gradient estimates, and pathwise Brownian coupling on spaces with variable Ricci bounds, J. Math. Pures Appl. 147 (2021), 60–97. https://doi.org/10.1016/j.matpur.2021.01.002
  • C. Ketterer, Obata's rigidity theorem for metric measure spaces, Anal. Geom. Metr. Spaces 3 (2015), 278–295. https://doi.org/10.1515/agms-2015-0016
  • K.-T. Sturm, Gradient flows for semiconvex functions on metric measure spaces — existence, uniqueness and Lipschitz continuity, Proc. Amer. Math. Soc. 146 (2018), 3985–3994. https://doi.org/10.1090/proc/14061
  • B.-X. Han, Characterizations of monotonicity of vector fields on metric measure spaces, Calc. Var. PDE 57 (2018). https://doi.org/10.1007/s00526-018-1388-9
  • V. Kapovitch and C. Ketterer, CD meets CAT, J. reine angew. Math. 766 (2020), 1–44. https://arxiv.org/abs/1712.02839
  • C. Brena and N. Gigli, Fine representation of Hessian of convex functions and Ricci tensor on RCD spaces, Potential Anal. 62 (2025), 703–737. https://doi.org/10.1007/s11118-024-10153-5
  • Q. Deng, Hölder continuity of tangent cones in RCD(K,N)\mathrm{RCD}(K,N)RCD(K,N) spaces and applications to non-branching, Geom. Topol. 29 (2025), 1037–1114. https://doi.org/10.2140/gt.2025.29.1037
  • OpenAI, Weak Hessian bounds along every geodesic in RCD spaces, OpenAI Math Release preprint, September 24, 2026 (Theorem 1.1, p. 2). https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/Weak-Hessian-bounds-along-every-geodesic-in-RCD-spaces-September-24-2026/weak-hessian-geodesics.pdf
2 thms1 active userReviewed
Differential GeometryPartial Differential Equations·Captain: wurtle

Smooth counterexamples to Yau's nodal upper bound in dimensions three and fourResearch Paper

Motivation

The nodal set of a Laplace eigenfunction is the set where it vanishes. In 1982 Yau asked whether, on a fixed smooth closed Riemannian manifold of dimension ddd, the (d−1)(d-1)(d−1)-dimensional measure of the nodal set of every eigenfunction with eigenvalue λ\lambdaλ is comparable to λ\sqrt\lambdaλ​ from above and below (Yau, Problem section, Annals of Math. Studies 102, 1982). The conjectured two-sided bound

cgλ≤Hgd−1(Zu)≤Cgλ,c_g\sqrt\lambda\le\mathcal H^{d-1}_g(Z_u)\le C_g\sqrt\lambda,cg​λ​≤Hgd−1​(Zu​)≤Cg​λ​,

with constants depending only on the metric, has organized several decades of work on unique continuation and quantitative zero sets of elliptic equations. The lower and upper inequalities are logically separate, and a fixed metric must be distinguished from a metric chosen anew for each eigenvalue.

Timeline

  • 1978. Brüning proves the sharp lower bound on smooth surfaces (doi:10.1007/BF01214561).
  • 1982. Yau states the conjecture.
  • 1988. Donnelly and Fefferman prove both bounds for real-analytic metrics (doi:10.1007/BF01393691).
  • 1989. Hardt and Simon give a general non-polynomial upper estimate for smooth metrics (doi:10.4310/jdg/1214443599).
  • 1990. Donnelly and Fefferman prove the surface upper bound Cλ3/4C\lambda^{3/4}Cλ3/4 (doi:10.1090/S0894-0347-1990-1035413-2).
  • 2015–2017. Enciso and Peralta-Salas, then with Steinerberger, prescribe the nodal set of a first eigenfunction by choosing the metric (doi:10.4310/jdg/1442364650, doi:10.1093/imrn/rnw126).
  • 2018. Logunov proves a polynomial upper estimate in dimension ≥3\ge3≥3 (doi:10.4007/annals.2018.187.1.4) and the sharp lower estimate in every dimension (doi:10.4007/annals.2018.187.1.5); Logunov and Malinnikova improve the surface exponent to 3/4−β3/4-\beta3/4−β (doi:10.1007/978-3-319-59078-3_17).
  • 2023. Hezari proves upper bounds for Gevrey and certain quasianalytic metrics (doi:10.1007/s00220-023-04853-z).

After Logunov, the smooth upper bound was known to be polynomial in λ\lambdaλ but not of order λ\sqrt\lambdaλ​. The source of this mission, an OpenAI preprint dated September 23, 2026, claims that the upper bound fails for fixed smooth metrics in dimensions three and four.

Setting

Let (M,g)(M,g)(M,g) be a closed connected smooth Riemannian manifold of dimension ddd. In local coordinates, with ∣g∣=det⁡(gij)|g|=\det(g_{ij})∣g∣=det(gij​) and (gij)(g^{ij})(gij) the inverse matrix, the Laplace–Beltrami operator is Δgu=∣g∣−1/2∂i(∣g∣1/2gij∂ju)\Delta_g u=|g|^{-1/2}\partial_i(|g|^{1/2}g^{ij}\partial_j u)Δg​u=∣g∣−1/2∂i​(∣g∣1/2gij∂j​u). An eigenfunction with eigenvalue λ>0\lambda>0λ>0 is a nonzero real uuu with −Δgu=λu-\Delta_g u=\lambda u−Δg​u=λu; its nodal set is Zu={u=0}Z_u=\{u=0\}Zu​={u=0}, measured by Hgd−1\mathcal H^{d-1}_gHgd−1​, Hausdorff measure for the Riemannian distance of ggg.

The round metric g∗g_*g∗​ on S3⊂R4S^3\subset\mathbb R^4S3⊂R4 is the pullback of the Euclidean inner product. A C∞C^\inftyC∞ neighborhood of g∗g_*g∗​ is any set of metrics containing all ggg whose coefficient functions, in finitely many charts and on compact subsets, have derivatives up to some order within ε\varepsilonε of those of g∗g_*g∗​.

Formalization targets

Goal: Theorem 1.1 (three-sphere)

For every C∞C^\inftyC∞ neighborhood N\mathcal NN of g∗g_*g∗​ there are g∞∈Ng_\infty\in\mathcal Ng∞​∈N, nonzero smooth uju_juj​ and λj>0\lambda_j>0λj​>0 with

−Δg∞uj=λjuj,λj→∞,Hg∞2(Zuj)λj→∞.-\Delta_{g_\infty}u_j=\lambda_ju_j,\qquad \lambda_j\to\infty,\qquad \frac{\mathcal H^2_{g_\infty}(Z_{u_j})}{\sqrt{\lambda_j}}\to\infty.−Δg∞​​uj​=λj​uj​,λj​→∞,λj​​Hg∞​2​(Zuj​​)​→∞.

Lean: OAI.YauCounterexamples.sphere_three, open on the platform.

Milestone: Theorem 1.2 (four-manifold)

There are a smooth metric g∞g_\inftyg∞​ on S2×T2S^2\times\mathbb T^2S2×T2, nonzero smooth uju_juj​ and λj→∞\lambda_j\to\inftyλj​→∞ with −Δg∞uj=λjuj-\Delta_{g_\infty}u_j=\lambda_ju_j−Δg∞​​uj​=λj​uj​ and Hg∞3(Zuj)/λj→∞\mathcal H^3_{g_\infty}(Z_{u_j})/\sqrt{\lambda_j}\to\inftyHg∞​3​(Zuj​​)/λj​​→∞.

Significance

Theorem 1.1 disproves the upper-bound half of Yau's conjecture for smooth metrics already in dimension three, with metrics arbitrarily close to the round sphere, where the bound does hold. Neither theorem asserts a power-law excess, and neither contradicts the lower bound. Together with the companion preprints of this family (a sharp λ\sqrt\lambdaλ​ upper bound on smooth surfaces, and power-law violations in dimension at least five) it would locate the boundary of validity of the upper bound by dimension. The result is claimed in an OpenAI preprint that has not been peer reviewed, and no machine-checked proof exists.

Difficulty

Approximate eigenfunctions (quasimodes) with large nodal sets are comparatively easy to build locally. The obstacle is to replace each quasimode by an exact eigenfunction of an ordinary Laplace–Beltrami operator of one fixed metric, while keeping every sign change that witnesses nodal measure, and to do this for infinitely many eigenvalues at once with corrections that converge in C∞C^\inftyC∞. A scalar potential or conductivity correction would be easy, but the operator must be a genuine metric Laplacian, which imposes a determinant identity between conductivity and density; the paper uses different, dimension-specific repairs in dimensions three and four. Also, the nodal set is not assumed regular, so its measure must be bounded below by a stable, lower semicontinuous count of sign changes.

Formalization scope

  • SmoothMetric E M is Mathlib's ContMDiffRiemannianMetric on the tangent bundle. Sphere 3 is the unit sphere of EuclideanSpace ℝ (Fin 4) with its standard charts; the four-manifold is Sphere 2 × (Circle × Circle).
  • laplaceBeltrami g u x is the coordinate formula above, in the chart at x with coordinates from Module.finBasis; only values in the open chart target are used.
  • IsSmoothNeighborhood g₀ N: some finite list of compact-chart derivative tests and one ε>0\varepsilon>0ε>0 such that every metric passing them lies in N. Quantifying over all such N is the C∞C^\inftyC∞ topology.
  • nodalMeasure g d u is Measure.hausdorffMeasure d of {u=0}\{u=0\}{u=0} for the path distance of g itself (EMetricSpace.ofRiemannianMetric), not the distance inherited from R4\mathbb R^4R4.
  • HasUnboundedNodalRatio g d asks for smooth nonzero eigenfunctions with positive eigenvalues tending to ∞\infty∞, finite nodal measures, and ratio Hd−1/λ→∞\mathcal H^{d-1}/\sqrt\lambda\to\inftyHd−1/λ​→∞. Finiteness rules out the degenerate reading where an infinite measure would become 000 under toReal; it holds for every eigenfunction of a smooth metric on a compact manifold (Hardt–Simon).

A complete development needs elliptic regularity and perturbation theory for simple eigenvalues of metric Laplacians, WKB-type quasimode constructions, and Hausdorff-measure lower bounds from sign changes along segments. Contributions formalizing the named propositions (Proposition 2.6 spherical profiles, Proposition 3.6 simultaneous wave realization, Proposition 4.4 exactification, Proposition 6.2 one construction step) are welcome.

Selected references

  • OpenAI, Smooth counterexamples to Yau's nodal upper bound in dimensions three and four, preprint, September 23, 2026. https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/Smooth-counterexamples-to-Yaus-nodal-upper-bound-in-dimensions-three-and-four-September-23-2026/paper.pdf
  • S.-T. Yau, Problem section, Seminar on Differential Geometry, Annals of Mathematics Studies 102, 1982.
  • H. Donnelly, C. Fefferman, Nodal sets of eigenfunctions on Riemannian manifolds, Invent. Math., 1988. https://doi.org/10.1007/BF01393691
  • R. Hardt, L. Simon, Nodal sets for solutions of elliptic equations, J. Differential Geom., 1989. https://doi.org/10.4310/jdg/1214443599
  • A. Logunov, Nodal sets of Laplace eigenfunctions: polynomial upper estimates of the Hausdorff measure, Ann. of Math., 2018. https://doi.org/10.4007/annals.2018.187.1.4
  • A. Logunov, Nodal sets of Laplace eigenfunctions: proof of Nadirashvili's conjecture and of the lower bound in Yau's conjecture, Ann. of Math., 2018. https://doi.org/10.4007/annals.2018.187.1.5
  • A. Logunov, E. Malinnikova, Nodal sets of Laplace eigenfunctions: estimates of the Hausdorff measure in dimensions two and three, 2018. https://doi.org/10.1007/978-3-319-59078-3_17
  • H. Hezari, Upper bounds on the size of nodal sets for Gevrey and quasianalytic Riemannian manifolds, Commun. Math. Phys., 2023. https://doi.org/10.1007/s00220-023-04853-z
  • A. Enciso, D. Peralta-Salas, Eigenfunctions with prescribed nodal sets, J. Differential Geom., 2015. https://doi.org/10.4310/jdg/1442364650
3 thms1 active userReviewed
Differential GeometryPartial Differential Equations·Captain: wurtle

Sharp nodal length on smooth surfacesResearch Paper

Motivation

The nodal set of a Laplace eigenfunction is the set where it vanishes. On a vibrating membrane these are the curves that stay at rest (Chladni patterns), and in quantum mechanics they are the points where a stationary wave function has zero amplitude. A basic question is how large the nodal set is as the frequency grows. Yau conjectured in 1982 that on a smooth closed nnn-dimensional Riemannian manifold the (n−1)(n-1)(n−1)-dimensional measure of the nodal set of an eigenfunction with eigenvalue λ\lambdaλ is comparable to λ\sqrt\lambdaλ​, from above and below, with constants depending only on the manifold (Yau, Problem section, Annals of Math. Studies 102, 1982). The question is a test case for unique continuation and quantitative control of the zeros of solutions to elliptic equations.

Timeline

  • 1978. Brüning proves the lower bound H1(Zu)≥cλ\mathcal H^1(Z_u)\ge c\sqrt\lambdaH1(Zu​)≥cλ​ on smooth surfaces (doi:10.1007/BF01214561).
  • 1982. Yau states the conjecture (upper and lower bounds of order λ\sqrt\lambdaλ​ in every dimension).
  • 1988. Donnelly and Fefferman prove both bounds for real-analytic manifolds and metrics (doi:10.1007/BF01393691).
  • 1990. Donnelly and Fefferman prove the upper bound Cλ3/4C\lambda^{3/4}Cλ3/4 for smooth surfaces (doi:10.1090/S0894-0347-1990-1035413-2); Dong gives a different proof of the same order in 1992 (doi:10.4310/JDG/1214448750).
  • 2005. Nazarov, Polterovich and Sodin propose a statistical approach to local doubling and relate it to nodal length (doi:10.1353/ajm.2005.0030).
  • 2015. Roy-Fortin establishes comparisons between local growth exponents and nodal length on surfaces (doi:10.2140/apde.2015.8.223, arXiv:1510.02376).
  • 2018. Logunov proves the lower bound in every dimension (doi:10.4007/annals.2018.187.1.5); Logunov and Malinnikova improve the surface upper bound to Cλ3/4−βC\lambda^{3/4-\beta}Cλ3/4−β for a universal β∈(0,1/4)\beta\in(0,1/4)β∈(0,1/4) (doi:10.1007/978-3-319-59078-3_17).

The source of this mission, an OpenAI preprint dated September 23, 2026, claims the sharp upper bound CλC\sqrt\lambdaCλ​ on every smooth closed surface, which together with Brüning's lower bound would settle Yau's conjecture in dimension two.

Setting

Let (M,g)(M,g)(M,g) be a closed (compact, without boundary) connected smooth Riemannian surface. In local coordinates write g=(gij)g=(g_{ij})g=(gij​), ∣g∣=det⁡(gij)|g|=\det(g_{ij})∣g∣=det(gij​) and (gij)(g^{ij})(gij) for the inverse matrix. The Laplace–Beltrami operator is

Δgu=∣g∣−1/2∑i,j∂i(∣g∣1/2gij∂ju).\Delta_g u=|g|^{-1/2}\sum_{i,j}\partial_i\bigl(|g|^{1/2}g^{ij}\partial_j u\bigr).Δg​u=∣g∣−1/2i,j∑​∂i​(∣g∣1/2gij∂j​u).

A Laplace eigenfunction with eigenvalue λ>0\lambda>0λ>0 is a nonzero real function uuu with −Δgu=λu-\Delta_g u=\lambda u−Δg​u=λu. Its nodal set is Zu={x∈M:u(x)=0}Z_u=\{x\in M: u(x)=0\}Zu​={x∈M:u(x)=0}, and its nodal length is Hg1(Zu)\mathcal H^1_g(Z_u)Hg1​(Zu​), the one-dimensional Hausdorff measure for the Riemannian distance dgd_gdg​.

Formalization targets

Goal: Theorem 1.1

∃ C=C(M,g)<∞  ∀λ>0  ∀u≢0:−Δgu=λu ⟹ Hg1(Zu)≤Cλ.\exists\,C=C(M,g)<\infty\ \ \forall\lambda>0\ \ \forall u\not\equiv0:\quad -\Delta_g u=\lambda u\ \Longrightarrow\ \mathcal H^1_g(Z_u)\le C\sqrt\lambda.∃C=C(M,g)<∞  ∀λ>0  ∀u≡0:−Δg​u=λu ⟹ Hg1​(Zu​)≤Cλ​.

The constant depends only on the surface and its metric and is the same for every eigenfunction in every positive eigenspace. The Lean statement OAI.SharpNodal.Main asserts MainStatement M; it is open on the platform.

Significance

The order λ\sqrt\lambdaλ​ is optimal: Brüning's lower bound shows it cannot be improved, and on the round sphere spherical harmonics attain it. Before this work the best smooth-surface upper bound was Cλ3/4−βC\lambda^{3/4-\beta}Cλ3/4−β. A sharp upper bound on every smooth surface, combined with the known lower bounds, would resolve Yau's conjecture for smooth closed surfaces; in dimensions three and higher the smooth upper bound remains a separate question (the companion missions in this family address it).

The theorem is claimed in an OpenAI preprint that has not been peer reviewed; no machine-checked proof exists. A formal proof would certify a long chain of quantitative estimates (Carleman inequalities, multiscale subdivision, packing), each of which is a natural target for reuse in other unique-continuation problems.

Difficulty

For a real-analytic metric, an eigenfunction extends holomorphically and its zeros can be counted by complex-analytic methods; this is how Donnelly and Fefferman obtain λ\sqrt\lambdaλ​. For a merely smooth metric no such extension exists. The standard route bounds nodal length on each wavelength-sized square by the local doubling exponent (growth of the L2L^2L2 norm from a disk to a larger disk). The known bounds on individual doubling exponents are too weak: a square can have growth much larger than average, and summing worst-case local bounds loses a power of λ\lambdaλ. What is needed is control of the average growth over all wavelength-scale squares, while allowing large values on individual squares.

Formalization scope

  • The surface is a type M with [MetricSpace M] [ChartedSpace (EuclideanSpace ℝ (Fin 2)) M] [IsManifold 𝓘(ℝ, Plane) ∞ M], a smooth RiemannianBundle on the tangent bundle, and [IsRiemannianManifold 𝓘(ℝ,Plane) M], so the metric-space distance is the Riemannian distance. CompactSpace and ConnectedSpace encode closed and connected; the model space has no boundary.
  • laplaceBeltrami is the coordinate formula above, computed through chartAt with the metric matrix obtained from mfderiv of the inverse chart. No orientability is assumed.
  • Eigenfunctions are assumed ContMDiff … ∞ and nonzero, with −Δgu=λu-\Delta_g u=\lambda u−Δg​u=λu at every point; smoothness is automatic by elliptic regularity, so this does not weaken the statement.
  • nodalLength u is Measure.hausdorffMeasure 1 of {u=0}\{u=0\}{u=0} for the Borel structure of the metric, valued in ℝ≥0∞; the bound is ≤ ENNReal.ofReal (C * Real.sqrt lam) with C≥0C\ge0C≥0 fixed before λ\lambdaλ and uuu.

A complete development needs local isothermal coordinates or a coordinate-free substitute, Carleman estimates, L2L^2L2 growth bounds, and a planar comparison between growth and nodal length (Roy-Fortin's theorem). Much of this, especially Hausdorff-measure estimates for zero sets of solutions of planar elliptic equations, is reusable. Contributions formalizing the paper's intermediate results (Theorem 2.2, Proposition 3.4, Theorem 5.5, Lemma 6.2) or Roy-Fortin's planar theorem are welcome.

Selected references

  • OpenAI, Sharp nodal length on smooth surfaces, preprint, September 23, 2026. https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/Sharp-nodal-length-on-smooth-surfaces-September-23-2026/paper.pdf
  • S.-T. Yau, Problem section, in Seminar on Differential Geometry, Annals of Mathematics Studies 102, Princeton University Press, 1982.
  • J. Brüning, Über Knoten von Eigenfunktionen des Laplace–Beltrami-Operators, Math. Z., 1978. https://doi.org/10.1007/BF01214561
  • H. Donnelly, C. Fefferman, Nodal sets of eigenfunctions on Riemannian manifolds, Invent. Math., 1988. https://doi.org/10.1007/BF01393691
  • H. Donnelly, C. Fefferman, Nodal sets for eigenfunctions of the Laplacian on surfaces, J. Amer. Math. Soc., 1990. https://doi.org/10.1090/S0894-0347-1990-1035413-2
  • R.-T. Dong, Nodal sets of eigenfunctions on Riemann surfaces, J. Differential Geom., 1992. https://doi.org/10.4310/JDG/1214448750
  • F. Nazarov, L. Polterovich, M. Sodin, Sign and area in nodal geometry of Laplace eigenfunctions, Amer. J. Math., 2005. https://doi.org/10.1353/ajm.2005.0030
  • G. Roy-Fortin, Nodal sets and growth exponents of Laplace eigenfunctions on surfaces, Anal. PDE, 2015. https://doi.org/10.2140/apde.2015.8.223
  • A. Logunov, Nodal sets of Laplace eigenfunctions: proof of Nadirashvili's conjecture and of the lower bound in Yau's conjecture, Ann. of Math., 2018. https://doi.org/10.4007/annals.2018.187.1.5
  • A. Logunov, E. Malinnikova, Nodal sets of Laplace eigenfunctions: estimates of the Hausdorff measure in dimensions two and three, Oper. Theory Adv. Appl. 261, 2018. https://doi.org/10.1007/978-3-319-59078-3_17
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Functional Analysis·Captain: wurtle

Universal strong Kadison–Kastler stabilityResearch Paper

Motivation

How rigid is a von Neumann algebra inside B(H)B(H)B(H)? If two algebras M,N⊆B(H)M,N\subseteq B(H)M,N⊆B(H) have unit balls that are uniformly close, must they be the same algebra up to a small change of coordinates? Kadison and Kastler introduced the distance between the unit balls in 1972 (Amer. J. Math. 1972) and asked whether sufficiently close algebras are spatially isomorphic, implemented by a unitary close to the identity. The positive answer for a class of algebras is called (strong) Kadison–Kastler stability. The problem connects perturbation theory, Hochschild cohomology, and Kadison's similarity problem, and it was settled previously only for injective (amenable) algebras, type I algebras, and specific nonamenable examples.

This mission asks for a formal proof of the uniform strong Kadison–Kastler stability theorem stated in an OpenAI preprint dated September 23, 2026 (source): a single tolerance works for all von Neumann algebras on all Hilbert spaces. The preprint has not been peer reviewed and its claims have not been independently verified; on the platform the Lean goal is open.

Background

  • 1972 — Kadison and Kastler introduce the metric and prove stability results for type I algebras (Amer. J. Math. 1972).
  • 1974–1975 — Phillips proves spatial isomorphism for close type I algebras (Pacific J. Math. 1974); Christensen obtains a conjugating unitary near the identity (J. LMS 1975).
  • 1977 — Christensen (Invent. Math. 1977), Johnson (Proc. LMS 1977) and Raeburn–Taylor (JFA 1977) settle the injective case.
  • 1980 — Christensen's theory of near inclusions (Acta Math. 1980).
  • 1982 — Johnson's examples show that for C*-algebras the implementing unitary cannot always be chosen near the identity in a uniform way (Canad. Math. Bull. 1982).
  • 1983 — Haagerup's cyclic similarity estimate (Ann. of Math. 1983).
  • 2010–2012 — Christensen, Sinclair, Smith, White and Winter prove spatial isomorphism for close separable nuclear C*-algebras (PNAS 2010; Acta Math. 2012).
  • 2012–2014 — Cameron, Christensen, Sinclair, Smith, White and Wiggins construct the first nonamenable Kadison–Kastler stable factors, (L∞(X)⋊SLn(Z))⊗ˉR(L^\infty(X)\rtimes SL_n(\mathbb Z))\bar\otimes R(L∞(X)⋊SLn​(Z))⊗ˉ​R for n≥3n\ge3n≥3 (PNAS 2012; Duke 2014).
  • September 2026 — The OpenAI preprint claims uniform stability for all von Neumann algebras (Theorem 1.1, p. 2).

Setting

Let HHH be a complex Hilbert space and B(H)B(H)B(H) the bounded operators with the operator norm. A von Neumann algebra M⊆B(H)M\subseteq B(H)M⊆B(H) is a unital ∗*∗-subalgebra equal to its double commutant (in particular it contains the identity IHI_HIH​). Write M1={x∈M:∥x∥≤1}M_1=\{x\in M:\|x\|\le1\}M1​={x∈M:∥x∥≤1} for its unit ball. The Kadison–Kastler distance is the Hausdorff distance of unit balls,

d(M,N)=max⁡(sup⁡x∈M1inf⁡y∈N1∥x−y∥, sup⁡y∈N1inf⁡x∈M1∥x−y∥).d(M,N)=\max\Bigl(\sup_{x\in M_1}\inf_{y\in N_1}\|x-y\|,\ \sup_{y\in N_1}\inf_{x\in M_1}\|x-y\|\Bigr).d(M,N)=max(x∈M1​sup​y∈N1​inf​∥x−y∥, y∈N1​sup​x∈M1​inf​∥x−y∥).

A unitary u∈B(H)u\in B(H)u∈B(H) conjugates MMM to NNN if uMu∗=NuMu^*=NuMu∗=N.

Formalization targets

Goal: Theorem 1.1 (p. 2)

For every ε>0\varepsilon>0ε>0 there is δ>0\delta>0δ>0 such that for every complex Hilbert space HHH and all von Neumann algebras M,N⊆B(H)M,N\subseteq B(H)M,N⊆B(H) with d(M,N)<δd(M,N)<\deltad(M,N)<δ, there is a unitary u∈B(H)u\in B(H)u∈B(H) with

uMu∗=Nand∥u−IH∥<ε.uMu^*=N\qquad\text{and}\qquad\|u-I_H\|<\varepsilon .uMu∗=Nand∥u−IH​∥<ε.

The tolerance δ\deltaδ depends only on ε\varepsilonε: not on the algebras, their type, their representations, or the size of HHH.

Significance

The result itself. It answers the Kadison–Kastler perturbation question in its strongest uniform form for von Neumann algebras, including all nonamenable and type III cases and non-separable Hilbert spaces. Consequences include that every algebraic or analytic invariant preserved by unitary conjugacy (type, factoriality, property Γ\GammaΓ, Cartan subalgebras) is locally constant in the Kadison–Kastler metric. The analogous C*-algebra statement fails in its uniform-unitary form by Johnson's examples, so the theorem is specific to von Neumann algebras.

Formalizing it. The statement uses only Mathlib's VonNeumannAlgebra, unitary operators and Hausdorff distance, so it is fully expressible today. The proof, however, draws on free probability, tracial ultraproducts, Tomita–Takesaki theory, crossed products, Poisson boundaries and measurable cocycles, most of which are absent from Mathlib. Formalizing even the amenable (injective) case would be a substantial reusable contribution.

Difficulty

Closeness of unit balls supplies nearby elements but no linear or multiplicative correspondence between the algebras, and it gives no control at matrix levels, where perturbation arguments naturally live. For nonamenable algebras the classical route through vanishing Hochschild cohomology is unavailable. The preprint proceeds by cases. For finite factors it proves a uniform bound on all matrix amplifications of commutator maps (Theorem 3.1, p. 11) and corrects nearby unitaries to a measurable cocycle over an amenable boundary action (Section 4). Infinite factors require comparing modular groups through Tomita graphs (Proposition 6.5, p. 41) and aligning the modular action (Proposition 7.1, p. 45) before passing to crossed products (Theorem 8.4, p. 59). General algebras then require aligning centers and passing from separable to arbitrary Hilbert spaces (Section 9) without losing uniformity.

Formalization scope

  • HHH ranges over complex Hilbert spaces (NormedAddCommGroup, InnerProductSpace ℂ, CompleteSpace) in a fixed universe u; δ\deltaδ is chosen before HHH, so the uniformity over Hilbert spaces is part of the statement.
  • VonNeumannAlgebra H is Mathlib's notion; these algebras contain the identity, so "unital with identity IHI_HIH​" is built in.
  • kkDistance M N is Metric.hausdorffDist of the closed unit balls. Both balls contain 000 and are bounded, so the Hausdorff distance is finite and the definition is exactly (1.1).
  • NearConjugacy M N ε asks for a unitary vvv with v M v∗=Nv\,M\,v^*=NvMv∗=N as sets and ∥v−1∥<ε\|v-1\|<\varepsilon∥v−1∥<ε.
  • There is no trivializing reading: the hypotheses are satisfied by M=NM=NM=N, and the conclusion is nontrivial for M≠NM\neq NM=N.

Selected references

  • OpenAI, Universal strong Kadison–Kastler stability, OpenAI Math Release preprint, September 23, 2026. https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/Universal-strong-Kadison-Kastler-stability-September-23-2026/paper.pdf
  • R. V. Kadison, D. Kastler, Perturbations of von Neumann algebras. I. Stability of type, Amer. J. Math. 94 (1972). https://doi.org/10.2307/2373592
  • E. Christensen, Perturbations of type I von Neumann algebras, J. London Math. Soc. (1975). https://doi.org/10.1112/jlms/s2-9.3.395
  • E. Christensen, Perturbation of operator algebras, Invent. Math. 43 (1977). https://doi.org/10.1007/BF01390201
  • B. E. Johnson, Perturbations of Banach algebras, Proc. London Math. Soc. (1977). https://doi.org/10.1112/plms/s3-34.3.439
  • I. Raeburn, J. L. Taylor, Hochschild cohomology and perturbations of Banach algebras, J. Funct. Anal. (1977). https://doi.org/10.1016/0022-1236(77)90072-6
  • E. Christensen, Near inclusions of C-algebras*, Acta Math. 144 (1980). https://doi.org/10.1007/BF02392125
  • B. E. Johnson, A counterexample in the perturbation theory of C-algebras*, Canad. Math. Bull. 25 (1982). https://doi.org/10.4153/CMB-1982-043-4
  • U. Haagerup, Solution of the similarity problem for cyclic representations of C-algebras*, Ann. of Math. 118 (1983). https://doi.org/10.2307/2007028
  • E. Christensen, A. M. Sinclair, R. R. Smith, S. A. White, W. Winter, Perturbations of nuclear C-algebras*, Acta Math. 208 (2012). https://doi.org/10.1007/s11511-012-0075-5
  • J. Cameron, E. Christensen, A. M. Sinclair, R. R. Smith, S. A. White, A. D. Wiggins, Kadison–Kastler stable factors, Duke Math. J. 163 (2014). https://doi.org/10.1215/00127094-2819736
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Mathematical PhysicsPartial Differential Equations·Captain: wurtle

Sharp one-dimensional Lieb–Thirring constantsResearch Paper

Motivation

Lieb–Thirring inequalities bound the negative eigenvalues of a Schrödinger operator −Δ−W-\Delta-W−Δ−W by an integral of the potential. Lieb and Thirring introduced them in 1975 to give a short proof of the stability of matter, and they remain basic tools in mathematical physics, spectral theory and the analysis of many-fermion systems. The sharp constants are known only in a few cases. In one dimension, the Lieb–Thirring conjecture predicts the sharp constant for every exponent γ\gammaγ: for 1/2<γ<3/21/2<\gamma<3/21/2<γ<3/2 it should be the constant of the best potential with a single bound state, given by an explicit sech⁡2\operatorname{sech}^2sech2 profile.

Timeline

  • 1961. Keller solves the one-bound-state variational problem (doi:10.1063/1.1703708).
  • 1971, 1974. Inverse-scattering trace identities for the KdV equation give the sharp value L3/2,1=3/16L_{3/2,1}=3/16L3/2,1​=3/16 (Zakharov–Faddeev, doi:10.1007/BF01086739; Gardner–Greene–Kruskal–Miura, doi:10.1002/cpa.3160270108).
  • 1975–1976. Lieb and Thirring prove their inequalities and state the one-dimensional conjecture (doi:10.1103/PhysRevLett.35.687).
  • 1978. Aizenman and Lieb extend semiclassical equality to all γ≥3/2\gamma\ge3/2γ≥3/2 (doi:10.1016/0375-9601(78)90385-7).
  • 1996, 1998. Weidl proves finiteness of L1/2,1L_{1/2,1}L1/2,1​ (doi:10.1007/BF02104912); Hundertmark, Lieb and Thomas obtain its sharp value 1/21/21/2 (doi:10.4310/ATMP.1998.v2.n4.a2).
  • 2000. Laptev and Weidl prove sharp semiclassical constants in all dimensions for γ≥3/2\gamma\ge3/2γ≥3/2 (doi:10.1007/BF02392782); Hundertmark, Laptev and Weidl prove Lγ,1≤2Lγ,1clL_{\gamma,1}\le2L^{\rm cl}_{\gamma,1}Lγ,1​≤2Lγ,1cl​ for 1/2≤γ<3/21/2\le\gamma<3/21/2≤γ<3/2 (doi:10.1007/s002220000077).
  • 2008–2025. Improved constants at γ=1\gamma=1γ=1 by Dolbeault–Laptev–Loss (doi:10.4171/JEMS/142), Frank–Hundertmark–Jex–Nam (doi:10.4171/JEMS/1062) and Corso–Ried (doi:10.1007/s00220-024-05216-y); Levitt's numerics support the conjectured value (doi:10.4171/JST/65).
  • 2026. Read and Schulz prove the sharp case γ=1\gamma=1γ=1 (arXiv:2609.10478).

The source of this mission, an OpenAI preprint dated September 23, 2026, proves the conjectured sharp constant for every 1/2<γ<3/21/2<\gamma<3/21/2<γ<3/2.

Setting

For 0≤W∈Lγ+1/2(R)0\le W\in L^{\gamma+1/2}(\mathbb R)0≤W∈Lγ+1/2(R), let H−WH_{-W}H−W​ be the self-adjoint operator of the quadratic form

h−W[v]=∫R∣v′∣2 dx−∫RW∣v∣2 dx,v∈H1(R).h_{-W}[v]=\int_{\mathbb R}|v'|^2\,dx-\int_{\mathbb R}W|v|^2\,dx,\qquad v\in H^1(\mathbb R).h−W​[v]=∫R​∣v′∣2dx−∫R​W∣v∣2dx,v∈H1(R).

For γ>1/2\gamma>1/2γ>1/2 its negative spectrum is discrete; write Tr⁡(H−W)−γ=∑λj<0∣λj∣γ\operatorname{Tr}(H_{-W})_-^\gamma=\sum_{\lambda_j<0}|\lambda_j|^\gammaTr(H−W​)−γ​=∑λj​<0​∣λj​∣γ with multiplicity, possibly +∞+\infty+∞ a priori. The optimal constant is

Lγ,1=sup⁡0≤W∈Lγ+1/2, W≢0Tr⁡(H−W)−γ∫Wγ+1/2,L_{\gamma,1}=\sup_{0\le W\in L^{\gamma+1/2},\ W\not\equiv0}\frac{\operatorname{Tr}(H_{-W})_-^\gamma}{\int W^{\gamma+1/2}},Lγ,1​=0≤W∈Lγ+1/2, W≡0sup​∫Wγ+1/2Tr(H−W​)−γ​​,

Lγ,1(1)L^{(1)}_{\gamma,1}Lγ,1(1)​ is the same supremum with only the lowest eigenvalue retained, and the semiclassical constant is

Lγ,1cl=Γ(γ+1)2π Γ(γ+3/2).L^{\rm cl}_{\gamma,1}=\frac{\Gamma(\gamma+1)}{2\sqrt\pi\,\Gamma(\gamma+3/2)}.Lγ,1cl​=2π​Γ(γ+3/2)Γ(γ+1)​.

Formalization targets

Goal: Theorem 1.1

For 1/2<γ<3/21/2<\gamma<3/21/2<γ<3/2 and every 0≤W∈Lγ+1/2(R)0\le W\in L^{\gamma+1/2}(\mathbb R)0≤W∈Lγ+1/2(R),

Tr⁡(H−W)−γ ≤ 2(γ−1/2γ+1/2)γ−1/2Lγ,1cl∫RWγ+1/2;\operatorname{Tr}(H_{-W})_-^\gamma\ \le\ 2\Bigl(\frac{\gamma-1/2}{\gamma+1/2}\Bigr)^{\gamma-1/2}L^{\rm cl}_{\gamma,1}\int_{\mathbb R}W^{\gamma+1/2};Tr(H−W​)−γ​ ≤ 2(γ+1/2γ−1/2​)γ−1/2Lγ,1cl​∫R​Wγ+1/2;

the constant equals Lγ,1=Lγ,1(1)L_{\gamma,1}=L^{(1)}_{\gamma,1}Lγ,1​=Lγ,1(1)​, and with r=(γ−1/2)−1r=(\gamma-1/2)^{-1}r=(γ−1/2)−1 equality holds for W(x)=(r+1)sech⁡2(rx)W(x)=(r+1)\operatorname{sech}^2(rx)W(x)=(r+1)sech2(rx). The Lean statement OAI.SharpLiebThirring.sharp_lieb_thirring is open on the platform.

Significance

The theorem settles the one-dimensional Lieb–Thirring conjecture on the whole interval 1/2<γ<3/21/2<\gamma<3/21/2<γ<3/2, extending the case γ=1\gamma=1γ=1 of Read and Schulz: allowing many bound states never beats a single optimally shaped well. Combined with the known endpoint results (γ=1/2\gamma=1/2γ=1/2 and γ≥3/2\gamma\ge3/2γ≥3/2), it completes the sharp one-dimensional constants. It also gives the corresponding bound for signed potentials (Corollary 7.3), and through the Laptev–Weidl lifting method one-dimensional sharp constants feed into higher-dimensional estimates.

The result is proved in an OpenAI preprint; it has not been peer reviewed, and no machine-checked proof exists. A formal proof would certify a proof whose key step is a finite-interval action inequality established by a continuation and degree argument for matrix fields.

Difficulty

Single-state bounds and numerical evidence say nothing about potentials with many bound states, and the conjecture requires a bound uniform over all orthonormal families of eigenfunctions. Methods that work at γ=1\gamma=1γ=1 (where the inequality is dual to a kinetic-energy bound for orthonormal families) do not directly apply at other exponents, since the moment ∑∣λj∣γ\sum|\lambda_j|^\gamma∑∣λj​∣γ is not linear in the density matrix. The proof must keep track of the individual eigenvalue scales.

Formalization scope

  • H1 packages u∈L2(R;C)u\in L^2(\mathbb R;\mathbb C)u∈L2(R;C) with a weak derivative in L2L^2L2, tested against smooth compactly supported functions.
  • A negative eigenvalue −k2-k^2−k2 (k>0k>0k>0) is a weak eigenvalue of the form: h−W(v,u)=−k2⟨v,u⟩h_{-W}(v,u)=-k^2\langle v,u\rangleh−W​(v,u)=−k2⟨v,u⟩ for all v∈H1v\in H^1v∈H1.
  • negativeMoment γ W is the supremum, in [0,∞][0,\infty][0,∞], over all finite orthonormal families of such eigenfunctions of ∑iki2γ\sum_ik_i^{2\gamma}∑i​ki2γ​; this counts multiplicity and does not presuppose finiteness. oneStateMoment retains one eigenfunction.
  • Admissible γ W is W≥0W\ge0W≥0 a.e. and W∈Lγ+1/2W\in L^{\gamma+1/2}W∈Lγ+1/2; potentialMass is the lower Lebesgue integral of Wγ+1/2W^{\gamma+1/2}Wγ+1/2; the optimal constants are suprema over admissible WWW with positive mass.
  • For admissible WWW the integral ∫Wuˉv\int W\bar uv∫Wuˉv converges for u,v∈H1u,v\in H^1u,v∈H1, so the form is correctly defined.

A complete development needs Sobolev space H1(R)H^1(\mathbb R)H1(R) and form methods, the variational characterization of negative eigenvalues, Gamma-function identities for Lγ,1clL^{\rm cl}_{\gamma,1}Lγ,1cl​, the explicit sech⁡2\operatorname{sech}^2sech2 eigenvalue computation, and the paper's action inequality. Contributions formalizing Theorem 2.1 (action inequality) and the equality computation for the sech⁡2\operatorname{sech}^2sech2 potential are welcome.

Selected references

  • OpenAI, Sharp one-dimensional Lieb–Thirring constants, preprint, September 23, 2026. https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/Sharp-One-Dimensional-Lieb-Thirring-Constants-September-23-2026/paper.pdf
  • E. H. Lieb, W. E. Thirring, Bound for the kinetic energy of fermions which proves the stability of matter, Phys. Rev. Lett., 1975. https://doi.org/10.1103/PhysRevLett.35.687
  • J. B. Keller, Lower bounds and isoperimetric inequalities for eigenvalues of the Schrödinger equation, J. Math. Phys., 1961. https://doi.org/10.1063/1.1703708
  • D. Hundertmark, E. H. Lieb, L. E. Thomas, A sharp bound for an eigenvalue moment of the one-dimensional Schrödinger operator, Adv. Theor. Math. Phys., 1998. https://doi.org/10.4310/ATMP.1998.v2.n4.a2
  • A. Laptev, T. Weidl, Sharp Lieb–Thirring inequalities in high dimensions, Acta Math., 2000. https://doi.org/10.1007/BF02392782
  • D. Hundertmark, A. Laptev, T. Weidl, New bounds on the Lieb–Thirring constants, Invent. Math., 2000. https://doi.org/10.1007/s002220000077
  • R. L. Frank, D. Hundertmark, M. Jex, P. T. Nam, The Lieb–Thirring inequality revisited, J. Eur. Math. Soc., 2021. https://doi.org/10.4171/JEMS/1062
  • A. Levitt, Best constants in Lieb–Thirring inequalities: a numerical investigation, J. Spectr. Theory, 2014. https://doi.org/10.4171/JST/65
  • L. Read, M. R. Schulz, The sharp one-dimensional Lieb–Thirring inequality for the sum of eigenvalues, preprint, 2026. https://arxiv.org/abs/2609.10478
2 thms1 active userReviewed
Dynamical Systems·Captain: wurtle

Two limit cycles for quintic Liénard systemsResearch Paper

Motivation

A limit cycle of a planar vector field is a periodic orbit that is isolated among periodic orbits. The second part of Hilbert's sixteenth problem asks how many limit cycles a polynomial vector field of a given degree can have, and it is open even for quadratic fields. The classical Liénard systems

x˙=y−F(x),y˙=−x,\dot x=y-F(x),\qquad \dot y=-x,x˙=y−F(x),y˙​=−x,

equivalent to the oscillator equation x′′+F′(x) x′+x=0x''+F'(x)\,x'+x=0x′′+F′(x)x′+x=0, are the most studied restricted family. In 1977 Lins, de Melo and Pugh conjectured that for deg⁡F=n\deg F=ndegF=n the maximum number of limit cycles is ⌊(n−1)/2⌋\lfloor (n-1)/2\rfloor⌊(n−1)/2⌋. The conjecture is now known to fail for n≥6n\ge6n≥6, holds for n≤4n\le4n≤4, and degree five was the remaining undecided case, where it predicts exactly two.

This mission asks for a formal proof of the degree-five bound and its sharpness, as stated in an OpenAI preprint dated September 24, 2026 (source). The preprint has not been peer reviewed and its claims have not been independently verified; on the platform the Lean goal is open.

Background

  • 1975 — Rychkov proves the two-cycle bound for odd quintic FFF (Differ. Uravn. 11, 1975).
  • 1977 — Lins, de Melo and Pugh formulate the ⌊(n−1)/2⌋\lfloor(n-1)/2\rfloor⌊(n−1)/2⌋ conjecture (LNM 597).
  • 2007 — Dumortier, Panazzolo and Roussarie find four cycles with deg⁡F=7\deg F=7degF=7 (Proc. AMS 2007).
  • 2011 — De Maesschalck and Dumortier find ⌊(n−1)/2⌋+2\lfloor(n-1)/2\rfloor+2⌊(n−1)/2⌋+2 cycles for every n≥6n\ge6n≥6 (JDE 2011); De Maesschalck and Huzak later obtain at least n−2n-2n−2 (JDDE 2015).
  • 2012 — Li and Llibre prove at most one limit cycle for deg⁡F=4\deg F=4degF=4 (JDE 2012).
  • 2014 — Li and Lu bound by two the cyclicity of nondegenerate slow–fast cycles in degree five (JDE 2014), a limiting-regime result.
  • 2017 — Llibre and Zhang survey the conjecture (Expo. Math. 2017).
  • September 2026 — The OpenAI preprint claims the unrestricted degree-five bound of two (Theorem 1.1, p. 1).

Setting

For a real polynomial FFF (the primitive of the damping), consider the vector field VF(x,y)=(y−F(x), −x)V_F(x,y)=(y-F(x),\,-x)VF​(x,y)=(y−F(x),−x) on R2\mathbb R^2R2. A solution is a differentiable z:R→R2z:\mathbb R\to\mathbb R^2z:R→R2 with z′(t)=VF(z(t))z'(t)=V_F(z(t))z′(t)=VF​(z(t)) for all ttt. A periodic orbit is the image of a nonconstant solution that is periodic with some period T>0T>0T>0. A limit cycle is a periodic orbit CCC having an open neighbourhood UUU such that every periodic orbit contained in UUU equals CCC. Limit cycles are counted as sets: once each, regardless of multiplicity, stability or hyperbolicity. The periodic orbits of a centre are not limit cycles.

Formalization targets

Goal: Theorem 1.1 (p. 1)

For every real polynomial FFF with deg⁡F≤5\deg F\le5degF≤5,

#{C⊂R2: C is a limit cycle of VF} ≤ 2,\#\{C\subset\mathbb R^2:\ C\ \text{is a limit cycle of }V_F\}\ \le\ 2,#{C⊂R2: C is a limit cycle of VF​} ≤ 2,

and some FFF with deg⁡F≤5\deg F\le5degF≤5 has exactly two limit cycles. No parity, coefficient-sign, hyperbolicity or amplitude restriction is imposed.

Significance

The result itself. It decides the last open degree of the Lins–de Melo–Pugh conjecture in the affirmative, so the conjecture is true exactly for deg⁡F≤5\deg F\le5degF≤5. Unlike the slow–fast result of Li and Lu, it bounds all cycles of every quintic system, including degenerate (multiple) ones and cycles of large amplitude. The preprint also corrects a proposed four-cycle quintic example from the literature by identifying it with a family known to have exactly two periodic solutions (p. 2).

Formalizing it. The statement uses only polynomials, ODE solutions and planar topology, so it is well suited to formal verification, and it would be one of the first machine-checked global limit-cycle bounds for a nonlinear family. The proof's general comparison results for smooth profiles (Propositions 5.2 and 5.3, pp. 32–34) and the global quadratic fit (Theorem 3.6, p. 18) are independent of the polynomial application and reusable.

Difficulty

Small-amplitude (Hopf/Melnikov) calculations only control cycles near the origin or near a perturbation of a centre; they say nothing about distant cycles. The even coefficients of FFF prevent the reduction to the odd quintic family settled by Rychkov. Generic-perturbation arguments that remove multiple cycles cannot be used, since the count must include degenerate cycles. The preprint keeps the two half-orbits separate, writes each as an arch in coordinates u=x2/2u=x^2/2u=x2/2 valid at every amplitude, fits each arch by a quadratic comparison profile (Theorem 3.6), and controls how the fitted parameters move with width through a Schwarzian-type model inequality (Theorem 4.1, p. 20). Periodic orbits then become zeros of a single matching function (Proposition 2.5, p. 10), whose isolated zeros are bounded using an integrating factor (Section 6).

Formalization scope

  • The plane is ℝ × ℝ; vectorField F z = (z.2 - F.eval z.1, -z.1) with F : Polynomial ℝ and F.degree ≤ 5 (this includes constants and the zero polynomial, which have no limit cycles).
  • IsSolution requires HasDerivAt at every real time; IsPeriodicOrbit asks for a solution, a period T > 0, non-constancy, and C = range z.
  • IsLimitCycle F C is a periodic orbit with an open U ⊇ C such that every periodic orbit C' ⊆ U equals C.
  • Counting uses Set.encard on the set of limit cycles, so infinitely many would give ⊤; the goal asks for ≤ 2 for every admissible F and = 2 for some.
  • Neither conjunct is vacuous: the lower bound requires two actual distinct isolated periodic orbits.

Welcome contributions: existence and smooth dependence of return maps for planar polynomial flows, and the energy-identity first-order return calculation used for sharpness (Section 7, p. 39).

Selected references

  • OpenAI, Two limit cycles for quintic Liénard systems, OpenAI Math Release preprint, September 24, 2026. https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/two-limit-cycles-for-quintic-lienard-systems-September-24-2026/two-limit-cycles-for-quintic-lienard-systems-September-24-2026.pdf
  • A. Lins, W. de Melo, C. C. Pugh, On Liénard's equation, in Geometry and Topology, LNM 597, Springer, 1977, 335–357. https://doi.org/10.1007/BFb0085364
  • G. S. Rychkov, The maximal number of limit cycles of the system ẏ=−x, ẋ=y−Σa_i x^{2i+1} is equal to two, Differ. Uravn. 11 (1975), 390–391. https://www.mathnet.ru/eng/de2400
  • F. Dumortier, D. Panazzolo, R. Roussarie, More limit cycles than expected in Liénard equations, Proc. AMS 135 (2007). https://doi.org/10.1090/S0002-9939-07-08688-1
  • P. De Maesschalck, F. Dumortier, Classical Liénard equations of degree n≥6 can have ⌊(n−1)/2⌋+2 limit cycles, J. Differential Equations 250 (2011). https://doi.org/10.1016/j.jde.2010.12.003
  • P. De Maesschalck, R. Huzak, Slow divergence integrals in classical Liénard equations near centers, J. Dyn. Differ. Equ. 27 (2015). https://doi.org/10.1007/s10884-014-9358-1
  • C. Li, J. Llibre, Uniqueness of limit cycles for Liénard differential equations of degree four, J. Differential Equations 252 (2012). https://doi.org/10.1016/j.jde.2011.11.002
  • C. Li, K. Lu, Slow divergence integral and its application to classical Liénard equations of degree 5, J. Differential Equations 257 (2014). https://doi.org/10.1016/j.jde.2014.08.015
  • J. Llibre, X. Zhang, Limit cycles of the classical Liénard differential systems: a survey on the Lins Neto, de Melo and Pugh's conjecture, Expo. Math. 35 (2017). https://doi.org/10.1016/j.exmath.2016.12.001
  • K. Odani, Existence of exactly N periodic solutions for Liénard systems, Funkcial. Ekvac. 39 (1996). https://doi.org/10.24546/0100499900
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Discrete Geometry·Captain: wurtle

The logarithmic Brunn–Minkowski conjectureResearch Paper

Motivation: a logarithmic strengthening of Brunn–Minkowski

The Brunn–Minkowski inequality ∣(1−λ)K+λL∣≥∣K∣1−λ∣L∣λ|(1-\lambda)K+\lambda L|\ge|K|^{1-\lambda}|L|^\lambda∣(1−λ)K+λL∣≥∣K∣1−λ∣L∣λ is a cornerstone of convex geometry, with consequences ranging from the isoperimetric inequality to concentration of measure. The LpL_pLp​ Brunn–Minkowski theory of Firey and Lutwak replaces the Minkowski combination, whose support function is (1−λ)hK+λhL(1-\lambda)h_K+\lambda h_L(1−λ)hK​+λhL​, by a ppp-mean of support functions. As p↓0p\downarrow0p↓0 the ppp-mean becomes the geometric mean hK1−λhLλh_K^{1-\lambda}h_L^{\lambda}hK1−λ​hLλ​, giving the logarithmic combination of two bodies. In 2012 Böröczky, Lutwak, Yang and Zhang conjectured that, for origin-symmetric convex bodies, the logarithmic combination already satisfies the multiplicative Brunn–Minkowski bound. This would be a strict strengthening of the classical inequality in the symmetric case. The conjecture is equivalent to a logarithmic Minkowski inequality for cone-volume measures and, by work of Saroglou, implies the (B)-conjecture for even log-concave measures. Symmetry is essential: the inequality fails for general bodies.

Timeline

  • 1962–1993 — Firey introduces ppp-means of convex bodies (Math. Scand. 10); Lutwak develops the LpL_pLp​ Brunn–Minkowski–Firey theory (J. Differential Geom. 38).
  • 2012 — Böröczky, Lutwak, Yang and Zhang pose the origin-symmetric log-Brunn–Minkowski conjecture (Problem 1.1), prove it in the plane, and show its equivalence with the logarithmic Minkowski inequality (Adv. Math.); in 2013 they characterize even cone-volume measures (J. Amer. Math. Soc. 26).
  • 2015–2016 — Saroglou proves the inequality for bodies unconditional in a common basis (Geom. Dedicata) and shows that the Lebesgue case implies the same inequality for all even log-concave measures, hence the (B)-conjecture (Mathematika).
  • 2017 — Colesanti, Livshyts and Marsiglietti prove a local version near Euclidean balls (J. Funct. Anal. 273).
  • 2020–2022 — Chen, Huang, Li and Liu prove the global LpL_pLp​ inequality for ppp close to 111 (Adv. Math. 368); Kolesnikov and Milman prove the local LpL_pLp​ inequality for p≥1−cn−3/2p\ge1-cn^{-3/2}p≥1−cn−3/2 (Mem. AMS 277); Putterman proves local-to-global equivalence for all p∈[0,1)p\in[0,1)p∈[0,1) (J. Funct. Anal. 280); Böröczky and Kalantzopoulos treat bodies with common reflection symmetries (Trans. AMS 375, 2022).
  • 2023 — van Handel proves the local logarithmic inequality for origin-symmetric zonoids (GAFA Seminar).
  • 2026 — An OpenAI preprint, The logarithmic Brunn–Minkowski conjecture (OpenAI Math Release, September 23, 2026), claims the conjecture for origin-symmetric convex bodies in every dimension. It has not been peer reviewed, and its proof is not formally verified.

Setting

A convex body K⊂RnK\subset\mathbb R^nK⊂Rn is a compact convex set with nonempty interior; it is origin-symmetric if K=−KK=-KK=−K, in which case 000 is an interior point. Its support function is

hK(u)=max⁡x∈K⟨x,u⟩,u∈Sn−1,h_K(u)=\max_{x\in K}\langle x,u\rangle ,\qquad u\in S^{n-1},hK​(u)=x∈Kmax​⟨x,u⟩,u∈Sn−1,

which is strictly positive for origin-symmetric bodies. For a positive function fff on the sphere, the Wulff body is

W[f]=⋂u∈Sn−1{x:⟨x,u⟩≤f(u)}.\mathcal W[f]=\bigcap_{u\in S^{n-1}}\{x:\langle x,u\rangle\le f(u)\}.W[f]=u∈Sn−1⋂​{x:⟨x,u⟩≤f(u)}.

The logarithmic combination of K,LK,LK,L with parameter λ∈[0,1]\lambda\in[0,1]λ∈[0,1] is W[hK1−λhLλ]\mathcal W[h_K^{1-\lambda}h_L^{\lambda}]W[hK1−λ​hLλ​]. In general hK1−λhLλh_K^{1-\lambda}h_L^{\lambda}hK1−λ​hLλ​ is not itself a support function, which is why the Wulff body is needed. ∣⋅∣|\cdot|∣⋅∣ denotes Lebesgue measure.

Formalization targets

Goal: the even logarithmic Brunn–Minkowski inequality (Theorem 1.1)

For n≥1n\ge1n≥1, origin-symmetric convex bodies K,L⊂RnK,L\subset\mathbb R^nK,L⊂Rn and 0≤λ≤10\le\lambda\le10≤λ≤1,

∣W[hK1−λhLλ]∣ ≥ ∣K∣1−λ ∣L∣λ.\bigl|\mathcal W[h_K^{1-\lambda}h_L^{\lambda}]\bigr|\ \ge\ |K|^{1-\lambda}\,|L|^{\lambda}.​W[hK1−λ​hLλ​]​ ≥ ∣K∣1−λ∣L∣λ.

The goal statement is published on the platform with status Open.

Significance

The result itself. By the arithmetic–geometric mean inequality, W[hK1−λhLλ]⊆(1−λ)K+λL\mathcal W[h_K^{1-\lambda}h_L^\lambda]\subseteq(1-\lambda)K+\lambda LW[hK1−λ​hLλ​]⊆(1−λ)K+λL, so the theorem strengthens the multiplicative Brunn–Minkowski inequality for symmetric bodies. It implies the symmetric LpL_pLp​ Brunn–Minkowski inequality for every 0<p<10<p<10<p<1 (Corollary 1.2 of the source), the logarithmic Minkowski inequality for cone-volume measures, and, through Saroglou's transfer, the (B)-conjecture: t↦μ(etK)t\mapsto\mu(e^tK)t↦μ(etK) is log-concave for every even log-concave measure μ\muμ and origin-symmetric convex body KKK (Corollary 8.1 of the source).

Formalizing it. The statement uses only Euclidean space, support functions and Lebesgue measure, all in Mathlib. The proof uses smooth approximation of polytopes, moment coordinates, a variance bound and a tensor estimate. A formal proof would put a long-standing conjecture of convex geometry on a machine-checked footing; Mathlib does not yet contain the classical Brunn–Minkowski inequality in this generality, and that would be a natural reusable milestone.

Difficulty

The classical proofs of Brunn–Minkowski (Prékopa–Leindler, mass transport) apply to Minkowski sums, but the logarithmic combination is not a Minkowski sum and hK1−λhLλh_K^{1-\lambda}h_L^\lambdahK1−λ​hLλ​ is not a support function, so these tools give only the weaker inclusion bound. Local (second-variation) approaches reduce the problem to a spectral gap for the Hilbert–Brunn–Minkowski operator on even functions, but local-to-global arguments had only been completed near the ball, for zonoids, or under extra symmetry. Without symmetry the inequality is false, so any argument must use the evenness of the bodies.

Formalization scope

  • Space is EuclideanSpace ℝ (Fin n) with n≥1n\ge1n≥1; convex bodies are compact, convex, with nonempty interior; symmetry is x ∈ K ↔ -x ∈ K.
  • The support function is a real sSup of ⟨x,u⟩\langle x,u\rangle⟨x,u⟩ over KKK, nonempty and bounded for a convex body, so it is the true maximum. Real powers rpow are applied to positive support values (positivity follows from symmetry and nonempty interior).
  • The Wulff body is the intersection of half-spaces over unit vectors uuu. Volumes are volume in ℝ≥0∞, with ℝ≥0∞-valued powers 1−λ1-\lambda1−λ and λ\lambdaλ. At λ∈{0,1}\lambda\in\{0,1\}λ∈{0,1} the inequality reduces to ∣K∣≤∣K∣|K|\le|K|∣K∣≤∣K∣ (resp. ∣L∣≤∣L∣|L|\le|L|∣L∣≤∣L∣), so the edge cases are consistent.
  • Needed infrastructure: support functions and Wulff shapes, polytope approximation, the Prékopa–Leindler inequality, and log-concave measures. Contributions formalizing the planar case, the unconditional case (Saroglou) or Corollary 1.2 from Theorem 1.1 are welcome.

Selected references

  • W. J. Firey, p-Means of convex bodies, Math. Scand. 10 (1962), 17–24. https://doi.org/10.7146/math.scand.a-10510
  • E. Lutwak, The Brunn–Minkowski–Firey theory I, J. Differential Geom. 38 (1993), 131–150. https://doi.org/10.4310/jdg/1214454097
  • K. J. Böröczky, E. Lutwak, D. Yang and G. Zhang, The log-Brunn–Minkowski inequality, Adv. Math. (2012). https://doi.org/10.1016/j.aim.2012.07.015
  • K. J. Böröczky, E. Lutwak, D. Yang and G. Zhang, The logarithmic Minkowski problem, J. Amer. Math. Soc. 26 (2013), 831–852. https://doi.org/10.1090/S0894-0347-2012-00741-3
  • C. Saroglou, Remarks on the conjectured log-Brunn–Minkowski inequality, Geom. Dedicata (2015). https://doi.org/10.1007/s10711-014-9993-z
  • C. Saroglou, More on logarithmic sums of convex bodies, Mathematika (2016). https://doi.org/10.1112/S0025579316000061
  • A. V. Kolesnikov and E. Milman, Local LpL^pLp-Brunn–Minkowski inequalities for p<1p<1p<1, Mem. Amer. Math. Soc. 277 (2022). https://doi.org/10.1090/memo/1360
  • E. Putterman, Equivalence of the local and global versions of the LpL^pLp-Brunn–Minkowski inequality, J. Funct. Anal. 280 (2021). https://doi.org/10.1016/j.jfa.2021.108956
  • R. van Handel, The local logarithmic Brunn–Minkowski inequality for zonoids, GAFA Seminar 2020–2022 (2023). https://doi.org/10.1007/978-3-031-26300-2_14
  • OpenAI, The logarithmic Brunn–Minkowski conjecture, OpenAI Math Release preprint, September 23, 2026 (Theorem 1.1, p. 2). https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/The-logarithmic-Brunn-Minkowski-conjecture-September-23-2026/paper.pdf
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Harmonic Analysis·Captain: wurtle

An Endpoint Gradient Bound for the Centered Disk Maximal OperatorResearch Paper

Motivation

The Hardy–Littlewood maximal function replaces a function by the largest of its averages around each point. It is the basic tool for differentiation theorems and singular integrals, and it is bounded on LpL^pLp for p>1p>1p>1 but not on L1L^1L1. Kinnunen showed that it also preserves first-order Sobolev regularity: it is bounded on W1,p(Rn)W^{1,p}(\mathbb R^n)W1,p(Rn) for 1<p<∞1<p<\infty1<p<∞, because ∣∇Mf∣≤M∣∇f∣|\nabla Mf|\le M|\nabla f|∣∇Mf∣≤M∣∇f∣ pointwise (Kinnunen 1997). At p=1p=1p=1 this argument breaks, since MMM is unbounded on L1L^1L1. Hajłasz and Onninen asked whether the gradient estimate ∥∇Mf∥1≤C∥∇f∥1\|\nabla Mf\|_1\le C\|\nabla f\|_1∥∇Mf∥1​≤C∥∇f∥1​ nevertheless holds (Question 1 in Ann. Acad. Sci. Fenn. Math. 2004). The question is a test of whether maximal operators improve or destroy regularity at the endpoint, where the usual LpL^pLp machinery is unavailable.

This mission asks for a formal proof of the planar centered-disk case, as stated in an OpenAI preprint dated September 26, 2026 (source). The preprint has not been peer reviewed and its claims have not been independently verified; on the platform the Lean goal is open.

Background

  • 1997 — Kinnunen: MMM is bounded on W1,pW^{1,p}W1,p, 1<p<∞1<p<\infty1<p<∞ (Israel J. Math. 1997).
  • 2002–2007 — In one dimension, Tanaka proves an L1L^1L1 derivative bound for the uncentered operator (Bull. Austral. Math. Soc. 2002); Aldaz and Pérez Lázaro obtain the sharp variation constant and absolute continuity (Trans. AMS 2007).
  • 2004 — Hajłasz and Onninen pose the endpoint question.
  • 2009 — Aldaz and Pérez Lázaro treat block-decreasing inputs in higher dimensions (Studia Math. 2009).
  • 2015 — Kurka proves a variation bound for the one-dimensional centered operator (Ann. Acad. Sci. Fenn. Math. 2015).
  • 2018 — Luiro proves the L1L^1L1 gradient estimate for radial inputs and the uncentered ball operator (Ark. Mat. 2018).
  • 2020–2025 — Beltran–Madrid and Weigt treat fractional centered operators (JFA 2020; Math. Z. 2022); Weigt proves variation bounds for dyadic and uncentered-cube maximal operators (IMRN 2023; JEMS 2025); Lahti and Weigt show that a variation bound for the centered operator upgrades to Sobolev regularity (arXiv:2510.01936).
  • September 2026 — The OpenAI preprint claims the planar centered-disk endpoint bound (Theorem 1.1, p. 1).

Setting

Identify R2\mathbb R^2R2 with the Euclidean plane and write B(x,r)B(x,r)B(x,r) for the open disk of radius rrr centered at xxx. For a locally integrable real function fff, the centered disk maximal function is

Mf(x)=sup⁡r>01πr2∫B(x,r)∣f(y)∣ dy∈[0,∞].Mf(x)=\sup_{r>0}\frac1{\pi r^2}\int_{B(x,r)}|f(y)|\,dy\in[0,\infty].Mf(x)=r>0sup​πr21​∫B(x,r)​∣f(y)∣dy∈[0,∞].

The space W1,1(R2)W^{1,1}(\mathbb R^2)W1,1(R2) consists of integrable fff whose distributional gradient is represented by an integrable vector field ∇f\nabla f∇f, i.e. ∫f ∂iφ=−∫(∇f)iφ\int f\,\partial_i\varphi=-\int(\nabla f)_i\varphi∫f∂i​φ=−∫(∇f)i​φ for all φ∈Cc∞\varphi\in C_c^\inftyφ∈Cc∞​. Norms of gradients are Euclidean: ∥∇f∥1=∫∣∇f∣\|\nabla f\|_1=\int|\nabla f|∥∇f∥1​=∫∣∇f∣. For the signed estimate, put Atg(x)=1πt2∫B(x,t)gA_tg(x)=\frac1{\pi t^2}\int_{B(x,t)}gAt​g(x)=πt21​∫B(x,t)​g and Sa,bg(x)=sup⁡a≤t≤bAtg(x)S_{a,b}g(x)=\sup_{a\le t\le b}A_tg(x)Sa,b​g(x)=supa≤t≤b​At​g(x).

Formalization targets

Milestone: Proposition 1.2 (signed finite-band estimate, p. 2)

There is an absolute constant CCC such that for every real g∈Cc∞(R2)g\in C_c^\infty(\mathbb R^2)g∈Cc∞​(R2) and 0<a≤b0<a\le b0<a≤b with b/ab/ab/a a power of two (including 111),

∫R2∣∇Sa,bg∣ dx≤C∫R2∣∇g∣ dx,\int_{\mathbb R^2}|\nabla S_{a,b}g|\,dx\le C\int_{\mathbb R^2}|\nabla g|\,dx,∫R2​∣∇Sa,b​g∣dx≤C∫R2​∣∇g∣dx,

with CCC independent of aaa, bbb and the number of dyadic scales.

Goal: Theorem 1.1 (p. 1)

There is an absolute constant C<∞C<\inftyC<∞ such that for every real f∈W1,1(R2)f\in W^{1,1}(\mathbb R^2)f∈W1,1(R2), MfMfMf is finite almost everywhere, locally integrable, belongs to Wloc1,1(R2)W^{1,1}_{\mathrm{loc}}(\mathbb R^2)Wloc1,1​(R2), and has a globally integrable weak gradient with

∫R2∣∇Mf∣ dx≤C∫R2∣∇f∣ dx.\int_{\mathbb R^2}|\nabla Mf|\,dx\le C\int_{\mathbb R^2}|\nabla f|\,dx.∫R2​∣∇Mf∣dx≤C∫R2​∣∇f∣dx.

Significance

The result itself. It resolves the planar centered-disk case of the Hajłasz–Onninen question with no radiality or support assumption. As a consequence (Corollary 6.3, p. 39) the bound extends to BV(R2)BV(\mathbb R^2)BV(R2) inputs and yields a co-area type perimeter bound for level sets of M1EM\mathbf 1_EM1E​. The constant is absolute but not optimized. Higher dimensions, other centered maximal operators, and continuity of f↦∇Mff\mapsto\nabla Mff↦∇Mf in W1,1W^{1,1}W1,1 remain separate questions.

Formalizing it. Mathlib has Lebesgue integration, weak derivatives only in limited form, and no maximal-function regularity theory. A formal proof would need distributional gradients, Poincaré inequalities on squares, dyadic multiscale decompositions and a vector-measure representation of bounded distributional derivatives (the preprint's Appendix A). These pieces are reusable across harmonic analysis.

Difficulty

For p>1p>1p>1 one bounds ∣∇Mf∣≤M∣∇f∣|\nabla Mf|\le M|\nabla f|∣∇Mf∣≤M∣∇f∣ and uses the strong maximal inequality, which fails for p=1p=1p=1. One-dimensional proofs order the optimizing intervals, and that ordering has no analogue for families of centered disks. Fractional-order proofs use that optimizing balls overlap little, a mechanism that degenerates at order zero. The preprint (Sections 2–5) instead proves the signed finite-band estimate uniformly in the number of scales: it uses a vanishing first moment at interior maximizing radii, a concentration-in-a-thin-shell lemma (Lemma 2.4, p. 8), and two multiscale constructions that pay for direction changes in scale and space. A variation bound alone would leave a possibly singular derivative measure; removing the singular part needs the signed form of Proposition 1.2 applied to locally mean-subtracted inputs (Section 6).

Formalization scope

  • The plane is EuclideanSpace ℝ (Fin 2). maximal f x is an ℝ≥0∞-valued supremum over all real r>0r>0r>0 of lower Lebesgue integrals of ∣f∣|f|∣f∣ over Metric.ball x r divided by πr2\pi r^2πr2; the goal asserts it is finite a.e. before passing to maximalReal = toReal.
  • HasWeakGradient f g is the integration-by-parts identity against every C∞C^\inftyC∞ compactly supported test function, coordinatewise; the input is Integrable f, Integrable g, HasWeakGradient f g, which is exactly W1,1W^{1,1}W1,1 with weak gradient g. The bound is stated against this g, so it does not depend on a choice of representative.
  • InW11Loc asks for local integrability and a locally integrable weak gradient; the goal also asks for one integrable weak gradient G with ∫ ‖G‖ ≤ C * ∫ ‖g‖, C ≥ 0 chosen before f.
  • The milestone uses signed averages (Bochner integrals) and sSup over the closed radius band [a,2ma][a,2^ma][a,2ma]; the band envelope is continuous in rrr, so the supremum is finite. Inputs are ContDiff ℝ ∞ with compact support.
  • The BV extension (Corollary 6.3) is not part of either target.

Selected references

  • OpenAI, An Endpoint Gradient Bound for the Centered Disk Maximal Operator, OpenAI Math Release preprint, September 26, 2026. https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/An-Endpoint-Gradient-Bound-for-the-Centered-Disk-Maximal-Operator-September-26-2026/article.pdf
  • J. Kinnunen, The Hardy–Littlewood maximal function of a Sobolev function, Israel J. Math. (1997). https://doi.org/10.1007/BF02773636
  • P. Hajłasz, J. Onninen, On boundedness of maximal functions in Sobolev spaces, Ann. Acad. Sci. Fenn. Math. (2004). https://afm.journal.fi/article/view/135096
  • H. Tanaka, A remark on the derivative of the one-dimensional Hardy–Littlewood maximal function, Bull. Austral. Math. Soc. (2002). https://doi.org/10.1017/S0004972700020293
  • J. M. Aldaz, J. Pérez Lázaro, Functions of bounded variation, the derivative of the one dimensional maximal function, and applications to inequalities, Trans. AMS (2007). https://doi.org/10.1090/S0002-9947-06-04347-9
  • O. Kurka, On the variation of the Hardy–Littlewood maximal function, Ann. Acad. Sci. Fenn. Math. (2015). https://doi.org/10.5186/aasfm.2015.4003
  • H. Luiro, The variation of the maximal function of a radial function, Ark. Mat. (2018). https://doi.org/10.4310/ARKIV.2018.v56.n1.a9
  • J. Weigt, The variation of the uncentered maximal operator with respect to cubes, J. Eur. Math. Soc. (2025). https://doi.org/10.4171/JEMS/1575
  • P. Lahti, J. Weigt, The centered maximal operator removes the non-concave Cantor part from the gradient, arXiv:2510.01936 (2025). https://arxiv.org/abs/2510.01936v1
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Harmonic Analysis·Captain: wurtle

A uniform Hilbert transform estimate for Lipschitz directionsResearch Paper

Motivation

The Hilbert transform Hf(x)=p.v.∫f(x−t) dttHf(x)=\mathrm{p.v.}\int f(x-t)\,\frac{dt}{t}Hf(x)=p.v.∫f(x−t)tdt​ is the basic singular integral of harmonic analysis. In the plane one can take it along a line through each point, with the direction of the line allowed to depend on the point: given a unit vector field v:R2→S1v:\mathbb R^2\to S^1v:R2→S1, integrate fff along the segment through xxx in direction v(x)v(x)v(x). Whether such directional Hilbert transforms are bounded on L2L^2L2 is one of the central problems connecting singular integrals, Kakeya-type geometry and time–frequency analysis. If vvv depends on only one coordinate, the L2L^2L2 problem already contains Carleson's theorem on almost-everywhere convergence of Fourier series. For general fields some regularity of vvv is necessary, and some truncation of the integration length is necessary because a field can turn.

Stein asked whether a Lipschitz field suffices when the integration length is at most a small multiple of 1/Lip(v)1/\mathrm{Lip}(v)1/Lip(v). In the formulation of Lacey and Li, this is a uniform weak-(2,2)(2,2)(2,2) conjecture. A parallel conjecture of Zygmund concerns the corresponding maximal averages.

Timeline

  • 1966. Carleson proves almost-everywhere convergence of Fourier series of L2L^2L2 functions (doi:10.1007/BF02392815); the one-variable-field L2L^2L2 case of the directional problem reduces to this.
  • 1987. Stein lists the Lipschitz directional Hilbert transform among problems in harmonic analysis in his ICM address (Problems in harmonic analysis related to curvature and oscillatory integrals).
  • 1989. Bourgain proves an L2L^2L2 bound for the maximal averaging operator along analytic vector fields (doi:10.1017/CBO9780511662294.006).
  • 2006. Lacey and Li prove annular weak-(2,2)(2,2)(2,2) and strong LpL^pLp, p>2p>2p>2, bounds for directional Hilbert transforms with measurable directions (doi:10.1090/S0002-9947-06-03869-4), and a Lipschitz Kakeya maximal theorem.
  • 2010. Lacey and Li's memoir develops the relation between maximal operators and the Hilbert-transform problem, with conditional results requiring stronger maximal estimates or C1+ηC^{1+\eta}C1+η fields (doi:10.1090/S0065-9266-10-00572-7).
  • 2012. Stein and Street prove local LpL^pLp bounds for singular Radon transforms associated with real-analytic maps (doi:10.1016/j.aim.2011.11.016).
  • 2013. Bateman proves single-annulus LpL^pLp estimates for fields depending on one coordinate (doi:10.4171/RMI/748); Bateman and Thiele prove strong LpL^pLp bounds, 3/2<p<∞3/2<p<\infty3/2<p<∞, for the full transform along one-variable fields (doi:10.2140/apde.2013.6.1577).
  • 2015–2017. Guo extends the one-variable setting to fields constant along Lipschitz curves (doi:10.2140/apde.2015.8.1263, doi:10.1090/tran/6750) and proves single-annulus variation-norm bounds for Lipschitz fields; Guo and Thiele treat a lacunary model of Lipschitz fields (doi:10.1112/S0025579316000280).
  • 2018. Di Plinio and Parissis extend the lacunary framework (doi:10.1007/s11856-018-1724-y); Di Plinio, Guo, Thiele and Zorin-Kranich show that uniform L2L^2L2 bounds on vertical frequency bands imply the full short principal-value bound under a small Lipschitz condition (doi:10.1016/j.jfa.2018.07.005).

The source of this mission, an OpenAI preprint dated September 25, 2026, claims the uniform strong L2L^2L2 bound at short scale for every Lipschitz field.

Setting

Let v:R2→S1v:\mathbb R^2\to S^1v:R2→S1 be Lipschitz with Lip(v)≤1\mathrm{Lip}(v)\le1Lip(v)≤1. For 0<ε<a0<\varepsilon<a0<ε<a the short directional Hilbert transform is

Hv,aεf(x)=∫ε<∣t∣<af(x−t v(x)) dtt.H^{\varepsilon}_{v,a}f(x)=\int_{\varepsilon<|t|<a} f\bigl(x-t\,v(x)\bigr)\,\frac{dt}{t}.Hv,aε​f(x)=∫ε<∣t∣<a​f(x−tv(x))tdt​.

The direction is frozen at the output point xxx. For a Schwartz function fff the principal value Hv,af=lim⁡ε↓0Hv,aεfH_{v,a}f=\lim_{\varepsilon\downarrow0}H^\varepsilon_{v,a}fHv,a​f=limε↓0​Hv,aε​f exists at every point, since f(x−tv(x))−f(x+tv(x))=Ox(∣t∣)f(x-tv(x))-f(x+tv(x))=O_x(|t|)f(x−tv(x))−f(x+tv(x))=Ox​(∣t∣).

Formalization targets

Goal: Theorem 1.1

There are absolute constants a∗∈(0,1/2)a_*\in(0,1/2)a∗​∈(0,1/2) and C∗<∞C_*<\inftyC∗​<∞ such that every unit field vvv with Lip(v)≤1\mathrm{Lip}(v)\le1Lip(v)≤1 satisfies, for all f∈S(R2)f\in\mathcal S(\mathbb R^2)f∈S(R2),

sup⁡0<ε<a∗∥Hv,a∗εf∥L2≤C∗∥f∥L2,∥Hv,a∗f∥2≤C∗∥f∥2,\sup_{0<\varepsilon<a_*}\|H^{\varepsilon}_{v,a_*}f\|_{L^2}\le C_*\|f\|_{L^2},\qquad \|H_{v,a_*}f\|_2\le C_*\|f\|_2,0<ε<a∗​sup​∥Hv,a∗​ε​f∥L2​≤C∗​∥f∥L2​,∥Hv,a∗​​f∥2​≤C∗​∥f∥2​, ∣{x:∣Hv,a∗f(x)∣>λ}∣≤C∗2λ−2∥f∥22(λ>0),\bigl|\{x:|H_{v,a_*}f(x)|>\lambda\}\bigr|\le C_*^2\lambda^{-2}\|f\|_2^2\qquad(\lambda>0),​{x:∣Hv,a∗​​f(x)∣>λ}​≤C∗2​λ−2∥f∥22​(λ>0),

and the truncations and the principal value extend to bounded operators on L2L^2L2 with norm at most C∗C_*C∗​. The constants a∗a_*a∗​ and C∗C_*C∗​ are existential; no numerical value is fixed. The Lean statement OAI.LipschitzHilbert.main is open on the platform.

The proposal also contains OAI.LipschitzHilbert.uniform_truncation, the rescaled form for KKK-Lipschitz fields at every outer length R≤1/(106K)R\le 1/(10^6K)R≤1/(106K). By the dilation x↦Kxx\mapsto Kxx↦Kx it is the same estimate at the reciprocal-Lipschitz scale; its explicit constant 10−610^{-6}10−6 is a convention of the formalization, not of the paper.

Significance

The theorem answers the short-scale form of Stein's question affirmatively and with a strong (not only weak-type) L2L^2L2 bound, for fields depending on both coordinates and with no regularity beyond Lipschitz. Earlier unconditional results required the field to depend on one variable, to be constant along a foliation, to be analytic, to take lacunary directions, or restricted the frequency to one annulus. The uniformity in the inner truncation is an operator bound for each truncation, which is what the principal value and the weak-type bound are derived from.

The result is claimed in an OpenAI preprint of 87 pages; it has not been peer reviewed and no machine-checked proof exists. The Lean goal records the complete short-scale conclusion; a formal proof would certify a long chain of time–frequency arguments (wave-packet decompositions, size and density selection, a Lipschitz Kakeya input, and a phase-gain iteration).

Difficulty

Restricting to short scales limits how far the field turns but does not make the operator a Fourier multiplier: the line of integration still varies with the output point. Positive (maximal) operator bounds lose all oscillation, while the one-variable reduction to Carleson's theorem is unavailable when vvv depends on both coordinates. The known band-to-full reassembly reduces matters to one vertical frequency band, but on a band one needs a restricted estimate with a logarithmic gain in the ratio of the measures of the input and test sets; the Lacey–Li Kakeya estimate only provides a polynomial loss in that ratio, so an additional oscillatory saving is required.

Formalization scope

  • The plane is EuclideanSpace ℝ (Fin 2); inputs are SchwartzMap Plane ℂ, norms are eLpNorm _ 2 volume in ℝ≥0∞.
  • The field is v : Plane → Plane with LipschitzWith 1 v and ‖v x‖ = 1 for all x.
  • twoSidedTruncation v ε a f x is the sum of interval integrals over [−a,−ε][-a,-\varepsilon][−a,−ε] and [ε,a][\varepsilon,a][ε,a] of t−1f(x−tv(x))t^{-1}f(x-tv(x))t−1f(x−tv(x)); smoothPrincipalValue integrates the symmetric quotient over (0,a)(0,a)(0,a), with the removable value at t=0t=0t=0 filled by the derivative.
  • ShortHilbertConclusion a C bundles the five clauses (truncation bound for 0<ε<a0<\varepsilon<a0<ε<a, principal-value bound, weak-(2,2) bound at every finite nonzero level, and bounded Lp extensions agreeing a.e. on Schwartz inputs). The goal asks for a∈(0,1/2)a\in(0,1/2)a∈(0,1/2) and C>0C>0C>0.

A complete development needs singular-integral and Littlewood–Paley machinery on R2\mathbb R^2R2, wave-packet analysis and a Lipschitz Kakeya maximal estimate; much of this is reusable for other time–frequency problems. Contributions formalizing the band-restricted estimate, the band-to-full reassembly, or the one-dimensional inputs (the maximal truncated Hilbert transform) are welcome.

Selected references

  • OpenAI, A uniform Hilbert transform estimate for Lipschitz directions, preprint, September 25, 2026. https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/A-uniform-Hilbert-transform-estimate-for-Lipschitz-directions-September-25-2026/main.pdf
  • M. Lacey, X. Li, On a conjecture of E. M. Stein on the Hilbert transform on vector fields, Mem. Amer. Math. Soc., 2010. https://doi.org/10.1090/S0065-9266-10-00572-7
  • M. T. Lacey, X. Li, Maximal theorems for the directional Hilbert transform on the plane, Trans. Amer. Math. Soc., 2006. https://doi.org/10.1090/S0002-9947-06-03869-4
  • M. Bateman, C. Thiele, LpL^pLp estimates for the Hilbert transforms along a one-variable vector field, Anal. PDE, 2013. https://doi.org/10.2140/apde.2013.6.1577
  • F. Di Plinio, S. Guo, C. Thiele, P. Zorin-Kranich, Square functions for bi-Lipschitz maps and directional operators, J. Funct. Anal., 2018. https://doi.org/10.1016/j.jfa.2018.07.005
  • S. Guo, C. Thiele, Hilbert transforms along Lipschitz direction fields: a lacunary model, Mathematika, 2017. https://doi.org/10.1112/S0025579316000280
  • E. M. Stein, B. Street, Multi-parameter singular Radon transforms III: real analytic surfaces, Adv. Math., 2012. https://doi.org/10.1016/j.aim.2011.11.016
  • L. Carleson, On convergence and growth of partial sums of Fourier series, Acta Math., 1966. https://doi.org/10.1007/BF02392815
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Harmonic Analysis·Captain: wurtle

The Falconer distance conjecture in all dimensionsResearch Paper

Motivation

For a set E⊂RdE\subset\mathbb R^dE⊂Rd the distance set is Δ(E)={∣x−y∣:x,y∈E}\Delta(E)=\{|x-y|:x,y\in E\}Δ(E)={∣x−y∣:x,y∈E}. Falconer (1985) asked how large a set must be, measured by Hausdorff dimension, to force Δ(E)\Delta(E)Δ(E) to have positive length. Examples built from lattices show that dimension d/2d/2d/2 is not enough in general, and Falconer conjectured that any compact set of dimension strictly greater than d/2d/2d/2 suffices. The question is the continuous analogue of Erdős's distinct-distances problem and has been a driving problem for geometric measure theory and Fourier restriction theory: progress on it has repeatedly come from, and fed back into, spherical averages, restriction estimates, decoupling and radial projections.

Background

  • 1985. Falconer proves the threshold (d+1)/2(d+1)/2(d+1)/2 and introduces the conjecture (doi:10.1112/S0025579300010998).
  • 1987. Mattila's spherical-average criterion makes Fourier L2L^2L2 estimates the central approach (doi:10.1112/S0025579300013462).
  • 1994. Bourgain connects improvements in dimensions two and three to restriction phenomena (doi:10.1007/BF02772994).
  • 1999, 2005. Wolff reaches 4/34/34/3 in the plane; Erdoğan reaches d/2+1/3d/2+1/3d/2+1/3 for d≥3d\ge3d≥3 (doi:10.1155/S1073792899000288, doi:10.1155/imrn.2005.1411).
  • 2019–2021. Du, Guth, Ou, Wang, Wilson and Zhang reach 9/59/59/5 in R3\mathbb R^3R3; Du and Zhang reach d/2+1/4+1/(8d−4)d/2+1/4+1/(8d-4)d/2+1/4+1/(8d−4); Guth, Iosevich, Ou and Wang reach 5/45/45/4 in the plane, with a pinned conclusion (arXiv:1802.10186, doi:10.4007/annals.2019.189.3.4, doi:10.1007/s00222-019-00917-x).
  • 2019. Keleti and Shmerkin develop multiscale profile methods for planar distance sets (doi:10.1007/s00039-019-00500-9).
  • 2023–2024. Orponen and Shmerkin prove the planar Furstenberg-set/projection estimates; Orponen, Shmerkin and Wang prove radial projection theorems; Du, Ou, Ren and Zhang improve higher-dimensional thresholds (arXiv:2106.03338, doi:10.1007/s00039-024-00660-3, arXiv:2309.04103).
  • 2025. Shmerkin and Wang show dim⁡HΔ(E)=1\dim_H\Delta(E)=1dimH​Δ(E)=1 when the Hausdorff and packing dimensions both equal d/2d/2d/2 (doi:10.1007/s00039-024-00696-5).
  • 2026. Liu proves the planar conclusion for sets with equal Hausdorff and packing dimension above one (arXiv:2603.15328).

The source of this mission is an OpenAI preprint dated September 23, 2026.

Setting

  • Rd\mathbb R^dRd carries the Euclidean distance ∣x−y∣|x-y|∣x−y∣.
  • For E⊂RdE\subset\mathbb R^dE⊂Rd, the Hausdorff dimension dim⁡HE\dim_HEdimH​E is the infimum of s≥0s\ge0s≥0 for which the sss-dimensional Hausdorff measure of EEE vanishes.
  • Δ(E)={∣x−y∣:x,y∈E}⊂[0,∞)\Delta(E)=\{|x-y|:x,y\in E\}\subset[0,\infty)Δ(E)={∣x−y∣:x,y∈E}⊂[0,∞), and L1\mathcal L^1L1 is Lebesgue measure on R\mathbb RR.

Formalization targets

Milestone: the planar case

E⊂R2 compact, dim⁡HE>1 ⟹ L1(Δ(E))>0.E\subset\mathbb R^2\ \text{compact},\ \dim_HE>1\ \Longrightarrow\ \mathcal L^1(\Delta(E))>0.E⊂R2 compact, dimH​E>1 ⟹ L1(Δ(E))>0.

Goal: Theorem 1.1

d≥2, E⊂Rd compact, dim⁡HE>d2 ⟹ L1(Δ(E))>0.d\ge2,\ E\subset\mathbb R^d\ \text{compact},\ \dim_HE>\tfrac d2\ \Longrightarrow\ \mathcal L^1(\Delta(E))>0.d≥2, E⊂Rd compact, dimH​E>2d​ ⟹ L1(Δ(E))>0.

The goal OAI.Falconer.falconer_distance_conjecture is open on the platform.

Significance

Theorem 1.1 resolves Falconer's distance conjecture in every dimension, with no regularity assumption beyond the strict dimension bound: no equality of Hausdorff and packing dimension, no Ahlfors regularity, no product structure. The threshold d/2d/2d/2 is sharp by Falconer's lattice examples, and no endpoint assertion is made. The result is unpinned: it does not assert that a single point y∈Ey\in Ey∈E has L1({∣x−y∣:x∈E})>0\mathcal L^1(\{|x-y|:x\in E\})>0L1({∣x−y∣:x∈E})>0 at the threshold. Positive measure is stronger than dim⁡HΔ(E)=1\dim_H\Delta(E)=1dimH​Δ(E)=1.

The result is proved in an OpenAI preprint, which has not been peer reviewed. No machine-checked proof exists.

Difficulty

The classical route bounds the L2L^2L2 norm of a distance measure via spherical averages of Fourier transforms (Mattila), and every improvement so far has come from finer restriction or decoupling estimates, which stall above d/2d/2d/2. In higher dimensions there is a structural obstacle: radial projections of an sss-dimensional source cannot gain dimension above sss, so for d/2<s<d−1d/2<s<d-1d/2<s<d−1 one cannot assume radial projections have densities, and the angular input the Fourier argument needs must be built as cap bounds on directional fibres with arbitrarily small losses. Converting such fractal angular laws into a distance estimate requires a belt (rather than cap) estimate whose annular power is exactly balanced at S=d/2S=d/2S=d/2, and a recursive multiscale accounting whose costs must be paid by a potential across two separated depths.

Formalization scope

  • Points live in EuclideanSpace ℝ (Fin d), so dist is the Euclidean distance.
  • dimH E : ℝ≥0∞ is Mathlib's Hausdorff dimension; the hypothesis is (d : ℝ≥0∞) / 2 < dimH E, strict.
  • The conclusion is 0 < volume {r : ℝ | ∃ x ∈ E, ∃ y ∈ E, dist x y = r} with Lebesgue volume on ℝ; compactness of EEE makes this set compact.
  • The planar milestone uses PlanarFalconer.distanceSet on EuclideanSpace ℝ (Fin 2) with 1 < dimH E.

A complete development needs Frostman's lemma, energy and Fourier characterizations of dimension, Mattila's spherical-average criterion, stationary phase for spherical oscillatory integrals, and the Orponen–Shmerkin planar incidence theorem (used as an external input). Contributions formalizing Lemma 5.5 (the classical distance threshold (d+1)/2(d+1)/2(d+1)/2), Theorem 4.1 (linear projection gain), Theorem 4.2 (planar discretized Furstenberg estimate), Proposition 5.10 (starting pair measures), Proposition 8.1 (graph estimate) and Theorem 10.4 (single-profile angular bound) are welcome.

Selected references

  • OpenAI, The Falconer distance conjecture in all dimensions, preprint, September 23, 2026. https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/The-Falconer-distance-conjecture-in-all-dimensions-September-23-2026/paper.pdf
  • K. J. Falconer, On the Hausdorff dimensions of distance sets, Mathematika, 1985. https://doi.org/10.1112/S0025579300010998
  • P. Mattila, Spherical averages of Fourier transforms of measures with finite energy; dimensions of intersections and distance sets, Mathematika, 1987. https://doi.org/10.1112/S0025579300013462
  • T. Wolff, Decay of circular means of Fourier transforms of measures, IMRN, 1999. https://doi.org/10.1155/S1073792899000288
  • L. Guth, A. Iosevich, Y. Ou, H. Wang, On Falconer's distance set problem in the plane, Invent. Math., 2020. https://doi.org/10.1007/s00222-019-00917-x
  • X. Du, L. Guth, Y. Ou, H. Wang, B. Wilson, R. Zhang, Weighted restriction estimates and application to Falconer distance set problem, Amer. J. Math., 2021. https://doi.org/10.1353/ajm.2021.0005
  • T. Orponen, P. Shmerkin, On the Hausdorff dimension of Furstenberg sets and orthogonal projections in the plane, Duke Math. J., 2023. https://arxiv.org/abs/2106.03338
  • T. Orponen, P. Shmerkin, H. Wang, Kaufman and Falconer estimates for radial projections and a continuum version of Beck's theorem, Geom. Funct. Anal., 2024. https://doi.org/10.1007/s00039-024-00660-3
  • P. Shmerkin, H. Wang, On the distance sets spanned by sets of dimension d/2 in Rd\mathbb R^dRd, Geom. Funct. Anal., 2025. https://doi.org/10.1007/s00039-024-00696-5
  • X. Du, Y. Ou, K. Ren, R. Zhang, New improvement to Falconer distance set problem in higher dimensions, preprint, 2024. https://arxiv.org/abs/2309.04103
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Geometry & Topology·Captain: wurtle

Koebe's Circle-Domain ConjectureResearch Paper

Motivation

The Riemann mapping theorem says that every simply connected proper domain in the plane is conformally equivalent to the unit disk. For domains with more complicated complements one needs a model with many "holes". Koebe's Kreisnormierungsproblem (1908) asks whether every domain in the Riemann sphere is conformally equivalent to a circle domain, one whose complementary components are all round disks or points. Such a model would give a canonical geometric picture of an arbitrary planar domain, and it is closely tied to circle packings, Kleinian groups and the geometry of hyperbolic surfaces of genus zero.

Timeline

  • 1908. Koebe poses the problem (Nachr. Ges. Wiss. Göttingen, 1908).
  • 1920. Koebe's treatment of the finitely connected case (doi:10.1007/BF01199400).
  • 1993. He and Schramm prove the conjecture for countably connected domains (doi:10.2307/2946541).
  • 1995. Schramm introduces transboundary extremal length and treats domains bounded by points and KKK-quasicircles (doi:10.1007/BF02788827).
  • 2025. Rajala shows that arbitrary interior exhaustions can fail to have circle-domain limits and proves an exhaustion refinement theorem for countably connected domains (doi:10.1353/ajm.2025.a966291); Ntalampekos and Rajala study exhaustions of circle domains (arXiv:2312.06840).
  • 2026. Esmayli and Rajala prove uniformization for cospread domains and under a quasitripod condition (arXiv:2401.08485); Karafyllia and Ntalampekos treat spherical Gromov-hyperbolic domains (arXiv:2405.13782). Ntalampekos surveys the area (arXiv:2603.15098).

The source of this mission, an OpenAI preprint dated September 23, 2026, claims the conjecture in its unrestricted form.

Setting

The Riemann sphere is C^=C∪{∞}\widehat{\mathbb C}=\mathbb C\cup\{\infty\}C=C∪{∞}, with local coordinate zzz near finite points and 1/z1/z1/z near ∞\infty∞. A domain is a nonempty connected open subset. A map fff is conformal at ppp if it is continuous at ppp and, in these coordinates, complex differentiable at ppp with nonzero derivative. A conformal equivalence f:U→Vf:U\to Vf:U→V is a bijection that is conformal at every point of UUU and whose inverse is conformal at every point of VVV.

A closed round disk in C^\widehat{\mathbb C}C is the image of the closed unit disk under a Möbius transformation z↦(az+b)/(cz+d)z\mapsto (az+b)/(cz+d)z↦(az+b)/(cz+d), ad−bc≠0ad-bc\ne0ad−bc=0; these are closed Euclidean disks, closed half-planes together with ∞\infty∞, and complements of open disks. A circle domain is a domain each of whose complementary connected components is a closed round disk or a single point. The complement may be empty, finite, countable or uncountable.

Formalization targets

Goal: Theorem 1.1 (circle-domain uniformization)

∀ G⊂C^ domain∃ Ω circle domain, ∃ f:G→ conformal Ω bijective.\forall\,G\subset\widehat{\mathbb C}\ \text{domain}\quad\exists\,\Omega\ \text{circle domain},\ \exists\,f:G\xrightarrow{\ \text{conformal}\ }\Omega\ \text{bijective}.∀G⊂C domain∃Ω circle domain, ∃f:G conformal ​Ω bijective.

Lean: OAI.Problem047.koebe_circle_domain, open on the platform.

Significance

The theorem would complete the existence half of Koebe's problem with no restriction on the number, size or geometry of the complementary components. The paper derives a consequence for hyperbolic geometry (Corollary 8.1): every complete hyperbolic surface of genus zero is isometric to the boundary of the convex hull of a closed set in ∂∞H3\partial_\infty\mathbb H^3∂∞​H3 whose components are round disks or points. Combined with the exhaustion theorem of Ntalampekos and Rajala, it also gives convergent finitely connected approximations for every proper domain. Uniqueness up to Möbius maps is a different question (the He–Schramm rigidity conjecture), addressed in the companion mission on removable boundaries.

The result is claimed in an OpenAI preprint that has not been peer reviewed; no machine-checked proof exists. Mathlib has neither the Riemann mapping theorem in full generality nor finitely connected circle-domain uniformization, so a formal proof would build substantial reusable complex-analytic infrastructure.

Difficulty

The standard approach uniformizes finitely connected approximations, whose complements are finitely many round disks, and passes to a limit. The difficulty is control at the limit: with possibly uncountably many complementary components, a limiting component can be strictly larger than the round disk obtained by following one approximating disk, or can be a non-round continuum for which no disk was followed at all. Rajala showed that arbitrary exhaustions can indeed fail to produce circle-domain limits, so the approximations must be chosen with care, and all components must be controlled simultaneously, not one at a time.

Formalization scope

  • Sphere := OnePoint ℂ; Möbius maps are Matrix.GeneralLinearGroup (Fin 2) ℂ acting on it.
  • IsConformalAt f p: ContinuousAt f p and a nonzero HasDerivAt of fff in the charts chart p, chart (f p) (identity coordinate at finite points, z↦1/zz\mapsto1/zz↦1/z at ∞\infty∞).
  • IsConformalEquivalence f U V: fff conformal on UUU, MapsTo f U V, and a conformal g on VVV with MapsTo g V U that is a two-sided inverse.
  • IsCircleDomain V: open, IsConnected (hence nonempty), and every connectedComponentIn Vᶜ p is a singleton or IsRoundClosedDisk (a Möbius image of the closed unit disk).
  • The goal quantifies over all open connected U; there is no countability or regularity assumption on the complement.

A complete development needs finitely connected uniformization, normal families on the sphere, Dirichlet energy and extremal length, and component correspondence for limits. Contributions formalizing the named intermediate results (Theorem 3.1 finite transfer, Theorem 4.3 compatible barrier lemma, Theorem 5.1 positive-law alternative, Theorem 7.5 retained-test transfer) or the classical He–Schramm countable case are welcome.

Selected references

  • OpenAI, Koebe's Circle-Domain Conjecture, preprint, September 23, 2026. https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/Koebes-Circle-Domain-Conjecture-September-23-2026/paper.pdf
  • P. Koebe, Über die Uniformisierung beliebiger analytischer Kurven (Dritte Mitteilung), Nachr. Ges. Wiss. Göttingen, 1908.
  • P. Koebe, Abhandlungen zur Theorie der konformen Abbildung VI, Math. Z., 1920. https://doi.org/10.1007/BF01199400
  • Z.-X. He, O. Schramm, Fixed points, Koebe uniformization and circle packings, Ann. of Math., 1993. https://doi.org/10.2307/2946541
  • O. Schramm, Transboundary extremal length, J. Analyse Math., 1995. https://doi.org/10.1007/BF02788827
  • K. Rajala, Uniformization of planar domains by exhaustion, Amer. J. Math., 2025. https://doi.org/10.1353/ajm.2025.a966291
  • D. Ntalampekos, K. Rajala, Exhaustions of circle domains, IMRN, 2025. https://doi.org/10.1093/imrn/rnaf296
  • B. Esmayli, K. Rajala, Conformal uniformization of domains bounded by quasitripods, Duke Math. J., 2026. https://doi.org/10.1215/00127094-2025-0035
  • C. Karafyllia, D. Ntalampekos, Uniformization of Gromov hyperbolic domains by circle domains, Duke Math. J., 2026. https://doi.org/10.1215/00127094-2025-0076
  • D. Ntalampekos, Uniformization problems in the plane: A survey, preprint, 2026. https://arxiv.org/abs/2603.15098
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Geometry & Topology·Captain: wurtle

Removable Boundaries and Rigidity of Circle DomainsResearch Paper

Motivation

A circle domain is a domain in the Riemann sphere whose complementary components are round disks or points. Koebe asked in 1908 whether every domain is conformally equivalent to a circle domain (existence). A second question is rigidity: when is that circle-domain model unique up to Möbius transformations? For finitely and countably connected domains the model is unique, but for domains with uncountably many boundary components uniqueness can fail, and the boundary geometry decides. He and Schramm conjectured that a circle domain is rigid exactly when its boundary is conformally removable. Rigidity is what makes the circle-domain model canonical, and it connects conformal geometry with removability questions for quasiconformal and Sobolev maps.

Timeline

  • 1993. He and Schramm prove uniformization and rigidity for countably connected circle domains (doi:10.2307/2946541).
  • 1994. He and Schramm prove rigidity when the boundary has σ\sigmaσ-finite linear measure, and conjecture that rigidity is equivalent to conformal removability of the boundary (doi:10.1007/BF01231761).
  • 2000. Jones and Smirnov relate removability for continuous Sobolev functions to quasiconformal removability (doi:10.1007/BF02384320).
  • 2016. Younsi proves that conformal rigidity is equivalent to quasiconformal rigidity and studies the removability formulations (doi:10.1016/j.aim.2016.08.039).
  • 2020. Ntalampekos and Younsi prove rigidity under square integrability of the quasihyperbolic distance, covering Hölder and John circle domains (doi:10.1007/s00222-019-00921-1).
  • 2023–2024. Ntalampekos proves rigidity when point components are countably negligible for extremal distance (CNED) and continuous Sobolev extension across closed CNED sets (doi:10.1090/tran/8923, doi:10.1007/s00029-024-00951-5).
  • 2025. Rajala constructs a rigid circle domain with non-removable boundary, so rigidity does not imply removability (doi:10.1112/plms.70081).

The source of this mission, an OpenAI preprint dated September 23, 2026, claims the remaining implication: removability implies rigidity.

Setting

The Riemann sphere C^=C∪{∞}\widehat{\mathbb C}=\mathbb C\cup\{\infty\}C=C∪{∞} has local coordinates zzz and 1/z1/z1/z. A map is conformal at ppp if it is continuous there and complex differentiable with nonzero derivative in these coordinates; a conformal equivalence f:Ω→Ω′f:\Omega\to\Omega'f:Ω→Ω′ is a bijection, conformal on Ω\OmegaΩ, with conformal inverse. A Möbius transformation is z↦(az+b)/(cz+d)z\mapsto(az+b)/(cz+d)z↦(az+b)/(cz+d) with ad−bc≠0ad-bc\neq0ad−bc=0. A closed round disk is the Möbius image of the closed unit disk. A circle domain is a nonempty connected open set whose complementary components are closed round disks or points.

A compact E⊂C^E\subset\widehat{\mathbb C}E⊂C is conformally removable if every orientation-preserving homeomorphism of C^\widehat{\mathbb C}C that is conformal on C^∖E\widehat{\mathbb C}\setminus EC∖E is Möbius. A circle domain Ω\OmegaΩ is conformally rigid if every conformal equivalence from Ω\OmegaΩ onto another circle domain is the restriction of a Möbius transformation.

Formalization targets

Goal: Theorem 1.1

Ω,Ω′ circle domains,  ∂Ω conformally removable,  f:Ω→Ω′ conformal equivalence ⟹ ∃M Mo¨bius: f=M∣Ω.\Omega,\Omega'\ \text{circle domains},\ \ \partial\Omega\ \text{conformally removable},\ \ f:\Omega\to\Omega'\ \text{conformal equivalence}\ \Longrightarrow\ \exists M\ \text{Möbius}:\ f=M|_\Omega.Ω,Ω′ circle domains,  ∂Ω conformally removable,  f:Ω→Ω′ conformal equivalence ⟹ ∃M Mo¨bius: f=M∣Ω​.

Lean: OAI.Problem047.removability_implies_rigidity, open on the platform. The complement may have any cardinality, and no boundary extension of fff is assumed.

Significance

Together with Rajala's counterexample to the converse, the theorem would settle the He–Schramm rigidity conjecture: removability is sufficient but not necessary. It subsumes the earlier sufficient conditions (σ\sigmaσ-finite length, Hölder/John domains, CNED point sets) whenever those boundaries are removable. The intermediate Theorem 5.1, a continuous Sobolev extension theorem across compact totally disconnected conformally removable sets, is of independent interest. The result is claimed in an OpenAI preprint that has not been peer reviewed, and no machine-checked proof exists.

Difficulty

Removability is a statement about homeomorphisms of the whole sphere, while rigidity starts from a map defined only on the domain. The obvious route, extending fff to a homeomorphism of the sphere and then invoking removability, fails: a point component of the complement of Ω\OmegaΩ may correspond to a disk component of Ω′\Omega'Ω′ and vice versa, so the coordinates of fff need not extend continuously, and nothing a priori controls boundary behaviour at uncountably many point components whose union can have positive area.

Formalization scope

  • Sphere := OnePoint ℂ, Möbius maps are Matrix.GeneralLinearGroup (Fin 2) ℂ acting on it; conformality uses the charts zzz and 1/z1/z1/z with HasDerivAt and a nonzero derivative.
  • IsCircleDomain: open, IsConnected, and every connectedComponentIn of the complement is a singleton or a Möbius image of the closed unit disk.
  • IsConformallyRemovable E: IsCompact E and every homeomorphism h : Sphere ≃ₜ Sphere that is homotopic to the identity (orientation preserving) and conformal on Eᶜ equals some Möbius map everywhere.
  • The boundary is frontier U; the conclusion is ∃ M, ∀ p ∈ U, f p = M • p.
  • The shared definitions are those of the Koebe circle-domain mission of the same family.

A complete development needs the theory of conformal maps on the sphere, Sobolev functions and Dirichlet energy in the plane, the measurable Riemann mapping theorem (used for the conductivity deformation), and component correspondence. Contributions formalizing Theorem 5.1 (continuous Sobolev extension), Proposition 6.2 (common point traces), or the He–Schramm countable case are welcome.

Selected references

  • OpenAI, Removable Boundaries and Rigidity of Circle Domains, preprint, September 23, 2026. https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/Removable-Boundaries-and-Rigidity-of-Circle-Domains-September-23-2026/paper.pdf
  • Z.-X. He, O. Schramm, Fixed points, Koebe uniformization and circle packings, Ann. of Math., 1993. https://doi.org/10.2307/2946541
  • Z.-X. He, O. Schramm, Rigidity of circle domains whose boundary has σ-finite linear measure, Invent. Math., 1994. https://doi.org/10.1007/BF01231761
  • M. Younsi, Removability, rigidity of circle domains and Koebe's conjecture, Adv. Math., 2016. https://doi.org/10.1016/j.aim.2016.08.039
  • D. Ntalampekos, M. Younsi, Rigidity theorems for circle domains, Invent. Math., 2020. https://doi.org/10.1007/s00222-019-00921-1
  • D. Ntalampekos, Rigidity and continuous extension for conformal maps of circle domains, Trans. Amer. Math. Soc., 2023. https://doi.org/10.1090/tran/8923
  • D. Ntalampekos, CNED sets: countably negligible for extremal distances, Selecta Math., 2024. https://doi.org/10.1007/s00029-024-00951-5
  • P. W. Jones, S. K. Smirnov, Removability theorems for Sobolev functions and quasiconformal maps, Ark. Mat., 2000. https://doi.org/10.1007/BF02384320
  • K. Rajala, Rigid circle domains with non-removable boundaries, Proc. Lond. Math. Soc., 2025. https://doi.org/10.1112/plms.70081
  • OpenAI, Koebe's Circle-Domain Conjecture, preprint, September 23, 2026.
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Algebraic GeometryDifferential Geometry·Captain: wurtle

Symmetry of semialgebraic bounded domains with compact quotientResearch Paper

Motivation: which bounded domains cover compact spaces?

A bounded symmetric domain is a bounded connected open set in Cm\mathbb C^mCm with, at every point, a holomorphic involution having that point as an isolated fixed point. Examples are the ball, the polydisc and the Siegel upper half-spaces in their bounded realizations. They are the universal covers of compact locally symmetric varieties, such as compact quotients of the ball, and play a central role in algebraic geometry and number theory. A classical theme in several complex variables is that a bounded domain with a large automorphism group must be very special: Wong and Rosay showed that an automorphism orbit accumulating at a strongly pseudoconvex boundary point forces the ball, and Frankel showed that convex domains with compact quotients are symmetric.

Kollár and Pardon, studying algebraic varieties whose universal cover is semialgebraic, asked the following bounded-domain question: if a bounded semialgebraic open subset of a complex affine variety admits a properly discontinuous cocompact group of biholomorphisms, must it be a bounded symmetric domain? Semialgebraicity is a finiteness condition on the shape of the domain. It does not make the boundary smooth or convex, and it imposes nothing on the group.

Timeline

  • 1970 — Vey proves that a divisible generalized Siegel domain is symmetric (Ann. Sci. ÉNS 3).
  • 1977 — Wong characterizes the ball by its automorphism group among strongly pseudoconvex domains (Invent. Math. 41).
  • 1979 — Rosay localizes Wong's theorem to a single C2C^2C2 strongly pseudoconvex boundary point (Ann. Inst. Fourier 29).
  • 1989 — Frankel proves that a convex hyperbolic domain with compact quotient is a bounded symmetric domain, including non-free actions (Acta Math. 163).
  • 2012 — Kollár and Pardon pose the bounded semialgebraic domain question (arXiv v2, Question 25) in Algebraic varieties with semialgebraic universal cover (J. Topol. 5; arXiv:1104.2309v2).
  • 2021 — Zimmer shows that a C1,1C^{1,1}C1,1-bounded domain covering a compact manifold is a ball (Indiana Univ. Math. J. 70).
  • 2026 — An OpenAI preprint, Symmetry of semialgebraic bounded domains with compact quotient (OpenAI Math Release, September 24, 2026), claims an affirmative answer to the Kollár–Pardon question. It has not been peer reviewed, and its proof is not formally verified.

Setting

An affine variety is a reduced complex algebraic set V⊂CnV\subset\mathbb C^nV⊂Cn, the common zero locus of a set of polynomials. A subset of Cn\mathbb C^nCn is semialgebraic if it is a finite Boolean combination of sets {p=0}\{p=0\}{p=0} and {p>0}\{p>0\}{p>0}, with ppp a real polynomial in the real and imaginary parts of the coordinates. Let U⊆VU\subseteq VU⊆V be open in VVV, connected, semialgebraic and bounded. A map on UUU is holomorphic if near each point it is the restriction of a holomorphic map on an open subset of Cn\mathbb C^nCn; a biholomorphism is a homeomorphism that is holomorphic in both directions. A group Γ\GammaΓ acts properly discontinuously if the action is proper for the discrete topology on Γ\GammaΓ (finite stabilizers are allowed), and the action is cocompact if U/ΓU/\GammaU/Γ is compact. UUU is smooth if each point has a neighbourhood in UUU biholomorphic to an open subset of some Cm\mathbb C^mCm.

Formalization targets

Goal: semialgebraic bounded domains with compact quotient are symmetric (Theorem 1.1)

Let UUU be a nonempty connected semialgebraic bounded open subset of a complex affine variety V⊂CnV\subset\mathbb C^nV⊂Cn, and let a group Γ\GammaΓ act on UUU by biholomorphisms, properly discontinuously and with U/ΓU/\GammaU/Γ compact. Then

U is smooth, andU≅D biholomorphically for some bounded symmetric domain D⊂Cm.U\ \text{is smooth, and}\quad U\cong D\ \text{biholomorphically for some bounded symmetric domain } D\subset\mathbb C^m .U is smooth, andU≅D biholomorphically for some bounded symmetric domain D⊂Cm.

The goal statement is published on the platform with status Open.

Significance

The result itself. The theorem answers the Kollár–Pardon question affirmatively. The ambient variety may be singular and nonnormal, the quotient may have finite quotient singularities, and no convexity, boundary regularity or homogeneity is assumed. It shows that semialgebraicity of a single affine realization forces the classical picture: a compact quotient of a semialgebraic bounded domain is a compact quotient of a bounded symmetric domain. This complements the universal-cover classification of the companion preprint on semialgebraic universal covers of normal projective varieties.

Formalizing it. The statement only uses polynomials, real-analytic Boolean combinations, holomorphic maps on subsets of Cn\mathbb C^nCn and group actions, all available in Mathlib. The proof, however, draws on Nash cell decompositions, analytic discs, scaling limits of automorphisms and Vey's theorem on divisible Siegel domains, none of which is formalized. A formal development would provide reusable semialgebraic geometry and several-complex-variables infrastructure.

Difficulty

The classical rigidity arguments (Wong–Rosay, Frankel, Zimmer) need a smooth strongly pseudoconvex or convex boundary point at which rescaled automorphisms converge to a model domain. A semialgebraic boundary can have corners with several complex-normal directions, and the normal fibres can shrink at rates that depend on tangential parameters, so the naive rescaling limit can collapse to a degenerate set. Moreover UUU is not known to be a manifold at the start, so smoothness must be proved from the group action before any differential geometry is available. The heart of the proof is a noncollapse estimate that yields a Siegel-type quadratic model {Im⁡w−H(z,z)∈C}\{\operatorname{Im}w-H(z,z)\in C\}{Imw−H(z,z)∈C} to which Vey's theorem applies.

Formalization scope

  • VVV is IsAffineAlgebraic, the zero set of a set of complex polynomials in Fin n → ℂ; U⊆VU\subseteq VU⊆V is open in the subspace topology of VVV, IsConnected (hence nonempty), bounded, and semialgebraic through an inductive predicate on real polynomials in (Re⁡z,Im⁡z)(\operatorname{Re}z,\operatorname{Im}z)(Rez,Imz), closed under complement and union.
  • Γ\GammaΓ is an arbitrary group with the discrete topology acting on the subtype UUU, with ProperSMul and a compact orbit space. Each γ\gammaγ acts holomorphically in the sense of local ambient analytic extension; since γ−1\gamma^{-1}γ−1 also acts, the elements act by biholomorphisms. A non-faithful action is allowed and is harmless, since properness forces finite stabilizers.
  • IsSmooth U asks for local biholomorphisms of neighbourhoods in UUU onto open subsets of some Cm\mathbb C^mCm. IsBoundedSymmetricDomain D asks that DDD be open, connected and bounded, and have at each point an involutive biholomorphism fixing it with that point isolated among its fixed points.
  • The zero-dimensional case (a point) is included and is trivial, matching the source convention.
  • Needed infrastructure: semialgebraic cell decomposition and selection, Montel-type compactness on singular analytic sets, analytic discs, Kobayashi/Carathéodory-type distance estimates and the structure theory of Siegel domains. Each would be reusable.

Selected references

  • J. Vey, Sur la division des domaines de Siegel, Ann. Sci. École Norm. Sup. (4) 3 (1970), 479–506. https://www.numdam.org/article/ASENS_1970_4_3_4_479_0.pdf
  • B. Wong, Characterization of the unit ball in Cn\mathbb C^nCn by its automorphism group, Invent. Math. 41 (1977), 253–257. https://doi.org/10.1007/BF01403050
  • J.-P. Rosay, Sur une caractérisation de la boule parmi les domaines de Cn\mathbb C^nCn par son groupe d'automorphismes, Ann. Inst. Fourier 29 (1979), 91–97. https://doi.org/10.5802/aif.768
  • S. Frankel, Complex geometry of convex domains that cover varieties, Acta Math. 163 (1989), 109–149. https://doi.org/10.1007/BF02392734
  • J. Kollár and J. Pardon, Algebraic varieties with semialgebraic universal cover, J. Topol. 5 (2012), 199–212. https://doi.org/10.1112/jtopol/jts001
  • A. Zimmer, Smoothly bounded domains covering compact manifolds, Indiana Univ. Math. J. 70 (2021), 2653–2676. https://arxiv.org/abs/1910.05288v2
  • M. Coste, Real algebraic sets, lecture notes, 2005. https://indico.ictp.it/event/a04204/session/10/contribution/7/material/0/0.pdf
  • OpenAI, Symmetry of semialgebraic bounded domains with compact quotient, OpenAI Math Release preprint, September 24, 2026 (Theorem 1.1, p. 1). https://github.com/openai/math/blob/adc7f1241b42e322a6451854ab7e4b4c146bf78a/preprints/Symmetry-of-semialgebraic-bounded-domains-with-compact-quotient-September-24-2026/paper.pdf
2 thms1 active userReviewed
Operations ResearchProbabilityStochastic Systems·Captain: mikedeng1

Law of Large Numbers Limits for Many-Server Queues 1: The Fluid Equations Have at Most One Solution, Given Explicitly by the Age Representation (3.11)Research Paper

Motivation

Large service systems such as call centers and hospital wards are modelled as many-server queues: NNN identical servers, customers arriving according to a general process, service requirements drawn independently from a general distribution GGG, and a single first-come-first-served queue. When GGG is not exponential the number of customers in system is not Markov, and a tractable state must keep track of how long each customer in service has been served. Kaspi and Ramanan (Ann. Appl. Probab. 21 (2011)) take as state the number in system together with the age measure, the point measure of the ages of the customers in service, and prove a functional law of large numbers: scaled by NNN, these processes converge to the unique solution of a deterministic system, the fluid equations. Earlier fluid and diffusion analyses of the G/GI/NG/GI/NG/GI/N queue worked with other state descriptors (Reed, Ann. Appl. Probab. 19 (2009); Whitt, Oper. Res. 54 (2006)); the measure-valued description records the elapsed service time of every customer in service, which is the information a non-exponential service distribution requires.

This mission covers the deterministic half of that result: the fluid equations are well posed, and their solution is given in closed form.

Setting

Service requirements have a density ggg that vanishes on (−∞,0)(-\infty,0)(−∞,0), G(x)=∫(−∞,x]gG(x)=\int_{(-\infty,x]}gG(x)=∫(−∞,x]​g, and the mean is normalized to one, ∫x g(x) dx=1\int x\,g(x)\,dx=1∫xg(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); hhh is locally integrable on [0,M)[0,M)[0,M) but not integrable on it. For a measure μ\muμ and a function fff write ⟨f,μ⟩=∫f dμ\langle f,\mu\rangle=\int f\,d\mu⟨f,μ⟩=∫fdμ, and 1\mathbf 11 for the constant one.

The data are a triple (Eˉ,Xˉ(0),νˉ0)(\bar E,\bar X(0),\bar\nu_0)(Eˉ,Xˉ(0),νˉ0​) in

S0={(f,x,μ):f nondecreasing caˋdlaˋg,f(0)=0; x≥0; μ a measure on [0,M), ⟨1,μ⟩≤1, 1−⟨1,μ⟩=[1−x]+},\mathcal S_0=\{(f,x,\mu): f \text{ nondecreasing càdlàg}, f(0)=0;\ x\ge0;\ \mu \text{ a measure on }[0,M),\ \langle\mathbf 1,\mu\rangle\le1,\ 1-\langle\mathbf 1,\mu\rangle=[1-x]^+\},S0​={(f,x,μ):f nondecreasing caˋdlaˋg,f(0)=0; x≥0; μ a measure on [0,M), ⟨1,μ⟩≤1, 1−⟨1,μ⟩=[1−x]+},

where Eˉ\bar EEˉ is the cumulative arrival process, Xˉ(0)\bar X(0)Xˉ(0) the initial number in system and νˉ0\bar\nu_0νˉ0​ the initial age measure (per server, so the total capacity is one). A càdlàg pair (Xˉ,νˉ)(\bar X,\bar\nu)(Xˉ,νˉ), with νˉt\bar\nu_tνˉt​ a sub-probability measure on [0,M)[0,M)[0,M) in the weak topology, solves the fluid equations if for every t≥0t\ge0t≥0: ∫0t⟨h,νˉs⟩ds<∞\int_0^t\langle h,\bar\nu_s\rangle ds<\infty∫0t​⟨h,νˉs​⟩ds<∞ (3.4); for every test function φ∈Cc1,1([0,M)×R+)\varphi\in\mathcal C_c^{1,1}([0,M)\times\mathbb R_+)φ∈Cc1,1​([0,M)×R+​)

⟨φ(⋅,t),νˉt⟩=⟨φ(⋅,0),νˉ0⟩+∫0t⟨φx+φs,νˉs⟩ds−∫0t⟨hφ(⋅,s),νˉs⟩ds+∫[0,t]φ(0,s) dKˉ(s)(3.5);\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)\quad(3.5);⟨φ(⋅,t),νˉt​⟩=⟨φ(⋅,0),νˉ0​⟩+∫0t​⟨φx​+φs​,νˉs​⟩ds−∫0t​⟨hφ(⋅,s),νˉs​⟩ds+∫[0,t]​φ(0,s)dKˉ(s)(3.5);

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) (3.6); and the nonidling condition 1−⟨1,νˉt⟩=[1−Xˉ(t)]+1-\langle\mathbf 1,\bar\nu_t\rangle=[1-\bar X(t)]^+1−⟨1,νˉt​⟩=[1−Xˉ(t)]+ (3.7). Here Dˉ(t)=∫0t⟨h,νˉs⟩ds\bar D(t)=\int_0^t\langle h,\bar\nu_s\rangle dsDˉ(t)=∫0t​⟨h,νˉs​⟩ds is the cumulative departure process and 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) the cumulative entry into service. Equation (3.5) is a weak form of a transport equation: mass moves to the right at unit speed, is killed at rate hhh, and enters at age 000 at rate dKˉd\bar KdKˉ.

Formalization targets

Goal: Theorem 3.5

For every (Eˉ,Xˉ(0),νˉ0)∈S0(\bar E,\bar X(0),\bar\nu_0)\in\mathcal S_0(Eˉ,Xˉ(0),νˉ0​)∈S0​:

  1. the fluid equations have at most one solution;
  2. under (3.4) and the path conditions, (Xˉ,νˉ)(\bar X,\bar\nu)(Xˉ,νˉ) is a solution if and only if it satisfies (3.6), (3.7) and, for every bounded continuous fff and t≥0t\ge0t≥0,
⟨f,νˉt⟩=∫[0,M)f(x+t)1−G(x+t)1−G(x) νˉ0(dx)+∫[0,t]f(t−s)(1−G(t−s)) dKˉ(s);(3.11)\langle f,\bar\nu_t\rangle=\int_{[0,M)}f(x+t)\frac{1-G(x+t)}{1-G(x)}\,\bar\nu_0(dx)+\int_{[0,t]}f(t-s)\big(1-G(t-s)\big)\,d\bar K(s);\quad(3.11)⟨f,νˉt​⟩=∫[0,M)​f(x+t)1−G(x)1−G(x+t)​νˉ0​(dx)+∫[0,t]​f(t−s)(1−G(t−s))dKˉ(s);(3.11)
  1. if Eˉ\bar EEˉ has a density λˉ\bar\lambdaλˉ, then Kˉ\bar KKˉ has a density κˉ\bar\kappaκˉ equal a.e. to λˉ\bar\lambdaλˉ where Xˉ<1\bar X<1Xˉ<1, to λˉ∧⟨h,νˉt⟩\bar\lambda\wedge\langle h,\bar\nu_t\rangleλˉ∧⟨h,νˉt​⟩ where Xˉ=1\bar X=1Xˉ=1, and to ⟨h,νˉt⟩\langle h,\bar\nu_t\rangle⟨h,νˉt​⟩ where Xˉ>1\bar X>1Xˉ>1 (3.12);
  2. if moreover νˉ0\bar\nu_0νˉ0​ is absolutely continuous, so is every νˉt\bar\nu_tνˉt​.

Milestones

  • Remark 4.3, (4.4): integration by parts for the entry term of (4.3).
  • (4.55): the integrated hazard in closed form, ψh(x,t)=(1−G(x))/(1−G(x−t))\psi_h(x,t)=(1-G(x))/(1-G(x-t))ψh​(x,t)=(1−G(x))/(1−G(x−t)) or 1−G(x)1-G(x)1−G(x).
  • Theorem 4.1: for a Radon-measure-valued path satisfying the hazard bound (4.1), the age equation (4.2), which is (3.5) with an arbitrary Radon measure υ0\upsilon_0υ0​ and an arbitrary ZZZ of bounded variation in place of νˉ0\bar\nu_0νˉ0​ and Kˉ\bar KKˉ, holds if and only if the representation (4.3) holds.
  • Proof of Corollary 4.4: Kˉ\bar KKˉ is nondecreasing.
  • Corollary 4.4, (4.5): Kˉ(t)=⟨1,νˉt⟩−⟨1,νˉ0⟩+∫G(x+t)−G(x)1−G(x)νˉ0(dx)+∫0tg(t−s)Kˉ(s)ds\bar K(t)=\langle\mathbf 1,\bar\nu_t\rangle-\langle\mathbf 1,\bar\nu_0\rangle+\int\frac{G(x+t)-G(x)}{1-G(x)}\bar\nu_0(dx)+\int_0^tg(t-s)\bar K(s)dsKˉ(t)=⟨1,νˉt​⟩−⟨1,νˉ0​⟩+∫1−G(x)G(x+t)−G(x)​νˉ0​(dx)+∫0t​g(t−s)Kˉ(s)ds.
  • Lemma 4.5: ∥⟨f,νˉs2⟩−⟨f,νˉs1⟩∥T≤∥f∥M∣Δυ0∣TV+(2∥f∥T+∥f′∥T)∥ΔZ∥T\|\langle f,\bar\nu^2_s\rangle-\langle f,\bar\nu^1_s\rangle\|_T\le\|f\|_M|\Delta\upsilon_0|_{TV}+(2\|f\|_T+\|f'\|_T)\|\Delta Z\|_T∥⟨f,νˉs2​⟩−⟨f,νˉs1​⟩∥T​≤∥f∥M​∣Δυ0​∣TV​+(2∥f∥T​+∥f′∥T​)∥ΔZ∥T​.
  • Theorem 4.6: with equal initial measures, ∥ΔKˉ∥T∨∥ΔDˉ∥T≤∣ΔXˉ(0)∣+∥ΔEˉ∥T\|\Delta\bar K\|_T\vee\|\Delta\bar D\|_T\le|\Delta\bar X(0)|+\|\Delta\bar E\|_T∥ΔKˉ∥T​∨∥ΔDˉ∥T​≤∣ΔXˉ(0)∣+∥ΔEˉ∥T​, together with (4.8) and (4.10).

Significance

Uniqueness of the fluid solution is what turns tightness of the scaled NNN-server processes into convergence: every subsequential limit solves the fluid equations, so all coincide (the paper's Theorem 3.7). The representation (3.11) reduces the measure-valued equation to the scalar process Kˉ\bar KKˉ, and the continuity estimate of Theorem 4.6 says the fluid solution is a Lipschitz function of the arrival process. Both are used in the paper's study of long-time behaviour, where νˉt\bar\nu_tνˉt​ converges to the measure with density 1−G1-G1−G, and (3.12) is the form of the entry rate used there.

The results are proved in the paper. None of them, and no part of the measure-valued fluid model, has a machine-checked proof. Formalizing them produces a checked weak-solution theory for a transport equation with an unbounded killing rate and a measure-valued boundary input, which is a reusable piece of infrastructure for other age- and residual-time-based queueing models.

Difficulty

The central step is Theorem 4.1. The naive approach treats (4.2) as a first-order PDE and integrates along characteristics, but the solution is only a càdlàg path of measures, hhh is merely locally integrable and blows up near MMM, and ZZZ may jump, so classical characteristics are not available; the test functions must not vanish on the boundary x=0x=0x=0, since that is where the entry term lives. The second difficulty is in Theorem 4.6: the entry process Kˉ\bar KKˉ is defined implicitly through the nonidling condition, and comparing two solutions requires a first-crossing argument that distinguishes whether the system is below, at or above capacity at that time.

Formalization scope

The service law is its density ggg (ServiceLaw), with g=0g=0g=0 below 000, ∫g=1\int g=1∫g=1 and mean one. Time is R\mathbb RR read on [0,∞)[0,\infty)[0,∞); every condition is stated for t≥0t\ge0t≥0. Measures of the fluid model are FiniteMeasure ℝ carried by [0,M)[0,M)[0,M), whose topology is weak convergence, so càdlàg paths are càdlàg in MF[0,M)\mathcal M_F[0,M)MF​[0,M) with the weak topology. The paths of Theorem 4.1 and Lemma 4.5 are ℝ → Measure ℝ with values Radon on [0,M)[0,M)[0,M) (possibly infinite) and càdlàg in the vague topology. M∈[0,∞]M\in[0,\infty]M∈[0,∞] is an extended number. The integral in (3.4) is a lower integral in [0,∞][0,\infty][0,∞], and Dˉ\bar DDˉ, Kˉ\bar KKˉ are its real value. dKˉd\bar KdKˉ is the Lebesgue–Stieltjes measure of Kˉ\bar KKˉ, with no atom at 000. A function ZZZ of bounded variation is a difference Z1−Z2Z_1-Z_2Z1​−Z2​ of nondecreasing càdlàg functions vanishing at 000.

Explicit choices: compact support of test functions is relative to [0,M)×R+[0,M)\times\mathbb R_+[0,M)×R+​, so φ(0,s)\varphi(0,s)φ(0,s) need not vanish (with supports taken in R2\mathbb R^2R2 the entry term of (3.5) would vanish identically); νˉ(0)=νˉ0\bar\nu(0)=\bar\nu_0νˉ(0)=νˉ0​ and Xˉ(0)\bar X(0)Xˉ(0) equal to the datum are clauses of the fluid equations, but not of the age equation, where υ0\upsilon_0υ0​ is arbitrary; functions in Cb(R+)\mathcal C_b(\mathbb R_+)Cb​(R+​), Cc(R+)\mathcal C_c(\mathbb R_+)Cc​(R+​) and Cb1(R+)\mathcal C^1_b(\mathbb R_+)Cb1​(R+​) are represented by functions on R\mathbb RR of the same class, of which only values on [0,∞)[0,\infty)[0,∞) are read; norms in Lemma 4.5 are computed in [0,∞][0,\infty][0,∞], since ∣Δυ0∣TV|\Delta\upsilon_0|_{TV}∣Δυ0​∣TV​ may be infinite. Two printed statements are corrected: in Theorem 3.5 the paper's right-hand side of the equivalence lists (3.6) and (3.11); the nonidling condition (3.7), part of the fluid equations on the left, is kept on the right, as the proof requires. In (4.10), ΔXˉ(0)\Delta\bar X(0)ΔXˉ(0) is replaced by ∣ΔXˉ(0)∣|\Delta\bar X(0)|∣ΔXˉ(0)∣, which is what Lemma 4.5 and (4.9) give.

A fluid solution is defined by the weak transport equation (3.5), never by the representation (3.11) or by a formula for νˉ\bar\nuνˉ in terms of Kˉ\bar KKˉ; with such a definition the equivalence of the goal would be an unfolding of definitions.

A complete development needs Lebesgue–Stieltjes integration by parts for càdlàg functions of bounded variation, the Riesz description of the vague topology, and uniqueness for weak solutions of transport equations; these are reusable beyond this mission. Proofs of any milestone, and of the parts of Theorem 3.5 separately, are welcome. The paper's Section 4.3 machinery (the abstract and simplified age equations, Lemmas 4.12–4.13, Propositions 4.15–4.16) is not posed here and may be formalized as supporting lemmas.

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
  • J. Reed, The G/GI/N queue in the Halfin–Whitt regime, Ann. Appl. Probab. 19(6) (2009), 2211–2269. https://doi.org/10.1214/09-AAP609
  • W. Whitt, Fluid models for multiserver queues with abandonments, Oper. Res. 54(1) (2006), 37–54. https://doi.org/10.1287/opre.1050.0227
  • S. Asmussen, Applied Probability and Queues, 2nd ed., Springer, 2003. https://doi.org/10.1007/b97236
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ProbabilityRandom Matrix Theory·Captain: mikedeng1

Phase Transition of the Largest Eigenvalue for Nonnull Complex Sample Covariance Matrices 2: Spikes above 1+γ⁻¹ Give √M Fluctuations of the Largest Eigenvalue with Limit G_k, the k×k GUE LawResearch Paper

Motivation

Sample covariance matrices are the basic object of multivariate statistics: principal component analysis, signal detection and factor models all start from the eigenvalues of S=1M∑k=1My⃗ky⃗k ∗S = \frac1M\sum_{k=1}^M \vec y_k \vec y_k^{\,*}S=M1​∑k=1M​y​k​y​k∗​ computed from MMM samples of an NNN-dimensional vector. When NNN is comparable to MMM, the eigenvalues of SSS no longer approximate those of the population covariance Σ\SigmaΣ. The question is then whether a few large population eigenvalues ("spikes") are visible in the sample spectrum at all, and how the top sample eigenvalue fluctuates when they are.

Baik, Ben Arous and Péché (Ann. Probab. 33 (2005) 1643–1697) answered this for complex Gaussian samples. They found a sharp threshold 1+γ−11+\gamma^{-1}1+γ−1, where γ2=M/N\gamma^2 = M/Nγ2=M/N, now called the BBP phase transition. This mission formalizes the supercritical half of the answer, Theorem 1.1(b).

Timeline.

  • 2000–2001: Johansson (Comm. Math. Phys. 209, 2000) and Johnstone (Ann. Statist. 29) proved that for Σ=I\Sigma = IΣ=I the largest eigenvalue, centred at (1+γ−1)2(1+\gamma^{-1})^2(1+γ−1)2 and scaled by M2/3M^{2/3}M2/3, has the Tracy–Widom law. Johansson treated the complex case, Johnstone the real case.
  • 2005: Baik, Ben Arous and Péché treated Σ\SigmaΣ with finitely many eigenvalues different from 111. Spikes at or below 1+γ−11+\gamma^{-1}1+γ−1 give M2/3M^{2/3}M2/3 fluctuations with limit laws FkF_kFk​ (part (a), a separate mission of this series). Spikes above 1+γ−11+\gamma^{-1}1+γ−1 give M\sqrt MM​ fluctuations with limit GkG_kGk​ (part (b)).
  • 2006: Baik and Silverstein (J. Multivariate Anal. 97) located the outlying eigenvalue for general, non-Gaussian samples. Bai and Yao (Ann. IHP 44, 2008) obtained Gaussian fluctuations of the outliers for general samples.

Setting

Let gkjg_{kj}gkj​, 1≤k≤M1 \le k \le M1≤k≤M, 1≤j≤N1 \le j \le N1≤j≤N, be independent standard complex Gaussians: g=a+ibg = a + ibg=a+ib with a,ba, ba,b independent real normal variables of mean 000 and variance 1/21/21/2. Fix a unitary matrix UUU and positive population eigenvalues ℓ1,…,ℓN\ell_1, \dots, \ell_Nℓ1​,…,ℓN​. The samples are

y⃗k=U diag(ℓ1,…,ℓN) g⃗k,\vec y_k = U\,\mathrm{diag}(\sqrt{\ell_1},\dots,\sqrt{\ell_N})\,\vec g_k,y​k​=Udiag(ℓ1​​,…,ℓN​​)g​k​,

which are independent mean-zero complex Gaussian vectors with covariance Σ=U diag(ℓ) U∗\Sigma = U\,\mathrm{diag}(\ell)\,U^*Σ=Udiag(ℓ)U∗. The sample covariance matrix is S=1M∑ky⃗ky⃗k ∗S = \frac1M\sum_k \vec y_k\vec y_k^{\,*}S=M1​∑k​y​k​y​k∗​, and λ1\lambda_1λ1​ is its largest eigenvalue.

The regime has M,N→∞M, N \to \inftyM,N→∞ with M/N=γ2M/N = \gamma^2M/N=γ2 and γ\gammaγ in a compact subset of [1,∞)[1,\infty)[1,∞). A fixed number rrr of the ℓj\ell_jℓj​ differ from 111. For some 1≤k≤r1 \le k \le r1≤k≤r the top kkk coincide, ℓ1=⋯=ℓk\ell_1 = \cdots = \ell_kℓ1​=⋯=ℓk​, with common value in a compact subset of (1+γ−1,∞)(1+\gamma^{-1},\infty)(1+γ−1,∞). The others, ℓk+1,…,ℓr\ell_{k+1},\dots,\ell_rℓk+1​,…,ℓr​, lie in a compact subset of (0,ℓ1)(0,\ell_1)(0,ℓ1​).

The limit law is the finite GUE distribution. Let Zk=∫Rk∏i<j∣ξi−ξj∣2∏ie−ξi2/2 dξZ_k = \int_{\mathbb R^k}\prod_{i<j}|\xi_i-\xi_j|^2\prod_i e^{-\xi_i^2/2}\,d\xiZk​=∫Rk​∏i<j​∣ξi​−ξj​∣2∏i​e−ξi2​/2dξ. Then

Gk(x)=1Zk∫(−∞,x]k∏1≤i<j≤k∣ξi−ξj∣2∏i=1ke−ξi2/2 dξ1⋯dξk,G_k(x) = \frac1{Z_k}\int_{(-\infty,x]^k}\prod_{1\le i<j\le k}|\xi_i-\xi_j|^2\prod_{i=1}^k e^{-\xi_i^2/2}\,d\xi_1\cdots d\xi_k,Gk​(x)=Zk​1​∫(−∞,x]k​1≤i<j≤k∏​∣ξi​−ξj​∣2i=1∏k​e−ξi2​/2dξ1​⋯dξk​,

which is the law of the largest eigenvalue of a k×kk\times kk×k Gaussian unitary ensemble matrix (Definition 1.2).

Formalization targets

Goal: Theorem 1.1(b)

P((λ1−(ℓ1+ℓ1γ−2ℓ1−1))⋅Mℓ12−ℓ12γ−2/(ℓ1−1)2≤x)⟶Gk(x)for every x∈R.\mathbb P\left(\Big(\lambda_1 - \Big(\ell_1 + \frac{\ell_1\gamma^{-2}}{\ell_1-1}\Big)\Big)\cdot\frac{\sqrt M}{\sqrt{\ell_1^2 - \ell_1^2\gamma^{-2}/(\ell_1-1)^2}} \le x\right) \longrightarrow G_k(x)\qquad\text{for every } x \in \mathbb R.P((λ1​−(ℓ1​+ℓ1​−1ℓ1​γ−2​))⋅ℓ12​−ℓ12​γ−2/(ℓ1​−1)2​M​​≤x)⟶Gk​(x)for every x∈R.

Companion: Corollary 1.1(b)

λ1−ℓ1(1+γ−2ℓ1−1)⟶0in probability.\lambda_1 - \ell_1\Big(1 + \frac{\gamma^{-2}}{\ell_1-1}\Big) \longrightarrow 0 \quad\text{in probability.}λ1​−ℓ1​(1+ℓ1​−1γ−2​)⟶0in probability.

Milestones

The milestones follow the proof in §4, in attack order:

  • the critical points of the phase fff, (218)–(219);
  • the contour estimates, Lemmas 4.1 and 4.2;
  • the uniform kernel asymptotics, Proposition 4.1;
  • the Hermite-polynomial identities (287), (295), (288) and (292);
  • the closed form (299) of the limiting kernel K2K_2K2​;
  • the Fredholm-determinant representation of GkG_kGk​, Lemma 1.1:
Gk(x)=det⁡(1−Hx(k)),H(k)(u,v)=ck−1ck pk(u)pk−1(v)−pk−1(u)pk(v)u−v e−(u2+v2)/4.G_k(x) = \det\big(1 - \mathbf H^{(k)}_x\big),\qquad H^{(k)}(u,v) = \frac{c_{k-1}}{c_k}\,\frac{p_k(u)p_{k-1}(v) - p_{k-1}(u)p_k(v)}{u-v}\,e^{-(u^2+v^2)/4}.Gk​(x)=det(1−Hx(k)​),H(k)(u,v)=ck​ck−1​​u−vpk​(u)pk−1​(v)−pk−1​(u)pk​(v)​e−(u2+v2)/4.

Here pnp_npn​ are the orthonormal polynomials for the weight e−x2/2e^{-x^2/2}e−x2/2 and cnc_ncn​ their leading coefficients.

Significance

The result. Below the threshold the top eigenvalue sticks to the bulk edge (1+γ−1)2(1+\gamma^{-1})^2(1+γ−1)2. Above it, Theorem 1.1(b) and Corollary 1.1(b) show that λ1\lambda_1λ1​ separates from the bulk to the explicit location ℓ1(1+γ−2/(ℓ1−1))\ell_1(1+\gamma^{-2}/(\ell_1-1))ℓ1​(1+γ−2/(ℓ1​−1)). Its fluctuations shrink from order M−2/3M^{-2/3}M−2/3 to order M−1/2M^{-1/2}M−1/2, and their law is the top eigenvalue of a k×kk\times kk×k GUE, with kkk the multiplicity of the spike. This gives:

  • a detection threshold for spiked signals in high dimension;
  • the centring and scaling of tests based on the top sample eigenvalue;
  • the first instance of a kkk-dependent family of finite-GUE limits in a spiked model.

Formalizing it. The result is proved in the paper and is not open. Nothing in this mission has a machine-checked proof yet. A complete development would include:

  • the first formal statements of the spiked complex Wishart model;
  • the GUE law GkG_kGk​ and its Fredholm representation;
  • a uniform steepest-descent analysis with explicit contours.

The two contour lemmas (4.1, 4.2) and the Hermite identities are elementary and are footholds. Proposition 4.1 and Lemma 1.1 are substantial. The paper does not prove Lemma 1.1 but cites it as a standard result of random matrix theory (its references [28, 41]).

Difficulty

The obvious route is to diagonalise the sample matrix, write down the eigenvalue density and take a limit. That density involves the Harish-Chandra–Itzykson–Zuber integral. Its large-NNN limit is not accessible directly, because the spike enters through a determinant with NNN nearly coincident columns.

The paper instead starts from an exact Fredholm-determinant formula (Proposition 2.1, posed in mission 1 of this series). In it the kernel factors into two contour integrals H\mathcal HH and J\mathcal JJ with phase f(z)=−μ(z−q)+log⁡z−γ−2log⁡(1−z)f(z) = -\mu(z-q) + \log z - \gamma^{-2}\log(1-z)f(z)=−μ(z−q)+logz−γ−2log(1−z). Above the threshold the two factors are governed by different points. J\mathcal JJ has a nondegenerate saddle at π1=ℓ1−1\pi_1 = \ell_1^{-1}π1​=ℓ1−1​. For H\mathcal HH the natural saddle 1/(μπ1)1/(\mu\pi_1)1/(μπ1​) lies beyond the pole at π1\pi_1π1​, so the contour must be deformed through a pole of order kkk, and the leading term is a residue rather than a saddle contribution. The estimates must hold uniformly in γ\gammaγ and in the remaining spikes, and the convergence must be strong enough (Hilbert–Schmidt) to pass to Fredholm determinants.

Formalization scope

Model. Complex Gaussian samples with mean zero and no centring. S=1M∑ky⃗ky⃗k ∗S = \frac1M\sum_k\vec y_k\vec y_k^{\,*}S=M1​∑k​y​k​y​k∗​, with the factor 1/M1/M1/M. Σ=U diag(ℓ) U∗\Sigma = U\,\mathrm{diag}(\ell)\,U^*Σ=Udiag(ℓ)U∗ for every unitary UUU. This is the model of the paper's (59), (61) and Proposition 2.1; the introduction's mentions of 1/N1/N1/N, of centring and of the real density (1) are inconsistent with those formulas. λ1\lambda_1λ1​ is the supremum of the eigenvalues of the Hermitian matrix SSS, and probabilities are measures of sets of sample arrays.

Regime. The regime is in sequence form:

  • Nn→∞N_n \to \inftyNn​→∞ and γn=Mn/Nn∈[1,γ0]\gamma_n = \sqrt{M_n/N_n} \in [1,\gamma_0]γn​=Mn​/Nn​​∈[1,γ0​];
  • 1+γn−1+c≤ℓ1=⋯=ℓk≤C1+\gamma_n^{-1}+c \le \ell_1 = \cdots = \ell_k \le C1+γn−1​+c≤ℓ1​=⋯=ℓk​≤C;
  • c≤ℓj≤ℓ1−cc \le \ell_j \le \ell_1 - cc≤ℓj​≤ℓ1​−c for k<j≤rk < j \le rk<j≤r;
  • ℓj=1\ell_j = 1ℓj​=1 for j>rj > rj>r.

The fixed margins c,Cc, Cc,C encode the compact subsets whose open ends move with γ\gammaγ. Convergence is pointwise in xxx.

Analytic conventions.

  • The Fredholm determinant is the Fredholm series ∑n(−1)nn!∫(x,∞)ndet⁡[K(ui,uj)]\sum_n\frac{(-1)^n}{n!}\int_{(x,\infty)^n}\det[K(u_i,u_j)]∑n​n!(−1)n​∫(x,∞)n​det[K(ui​,uj​)].
  • H(k)H^{(k)}H(k) takes its continuous diagonal value.
  • pn=Hen/((2π)1/4n!)p_n = \mathrm{He}_n/((2\pi)^{1/4}\sqrt{n!})pn​=Hen​/((2π)1/4n!​) with Mathlib's probabilists' Hermite polynomials, equal to the paper's (31).
  • The closed contours Γ\GammaΓ, Σ\SigmaΣ in H\mathcal HH, J\mathcal JJ are explicit circles satisfying the paper's constraints.
  • Σ∞\Sigma_\inftyΣ∞​ is the imaginary axis.
  • Residues of a−kφ(a)a^{-k}\varphi(a)a−kφ(a) are Taylor coefficients.

Ruled-out trivialisations. Five shortcuts would make the statements trivial, and none is available:

  • division by zero on the kernel diagonal is replaced by the diagonal value;
  • the Fredholm series is shown to be 111 on the zero kernel, so it is not identically junk;
  • the conditionally convergent real form of contour integrals is not used;
  • Σ\SigmaΣ is not specialised to a diagonal matrix;
  • the regime is shown satisfiable in a sorry-free check.

Infrastructure. The needed infrastructure is the complex Wishart model, eigenvalues of random Hermitian matrices, Fredholm determinants of integral operators, and contour integrals with uniform estimates. The Hermite and Fredholm layers can be reused for any orthogonal-polynomial ensemble. Contributions welcome:

  • proofs of the elementary milestones ((218)–(219), (287), (295), (288), (292), (299), Lemmas 4.1, 4.2);
  • Lemma 1.1 via Christoffel–Darboux and Andréief;
  • the operator-theoretic step from Hilbert–Schmidt convergence of kernels to convergence of Fredholm series.

Selected references

  • J. Baik, G. Ben Arous, S. Péché, Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices, Ann. Probab. 33(5) (2005) 1643–1697. https://doi.org/10.1214/009117905000000233
  • K. Johansson, Shape fluctuations and random matrices, Comm. Math. Phys. 209 (2000) 437–476. https://doi.org/10.1007/s002200050027
  • I. M. Johnstone, On the distribution of the largest eigenvalue in principal components analysis, Ann. Statist. 29 (2001) 295–327. https://doi.org/10.1214/aos/1009210544
  • J. Baik, J. W. Silverstein, Eigenvalues of large sample covariance matrices of spiked population models, J. Multivariate Anal. 97 (2006) 1382–1408. https://doi.org/10.1016/j.jmva.2005.08.003
  • Z. Bai, J. Yao, Central limit theorems for eigenvalues in a spiked population model, Ann. Inst. H. Poincaré Probab. Statist. 44 (2008) 447–474. https://doi.org/10.1214/07-AIHP118
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ProbabilityRandom Matrix Theory·Captain: mikedeng1

Phase Transition of the Largest Eigenvalue for Nonnull Complex Sample Covariance Matrices 1: Spikes at or below 1+γ⁻¹ Give M^{2/3} Fluctuations of the Largest Eigenvalue with Limit F_kResearch Paper

Motivation

Sample covariance matrices are the basic object of multivariate statistics: principal component analysis, factor models and signal detection all start from the eigenvalues of S=1M∑k=1My⃗ky⃗k ∗S=\frac1M\sum_{k=1}^M\vec y_k\vec y_k^{\,*}S=M1​∑k=1M​y​k​y​k∗​ built from MMM observations of NNN variables. When NNN is comparable to MMM, the largest eigenvalue λ1\lambda_1λ1​ of SSS is no longer a consistent estimate of the largest population eigenvalue, and the question of when a "spike" in the population covariance is visible in λ1\lambda_1λ1​ becomes a question about the law of λ1\lambda_1λ1​ at large M,NM,NM,N.

Timeline.

  • 2000–2001: for null covariance Σ=I\Sigma=IΣ=I, Johansson (complex samples, arXiv:math/9903134) and Johnstone (real samples, doi:10.1214/aos/1009210544) showed that λ1\lambda_1λ1​, centred at (1+γ−1)2(1+\gamma^{-1})^2(1+γ−1)2 and scaled by M2/3M^{2/3}M2/3, converges to a Tracy–Widom law.
  • 2003: Péché (reference [31] of the 2005 paper) showed that finitely many population eigenvalues below 222 (at M=NM=NM=N) leave this limit unchanged.
  • 2005: Baik, Ben Arous and Péché (doi:10.1214/009117905000000233), for complex Gaussian samples, located the threshold exactly at 1+γ−11+\gamma^{-1}1+γ−1 and identified the limit laws on both sides and at the threshold. This transition is now called the BBP phase transition.

This mission formalizes the critical and subcritical side of that transition, Theorem 1.1(a) of the 2005 paper.

Setting

Let g=a+ibg=a+ibg=a+ib with a,ba,ba,b independent real normal variables of mean 000 and variance 1/21/21/2: a standard complex Gaussian. Let G=(gkj)G=(g_{kj})G=(gkj​), 1≤k≤M1\le k\le M1≤k≤M, 1≤j≤N1\le j\le N1≤j≤N, be i.i.d. standard complex Gaussians. Fix an N×NN\times NN×N unitary matrix UUU and positive reals ℓ1,…,ℓN\ell_1,\dots,\ell_Nℓ1​,…,ℓN​, the population eigenvalues, and put Σ=U diag(ℓ) U∗\Sigma=U\,\mathrm{diag}(\ell)\,U^*Σ=Udiag(ℓ)U∗. The samples are y⃗k=U diag(ℓj) g⃗k\vec y_k=U\,\mathrm{diag}(\sqrt{\ell_j})\,\vec g_ky​k​=Udiag(ℓj​​)g​k​, mean-zero complex Gaussian vectors with covariance Σ\SigmaΣ. The sample covariance matrix is S=1M∑ky⃗ky⃗k ∗S=\frac1M\sum_k\vec y_k\vec y_k^{\,*}S=M1​∑k​y​k​y​k∗​ and λ1\lambda_1λ1​ is its largest eigenvalue. Write γ=M/N≥1\gamma=\sqrt{M/N}\ge1γ=M/N​≥1.

The limit laws are built from the Airy function Ai(u)=12π∫eiua+ia3/3 da\mathrm{Ai}(u)=\frac1{2\pi}\int e^{iua+ia^3/3}\,daAi(u)=2π1​∫eiua+ia3/3da, integrated along a contour from ∞e5iπ/6\infty e^{5i\pi/6}∞e5iπ/6 to ∞eiπ/6\infty e^{i\pi/6}∞eiπ/6, and the Airy kernel

A(u,v)=∫0∞Ai(u+z) Ai(z+v) dz.A(u,v)=\int_0^\infty\mathrm{Ai}(u+z)\,\mathrm{Ai}(z+v)\,dz .A(u,v)=∫0∞​Ai(u+z)Ai(z+v)dz.

For m≥1m\ge1m≥1, s(m)(u)=12π∫eiua+ia3/3(ia)−m das^{(m)}(u)=\frac1{2\pi}\int e^{iua+ia^3/3}(ia)^{-m}\,das(m)(u)=2π1​∫eiua+ia3/3(ia)−mda (with the pole a=0a=0a=0 above the contour) and t(m)(v)=12π∫eiva+ia3/3(−ia)m−1 dat^{(m)}(v)=\frac1{2\pi}\int e^{iva+ia^3/3}(-ia)^{m-1}\,dat(m)(v)=2π1​∫eiva+ia3/3(−ia)m−1da. The Fredholm determinant of a kernel KKK on L2((x,∞))L^2((x,\infty))L2((x,∞)) is its Fredholm series

det⁡(1−K)=∑n≥0(−1)nn!∫(x,∞)ndet⁡[K(ui,uj)]i,j=1n du,\det(1-K)=\sum_{n\ge0}\frac{(-1)^n}{n!}\int_{(x,\infty)^n}\det[K(u_i,u_j)]_{i,j=1}^n\,du ,det(1−K)=n≥0∑​n!(−1)n​∫(x,∞)n​det[K(ui​,uj​)]i,j=1n​du,

and

Fk(x)=det⁡(1−A−∑m=1ks(m)⊗t(m))L2((x,∞)).F_k(x)=\det\Big(1-A-\sum_{m=1}^k s^{(m)}\otimes t^{(m)}\Big)_{L^2((x,\infty))}.Fk​(x)=det(1−A−m=1∑k​s(m)⊗t(m))L2((x,∞))​.

F0F_0F0​ is the GUE Tracy–Widom distribution and F1=FGOE2F_1=F_{\rm GOE}^2F1​=FGOE2​.

Formalization targets

Goal: Theorem 1.1(a)

Fix integers 0≤k≤r0\le k\le r0≤k≤r. Let M,N→∞M,N\to\inftyM,N→∞ with γ∈[1,γ0]\gamma\in[1,\gamma_0]γ∈[1,γ0​], and suppose ℓr+1=⋯=ℓN=1\ell_{r+1}=\dots=\ell_N=1ℓr+1​=⋯=ℓN​=1, ℓ1=⋯=ℓk=1+γ−1\ell_1=\dots=\ell_k=1+\gamma^{-1}ℓ1​=⋯=ℓk​=1+γ−1 and ℓk+1,…,ℓr\ell_{k+1},\dots,\ell_rℓk+1​,…,ℓr​ stay in a compact subset of (0,1+γ−1)(0,1+\gamma^{-1})(0,1+γ−1). Then for every real xxx,

P((λ1−(1+γ−1)2)γ(1+γ)4/3M2/3≤x)→Fk(x).\mathbb P\Big(\big(\lambda_1-(1+\gamma^{-1})^2\big)\frac{\gamma}{(1+\gamma)^{4/3}}M^{2/3}\le x\Big)\to F_k(x).P((λ1​−(1+γ−1)2)(1+γ)4/3γ​M2/3≤x)→Fk​(x).

The goal leaves UUU arbitrary and allows γ\gammaγ to vary inside [1,γ0][1,\gamma_0][1,γ0​] along the sequence. A companion item states Corollary 1.1(a): λ1−(1+γ−1)2→0\lambda_1-(1+\gamma^{-1})^2\to0λ1​−(1+γ−1)2→0 in probability.

Milestones

  1. The Airy equation and the identity of the two forms (11), (12) of the Airy kernel.
  2. Lemma 3.3: FkF_kFk​ is well defined, and s(m)s^{(m)}s(m) has the closed form (203).
  3. The eigenvalue density (61) and Andréief's identity (65).
  4. Hankel's formula (75).
  5. Proposition 2.1: the exact identity P(λ1≤ξ)=det⁡(1−KM,N)L2((ξ,∞))\mathbb P(\lambda_1\le\xi)=\det(1-K_{M,N})_{L^2((\xi,\infty))}P(λ1​≤ξ)=det(1−KM,N​)L2((ξ,∞))​ for a double contour integral kernel.
  6. The double critical point (109), (111) of the phase function f(z)=−μ(z−q)+log⁡z−γ−2log⁡(1−z)f(z)=-\mu(z-q)+\log z-\gamma^{-2}\log(1-z)f(z)=−μ(z−q)+logz−γ−2log(1−z).
  7. The descent Lemmas 3.1 and 3.2 along explicit contour pieces.
  8. Proposition 3.1: convergence of the rescaled contour integrals H,J\mathcal H,\mathcal JH,J at rate M−1/3M^{-1/3}M−1/3 with exponential tails.
  9. The kernel identity (200).

Significance

Theorem 1.1(a) shows that 1+γ−11+\gamma^{-1}1+γ−1 is the exact threshold. Spikes strictly below it do not change the Tracy–Widom limit of λ1\lambda_1λ1​. kkk spikes exactly at it produce a new family of limit laws FkF_kFk​ on the same M2/3M^{2/3}M2/3 scale. Together with part (b), where λ1\lambda_1λ1​ separates and fluctuates on the scale M−1/2M^{-1/2}M−1/2, it gives the first complete description of the transition. It is the reference point for spiked-model results on detection limits in PCA, for the real case (Bloemendal–Virág, Mo) and for finite-rank perturbations of Wigner matrices (Péché, Féral–Péché).

The paper's proof is complete and has been in the literature since 2005. No part of it is machine-checked. The mission produces:

  • a formal statement of the theorem;
  • formal definitions of the Airy function by its contour integral, of the Airy kernel and of Fredholm determinants as Fredholm series;
  • the exact finite-NNN determinantal formula of Proposition 2.1;
  • the uniform steepest-descent estimates;
  • formal statements of the classical identities used along the way (Andréief, Hankel).

Difficulty

The obvious approach is to compute the law of λ1\lambda_1λ1​ from the eigenvalue density, which is explicit (61). It fails because the density is an NNN-fold integral whose integrand is a signed determinant, so no direct limit exists. The paper converts it into a Fredholm determinant of a double contour integral kernel. Two steps then carry the difficulty.

First, the steepest-descent analysis. With kkk spikes at 1+γ−11+\gamma^{-1}1+γ−1, the poles of the integrand sit exactly at the double critical point pc=γ/(γ+1)p_c=\gamma/(\gamma+1)pc​=γ/(γ+1) of the phase function. The contour cannot pass through the critical point and must enclose these poles, so it has to be routed at distance of order M−1/3M^{-1/3}M−1/3 to the left of pcp_cpc​. All estimates must be uniform in γ\gammaγ and in the remaining spikes.

Second, the passage from kernel convergence to convergence of Fredholm determinants. It needs bounds strong enough to control every term of the Fredholm series, which is what the exponential tails in Proposition 3.1 provide. The functions s(m)s^{(m)}s(m) grow polynomially, so even the finiteness of FkF_kFk​ (Lemma 3.3) needs an argument.

Formalization scope

Lean encoding:

  • Samples are mean-zero with E y⃗y⃗ ∗=Σ\mathbb E\,\vec y\vec y^{\,*}=\SigmaEy​y​∗=Σ, S=1M∑ky⃗ky⃗k ∗S=\frac1M\sum_k\vec y_k\vec y_k^{\,*}S=M1​∑k​y​k​y​k∗​, and there is no centring by the sample mean. This is the model of the paper's (59) and Proposition 2.1. The printed text on p. 1645 differs in three slips.
  • Σ=U diag(ℓ) U∗\Sigma=U\,\mathrm{diag}(\ell)\,U^*Σ=Udiag(ℓ)U∗ ranges over every unitary UUU.
  • λ1\lambda_1λ1​ is the largest eigenvalue of the Hermitian matrix SSS.
  • The asymptotic regime is written with sequences Mn,NnM_n,N_nMn​,Nn​, Nn→∞N_n\to\inftyNn​→∞ and γn∈[1,γ0]\gamma_n\in[1,\gamma_0]γn​∈[1,γ0​]. "In a compact subset of (0,1+γ−1)(0,1+\gamma^{-1})(0,1+γ−1)" is read with a fixed margin ccc: c≤ℓj≤1+γn−1−cc\le\ell_j\le1+\gamma_n^{-1}-cc≤ℓj​≤1+γn−1​−c.
  • Indices are 000-based.
  • Exponents 2/32/32/3, 4/34/34/3, 1/31/31/3 are real powers of positive reals.
  • FkF_kFk​ is defined as the Fredholm series of the kernel A+∑ms(m)⊗t(m)A+\sum_m s^{(m)}\otimes t^{(m)}A+∑m​s(m)⊗t(m), the paper's (201). The paper proves that this equals its Definition 1.1.
  • Contour integrals are Bochner integrals along two-ray broken lines, where the integrands decay like e−t3/3e^{-t^3/3}e−t3/3. Closed contours are circles with real centres.

Trivializing formalizations ruled out:

  • The Airy kernel is defined by (12), never by the divided difference (11), whose diagonal would be the junk value 000.
  • Ai is never written as the real integral 1π∫0∞cos⁡(t3/3+ut) dt\frac1\pi\int_0^\infty\cos(t^3/3+ut)\,dtπ1​∫0∞​cos(t3/3+ut)dt, which is not Lebesgue integrable and would be 000.
  • A non-summable Fredholm series would be 000, so summability is a milestone.
  • The goal quantifies over every unitary UUU and every admissible sequence, so it does not specialize Σ\SigmaΣ. Its hypotheses are satisfiable, for example by Mn=NnM_n=N_nMn​=Nn​, ℓ≡1\ell\equiv1ℓ≡1, r=k=0r=k=0r=k=0.

Infrastructure needed and reusable:

  • the Airy function and its decay;
  • trace-class or Hadamard-bound control of Fredholm series;
  • the complex Wishart eigenvalue density, which needs the Harish-Chandra–Itzykson–Zuber integral;
  • Andréief's identity;
  • steepest-descent estimates for contour integrals.

The Fredholm-determinant layer and the Airy function are reusable in any Tracy–Widom result. Andréief's identity and Hankel's formula are reusable well beyond random matrices.

Contributions welcome: proofs of any milestone, and lemmas that bound Fredholm series by Hadamard's inequality.

Selected references

  • J. Baik, G. Ben Arous, S. Péché, Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices, Ann. Probab. 33(5) (2005), 1643–1697. https://doi.org/10.1214/009117905000000233
  • K. Johansson, Shape fluctuations and random matrices, Comm. Math. Phys. 209 (2000), 437–476. https://arxiv.org/abs/math/9903134
  • I. M. Johnstone, On the distribution of the largest eigenvalue in principal components analysis, Ann. Statist. 29 (2001), 295–327. https://doi.org/10.1214/aos/1009210544
  • C. A. Tracy, H. Widom, Level-spacing distributions and the Airy kernel, Comm. Math. Phys. 159 (1994), 151–174. https://arxiv.org/abs/hep-th/9211141
  • C. Andréief, Note sur une relation entre les intégrales définies des produits des fonctions, Mém. Soc. Sci. Phys. Nat. Bordeaux 2 (1883), 1–14.
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Control TheoryOperations Research·Captain: mikedeng1

On Minimizing the Ruin Probability by Investment and Reinsurance II: Equation (5) for g = f′ Has a Unique Strictly Decreasing Solution on [0, ∞)Research Paper

Motivation

An insurance company whose surplus falls below zero is ruined. The probability of ruin is the classical measure of solvency risk in actuarial mathematics. A company can lower it in two ways: it can invest part of its surplus in a risky asset, and it can pass part of each claim to a reinsurer in exchange for part of the premium. Which mix of investment and reinsurance minimises the probability of ruin is a stochastic control problem. It is studied in risk theory and in applied probability, and it is a model case for control problems with jumps.

Hipp and Plum (2000) solved the problem with investment alone. They wrote down the Hamilton–Jacobi–Bellman (HJB) equation and showed that it has a smooth solution. H. Schmidli (2002) added proportional reinsurance. He proved a verification theorem (his Theorem 1) and an existence theorem (his Theorem 2) for the combined problem. This mission formalizes the existence theorem and the analytic statements it rests on.

Setting

Claims arrive as a Poisson process with rate λ>0\lambda>0λ>0. The claim sizes YYY are independent with distribution function GGG, where G(0)=0G(0)=0G(0)=0 and GGG is continuous. The insurer collects premiums at rate c>0c>0c>0. A risky asset follows a geometric Brownian motion with drift μ>0\mu>0μ>0 and volatility σ>0\sigma>0σ>0. Under proportional reinsurance with retention level b∈[0,1]b\in[0,1]b∈[0,1], the insurer pays the fraction bYbYbY of each claim and pays the reinsurer a premium at rate c(b)c(b)c(b). The function c(b)c(b)c(b) is decreasing and continuous, c(1)=0c(1)=0c(1)=0, lim inf⁡b↑1c(b)/(1−b)>0\liminf_{b\uparrow1}c(b)/(1-b)>0liminfb↑1​c(b)/(1−b)>0, and there is b‾>0\underline b>0b​>0 with c(b)>cc(b)>cc(b)>c for b<b‾b<\underline bb<b​ and c(b)≤cc(b)\le cc(b)≤c for b≥b‾b\ge\underline bb≥b​. In particular, full reinsurance costs more than the premium income.

Write fff for an unnormalised survival probability, with f(u)=0f(u)=0f(u)=0 for u<0u<0u<0. The HJB equation (1) of the problem is

sup⁡b∈[0,1]sup⁡A≥0[12σ2A2f′′(u)+(c−c(b)+μA)f′(u)+λ(E[f(u−bY)]−f(u))]=0,\sup_{b\in[0,1]}\sup_{A\ge0}\Big[\tfrac12\sigma^2A^2f''(u)+\big(c-c(b)+\mu A\big)f'(u)+\lambda\big(\mathbb E[f(u-bY)]-f(u)\big)\Big]=0 ,b∈[0,1]sup​A≥0sup​[21​σ2A2f′′(u)+(c−c(b)+μA)f′(u)+λ(E[f(u−bY)]−f(u))]=0,

where AAA is the amount invested. Eliminating AAA and substituting g=f′g=f'g=f′ turns (1) into the integral equation (5):

g(u)=1μ22σ2∫0udxDg(x)+cλ,g(u)=\frac{1}{\dfrac{\mu^2}{2\sigma^2}\displaystyle\int_0^u\frac{dx}{D_g(x)}+\dfrac{c}{\lambda}},g(u)=2σ2μ2​∫0u​Dg​(x)dx​+λc​1​, Dg(x)=inf⁡b∈[0,1][λ(1−G(x/b)+∫0x(1−G((x−z)/b))g(z) dz)−(c−c(b))g(x)].D_g(x)=\inf_{b\in[0,1]}\Big[\lambda\Big(1-G(x/b)+\int_0^x\big(1-G((x-z)/b)\big)g(z)\,dz\Big)-\big(c-c(b)\big)g(x)\Big].Dg​(x)=b∈[0,1]inf​[λ(1−G(x/b)+∫0x​(1−G((x−z)/b))g(z)dz)−(c−c(b))g(x)].

Condition (6) at uuu is Dg(u)>0D_g(u)>0Dg​(u)>0. In Lean, ReinsPremium, ClaimLaw, tail, den (=Dg=D_g=Dg​), SolvesEq5On, H and SolvesHJB (equation (1)) live in the shared module SchmidliRuin.Verif.Setting; HasBoundedDensity, Cond6, SolvesEq3At and SolvesHJBAtZero live in SchmidliRuin.Exist.Setting.

Formalization targets

Goal: Theorem 2 (p. 900)

If GGG has a bounded density, then

∃! g:[0,∞)→R strictly decreasing, solving (5) on [0,∞).\exists!\ g:[0,\infty)\to\mathbb R\ \text{strictly decreasing, solving (5) on }[0,\infty).∃! g:[0,∞)→R strictly decreasing, solving (5) on [0,∞).

Lean states this as two conjuncts: existence, and equality on [0,∞)[0,\infty)[0,∞) of any two strictly decreasing solutions.

Milestones, in attack order

  1. Lemma 3 (p. 894). For a solution fff of (3) on [0,η)[0,\eta)[0,η), the optimal retention is b∗(u)=1b^*(u)=1b∗(u)=1 for small uuu: it is optimal not to reinsure small capital.
  2. Lemma 4 (p. 898). Under a bounded density, (5) has a solution on some [0,ε)[0,\varepsilon)[0,ε), with g(u)=λ/c−αu+o(u)g(u)=\lambda/c-\alpha\sqrt u+o(\sqrt u)g(u)=λ/c−αu​+o(u​) and α=λμ/(σc3/2)\alpha=\lambda\mu/(\sigma c^{3/2})α=λμ/(σc3/2).
  3. Condition (6) near 000 (pp. 898–899): such a local solution satisfies Dg(u)>0D_g(u)>0Dg​(u)>0 for small u>0u>0u>0.
  4. Lemma 5 (p. 899). A decreasing solution on [0,u0)[0,u_0)[0,u0​) with (6) on (0,u0)(0,u_0)(0,u0​) extends to [0,u0][0,u_0][0,u0​], and (6) holds at u0u_0u0​.
  5. Continuation (proof of Theorem 2, p. 901). A solution with (6) on (0,u0](0,u_0](0,u0​] continues to [0,u0+η)[0,u_0+\eta)[0,u0​+η) with (6).
  6. Theorem 1, second sentence (p. 896). For a decreasing solution ggg of (5), f(x)=1+∫0xgf(x)=1+\int_0^xgf(x)=1+∫0x​g is a strictly increasing solution of (1), twice continuously differentiable on (0,∞)(0,\infty)(0,∞).
  7. Theorem 1, last sentence (p. 896). There is at most one strictly increasing, twice continuously differentiable solution of (1) with f(0)=1f(0)=1f(0)=1.

Significance

The existence theorem completes the dynamic-programming solution of the problem. By the verification theorem, f=1+∫0⋅gf=1+\int_0^\cdot gf=1+∫0⋅​g divided by f(∞)f(\infty)f(∞) is the maximal survival probability δ(u)\delta(u)δ(u). The maximisers of the HJB equation define the optimal feedback strategy: the investment A∗(u)=−μf′(u)/(σ2f′′(u))A^*(u)=-\mu f'(u)/(\sigma^2f''(u))A∗(u)=−μf′(u)/(σ2f′′(u)) and the retention level b∗(u)b^*(u)b∗(u). Without Theorem 2 the verification theorem would be a statement about a function that might not exist. Equation (5) is also the basis of the paper's numerical scheme (§5), which iterates (5) to compute δ\deltaδ and the optimal strategies.

Theorem 2 has a published proof. As far as is known, none of the results above has a machine-checked proof, and nothing on Prove2Me states them. The work is to formalize the published argument. This takes the local existence result of Hipp and Plum, which the paper cites rather than reproves, and a continuation argument for a nonlinear Volterra-type equation whose kernel is an infimum over a control parameter. Milestones 6 and 7 are the purely analytic content of the verification theorem that the uniqueness part of Theorem 2 uses. The paper derives milestone 7 stochastically, and an analytic proof is equally welcome.

Difficulty

The denominator Dg(x)D_g(x)Dg​(x) vanishes at x=0x=0x=0: Dg(0)=λ−c g(0)=0D_g(0)=\lambda-c\,g(0)=0Dg​(0)=λ−cg(0)=0, because g(0)=λ/cg(0)=\lambda/cg(0)=λ/c. The integral in (5) is therefore improper at the origin. A Picard iteration started from a constant does not work, because it does not control ∫0udx/Dg(x)\int_0^u dx/D_g(x)∫0u​dx/Dg​(x). One needs the exact square-root rate Dg(x)≍xD_g(x)\asymp\sqrt xDg​(x)≍x​, and Lemma 4 obtains it only through Lemma 3 (no reinsurance near 000) and the Hipp–Plum analysis of the reinsurance-free equation. Lemma 4's proof in the paper is a two-line citation, so a solver must formalize that local existence result.

The second difficulty is continuation. A solution can be continued as long as condition (6) holds, and Lemma 5 has to exclude that (6) degenerates at a finite endpoint. There the infimum over bbb interacts with the vanishing of ggg. The paper's argument uses a Gronwall estimate and the shape of c(b)c(b)c(b) around b‾\underline bb​, and the minimiser bbb in DgD_gDg​ need not be unique or continuous.

Formalization scope

  • Model data. c,λ,μ,σc,\lambda,\mu,\sigmac,λ,μ,σ are real parameters, all strictly positive. The claim law is a probability measure ν\nuν on R\mathbb RR, with G=G=G= cdf ν, ν((−∞,0])=0\nu((-\infty,0])=0ν((−∞,0])=0 and GGG continuous. "Bounded density" means ν\nuν has a measurable density with values in [0,C][0,C][0,C]. E[h(u−bY)]\mathbb E[h(u-bY)]E[h(u−bY)] is ∫h(u−by) dν(y)\int h(u-by)\,d\nu(y)∫h(u−by)dν(y).

  • Premium. c(b)c(b)c(b) is a real function, used on [0,1][0,1][0,1]. The condition lim inf⁡b↑1c(b)/(1−b)>0\liminf_{b\uparrow1}c(b)/(1-b)>0liminfb↑1​c(b)/(1−b)>0 is the lower bound c(b)≥κ(1−b)c(b)\ge\kappa(1-b)c(b)≥κ(1−b) near 111, which is equivalent. A real-valued ccc excludes the case c(0)=∞c(0)=\inftyc(0)=∞ that the paper allows when E[Y]<∞\mathbb E[Y]<\inftyE[Y]<∞.

  • Conventions.

    • 1−G(x/b)1-G(x/b)1−G(x/b) at b=0b=0b=0 is P[0⋅Y>x]=0\mathbb P[0\cdot Y>x]=0P[0⋅Y>x]=0; it is computed by tail, never by Lean's x/0=0x/0=0x/0=0.
    • "ggg solves (5) at uuu" includes that the integral exists: ggg is integrable on [0,u][0,u][0,u], Dg≠0D_g\ne0Dg​=0 on (0,u)(0,u)(0,u), and 1/Dg1/D_g1/Dg​ is integrable on [0,u][0,u][0,u].
    • Every supremum of the paper is a least upper bound (IsLUB … 0). Lean's sSup would return 000 on an unbounded family, for example when f′′≥0f''\ge0f′′≥0, and that would make "fff solves (1)" true by accident.
    • Uniqueness is equality on [0,∞)[0,\infty)[0,∞). The values of ggg off [0,∞)[0,\infty)[0,∞) are free, so a unique-existence quantifier over R→R\mathbb R\to\mathbb RR→R would be false.
    • "Twice continuously differentiable" is read on (0,∞)(0,\infty)(0,∞), since f′′(0+)=−∞f''(0+)=-\inftyf′′(0+)=−∞ (p. 895). At u=0u=0u=0, (1) and (3) are taken in the boundary form sup⁡b[(c−c(b))f′(0)+λ(Ef(−bY)−f(0))]=0\sup_b[(c-c(b))f'(0)+\lambda(\mathbb E f(-bY)-f(0))]=0supb​[(c−c(b))f′(0)+λ(Ef(−bY)−f(0))]=0, with the right derivative f′(0)f'(0)f′(0).
    • λ\lambdaλ and ccc are general. §4 sets λ=c=1\lambda=c=1λ=c=1 by a change of units.
  • Trivialising readings ruled out.

    • Encoding (5) with an unguarded 1/Dg1/D_g1/Dg​ would let a function with a vanishing denominator "solve" (5).
    • Dropping the boundary equation at u=0u=0u=0 from Lemma 3 makes it false: a premium flat near b=0b=0b=0 admits local solutions with b∗≡0b^*\equiv0b∗≡0.
  • Infrastructure needed.

    • existence of the minimiser in DgD_gDg​ and continuity of DgD_gDg​ in xxx;
    • a local existence theorem for singular integral equations in the style of Hipp–Plum;
    • Gronwall's inequality (Mathlib has versions);
    • Banach's fixed-point theorem (ContractingWith).

    The continuation and closure lemmas (milestones 3–5) are reusable for other HJB equations of risk theory with a jump term. Contributions that state and prove intermediate claims of the paper's proofs are welcome as sub-results.

Selected references

  • H. Schmidli, On minimizing the ruin probability by investment and reinsurance, Ann. Appl. Probab. 12(3), 890–907, 2002. https://doi.org/10.1214/aoap/1031863173
  • C. Hipp and M. Plum, Optimal investment for insurers, Insurance Math. Econom. 27(2), 215–228, 2000. https://doi.org/10.1016/S0167-6687(00)00049-4
  • H. Schmidli, Optimal proportional reinsurance policies in a dynamic setting, Scand. Actuar. J. 2001(1), 55–68, 2001. https://doi.org/10.1080/034612301750077338
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Control TheoryDynamical Systems·Captain: mikedeng1

Small Gain Theorems for Large Scale Systems and Construction of ISS Lyapunov Functions 2: Under the Small Gain Condition Γ_μ ≱ id, an Ω-Path ExistsResearch Paper

Why paths in the positive orthant matter for networks

A large control system is often built from many subsystems Σ1,…,Σn\Sigma_1,\dots,\Sigma_nΣ1​,…,Σn​, each of which is input-to-state stable (ISS) with respect to the states of the others. Whether the interconnection is again ISS is decided by a small gain condition on the matrix of interconnection gains. For two subsystems this goes back to Jiang, Teel and Praly (1994) and to the Lyapunov version of Jiang, Mareels and Wang (1996). For nnn subsystems, Dashkovskiy, Rüffer and Wirth formulated the condition as a property Γμ≱id\Gamma_\mu\not\ge\mathrm{id}Γμ​≥id of a monotone operator on R+n\mathbb R^n_+R+n​ (2007). Rüffer's thesis (2007) and the paper on which this mission is based (arXiv:0901.1842, SIAM J. Control Optim. 2010) turned it into a Lyapunov construction.

The construction needs a geometric object: a path σ\sigmaσ in the positive orthant, unbounded in every coordinate, along which the gain operator strictly decreases every component. For a linear gain matrix this is a Perron vector. For nonlinear gains, its existence is the first of the paper's two main results (Theorem 5.2). This mission formalizes that theorem and the lemmas of §8 that prove it. The companion mission formalizes the second main result, the Lyapunov function built from such a path.

Setting

Write R+=[0,∞)\mathbb R_+=[0,\infty)R+​=[0,∞). Vectors in R+n\mathbb R^n_+R+n​ are compared componentwise: v≤wv\le wv≤w means vi≤wiv_i\le w_ivi​≤wi​ for all iii, and v<wv<wv<w means vi<wiv_i<w_ivi​<wi​ for all iii. A function γ:R+→R+\gamma:\mathbb R_+\to\mathbb R_+γ:R+​→R+​ is of class K\mathcal KK if it is continuous, strictly increasing and γ(0)=0\gamma(0)=0γ(0)=0, and of class K∞\mathcal K_\inftyK∞​ if it is moreover unbounded.

A gain matrix is Γ=(γij)i,j=1n\Gamma=(\gamma_{ij})_{i,j=1}^nΓ=(γij​)i,j=1n​ with γij∈K∪{0}\gamma_{ij}\in\mathcal K\cup\{0\}γij​∈K∪{0} and γii≡0\gamma_{ii}\equiv0γii​≡0. A monotone aggregation function (MAF) is a continuous μ:R+n→R+\mu:\mathbb R^n_+\to\mathbb R_+μ:R+n​→R+​ with μ(s)>0\mu(s)>0μ(s)>0 for s≠0s\ne0s=0, μ(x)<μ(y)\mu(x)<\mu(y)μ(x)<μ(y) whenever x<yx<yx<y, and μ(x)→∞\mu(x)\to\inftyμ(x)→∞ as ∥x∥→∞\|x\|\to\infty∥x∥→∞. Typical examples are sums and maxima. Given MAFs μ1,…,μn\mu_1,\dots,\mu_nμ1​,…,μn​, the gain operator is

Γμ(s)i=μi(γi1(s1),…,γin(sn)),s∈R+n.\Gamma_\mu(s)_i=\mu_i\big(\gamma_{i1}(s_1),\dots,\gamma_{in}(s_n)\big),\qquad s\in\mathbb R^n_+ .Γμ​(s)i​=μi​(γi1​(s1​),…,γin​(sn​)),s∈R+n​.

The paper assumes from p. 8 on that μi\mu_iμi​, restricted to the coordinates of the nonzero entries of row iii, still has the strict monotonicity (Remark 2.6). The small gain condition (SGC) is Γμ≱id\Gamma_\mu\not\ge\mathrm{id}Γμ​≥id: for every s≠0s\ne0s=0, at least one component of Γμ(s)\Gamma_\mu(s)Γμ​(s) is strictly smaller than the corresponding component of sss. The set

Ω(Γμ)={s∈R+n:Γμ(s)<s}\Omega(\Gamma_\mu)=\{s\in\mathbb R^n_+:\Gamma_\mu(s)<s\}Ω(Γμ​)={s∈R+n​:Γμ​(s)<s}

collects the points that every component of Γμ\Gamma_\muΓμ​ strictly decreases.

An Ω\OmegaΩ-path (Definition 5.1) is a continuous σ:R+→R+n\sigma:\mathbb R_+\to\mathbb R^n_+σ:R+​→R+n​ with every component σi∈K∞\sigma_i\in\mathcal K_\inftyσi​∈K∞​ such that (i) each σi−1\sigma_i^{-1}σi−1​ is locally Lipschitz on (0,∞)(0,\infty)(0,∞); (ii) on every compact K⊂(0,∞)K\subset(0,\infty)K⊂(0,∞) the derivatives of all σi−1\sigma_i^{-1}σi−1​, where they exist, lie in [c,C][c,C][c,C] for constants 0<c<C0<c<C0<c<C depending on KKK only; and (iii) σ(r)∈Ω(Γμ)\sigma(r)\in\Omega(\Gamma_\mu)σ(r)∈Ω(Γμ​) for all r>0r>0r>0.

Formalization targets

Goal: Theorem 5.2

Let Γ\GammaΓ be a gain matrix and μ\muμ a compatible vector of MAFs. Assume one of: (i) Γμ\Gamma_\muΓμ​ is linear with spectral radius less than one; (ii) Γ\GammaΓ is irreducible and Γμ≱id\Gamma_\mu\not\ge\mathrm{id}Γμ​≥id; (iii) μ=max⁡\mu=\maxμ=max and Γμ≱id\Gamma_\mu\not\ge\mathrm{id}Γμ​≥id; (iv) the entries of Γ\GammaΓ are bounded and Γμ≱id\Gamma_\mu\not\ge\mathrm{id}Γμ​≥id. Then

∃ σ an Ω-path withΓμ(σ(r))<σ(r)∀r>0.\exists\,\sigma\ \text{an }\Omega\text{-path with}\quad\Gamma_\mu(\sigma(r))<\sigma(r)\quad\forall r>0 .∃σ an Ω-path withΓμ​(σ(r))<σ(r)∀r>0.

In cases (i)–(iii) the entries are in K∞∪{0}\mathcal K_\infty\cup\{0\}K∞​∪{0}, and in case (iv) they are in (K∖K∞)∪{0}(\mathcal K\setminus\mathcal K_\infty)\cup\{0\}(K∖K∞​)∪{0}.

Milestones

The milestones follow §8 in the order the proof uses them.

  • Bounded gains: Lemmas 8.1–8.3, where iterates of a point of Ω\OmegaΩ tend to 000 and the polygon through them stays in Ω\OmegaΩ; and Proposition 8.4, which is case (iv).
  • Technical lemmas: Lemmas 8.5–8.7 on diagonal operators diag(ρ)\mathrm{diag}(\rho)diag(ρ) and the decay set Ψ={s:Γμ(s)≤s}\Psi=\{s:\Gamma_\mu(s)\le s\}Ψ={s:Γμ​(s)≤s}.
  • Topological statements: Proposition 8.8, path-connectedness of Ψ\PsiΨ; Proposition 8.10, where Ω\OmegaΩ meets every simplex Sr={s:∑si=r}S_r=\{s:\sum s_i=r\}Sr​={s:∑si​=r}; and Proposition 8.9, where Ψ∞=⋂kΓμk(Ψ)\Psi_\infty=\bigcap_k\Gamma_\mu^k(\Psi)Ψ∞​=⋂k​Γμk​(Ψ) is unbounded.
  • Irreducible case: the scaling step quoted from Rüffer's earlier work, and Theorem 8.11, which is case (ii).
  • Maximum case: Theorem 8.14, case (iii) in its cycle-condition form.
  • Linear case: the Perron step of §8.5, case (i).

Significance

An Ω\OmegaΩ-path turns a small gain condition into a Lyapunov function. If each ViV_iVi​ is an ISS Lyapunov function of Σi\Sigma_iΣi​, then V(x)=max⁡iσi−1(Vi(xi))V(x)=\max_i\sigma_i^{-1}(V_i(x_i))V(x)=maxi​σi−1​(Vi​(xi​)) is one for the network (Theorem 5.3). So Theorem 5.2 is the step that makes the small gain condition a certificate of network stability, and the corollaries of §5–§7 (sums, maxima, neural networks) all pass through it.

The results are published and proved on paper. None is machine-checked: no proof assistant library contains MAFs, gain operators, the sets Ω\OmegaΩ and Ψ\PsiΨ, or Ω\OmegaΩ-paths. The paper cites three ingredients without proof: Lemma 8.6, Proposition 8.9 and the scaling step of Theorem 8.11. It also gives Theorem 8.14 only as a sketch. Formalizing them closes those gaps in one place.

Difficulty

For bounded gains the problem is easy: far out, every point of a large ray lies in Ω\OmegaΩ, and the only work is the descent to the origin. With K∞\mathcal K_\inftyK∞​ entries, Γμ\Gamma_\muΓμ​ is unbounded and no ray need stay in Ω\OmegaΩ. Following the image of a single point fails, because forward iterates go to 000, not to infinity. The paper instead uses backward orbits inside Ψ∞\Psi_\inftyΨ∞​. That this set is nonempty and unbounded is a fixed-point argument of Knaster–Kuratowski–Mazurkiewicz type (Propositions 8.9 and 8.10), not a monotonicity argument. A second obstacle is strictness. A backward orbit is only ≤\le≤-increasing, while Definition 5.1 needs strictly increasing components with derivative bounds. This is where the diagonal scalings of Lemmas 8.6–8.7 enter.

Formalization scope

R+\mathbb R_+R+​ is ℝ≥0 and R+n\mathbb R^n_+R+n​ is Fin n → ℝ≥0, with subsystems indexed from 000. The strict order <<< is a named predicate (SLt), never Lean's < on functions, which means "≤\le≤ and ≠\ne=". The small gain condition is ∀ s ≠ 0, ¬ s ≤ T s. The inverses σi−1\sigma_i^{-1}σi−1​ are carried as explicit two-sided inverses, and derivatives are ordinary real derivatives at points r>0r>0r>0 where they exist. Compatibility (Remark 2.6) and γii≡0\gamma_{ii}\equiv0γii​≡0 are hypotheses of every statement about Γμ\Gamma_\muΓμ​. Irreducibility is the matrix-power form of p. 12, which Mathlib's Matrix.isIrreducible_iff_exists_pow_pos connects to Matrix.IsIrreducible. The spectral-radius hypothesis says that every complex eigenvalue has modulus <1<1<1. The 1-norm defines SrS_rSr​.

Hypotheses made explicit or corrected:

  • Theorem 5.2's header types Γ\GammaΓ in K∞∪{0}\mathcal K_\infty\cup\{0\}K∞​∪{0} while (iv) needs bounded entries, so each case carries its own entry class.
  • Case (iv) is stated as printed, without "no zero rows".
  • Proposition 8.10 prints "T(s)≱sT(s)\not\ge sT(s)≥s for all s∈R+ns\in\mathbb R^n_+s∈R+n​". No map satisfies this at s=0s=0s=0, so it is stated for s≠0s\ne0s=0.
  • Propositions 8.9 and 8.10 assume n≥1n\ge1n≥1.

A path with Γμ(σ(r))≤σ(r)\Gamma_\mu(\sigma(r))\le\sigma(r)Γμ​(σ(r))≤σ(r), or with Lean's < on functions, is not an Ω\OmegaΩ-path. Such a reading would make the goal follow from the origin alone, and it is ruled out.

Needed infrastructure: comparison-function calculus (inverses and compositions of K∞\mathcal K_\inftyK∞​ functions), piecewise linear interpolation in R+n\mathbb R^n_+R+n​ with Lipschitz inverse bounds, and a KKM-type argument on the simplex. The first two are reusable well beyond this mission. Contributions of any milestone, proofs of the cited ingredients (Lemma 8.6, Proposition 8.9, Proposition 8.10, the scaling step of Theorem 8.11) and a full proof of Theorem 8.14 are welcome.

Selected references

  • S. N. Dashkovskiy, B. S. Rüffer, F. R. Wirth, Small Gain Theorems for Large Scale Systems and Construction of ISS Lyapunov Functions, arXiv:0901.1842v2, 2009; SIAM J. Control Optim. 48(6), 2010. https://arxiv.org/abs/0901.1842 , https://doi.org/10.1137/090746483
  • S. Dashkovskiy, B. S. Rüffer, F. R. Wirth, An ISS small gain theorem for general networks, Math. Control Signals Systems 19 (2007), pp. 93–122.
  • B. S. Rüffer, Monotone dynamical systems, graphs, and stability of large-scale interconnected systems, PhD thesis, Universität Bremen, 2007. http://nbn-resolving.de/urn:nbn:de:gbv:46-diss000109058
  • B. S. Rüffer, Monotone inequalities, dynamical systems, and paths in the positive orthant of Euclidean n-space, Positivity, 2009/2010. https://doi.org/10.1007/s11117-009-0016-5
  • Z.-P. Jiang, I. M. Y. Mareels, Y. Wang, A Lyapunov formulation of the nonlinear small-gain theorem for interconnected ISS systems, Automatica 32 (1996), pp. 1211–1215.
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Control TheoryDynamical Systems·Captain: mikedeng1

Small Gain Theorems for Large Scale Systems and Construction of ISS Lyapunov Functions 1: Rescaling Along an Ω-Path Gives the Network ISS Lyapunov Function maxᵢ σᵢ⁻¹(Vᵢ(xᵢ))Research Paper

Motivation

Large engineered systems — power grids, chemical plants, logistics and communication networks — are usually modelled as many interacting subsystems. A stability certificate for the whole network is rarely available directly, but each subsystem can often be analysed on its own, treating the states of its neighbours as disturbances. Input-to-state stability (ISS), introduced by Sontag (Sontag 1989), is the robustness notion that makes this decomposition work: it bounds the state by a decaying function of the initial condition plus a gain of the input. A small-gain theorem states that if the gains by which the subsystems influence each other are "small" in a suitable sense, the interconnection is again ISS.

Timeline. Jiang, Teel and Praly proved a nonlinear small-gain theorem for two ISS systems in trajectory form (1994), and Jiang, Mareels and Wang gave its Lyapunov version for two subsystems (1996). Dashkovskiy, Rüffer and Wirth extended the trajectory version to nnn subsystems with the condition Γ≱id\Gamma\not\ge\mathrm{id}Γ≥id on a nonlinear gain operator (2007). The paper of this mission (arXiv:0901.1842, SIAM J. Control Optim. 48(6), 2010) gives the Lyapunov version for nnn subsystems with general monotone aggregation of the gains, and constructs the network's ISS Lyapunov function explicitly.

Setting

The network consists of n≥1n\ge 1n≥1 subsystems

Σi: x˙i=fi(x1,…,xn,u),xi∈RNi, u∈RM,\Sigma_i:\ \dot x_i=f_i(x_1,\dots,x_n,u),\qquad x_i\in\mathbb R^{N_i},\ u\in\mathbb R^M,Σi​: x˙i​=fi​(x1​,…,xn​,u),xi​∈RNi​, u∈RM,

with overall state x=(x1T,…,xnT)T∈RNx=(x_1^T,\dots,x_n^T)^T\in\mathbb R^Nx=(x1T​,…,xnT​)T∈RN and dynamics x˙=f(x,u)\dot x=f(x,u)x˙=f(x,u), f=(f1,…,fn)f=(f_1,\dots,f_n)f=(f1​,…,fn​). ∥⋅∥\|\cdot\|∥⋅∥ is the Euclidean norm.

A function γ:R+→R+\gamma:\mathbb R_+\to\mathbb R_+γ:R+​→R+​ is of class K\mathcal KK if it is continuous, strictly increasing and γ(0)=0\gamma(0)=0γ(0)=0, and of class K∞\mathcal K_\inftyK∞​ if moreover unbounded. A positive definite function α:R+→R+\alpha:\mathbb R_+\to\mathbb R_+α:R+​→R+​ is continuous with α(r)=0\alpha(r)=0α(r)=0 only at r=0r=0r=0. A Lyapunov function candidate V:Rd→R+V:\mathbb R^d\to\mathbb R_+V:Rd→R+​ is continuous, satisfies ψ1(∥x∥)≤V(x)≤ψ2(∥x∥)\psi_1(\|x\|)\le V(x)\le\psi_2(\|x\|)ψ1​(∥x∥)≤V(x)≤ψ2​(∥x∥) for some ψ1,ψ2∈K∞\psi_1,\psi_2\in\mathcal K_\inftyψ1​,ψ2​∈K∞​, and is locally Lipschitz away from the origin.

A candidate VVV is an ISS Lyapunov function for x˙=f(x,u)\dot x=f(x,u)x˙=f(x,u) if there are γ∈K\gamma\in\mathcal Kγ∈K and a positive definite α\alphaα with

V(x)≥γ(∥u∥) ⟹ ∇V(x)f(x,u)≤−α(∥x∥)V(x)\ge\gamma(\|u\|)\ \Longrightarrow\ \nabla V(x)f(x,u)\le-\alpha(\|x\|)V(x)≥γ(∥u∥) ⟹ ∇V(x)f(x,u)≤−α(∥x∥)

at every point of differentiability of VVV.

On R+n\mathbb R^n_+R+n​, v<wv<wv<w means vi<wiv_i<w_ivi​<wi​ for every iii. A monotone aggregation function (MAF) μ:R+m→R+\mu:\mathbb R^m_+\to\mathbb R_+μ:R+m​→R+​ is continuous, positive off the origin, strictly increasing for this strict order, and unbounded as ∥s∥→∞\|s\|\to\infty∥s∥→∞. Subsystem Σi\Sigma_iΣi​ has an ISS Lyapunov function ViV_iVi​ with gains γij∈K∞∪{0}\gamma_{ij}\in\mathcal K_\infty\cup\{0\}γij​∈K∞​∪{0}, γiu∈K∪{0}\gamma_{iu}\in\mathcal K\cup\{0\}γiu​∈K∪{0} and MAF μi\mu_iμi​ on R+n+1\mathbb R^{n+1}_+R+n+1​ if, wherever ViV_iVi​ is differentiable,

Vi(xi)≥μi(γi1(V1(x1)),…,γin(Vn(xn)),γiu(∥u∥)) ⟹ ∇Vi(xi)fi(x,u)≤−αi(∥xi∥).V_i(x_i)\ge\mu_i\big(\gamma_{i1}(V_1(x_1)),\dots,\gamma_{in}(V_n(x_n)),\gamma_{iu}(\|u\|)\big)\ \Longrightarrow\ \nabla V_i(x_i)f_i(x,u)\le-\alpha_i(\|x_i\|).Vi​(xi​)≥μi​(γi1​(V1​(x1​)),…,γin​(Vn​(xn​)),γiu​(∥u∥)) ⟹ ∇Vi​(xi​)fi​(x,u)≤−αi​(∥xi​∥).

The diagonal gains vanish, γii≡0\gamma_{ii}\equiv0γii​≡0. The gain operators are

Γ‾μ(s,r)i=μi(γi1(s1),…,γin(sn),γiu(r)),Γμ(s)=Γ‾μ(s,0).\overline\Gamma_\mu(s,r)_i=\mu_i\big(\gamma_{i1}(s_1),\dots,\gamma_{in}(s_n),\gamma_{iu}(r)\big),\qquad\Gamma_\mu(s)=\overline\Gamma_\mu(s,0).Γμ​(s,r)i​=μi​(γi1​(s1​),…,γin​(sn​),γiu​(r)),Γμ​(s)=Γμ​(s,0).

An Ω-path with respect to Γμ\Gamma_\muΓμ​ is a continuous σ:R+→R+n\sigma:\mathbb R_+\to\mathbb R^n_+σ:R+​→R+n​ with every σi∈K∞\sigma_i\in\mathcal K_\inftyσi​∈K∞​, such that each σi−1\sigma_i^{-1}σi−1​ is locally Lipschitz on (0,∞)(0,\infty)(0,∞), its derivative lies in [c,C][c,C][c,C], 0<c<C0<c<C0<c<C, at its points of differentiability in any compact K⊂(0,∞)K\subset(0,\infty)K⊂(0,∞) (constants depending on KKK only), and Γμ(σ(r))<σ(r)\Gamma_\mu(\sigma(r))<\sigma(r)Γμ​(σ(r))<σ(r) for all r>0r>0r>0.

Formalization targets

Goal: Theorem 5.3

Assume each ViV_iVi​ is an ISS Lyapunov function for Σi\Sigma_iΣi​ with gains Γ\GammaΓ, γiu\gamma_{iu}γiu​ and MAFs μi\mu_iμi​; σ\sigmaσ is an Ω-path with respect to Γμ\Gamma_\muΓμ​; φ∈K∞\varphi\in\mathcal K_\inftyφ∈K∞​ satisfies

Γ‾μ(σ(r),φ(r))<σ(r)∀r>0;\overline\Gamma_\mu(\sigma(r),\varphi(r))<\sigma(r)\qquad\forall r>0;Γμ​(σ(r),φ(r))<σ(r)∀r>0;

and each fif_ifi​ is continuous. Then

V(x)=max⁡i=1,…,nσi−1(Vi(xi))V(x)=\max_{i=1,\dots,n}\sigma_i^{-1}(V_i(x_i))V(x)=i=1,…,nmax​σi−1​(Vi​(xi​))

is an ISS Lyapunov function for the network, with gain φ−1\varphi^{-1}φ−1:

V(x)≥φ−1(∥u∥) ⟹ ∇V(x)f(x,u)≤−α(∥x∥)V(x)\ge\varphi^{-1}(\|u\|)\ \Longrightarrow\ \nabla V(x)f(x,u)\le-\alpha(\|x\|)V(x)≥φ−1(∥u∥) ⟹ ∇V(x)f(x,u)≤−α(∥x∥)

for a positive definite α\alphaα. The rate α\alphaα is existential and is not fixed by the statement.

Milestones

The milestones follow the proof on pp. 14–15:

  1. VVV is a Lyapunov function candidate.
  2. The maximum rule (5.7) for Clarke generalized gradients.
  3. The chain of inequalities showing that the subsystem trigger holds strictly at every active index.
  4. The Clarke-gradient form (5.8) of the subsystem decrease.
  5. The chain rule for σi−1∘Vi\sigma_i^{-1}\circ V_iσi−1​∘Vi​, with multipliers bounded away from zero.
  6. Positivity of the rate: active blocks on a sphere stay away from the origin.
  7. The uniform decrease (5.9).

Significance

The result. Theorem 5.3 converts a small-gain condition into an explicit Lyapunov function for the network. Combined with the converse ISS Lyapunov theorem, it gives ISS of the interconnection, and with zero input it gives global asymptotic stability. It covers additive, maximum-type and multiplicative aggregation of gains, and it handles nnn subsystems without iterating a two-system result. A second main result of the paper (Theorem 5.2, a separate mission) supplies the Ω-path from the condition Γμ≱id\Gamma_\mu\not\ge\mathrm{id}Γμ​≥id. Together they reduce the stability of a network to a property of its gain operator.

Formalizing it. The result is proved on paper. As far as we know, no ISS notion, small-gain theorem or monotone aggregation framework has been machine-checked in Lean. This mission produces a Lean statement of the construction, and of its nonsmooth-analysis steps, against which a complete proof can be checked. It also corrects a misprint in the theorem's implication (see Formalization scope).

Difficulty

The function VVV is a maximum of rescaled functions and is not differentiable on the set where two indices are active, even when every ViV_iVi​ is smooth. The subsystem hypotheses only control derivatives at points where the corresponding ViV_iVi​ is differentiable. At a point where VVV is differentiable, the active ViV_iVi​ may not be. So the obvious argument — differentiate the active branch and apply (2.7) — fails, and the decrease must be transported through generalized gradients. A second obstacle is uniformity: the rate α\alphaα must depend on ∥x∥\|x\|∥x∥ alone. This requires the lower derivative bound in the Ω-path definition and a compactness argument on spheres. Dropping the lower bound breaks the theorem, because σi−1\sigma_i^{-1}σi−1​ could flatten and remove the decrease.

Formalization scope

Blocks are EuclideanSpace ℝ (Fin (N i)). The network state is the L2L^2L2 product PiLp 2 (the Euclidean norm, not the sup norm), and the input is EuclideanSpace ℝ (Fin M). Subsystems are indexed by Fin n (0-based) with n≥1n\ge1n≥1. Gains, MAFs, Ω-paths and rates live on ℝ≥0. Lyapunov functions are real-valued with an explicit nonnegativity clause. The strict order on R+n\mathbb R^n_+R+n​ is a named predicate, not Lean's Pi <. The inverses σi−1\sigma_i^{-1}σi−1​ and φ−1\varphi^{-1}φ−1 are explicit arguments with both compositions the identity. Every derivative is guarded by a differentiability hypothesis. Clarke's generalized gradient (2.5) is the published ClarkeGradients.Shared.generalizedGradient on the blocks, and the same definition restated on a general Hilbert space for RN\mathbb R^NRN and R\mathbb RR.

Implicit hypotheses made explicit:

  • Continuity of every fif_ifi​. It is the regularity behind the equivalence of the derivative form (2.4) and the Clarke form (2.6) of the decrease condition, which the proof uses.
  • γii≡0\gamma_{ii}\equiv0γii​≡0. The paper's convention.
  • Compatibility of Γ\GammaΓ and μ\muμ. Remark 2.6, the standing assumption from p. 8 on; it imposes nothing on a zero row of Γ\GammaΓ.

Corrected statement. The printed implication (5.5) has the trigger V(x)≥max⁡iφ−1(γiu(∥u∥))V(x)\ge\max_i\varphi^{-1}(\gamma_{iu}(\|u\|))V(x)≥maxi​φ−1(γiu​(∥u∥)). With Γ‾μ\overline\Gamma_\muΓμ​ as defined in (2.9), and as the paper's corollaries use it, that implication is false. A counterexample is one subsystem x˙=−x+u/6\dot x=-x+u/6x˙=−x+u/6 with V1=∣x∣V_1=|x|V1​=∣x∣, γ1u(s)=s/10\gamma_{1u}(s)=s/10γ1u​(s)=s/10, μ1(a,b)=a+2b\mu_1(a,b)=a+2bμ1​(a,b)=a+2b and σ=φ=id\sigma=\varphi=\mathrm{id}σ=φ=id, at x=1x=1x=1, u=10u=10u=10. The proof's chain of inequalities writes φ(r)\varphi(r)φ(r) where (2.9) gives γiu(φ(r))\gamma_{iu}(\varphi(r))γiu​(φ(r)). The goal keeps (2.9) and uses the trigger V(x)≥φ−1(∥u∥)V(x)\ge\varphi^{-1}(\|u\|)V(x)≥φ−1(∥u∥), under which the proof closes.

The hypotheses are jointly satisfiable. An example is n=2n=2n=2 with Vi(xi)=∥xi∥V_i(x_i)=\|x_i\|Vi​(xi​)=∥xi​∥, μi=max⁡\mu_i=\maxμi​=max, γ12=γ21=s/4\gamma_{12}=\gamma_{21}=s/4γ12​=γ21​=s/4, γiu=s/2\gamma_{iu}=s/2γiu​=s/2, σ(r)=(r,r)\sigma(r)=(r,r)σ(r)=(r,r), φ=id\varphi=\mathrm{id}φ=id and dynamics fi=−xif_i=-x_ifi​=−xi​. The conclusion is a decrease inequality at the points of differentiability of VVV for an existential positive definite rate, so it cannot be met by a vacuous choice: α\alphaα must be positive away from zero. Trajectory-level ISS (Theorem 2.3, cited by the paper) and the corollaries that conclude ISS are out of scope.

Reusable infrastructure: comparison classes, monotone aggregation functions, gain operators and Ω-paths (shared with the Ω-path mission), and the maximum and chain rules for Clarke gradients. Proofs of the nonsmooth calculus milestones are welcome independently of the goal.

Selected references

  • S. N. Dashkovskiy, B. S. Rüffer, F. R. Wirth, Small Gain Theorems for Large Scale Systems and Construction of ISS Lyapunov Functions, SIAM J. Control Optim. 48(6), 2010; preprint arXiv:0901.1842v2. https://arxiv.org/abs/0901.1842
  • S. Dashkovskiy, B. S. Rüffer, F. R. Wirth, An ISS small gain theorem for general networks, Math. Control Signals Systems 19, 2007. https://doi.org/10.1007/s00498-007-0014-8
  • Z.-P. Jiang, A. R. Teel, L. Praly, Small-gain theorem for ISS systems and applications, Math. Control Signals Systems 7, 1994. https://doi.org/10.1007/BF01211469
  • Z.-P. Jiang, I. M. Y. Mareels, Y. Wang, A Lyapunov formulation of the nonlinear small-gain theorem for interconnected ISS systems, Automatica 32(8), 1996. https://doi.org/10.1016/0005-1098(96)00051-9
  • E. D. Sontag, Smooth stabilization implies coprime factorization, IEEE Trans. Automat. Control 34(4), 1989. https://doi.org/10.1109/9.28018
  • F. H. Clarke, Optimization and Nonsmooth Analysis, Wiley, 1983. https://doi.org/10.1137/1.9781611971309
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Operations ResearchProbabilityStochastic Systems·Captain: mikedeng1

Some Useful Functions for Functional Limit Theorems 2: Addition, Supremum and the Reflecting Barrier Preserve J₁ Convergence of Linearly Centered PathsResearch Paper

Motivation

Queueing models often represent work arriving to and leaving a server by a real-valued input path. The resulting workload cannot fall below a barrier. Functional limit theorems describe what happens to such paths under scaling, but a limit for the input path is useful only when it can be carried through the workload transformation. Ward Whitt’s 1980 paper studies several path transformations that occur in stochastic-process limits and states conditions under which their limits can be computed in Skorohod topologies. Section 6 treats the running supremum and a reflecting barrier, including paths with a linear drift that changes with the scaling index. This mission formalizes the three-regime reflection result, Theorem 6.4, and the source results on its dependency path. Whitt (1980)

The result is already proved in the paper. Its formal Lean statement remains an open proof target here. The mission is therefore concerned with formalizing the known theorem, including its exact jump conditions and convergence modes, rather than proposing a new queueing claim. Whitt (1980), pp. 80–81

Setting

A càdlàg path on a real interval TTT is right-continuous and has a limit from the left wherever TTT approaches a time from the left. The collection of such real-valued paths is D(T,R)D(T,\mathbb R)D(T,R). For a compact interval [a,b][a,b][a,b], the J1J_1J1​ distance between xxx and yyy allows an increasing homeomorphism λ\lambdaλ of time and measures the larger of its distance from the identity and the uniform distance between xxx and y∘λy\circ\lambday∘λ. On a general interval, J1J_1J1​ convergence is specified by restrictions to compact subintervals whose endpoints are continuity points of the limit or endpoints of TTT. The paper uses complete separable metric spaces for general path-space results; Section 6 specializes to real-valued paths and intervals with 000 as a closed left endpoint. Whitt (1980), pp. 70, 80

For x∈D(T,R)x\in D(T,\mathbb R)x∈D(T,R) and t∈Tt\in Tt∈T, define the running supremum x↑(t)=sup⁡0≤s≤tx(s)x^{\uparrow}(t)=\sup_{0\le s\le t}x(s)x↑(t)=sup0≤s≤t​x(s) and running infimum x↓(t)=inf⁡0≤s≤tx(s)x^{\downarrow}(t)=\inf_{0\le s\le t}x(s)x↓(t)=inf0≤s≤t​x(s). The reflecting-barrier map is f(x)(t)=x(t)−x↓(t)f(x)(t)=x(t)-x^{\downarrow}(t)f(x)(t)=x(t)−x↓(t). This is the paper’s definition: it subtracts the full running infimum. The identity path is e(t)=te(t)=te(t)=t, and θ\thetaθ denotes the zero path. A path has no positive jumps if x(t)≤x(t−)x(t)\le x(t-)x(t)≤x(t−) for each t>0t>0t>0 in TTT; no negative jumps reverses that inequality. Whitt (1980), pp. 80–81

Formalization targets

The goal is Theorem 6.4. Suppose xn−cne→xx_n-c_ne\to xxn​−cn​e→x in J1J_1J1​ and x(0)=0x(0)=0x(0)=0. Its three conclusions are

cn→c  ⟹  f(xn)→f(x+ce)(J1),cn→+∞  ⟹  f(xn)−cne→x(J1),cn→−∞ and x has no positive jumps  ⟹  f(xn)→θ(U).\begin{aligned} c_n\to c &\implies f(x_n)\to f(x+ce) &&(J_1),\\ c_n\to+\infty &\implies f(x_n)-c_ne\to x &&(J_1),\\ c_n\to-\infty\ \text{and }x\text{ has no positive jumps} &\implies f(x_n)\to\theta &&(U). \end{aligned}cn​→ccn​→+∞cn​→−∞ and x has no positive jumps​⟹f(xn​)→f(x+ce)⟹f(xn​)−cn​e→x⟹f(xn​)→θ​​(J1​),(J1​),(U).​

Here UUU means uniform convergence on every compact subinterval. The goal keeps all three drift regimes together, as the printed theorem does. Its milestones are the finite-partition fact cited from Billingsley, the interval-splitting Lemma 2.2, continuity of addition at limits without shared discontinuities in Theorem 4.1, the running-supremum inequality in Theorem 6.1, the three-regime supremum theorem 6.2, and the paper’s explicit claim that fff is J1J_1J1​-continuous. Whitt (1980), pp. 71, 79–81

Significance

The theorem specifies which output path appears after reflection as the linear centering changes. Finite drift leaves a reflected limit with drift included; large positive drift leaves the centered input limit; large negative drift drives the reflected path uniformly to zero when upward jumps of the limit are excluded. The distinction between J1J_1J1​ and the stronger compact-uniform mode in the last case is part of the result. These statements make the paper’s barrier transformation usable when an input-process limit is already known. Whitt (1980), Theorem 6.4

A completed formal development would establish reusable path-space components: a precise J1J_1J1​ convergence interface for real intervals, a theorem about addition with disjoint discontinuities, and continuity properties of running extrema and reflection. The present Lean items state these results and compile with proof placeholders. No machine-checked proof of these mission theorems is claimed here. The milestone list follows the claims Whitt states or cites, so later proofs can be attached to the same mathematical targets. Whitt (1980), §§2, 4, 6

Difficulty

A uniform estimate alone does not establish a J1J_1J1​ limit: separate paths may converge using different changes of time, and addition can fail when the limiting paths jump together. Whitt’s Theorem 4.1 gives continuity precisely at pairs with disjoint discontinuity sets. In the reflection theorem, a linearly growing drift also changes which extrema matter, and the sign of a jump decides whether the large-drift conclusion can hold. The negative-drift conclusion asks for compact-uniform convergence, which is stronger than merely retaining J1J_1J1​ convergence. These are real constraints on the statement; dropping a jump condition or replacing UUU by J1J_1J1​ changes the theorem. Whitt (1980), pp. 78–81

Formalization scope

Paths are total functions R→S\mathbb R\to SR→S, but only their values on the stated interval count. The Lean definitions require càdlàg membership of both prelimit and limit paths in each J1J_1J1​ convergence claim. A time change on [a,b][a,b][a,b] is strictly increasing, continuous, and onto; this represents the paper’s increasing homeomorphism. Uniform and J1J_1J1​ distances take values in the extended nonnegative reals, so an unbounded supremum cannot silently become zero. Continuity points use continuity within TTT, and the discontinuity set likewise contains only points of TTT. Sequential convergence is used because the paper’s J1J_1J1​ spaces are metrizable. These choices encode the paper’s path-space conventions rather than imposing conditions on values outside TTT. Whitt (1980), §§2, 4, 6

The compact form of Theorem 6.1 uses metric (2.1); the noncompact metric (2.2) is outside this mission’s definition layer. Theorem 4.1 retains the paper’s complete separable metric-space setting and metric compatibility of addition. Its measurability clause is omitted: this mission does not construct the Borel measurable space of D(T,S)D(T,S)D(T,S), and a product measurable structure on all total functions would express a different claim. The source’s f(x)=x−x↓f(x)=x-x^{\downarrow}f(x)=x−x↓ is used on both prelimit and limit paths; it is not replaced by a clipped running infimum. Whitt (1980), pp. 70, 78–81

The definition layer, the addition theorem, the running-extremum results, and the barrier continuity statement are welcome proof targets. The theorem’s centered-path hypothesis remains a genuine J1J_1J1​ convergence assertion, and the jump conditions apply to the limit path only. A vacuous convergence predicate or an independently assumed conclusion would not represent this mission’s goal.

Selected references

  • Ward Whitt, Some Useful Functions for Functional Limit Theorems, Mathematics of Operations Research 5(1), 1980, pp. 67–85. DOI: 10.1287/moor.5.1.67
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Operations ResearchProbabilityStochastic Systems·Captain: mikedeng1

Some Useful Functions for Functional Limit Theorems 4: Time Reversal Is a J₁ Isometry and Reversal from the Origin Is 2-LipschitzResearch Paper

Why time reversal matters

Functional limit theorems describe the behavior of entire time-indexed paths under scaling. In queueing and other stochastic models, a path of departures, workload, or accumulated input may be related to another path by reversing a finite observation window. To carry a limit theorem through that change of viewpoint, one needs to know how reversal acts on the topology of the path space. Ward Whitt's 1980 paper studies composition, reflection, first passage, and time reversal as maps that transfer functional limit theorems to derived processes (Whitt 1980).

The time-reversal result is a precise metric statement. Ordinary reversal preserves the Skorohod J1J_1J1​ distance exactly. A version shifted to begin at the group identity satisfies a bound with constant two. These facts give continuity and, when the random paths satisfy the hypotheses, make reversal available to the continuous mapping theorem. Whitt's introduction explains how deterministic path continuity connects to stochastic-process limits (Whitt 1980, pp. 67–69).

Paths, distances, and reversal

Let SSS be a complete separable metric group, written additively, with identity 000 and metric mmm. The metric is translation invariant: moving both points by the same group element leaves their distance unchanged. Let DDD contain the càdlàg paths x:[0,1]→Sx:[0,1]\to Sx:[0,1]→S, meaning paths that are right continuous and possess left limits. Section 8 additionally requires x(1)=x(1−)x(1)=x(1-)x(1)=x(1−), so the terminal value agrees with the value approached from earlier times. Let Dθ={x∈D:x(0)=0}D_\theta=\{x\in D:x(0)=0\}Dθ​={x∈D:x(0)=0}. These are the spaces Whitt fixes for time reversal (Whitt 1980, p. 83).

The uniform distance is ρ(x,y)=sup⁡0≤t≤1m(x(t),y(t))\rho(x,y)=\sup_{0\le t\le1}m(x(t),y(t))ρ(x,y)=sup0≤t≤1​m(x(t),y(t)). A time change λ∈Λ\lambda\in\Lambdaλ∈Λ is an increasing homeomorphism of [0,1][0,1][0,1] onto itself; e(t)=te(t)=te(t)=t is the identity time change. The J1J_1J1​ distance used in the paper is

d(x,y)=inf⁡λ∈Λmax⁡{ρ(λ,e),ρ(x,y∘λ)}.d(x,y)=\inf_{\lambda\in\Lambda} \max\{\rho(\lambda,e),\rho(x,y\circ\lambda)\}.d(x,y)=λ∈Λinf​max{ρ(λ,e),ρ(x,y∘λ)}.

Two paths may be close when their values can be matched after a small distortion of time. This is the paper's equation (2.1), rather than an unspecified equivalent J1J_1J1​ metric (Whitt 1980, p. 70).

The reverse-time map reads the left limit at the reflected time:

R(x)(t)={x((1−t)−),0≤t<1,x(0),t=1,r(x)(t)=R(x)(t)−x(1).R(x)(t)= \begin{cases} x((1-t)-),&0\le t<1,\\ x(0),&t=1, \end{cases} \qquad r(x)(t)=R(x)(t)-x(1).R(x)(t)={x((1−t)−),x(0),​0≤t<1,t=1,​r(x)(t)=R(x)(t)−x(1).

The left limit is essential: the direct value x(1−t)x(1-t)x(1−t) places jumps on the wrong side and generally does not give a right-continuous reverse path. The terminal convention gives R(x)(0)=x(1)R(x)(0)=x(1)R(x)(0)=x(1), so r(x)(0)=0r(x)(0)=0r(x)(0)=0. Whitt also uses the reflected time change (−r)(λ)(t)=1−λ(1−t)(-r)(\lambda)(t)=1-\lambda(1-t)(−r)(λ)(t)=1−λ(1−t) in the proof (Whitt 1980, pp. 83–84).

Formalization targets

The goal is Whitt's Theorem 8.1. For every x,y∈Dx,y\in Dx,y∈D,

d(Rx,Ry)=d(x,y),d(rx,ry)≤2d(x,y).d(Rx,Ry)=d(x,y),\qquad d(rx,ry)\le 2d(x,y).d(Rx,Ry)=d(x,y),d(rx,ry)≤2d(x,y).

The second inequality also applies when both paths lie in DθD_\thetaDθ​, since Dθ⊆DD_\theta\subseteq DDθ​⊆D. The constant is the paper's printed constant, not a parameter to optimize in this mission (Whitt 1980, Theorem 8.1, p. 83).

The milestones record four claims from the theorem's proof: reversal preserves its path spaces and has inverse behavior on its natural domains; reflected time changes stay in Λ\LambdaΛ; reversal obeys exact and bounded uniform-distance relations; and reversal interacts with time changes through (−r)(λ)(-r)(\lambda)(−r)(λ). Their descriptions reproduce the printed proof sentences. The proof calls the time-change cost a “minimum” once, although equation (2.1) and the displayed calculation use a maximum. The formal target follows equation (2.1) (Whitt 1980, pp. 70, 84).

What the result gives

An isometry preserves every J1J_1J1​ distance, so ordinary reversal preserves convergent and Cauchy sequences in this metric. The bound for rrr makes shifted reversal Lipschitz and therefore continuous. A functional limit theorem for input paths can then be translated into one for the corresponding reversed paths whenever the path-space hypotheses hold. The result is already proved in Whitt's paper; the open work here is a machine-checked development of its definitions, supporting claims, and metric theorem.

Formalizing the result also creates reusable interfaces for endpoint-constrained càdlàg paths, left-limit reversal, uniform path distance, and reflected time changes. Those interfaces may support later statements about reversed stochastic models. This mission does not assert weak convergence of probability laws or Borel measurability; those would require a separate measurable-space development for DDD.

Mathematical difficulty

The immediate idea t↦x(1−t)t\mapsto x(1-t)t↦x(1−t) does not preserve càdlàg paths at jumps: a right-continuous jump becomes left-continuous. The correction uses left limits, but endpoint behavior then matters. Without x(1)=x(1−)x(1)=x(1-)x(1)=x(1−), the shifted reverse path need not start at the identity. The J1J_1J1​ assertion also concerns an infimum over all allowed time changes, so a uniform-distance statement alone does not establish the theorem. These are the points at which reflection of the time axis becomes a claim about the precise path-space topology (Whitt 1980, pp. 83–84).

Formalization scope

Lean represents paths as total functions R→S\mathbb R\to SR→S; all path conditions, metrics, and equality claims read only [0,1][0,1][0,1]. Càdlàg membership requires right continuity and left limits within the interval, with x(1)=x(1−)x(1)=x(1-)x(1)=x(1−) included in DDD. Completeness and separability are explicit because the paper calls SSS a complete separable metric space. The additive metric group is represented by an additive commutative group with an explicit translation-invariance hypothesis. This chooses the commutative reading exemplified by S=RkS=\mathbb R^kS=Rk; the paper uses additive notation but does not separately state commutativity.

The paper's Λ\LambdaΛ is encoded by strict increase, continuity, and surjectivity on [0,1][0,1][0,1], which characterize increasing homeomorphisms there. The paper's ddd is equation (2.1) on both sides of the goal. Lean uses extended nonnegative distances for ρ\rhoρ and ddd, avoiding the default value a real supremum can assign to an empty or unbounded set. The claims do not become trivial by dropping DDD membership: it is an explicit hypothesis, and the zero path over R\mathbb RR satisfies it. A local, sorry-free check confirms that instance. Two easier statements are excluded on purpose: the goal is stated for the J1J_1J1​ distance ddd, not the uniform distance ρ\rhoρ, and RRR reads the left limit x((1−t)−)x((1-t)-)x((1−t)−), not the value x(1−t)x(1-t)x(1−t).

The proof's first sentence says the maps are one-to-one and onto. The map r:D→Dθr:D\to D_\thetar:D→Dθ​ forgets an additive offset and is not injective on all of DDD; the formal milestone expresses involution for RRR on DDD and for the restriction of rrr to DθD_\thetaDθ​. One identity printed for rrr with x∈Dθx\in D_\thetax∈Dθ​ also holds for every x∈Dx\in Dx∈D; the formal milestone uses that broader domain and says so in its item description. Contributions are welcome for the left-limit and time-change infrastructure as well as the four listed statements and the goal.

Selected references

  • Ward Whitt, Some Useful Functions for Functional Limit Theorems, Mathematics of Operations Research 5(1), 1980, pp. 67–85. DOI: 10.1287/moor.5.1.67.
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Operations ResearchOptimizationStochastic Systems·Captain: mikedeng1

Dynamic Scheduling with Convex Delay Costs: The Generalized cμ Rule: Policies Equalizing the Indices μ_k c_k(W_k/ρ_k) Attain the Heavy-Traffic Lower Bound on Cumulative Delay CostResearch Paper

Motivation

A single server shared by several classes of jobs must decide, at every moment, which class to work on. When each class kkk incurs a linear delay cost ckc_kck​ per unit of waiting time and needs mean service time 1/μk1/\mu_k1/μk​, the classical cμc\mucμ rule (serve the waiting class with the largest ckμkc_k\mu_kck​μk​) minimizes expected cost in many settings, from the M/G/1 queue to discrete-time models (Buyukkoc, Varaiya and Walrand, Adv. Appl. Probab. 1985). Linear costs are a strong restriction: in telecommunications, manufacturing and service systems the penalty for delay often grows faster than linearly, and with convex costs the static priority order of the cμc\mucμ rule is no longer optimal.

Van Mieghem (Ann. Appl. Probab. 1995) proposed the generalized cμc\mucμ rule: with nondecreasing convex delay costs CkC_kCk​ and marginal costs ck=Ck′c_k = C_k'ck​=Ck′​, serve the class with the largest index μkck(⋅)\mu_k c_k(\cdot)μk​ck​(⋅) evaluated at its current delay or workload. The paper proves that, in heavy traffic, this dynamic index policy is asymptotically optimal among all scheduling policies, including policies whose scaled workloads do not converge. This mission formalizes that result and the chain of propositions it rests on.

Setting

There are ddd job classes. In the nnnth system, the iiith class-kkk job arrives after an interarrival time uk,in>0u^n_{k,i}>0uk,in​>0 and needs service vk,in≥0v^n_{k,i}\ge 0vk,in​≥0. Akn(t)A^n_k(t)Akn​(t) counts class-kkk arrivals in [0,t][0,t][0,t] and Skn(x)S^n_k(x)Skn​(x) counts class-kkk completions within xxx units of server time. A policy is an allocation Tn=(Tkn)T^n=(T^n_k)Tn=(Tkn​), where Tkn(t)T^n_k(t)Tkn​(t) is the time in [0,t][0,t][0,t] spent on class kkk. From it come the headcount Nkn=Akn−Skn∘TknN^n_k = A^n_k - S^n_k\circ T^n_kNkn​=Akn​−Skn​∘Tkn​, the workload Wkn(t)=Vkn(Akn(t))−Tkn(t)W^n_k(t) = V^n_k(A^n_k(t)) - T^n_k(t)Wkn​(t)=Vkn​(Akn​(t))−Tkn​(t) (work present in class kkk), the class-FIFO delay τkn(t)=inf⁡{s≥0:Wkn(t)≤Tkn(t+s)−Tkn(t)}\tau^n_k(t)=\inf\{s\ge0: W^n_k(t)\le T^n_k(t+s)-T^n_k(t)\}τkn​(t)=inf{s≥0:Wkn​(t)≤Tkn​(t+s)−Tkn​(t)} of a job arriving at ttt, and the cumulative cost Jn(t)=∑k∑i≤Akn(t)Ckn(τk,in)J^n(t)=\sum_k\sum_{i\le A^n_k(t)} C^n_k(\tau^n_{k,i})Jn(t)=∑k​∑i≤Akn​(t)​Ckn​(τk,in​). Feasible policies are continuous, nondecreasing and work conserving.

The nnnth system runs on [0,n][0,n][0,n] and is studied at the diffusion scale: W~kn(t)=Wkn(nt)/n\tilde W^n_k(t)=W^n_k(nt)/\sqrt nW~kn​(t)=Wkn​(nt)/n​, N~kn\tilde N^n_kN~kn​, τ~kn\tilde\tau^n_kτ~kn​ likewise, and J~n(t)=Jn(nt)/n\tilde J^n(t)=J^n(nt)/nJ~n(t)=Jn(nt)/n. Arrival and service processes expand as An(nt)=nAˉn(t)+n A~n(t)+o(n)A^n(nt)=n\bar A^n(t)+\sqrt n\,\tilde A^n(t)+o(\sqrt n)An(nt)=nAˉn(t)+n​A~n(t)+o(n​) and Sn(nt)=nSˉn(t)+n S~n(t)+o(n)S^n(nt)=n\bar S^n(t)+\sqrt n\,\tilde S^n(t)+o(\sqrt n)Sn(nt)=nSˉn(t)+n​S~n(t)+o(n​). Assumption 1 asks that these terms converge, with rates λ=Aˉ∗′>0\lambda=\bar A^{*\prime}>0λ=Aˉ∗′>0, μ=Sˉ∗′>0\mu=\bar S^{*\prime}>0μ=Sˉ∗′>0, and that the system is in heavy traffic: n(R+n−e)→c~∗\sqrt n(R^n_+-e)\to\tilde c^*n​(R+n​−e)→c~∗, where Rkn=(Sˉkn)−1∘AˉknR^n_k=(\bar S^n_k)^{-1}\circ\bar A^n_kRkn​=(Sˉkn​)−1∘Aˉkn​ and ρk=λk/μk\rho_k=\lambda_k/\mu_kρk​=λk​/μk​ is the traffic intensity. Assumption 2 asks that the costs scale, Cn(n ⋅)→C∗(⋅)C^n(\sqrt n\,\cdot)\to C^*(\cdot)Cn(n​⋅)→C∗(⋅), and Assumption 3 that C∗C^*C∗ be strictly convex and C1\mathcal C^1C1.

The scaled total workload has a policy-independent limit W~+∗=φ(L~+∗+c~∗)\tilde W^*_+=\varphi(\tilde L^*_++\tilde c^*)W~+∗​=φ(L~+∗​+c~∗), with φ\varphiφ the one-dimensional reflection map. The key static problem splits a total yyy among classes:

g∘y(t)=arg⁡min⁡x∈R+d, ∑kxk=y(t) ∑kλk(t) Ck∗(xkρk(t)).(43)g\circ y(t)=\arg\min_{x\in\mathbb R^d_+,\ \sum_k x_k=y(t)}\ \sum_k\lambda_k(t)\,C^*_k\Big(\frac{x_k}{\rho_k(t)}\Big). \tag{43}g∘y(t)=argx∈R+d​, ∑k​xk​=y(t)min​ k∑​λk​(t)Ck∗​(ρk​(t)xk​​).(43)

Formalization targets

Goal: Proposition 7

Under Assumptions 1–3, for feasible policies with

max⁡k,l∥μkck∗(W~knρk)−μlcl∗(W~lnρl)∥→0,(51)\max_{k,l}\Big\|\mu_kc^*_k\Big(\frac{\tilde W^n_k}{\rho_k}\Big)-\mu_lc^*_l\Big(\frac{\tilde W^n_l}{\rho_l}\Big)\Big\|\to0, \tag{51}k,lmax​​μk​ck∗​(ρk​W~kn​​)−μl​cl∗​(ρl​W~ln​​)​→0,(51)

the costs and delays converge,

J~n→J~∗=∑k∫λkCk∗([g∘W~+∗]kρk)dt,τ~n→g∘W~+∗ρ.(52–53)\tilde J^n\to\tilde J^*=\sum_k\int\lambda_kC^*_k\Big(\frac{[g\circ\tilde W^*_+]_k}{\rho_k}\Big)dt,\qquad \tilde\tau^n\to\frac{g\circ\tilde W^*_+}{\rho}. \tag{52–53}J~n→J~∗=k∑​∫λk​Ck∗​(ρk​[g∘W~+∗​]k​​)dt,τ~n→ρg∘W~+∗​​.(52–53)

Milestones

Lemma 1 and Proposition 2 (jumps (33)–(34), first-order allocation (27), total workload (32), boundedness, equivalences (35)); Proposition 3 (μkW~kn−N~kn→0\mu_k\tilde W^n_k-\tilde N^n_k\to0μk​W~kn​−N~kn​→0); Proposition 4 (Little's law); Proposition 5 (converging policies); uniqueness and continuity of ggg (§4.1); the Kuhn–Tucker characterization (46)–(50); and Proposition 6, the lower bound

lim inf⁡nJ~n(t)≥J~∗(t)for every feasible policy sequence.(44)\liminf_n\tilde J^n(t)\ge\tilde J^*(t)\qquad\text{for every feasible policy sequence.}\tag{44}nliminf​J~n(t)≥J~∗(t)for every feasible policy sequence.(44)

Proposition 6 is what makes Proposition 7 an optimality statement; it is a separate milestone and not part of the goal.

Significance

The result. Proposition 7 identifies a simple, myopic index rule that is optimal at the diffusion scale for every time simultaneously, for arbitrary convex delay costs and nonstationary rates. It extends the cμc\mucμ rule beyond linear costs, links it to the "hug the optimal workload curve" policies of heavy-traffic control, and shows that the instantaneous allocation problem (43) is all that matters asymptotically. Later work on Brownian control of multiclass queues and on convex-cost scheduling (Mandelbaum and Stolyar 2004) builds on this.

Formalizing it. The paper's proofs are short and informal at several points, and the formalization makes these points explicit: the domain of every uniform limit, the policy class, and the reading of μ\muμ. No part of this paper has a machine-checked proof. A completed mission would give a verified heavy-traffic analysis of a multiclass single-server queue at the sample-path level, the first on the platform with a deterministic diffusion scaling and an explicit reflection map.

Difficulty

The obvious route is to show that W~n\tilde W^nW~n converges and then pass to the limit in the cost. That fails for the lower bound: Proposition 6 must cover policies whose class workloads never converge (polling-type policies), so it cannot use compactness of W~n\tilde W^nW~n and must instead compare the cost of an arbitrary split of W~+n\tilde W^n_+W~+n​ with the optimal split, locally in time. For the goal, (51) controls only the indices, so the convergence of W~n\tilde W^nW~n must be extracted from (51) through the inverse marginal costs, the convergence of the total workload, and the Kuhn–Tucker conditions of (43). Delay convergence then needs a uniform control of T~n\tilde T^nT~n over windows of length O(n−1/2)O(n^{-1/2})O(n−1/2), and cost convergence needs the convergence of the costs CnC^nCn applied to delays of order n\sqrt nn​.

Formalization scope

Lean namespace GenCMu.HeavyTraffic. The development is deterministic and works one sample path at a time; the stochastic version (Proposition 8) is not part of this mission. Conventions committed to:

  • Classes are Fin d; job indices start at 111; every "→" between functions is uniform convergence ((11)), on [0,1][0,1][0,1] unless stated; lim inf⁡\liminfliminf is written as "eventually ≥\ge≥ bound −ε-\varepsilon−ε".
  • The scaled processes are defined exactly, with Tˉn=Lˉn=Rn\bar T^n=\bar L^n=R^nTˉn=Lˉn=Rn ((69), (75)); the inverse in (14) is the generalized inverse on [0,1][0,1][0,1].
  • The o(n1/2)o(n^{1/2})o(n1/2) terms of (12)–(13) are uniform in ttt. The trends converge in C1\mathcal C^1C1, not only in C\mathcal CC. Without this, Aˉn,Sˉn\bar A^n,\bar S^nAˉn,Sˉn can oscillate on the n−1/2n^{-1/2}n−1/2 scale and (33)–(34) and Proposition 3 fail. The service expansion holds on server time [0,2n][0,2n][0,2n], so that for d=1d=1d=1 in heavy traffic the service times of jobs arriving before nnn are covered.
  • μk\mu_kμk​ in (20), (36), (41), (46)–(51) is μk(Rk∗(t))\mu_k(R^*_k(t))μk​(Rk∗​(t)), the service rate in real time, so ρk=λk/μk(Rk∗)\rho_k=\lambda_k/\mu_k(R^*_k)ρk​=λk​/μk​(Rk∗​).
  • (38) is uniform on compacts. Assumption 3's interior clause is imposed where W~+∗(t)>0\tilde W^*_+(t)>0W~+∗​(t)>0. At W~+∗(t)=0\tilde W^*_+(t)=0W~+∗​(t)=0 no point of Ω={0}\Omega=\{0\}Ω={0} is interior, and the literal clause would make the goal vacuous.
  • For the heavy-traffic limit and goal, feasible policies satisfy F1 (without adaptedness), F2–F4, Wk≥0W_k\ge0Wk​≥0, work conservation (used by W+n=φ(Xn)W^n_+=\varphi(X^n)W+n​=φ(Xn)), and every job finishes. Proposition 6 uses a broader cost-admissible class that permits idleness with work waiting. Class-FIFO is built into the delay (9).
  • The delays of jobs arriving near the horizon depend on post-horizon service. We require the allocation on every bounded diffusion-scale window after nnn to advance at the first-order rates ρk(1)\rho_k(1)ρk​(1). This explicit boundary hypothesis keeps Propositions 2, 4, 5, and 7 on the paper's full [0,1][0,1][0,1].
  • Lemma 1 additionally assumes a common Lipschitz bound on the first-order partial-sum trends. Uniform convergence alone permits jumps of order n\sqrt nn​; the bound repairs that omission. Uniqueness of the solution of (43) is stated under strict convexity: "convex increasing" (p. 820) does not give it. (35) is stated without the implication from τ~n\tilde\tau^nτ~n back to W~n\tilde W^nW~n, which fails in the uniform topology.
  • J~∗\tilde J^*J~∗ integrates the optimal value of (43), so Proposition 6 needs no choice of minimizer.

A trivializing formalization is ruled out: no theorem assumes the convergence of W~n\tilde W^nW~n or W~+n\tilde W^n_+W~+n​, the uniqueness of minimizers, or the lower bound, and the joint satisfiability of all hypotheses has been checked in Lean for d=1d=1d=1.

Needed infrastructure: sample-path reflection-map estimates, counting/partial-sum inversion with uniform o(n)o(\sqrt n)o(n​) errors, parametric convex optimization (Berge's theorem for (43)), and Riemann-sum arguments for the lower bound. The reflection-map and inversion lemmas are reusable beyond this mission. Contributions to any milestone are welcome. The definitions are frozen, so a proof that needs a different definition should be raised in the discussion.

Selected references

  • J. A. Van Mieghem, Dynamic Scheduling with Convex Delay Costs: The Generalized cμ Rule, Ann. Appl. Probab. 5(3) (1995) 809–833. https://doi.org/10.1214/aoap/1177004706
  • C. Buyukkoc, P. Varaiya, J. Walrand, The cμ rule revisited, Adv. Appl. Probab. 17 (1985) 237–238.
  • J. M. Harrison, Brownian Motion and Stochastic Flow Systems, Wiley, 1985 (reflection map).
  • D. L. Iglehart, W. Whitt, Multiple channel queues in heavy traffic. I, Adv. Appl. Probab. 2 (1970) 150–177.
  • A. Mandelbaum, A. L. Stolyar, Scheduling flexible servers with convex delay costs: heavy-traffic optimality of the generalized cμ-rule, Oper. Res. 52(6) (2004) 836–855. https://doi.org/10.1287/opre.1040.0156
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ProbabilityStatistics·Captain: mikedeng1

Estimating Variance From High, Low and Closing Prices II: Under the Overshoot Law (9), E(Z ∨ Z′) = aσ√h and E(Z ∨ Z′)² = bσ²hResearch Paper

Motivation

Volatility estimates from daily high, low and closing prices have been used since Parkinson (1980) and Garman and Klass (1980): the range of a day's log-price carries much more information about the volatility σ\sigmaσ than the close alone. Rogers and Satchell (1991) propose an estimator, S1(S1−X1)+I1(I1−X1)S_1(S_1-X_1)+I_1(I_1-X_1)S1​(S1​−X1​)+I1​(I1​−X1​), that is unbiased for σ2\sigma^2σ2 whatever the drift of the log-price. The companion mission (Part I) formalizes that unbiasedness.

Every such estimator meets the same practical problem. The true high and low of the continuous path are never observed; one sees the maximum and minimum of the path sampled at NNN times. The sampled maximum SSS falls short of the true maximum S1S_1S1​ by an amount Δ=S1−S≥0\Delta = S_1 - S \ge 0Δ=S1​−S≥0, and the resulting downward bias is large in practice (Garman and Klass, and Beckers (1983), identified it). Section 3 of Rogers and Satchell proposes a correction: model Δ\DeltaΔ by a random variable with an explicit law, compute its first two moments exactly, and subtract their effect. The constants that appear,

a=2π[14−2−16],b=1+3π/412,a=\sqrt{2\pi}\Big[\tfrac14-\tfrac{\sqrt2-1}{6}\Big],\qquad b=\frac{1+3\pi/4}{12},a=2π​[41​−62​−1​],b=121+3π/4​,

enter the corrected estimator directly. Their simulations (Tables 1–3 of the paper) show that the correction removes most of the bias.

Setting

Fix a volatility σ>0\sigma>0σ>0 and a sampling mesh h>0h>0h>0 (in the paper h=1/Nh=1/Nh=1/N). For a level α≥0\alpha\ge0α≥0 define

Gσ,h(α)=∫0he−2α2/(uσ2) du(4uh)1/2.G_{\sigma,h}(\alpha)=\int_0^h e^{-2\alpha^2/(u\sigma^2)}\,\frac{du}{(4uh)^{1/2}} .Gσ,h​(α)=∫0h​e−2α2/(uσ2)(4uh)1/2du​.

The factor e−2α2/(uσ2)e^{-2\alpha^2/(u\sigma^2)}e−2α2/(uσ2) is the probability that a Brownian bridge of duration uuu and volatility σ\sigmaσ climbs above level α\alphaα. The factor (4uh)−1/2(4uh)^{-1/2}(4uh)−1/2 is a probability density on (0,h](0,h](0,h]. Since Gσ,h(0)=1G_{\sigma,h}(0)=1Gσ,h​(0)=1 and Gσ,hG_{\sigma,h}Gσ,h​ decreases continuously to 000, it is the survival function of a law on (0,∞)(0,\infty)(0,∞). This law is the paper's display (9).

A real random variable ZZZ has distribution (9) if it is measurable and P(Z>α)=Gσ,h(α)P(Z>\alpha)=G_{\sigma,h}(\alpha)P(Z>α)=Gσ,h​(α) for every α≥0\alpha\ge0α≥0. In the paper, ZZZ is the overshoot of the continuous maximum over the sampled maximum xxx in the sampling interval to the left of the time ttt at which xxx is attained, and Z′Z'Z′ is the overshoot in the interval to the right. The paper then assumes (p. 508) that ZZZ and Z′Z'Z′ are independent, each with distribution (9), and approximates Δ\DeltaΔ by Z∨Z′=max⁡(Z,Z′)Z\vee Z'=\max(Z,Z')Z∨Z′=max(Z,Z′). Write Z∧Z′=min⁡(Z,Z′)Z\wedge Z'=\min(Z,Z')Z∧Z′=min(Z,Z′).

In Lean, overshootSurvival σ h α is Gσ,h(α)G_{\sigma,h}(\alpha)Gσ,h​(α), HasOvershootLaw P σ h Z is "ZZZ has distribution (9) under PPP", and constA, constB are aaa and bbb.

Formalization targets

Goal: the two moments of Z∨Z′Z\vee Z'Z∨Z′ (Eq. (11), p. 508, and the display on p. 509)

For σ,h>0\sigma,h>0σ,h>0 and Z,Z′Z,Z'Z,Z′ independent with distribution (9), the variables Z∨Z′Z\vee Z'Z∨Z′ and (Z∨Z′)2(Z\vee Z')^2(Z∨Z′)2 are integrable, and

E(Z∨Z′)=a σh,E[(Z∨Z′)2]=b σ2h.E(Z\vee Z')=a\,\sigma\sqrt h,\qquad E\big[(Z\vee Z')^2\big]=b\,\sigma^2h .E(Z∨Z′)=aσh​,E[(Z∨Z′)2]=bσ2h.

Milestones, in the order the paper uses them

  1. (9), p. 507. The two integral forms of the survival function agree:
∫0he−2α2/(uσ2)du(4uh)1/2=∫h−1∞e−2α2s/σ2ds(4hs3)1/2.\int_0^h e^{-2\alpha^2/(u\sigma^2)}\frac{du}{(4uh)^{1/2}}=\int_{h^{-1}}^\infty e^{-2\alpha^2s/\sigma^2}\frac{ds}{(4hs^3)^{1/2}} .∫0h​e−2α2/(uσ2)(4uh)1/2du​=∫h−1∞​e−2α2s/σ2(4hs3)1/2ds​.
  1. (10), p. 508. EZ=σ(2πh)1/2/8EZ=\sigma(2\pi h)^{1/2}/8EZ=σ(2πh)1/2/8.
  2. Display before (11), p. 508. E(Z∧Z′)=2πh (2−1) σ/6E(Z\wedge Z')=\sqrt{2\pi h}\,(\sqrt2-1)\,\sigma/6E(Z∧Z′)=2πh​(2​−1)σ/6.
  3. (12), p. 508. EZ2=σ2h/6EZ^2=\sigma^2h/6EZ2=σ2h/6.
  4. (13), p. 509. E[(Z∧Z′)2]=σ2h4(1−π4)E[(Z\wedge Z')^2]=\frac{\sigma^2h}{4}\big(1-\frac\pi4\big)E[(Z∧Z′)2]=4σ2h​(1−4π​).

The goal combines milestones 2–5 through Z∨Z′=Z+Z′−Z∧Z′Z\vee Z'=Z+Z'-Z\wedge Z'Z∨Z′=Z+Z′−Z∧Z′, which the paper uses in (11).

Significance

The result. The two identities are the coefficients of the corrected estimator (5): replacing Δ\DeltaΔ and Δ2\Delta^2Δ2 by aσha\sigma\sqrt haσh​ and bσ2hb\sigma^2hbσ2h turns the high–low estimator into an equation whose positive root σ^h\hat\sigma_hσ^h​ largely removes the discretization bias. The same constants correct the Garman–Klass estimator (p. 509). Without exact values for aaa and bbb the correction has no concrete form.

Formalizing it. The paper does each of the four double integrals in a line and says "after some calculation" twice. A machine-checked derivation confirms the printed constants, which are reused in the high–low volatility literature. It also states precisely what is exact (moments of the model law (9) under independence) and what is approximation (that the model describes Δ\DeltaΔ). To our knowledge none of these identities has been formalized before.

Difficulty

The statements are elementary but none of them is a one-line identity. Each moment is a double or triple improper integral with singular weights (4hs3)−1/2(4hs^3)^{-1/2}(4hs3)−1/2 on an unbounded domain. The minimum of ZZZ and Z′Z'Z′ couples two such integrals, and the resulting kernels (s+u)−1/2(s+u)^{-1/2}(s+u)−1/2 and st/(s+t)\sqrt{st}/(s+t)st​/(s+t) have to be integrated in closed form over the unit square. Matching 2−1\sqrt2-12​−1 and 1−π/41-\pi/41−π/4 exactly leaves no room for slack. In Lean, every exchange of integration order, change of variables and passage from survival functions to moments has to be justified for non-negative but unbounded functions, and the expectations must be shown finite: the Bochner integral of a non-integrable function is 000.

Formalization scope

  • Model. Random variables live on an arbitrary probability space (Ω, P) with [IsProbabilityMeasure P]. "Distribution (9)" is Measurable Z ∧ ∀ α ≥ 0, P.real {α < Z} = G σ h α, imposed only at levels α≥0\alpha\ge0α≥0: the formula is even in α\alphaα, and imposing it at negative levels would make the hypothesis unsatisfiable. Independence is IndepFun Z Z' P. Z∨Z′Z\vee Z'Z∨Z′ and Z∧Z′Z\wedge Z'Z∧Z′ are max and min.
  • Parameters. σ>0\sigma>0σ>0 and h>0h>0h>0 only. The paper's h=1/N≤1h=1/N\le1h=1/N≤1 is not needed and not imposed.
  • Explicit readings. "E" is the Bochner integral, and every expectation identity carries its integrability (Integrable, or MemLp … 2 for second moments). The conditioning "∣t−h<Hx<t, Xt=x\mid t-h<H_x<t,\ X_t=x∣t−h<Hx​<t, Xt​=x" in (9) and (10) is the modelling context in which the paper derives the law, not a hypothesis. The paper's "E(Z∧Z′)2E(Z\wedge Z')^2E(Z∧Z′)2" in (13) is read as E[(Z∧Z′)2]E[(Z\wedge Z')^2]E[(Z∧Z′)2], as its first line shows. The integrals in (9) run over (0,h](0,h](0,h] and [h−1,∞)[h^{-1},\infty)[h−1,∞).
  • Not formalized. The approximate statements EΔ≐aσhE\Delta\doteq a\sigma\sqrt hEΔ≐aσh​ and EΔ2≐bσ2hE\Delta^2\doteq b\sigma^2hEΔ2≐bσ2h, the densities (6) and (7), and the independence remark of p. 508 are modelling approximations about the random walk, not theorems. The estimators (5) and σ^GK,h2\hat\sigma^2_{GK,h}σ^GK,h2​ are definitions with no claim attached. The Brownian-bridge maximum (8) is not stated (its print also has a slip: 1−2/u1-2/u1−2/u for 1−s/u1-s/u1−s/u). Section 4 (simulations) is out of scope.
  • Non-triviality. The hypotheses are satisfiable for every σ,h>0\sigma,h>0σ,h>0: a probability measure on R\mathbb RR with survival function Gσ,hG_{\sigma,h}Gσ,h​ exists, and the two coordinates under its product measure are independent copies. A formalization that stated the survival condition for all α∈R\alpha\in\mathbb Rα∈R would be vacuous and is ruled out. So is one without the integrability conjuncts, which could hold with both sides 000.
  • Related items. The platform's generic identity survival_mean_ibp (mean as an integral of the survival function, under derivative hypotheses) is related but does not fit this setting. Mathlib's layer-cake formula is the general tool for passing between survival functions and moments.
  • Welcome contributions. Closed forms for ∫01 ⁣∫01(s+t)−1/2 ds dt\int_0^1\!\int_0^1(s+t)^{-1/2}\,ds\,dt∫01​∫01​(s+t)−1/2dsdt and ∫01 ⁣∫01st/(s+t) ds dt\int_0^1\!\int_0^1\sqrt{st}/(s+t)\,ds\,dt∫01​∫01​st​/(s+t)dsdt, which are reusable lemmas, and a general "moments of max⁡\maxmax and min⁡\minmin of independent variables from their survival functions" lemma.

Selected references

  • L. C. G. Rogers and S. E. Satchell, Estimating variance from high, low and closing prices, The Annals of Applied Probability 1(4) (1991), 504–512. https://doi.org/10.1214/aoap/1177005835
  • M. B. Garman and M. J. Klass, On the estimation of security price volatilities from historical data, Journal of Business 53(1) (1980), 67–78. https://doi.org/10.1086/296072
  • M. Parkinson, The extreme value method for estimating the variance of the rate of return, Journal of Business 53(1) (1980), 61–65. https://doi.org/10.1086/296071
  • S. Beckers, Variances of security price returns based on high, low and closing prices, Journal of Business 56(1) (1983), 97–112.
8 thms1 active userReviewed
Dynamical SystemsOperations ResearchOptimization·Captain: mikedeng1

The Łojasiewicz Inequality for Nonsmooth Subanalytic Functions with Applications to Subgradient Dynamical Systems III: Bounded Subgradient Trajectories Converge with Łojasiewicz RatesResearch Paper

Motivation

Many optimization algorithms are discretizations of a continuous-time descent: the gradient flow x˙=−∇f(x)\dot x=-\nabla f(x)x˙=−∇f(x) for smooth objectives, and its nonsmooth analogue, the subgradient dynamical system, for objectives with kinks or constraints. A basic question about such a flow is whether a bounded trajectory actually converges, rather than merely accumulating on a continuum of critical points, and how fast. For real-analytic fff this was settled by Łojasiewicz through his gradient inequality, which forces bounded gradient trajectories to have finite length. Without some such structure the answer is negative: there are smooth functions whose bounded gradient trajectories spiral forever around a circle of critical points.

Bolte, Daniilidis and Lewis (SIAM J. Optim. 17 (2007) 1205–1223) extended the Łojasiewicz inequality to nonsmooth subanalytic functions, possibly taking the value +∞+\infty+∞, by replacing ∥∇f∥\|\nabla f\|∥∇f∥ with the least norm of a limiting subgradient. Section 4 of the paper turns this inequality into convergence results for subgradient trajectories of convex and lower-C2C^2C2 functions. This mission formalizes that section. The same "Łojasiewicz argument" later became the Kurdyka–Łojasiewicz framework behind convergence proofs for proximal, alternating and splitting algorithms (Attouch–Bolte 2009; Bolte–Sabach–Teboulle 2014).

Timeline. Łojasiewicz (1963, 1984) proved the gradient inequality for real-analytic functions and finite length of bounded analytic gradient trajectories. Kurdyka (Ann. Inst. Fourier 1998) extended it to C1C^1C1 functions definable in an o-minimal structure. Kurdyka, Mostowski and Parusiński (2000) proved Thom's gradient conjecture for analytic functions. Bolte, Daniilidis and Lewis (2007) gave the nonsmooth subanalytic version and the trajectory results formalized here.

Setting

Let f:Rn→R∪{+∞}f:\mathbb R^n\to\mathbb R\cup\{+\infty\}f:Rn→R∪{+∞} with domain dom⁡f={x:f(x)<+∞}\operatorname{dom} f=\{x: f(x)<+\infty\}domf={x:f(x)<+∞}. The Fréchet subdifferential ∂^f(x)\hat\partial f(x)∂^f(x) is the set of x∗x^*x∗ with lim inf⁡y→x, y≠x(f(y)−f(x)−⟨x∗,y−x⟩)/∥y−x∥≥0\liminf_{y\to x,\,y\neq x}\big(f(y)-f(x)-\langle x^*,y-x\rangle\big)/\|y-x\|\ge0liminfy→x,y=x​(f(y)−f(x)−⟨x∗,y−x⟩)/∥y−x∥≥0. The limiting subdifferential ∂f(x)\partial f(x)∂f(x) is the set of limits of xk∗∈∂^f(xk)x_k^*\in\hat\partial f(x_k)xk∗​∈∂^f(xk​) with xk→xx_k\to xxk​→x and f(xk)→f(x)f(x_k)\to f(x)f(xk​)→f(x). The nonsmooth slope is mf(x)=inf⁡{∥x∗∥:x∗∈∂f(x)}m_f(x)=\inf\{\|x^*\|: x^*\in\partial f(x)\}mf​(x)=inf{∥x∗∥:x∗∈∂f(x)}, equal to +∞+\infty+∞ when ∂f(x)=∅\partial f(x)=\emptyset∂f(x)=∅, and crit⁡f={x:0∈∂f(x)}\operatorname{crit} f=\{x: 0\in\partial f(x)\}critf={x:0∈∂f(x)} is the set of critical points.

The standing assumptions of Section 4 are:

  • (H1)(\mathcal H1)(H1) fff is either lower semicontinuous and convex, or lower-C2C^2C2 with dom⁡f=Rn\operatorname{dom} f=\mathbb R^ndomf=Rn. Lower-C2C^2C2 means that near each point f=max⁡s∈SF(⋅,s)f=\max_{s\in S}F(\cdot,s)f=maxs∈S​F(⋅,s) for a compact space SSS and a jointly continuous FFF with jointly continuous first and second xxx-derivatives.
  • (H2)(\mathcal H2)(H2) fff is somewhere finite and bounded from below.
  • (H3)(\mathcal H3)(H3) fff is subanalytic: its graph is locally the projection of a bounded set defined by finitely many real-analytic equalities and strict inequalities.

A trajectory of the subgradient system (G)(\mathcal G)(G) is an absolutely continuous curve x:[0,T)→Rnx:[0,T)\to\mathbb R^nx:[0,T)→Rn, T∈(0,+∞]T\in(0,+\infty]T∈(0,+∞], with x˙(t)+∂f(x(t))∋0\dot x(t)+\partial f(x(t))\ni0x˙(t)+∂f(x(t))∋0 for almost every ttt and ∂f(x(t))≠∅\partial f(x(t))\neq\emptyset∂f(x(t))=∅ for every ttt. It is maximal if it admits no extension to a longer interval. The Łojasiewicz inequality holds around aaa with exponent θ\thetaθ if ∣f−f(a)∣θ/mf|f-f(a)|^\theta/m_f∣f−f(a)∣θ/mf​ is bounded near aaa, with 00=10^0=100=1 and ∞/∞=0/0=0\infty/\infty=0/0=0∞/∞=0/0=0. A Łojasiewicz exponent at a∈dom⁡fa\in\operatorname{dom} fa∈domf is any such θ∈[0,1)\theta\in[0,1)θ∈[0,1).

Formalization targets

Goal: Theorem 4.7

Under (H1)(\mathcal H1)(H1)–(H3)(\mathcal H3)(H3), every bounded maximal trajectory xxx is defined on [0,+∞)[0,+\infty)[0,+∞) and converges to a critical point aaa. For every Łojasiewicz exponent θ\thetaθ at aaa there are k,k′>0k,k'>0k,k′>0 and t0≥0t_0\ge0t0​≥0 such that for t≥t0t\ge t_0t≥t0​

∥x(t)−a∥≤{k (t+1)−1−θ2θ−1,θ∈(12,1),k e−k′t,θ=12,\|x(t)-a\|\le \begin{cases} k\,(t+1)^{-\frac{1-\theta}{2\theta-1}}, & \theta\in(\tfrac12,1),\\[2pt] k\,e^{-k't}, & \theta=\tfrac12,\end{cases}∥x(t)−a∥≤{k(t+1)−2θ−11−θ​,ke−k′t,​θ∈(21​,1),θ=21​,​

and for θ∈[0,12)\theta\in[0,\tfrac12)θ∈[0,21​), x(t)=ax(t)=ax(t)=a for all large ttt. The constants are existential, so the goal survives any later sharpening of them.

Milestones

  1. Corollary 4.1(i): for almost every ttt, ddtf(x(t))=⟨x˙(t),x∗⟩\frac{d}{dt}f(x(t))=\langle\dot x(t),x^*\rangledtd​f(x(t))=⟨x˙(t),x∗⟩ for every x∗∈∂f(x(t))x^*\in\partial f(x(t))x∗∈∂f(x(t)).
  2. Corollary 4.1(iii): every trajectory extends to a maximal one on [0,+∞)[0,+\infty)[0,+∞) with x˙∈L2\dot x\in L^2x˙∈L2.
  3. Corollary 4.2: ∥x˙(t)∥=mf(x(t))\|\dot x(t)\|=m_f(x(t))∥x˙(t)∥=mf​(x(t)) and ddtf(x(t))=−mf(x(t))2\frac{d}{dt}f(x(t))=-m_f(x(t))^2dtd​f(x(t))=−mf​(x(t))2 almost everywhere.
  4. Inequality (20): the Łojasiewicz inequality holds around every point of dom⁡∂f\operatorname{dom}\partial fdom∂f.
  5. Theorem 4.5: bounded maximal trajectories have finite length ∫0∞∥x˙∥<∞\int_0^\infty\|\dot x\|<\infty∫0∞​∥x˙∥<∞ and converge to a critical point.
  6. The tail bound ∫t∞∥x˙∥≤c1−θ(f(x(t))−f(a))1−θ\int_t^\infty\|\dot x\|\le\frac{c}{1-\theta}(f(x(t))-f(a))^{1-\theta}∫t∞​∥x˙∥≤1−θc​(f(x(t))−f(a))1−θ.
  7. Inequality (27): ∫t∞∥x˙∥≤c1/θ1−θ∥x˙(t)∥(1−θ)/θ\int_t^\infty\|\dot x\|\le\frac{c^{1/\theta}}{1-\theta}\|\dot x(t)\|^{(1-\theta)/\theta}∫t∞​∥x˙∥≤1−θc1/θ​∥x˙(t)∥(1−θ)/θ for almost every large ttt.

Significance

Theorem 4.5 says that for convex or lower-C2C^2C2 subanalytic objectives, including constrained problems through indicator functions of subanalytic sets, the subgradient flow never oscillates indefinitely: bounded trajectories converge to one critical point. Theorem 4.7 adds rates that depend only on the Łojasiewicz exponent at the limit: exponential at θ=12\theta=\tfrac12θ=21​, polynomial above it, finite time below it. These are continuous-time templates for the convergence analyses of proximal and splitting methods under the Kurdyka–Łojasiewicz property.

On the formalization side, the results are proved on paper but, to our knowledge, not formalized in any proof assistant. A development would provide reusable infrastructure: a Lean notion of a trajectory of a differential inclusion on [0,T)[0,T)[0,T), a chain rule for f∘xf\circ xf∘x along absolutely continuous curves, and a comparison lemma for the differential inequality σ˙≤−Lσα\dot\sigma\le-L\sigma^\alphaσ˙≤−Lσα. The analysis of Section 4 uses subanalyticity only through inequality (20), so Theorems 4.5 and 4.7 can be attacked with (20) as an imported milestone, independently of the subanalytic geometry.

Difficulty

Compactness gives cluster points of a bounded trajectory, and the decrease of fff gives convergence of f(x(t))f(x(t))f(x(t)). Neither gives convergence of x(t)x(t)x(t). The usual first idea, that ∫0∞∥x˙∥2<∞\int_0^\infty\|\dot x\|^2<\infty∫0∞​∥x˙∥2<∞ forces convergence, fails, since square-integrable speed allows infinite length. The difficulty is to control ∫∥x˙∥\int\|\dot x\|∫∥x˙∥ rather than ∫∥x˙∥2\int\|\dot x\|^2∫∥x˙∥2. That needs a lower bound on the slope in terms of the function gap near the cluster point, which is exactly what (20) supplies, plus a trapping argument showing the tail of the trajectory stays in the ball where (20) holds. In the nonsmooth setting the chain rule itself is nontrivial: f∘xf\circ xf∘x is differentiable almost everywhere with derivative ⟨x˙,x∗⟩\langle\dot x,x^*\rangle⟨x˙,x∗⟩ for every x∗∈∂f(x(t))x^*\in\partial f(x(t))x∗∈∂f(x(t)), which relies on ∂f=∂^f\partial f=\hat\partial f∂f=∂^f for convex and lower-C2C^2C2 functions. Global existence on [0,+∞)[0,+\infty)[0,+∞) (Corollary 4.1(iii)) must also be established before any asymptotic statement makes sense.

Formalization scope

Space Rn\mathbb R^nRn is EuclideanSpace ℝ (Fin n). Functions take values in EReal; "bounded from below" by a real number excludes −∞-\infty−∞. The limiting subdifferential is the published NonconvexSplitting.Shared.LimitingSubdiff, and convexity is the published MoreauProx.Characterization.EConvex (convex epigraph). The slope mfm_fmf​ is valued in [0,+∞][0,+\infty][0,+∞]. The Łojasiewicz inequality is encoded as ∣f(y)−f(a)∣θ≤C∥v∥|f(y)-f(a)|^\theta\le C\|v\|∣f(y)−f(a)∣θ≤C∥v∥ for yyy near aaa and every v∈∂f(y)v\in\partial f(y)v∈∂f(y), which is the bounded ratio under the paper's conventions. Times are real numbers and T∈[0,+∞]T\in[0,+\infty]T∈[0,+∞]. Curves are functions R→Rn\mathbb R\to\mathbb R^nR→Rn whose values outside [0,T)[0,T)[0,T) are irrelevant. "Absolutely continuous on [0,T)[0,T)[0,T)" means absolutely continuous on every compact [0,b]⊆[0,T)[0,b]\subseteq[0,T)[0,b]⊆[0,T). Velocities appear only "for almost every ttt". Lengths are lower Lebesgue integrals ∫−∥x˙∥\int^-\|\dot x\|∫−∥x˙∥ in [0,+∞][0,+\infty][0,+∞], never Bochner integrals (which would vanish for a non-integrable speed).

Two trivializations are ruled out. Maximality is a hypothesis and T=+∞T=+\inftyT=+∞ is a conclusion: assuming T=+∞T=+\inftyT=+∞ would narrow the theorem, and dropping maximality would make it false. Rates are claimed for every Łojasiewicz exponent at the limit, not for one chosen exponent. Corollary 4.1(iii) is stated as "defined on R+\mathbb R_+R+​ with x^˙∈L2\dot{\hat x}\in L^2x^˙∈L2", because the printed x^∈W1,2(R+)\hat x\in W^{1,2}(\mathbb R_+)x^∈W1,2(R+​) would fail for any trajectory with nonzero limit.

Needed infrastructure: absolutely continuous curves and their a.e. derivatives (Mathlib's AbsolutelyContinuousOnInterval), chain rules for convex and lower-C2C^2C2 functions, existence and uniqueness for monotone differential inclusions (Brézis), and an ODE comparison principle. Contributions to any of these are reusable well beyond this mission.

Selected references

  • J. Bolte, A. Daniilidis, A. Lewis, The Łojasiewicz inequality for nonsmooth subanalytic functions with applications to subgradient dynamical systems, SIAM J. Optim. 17(4) (2007) 1205–1223. https://doi.org/10.1137/050644641
  • H. Brézis, Opérateurs maximaux monotones et semi-groupes de contractions dans les espaces de Hilbert, North-Holland, 1973.
  • J.-P. Aubin, A. Cellina, Differential Inclusions, Springer, 1984. https://doi.org/10.1007/978-3-642-69512-4
  • R. T. Rockafellar, R. J.-B. Wets, Variational Analysis, Springer, 1998. https://doi.org/10.1007/978-3-642-02431-3
  • K. Kurdyka, On gradients of functions definable in o-minimal structures, Ann. Inst. Fourier 48 (1998) 769–783. https://doi.org/10.5802/aif.1638
  • H. Attouch, J. Bolte, On the convergence of the proximal algorithm for nonsmooth functions involving analytic features, Math. Program. 116 (2009) 5–16. https://doi.org/10.1007/s10107-007-0133-5
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Geometry & Topology·Captain: Tamas Fulop

Moving Sofa ProblemOpen Problem

Motivation

The question of the largest area that can be moved around a corner has been studied since the late 1960s. Leo Moser posed it in 1966, and F. H. Hammersley gave the lower bound π/2+2/π≈2.2074\pi/2+2/\pi\approx2.2074π/2+2/π≈2.2074 and the upper bound 22≈2.8282\sqrt{2}\approx2.82822​≈2.828 in 1968. Joseph Gerver constructed a shape of area approximately 2.21952.21952.2195 in 1992 and described four constants AAA, BBB, φ\varphiφ, θ\thetaθ satisfying four equations, from which the shape is built. Dan Romik rewrote those equations in exact form as equations (1)-(4) in 2018 and reported high-precision values of the constants. Jineon Baek proved in 2024 that Gerver's shape is optimal: no larger shape can be moved around the corner. The proof was autoformalized in Lean 4 by Dean Cureton and AI agents in 2026, as the repository deancureton/MovingSofa, building on Dawid Trela's formalization of Gerver's constants and motion, Jonathan Ho's Brunn-Minkowski development, the Jordan-curve developments of R. Kirov and the TauCeti project, and Google DeepMind's formal-conjectures statement.

Timeline: Moser poses the problem (1966); Hammersley gives the π/2+2/π≈2.2074\pi/2+2/\pi\approx2.2074π/2+2/π≈2.2074 lower bound and the 22≈2.8282\sqrt{2}\approx2.82822​≈2.828 upper bound (1968); Gerver exhibits the 2.21952.21952.2195 shape and its differential equations (1992); Romik gives the exact equations and numerics (2018); Baek proves optimality (2024, arXiv:2411.19826); Cureton et al. complete a Lean 4 proof of optimality, existence and uniqueness of the constants, and movability of Gerver's shape (2026).

Setting

Work in the plane R2\mathbb{R}^2R2. The hallway is (−∞,1]×[0,1]∪[0,1]×(−∞,1](-\infty,1]\times[0,1]\cup[0,1]\times(-\infty,1](−∞,1]×[0,1]∪[0,1]×(−∞,1], the union of its horizontal and vertical sides. A moving sofa is a nonempty closed connected set sss in the horizontal side together with a continuous path mmm of plane isometries indexed by the unit interval, starting at the identity, keeping the image of sss inside the hallway at all times, and ending with the image inside the vertical side. Motions take values in the full isometry group E(2)E(2)E(2); continuity together with m(0)=idm(0)=\mathrm{id}m(0)=id forces the path to lie in the orientation-preserving component. The sofa constant is the supremum, in the extended nonnegative reals, of the areas volume(s)\mathrm{volume}(s)volume(s) over all moving sofas. The supremum is finite, at least 11/511/511/5, and attained.

Gerver's shape is defined from a rotation path. For constants AAA, BBB, φ\varphiφ, θ\thetaθ, let rrr be the piecewise function with breakpoints φ\varphiφ, θ\thetaθ, π/2−θ\pi/2-\thetaπ/2−θ, π/2−φ\pi/2-\varphiπ/2−φ from Romik's Theorem 2, let xxx and yyy be its cosine and sine integrals, and let ppp be the associated translation path. The sofa for those constants is the intersection over angles in [0,π/2][0,\pi/2][0,π/2] of the correspondingly rotated and translated hallways, with the endpoints using the horizontal and vertical sides. The four equations ABphiThetaSpec cut out the constants. They have exactly one solution with 0≤φ≤θ≤π/40\le\varphi\le\theta\le\pi/40≤φ≤θ≤π/4 and 0≤A0\le A0≤A, 0≤B0\le B0≤B. The same Lean development uses the identical notation as the formal statements, so prose and code read as one document.

Formalization targets

Goal: optimality of Gerver's sofa

For every AAA, BBB, φ\varphiφ, θ\thetaθ satisfying ABphiThetaSpec,

sofaConstant=volume(gerversSofaWith(A,B,φ,θ)).\mathrm{sofaConstant} = \mathrm{volume}(\mathrm{gerversSofaWith}(A,B,\varphi,\theta)).sofaConstant=volume(gerversSofaWith(A,B,φ,θ)).

The goal leaves unfixed which solution of the spec is used; by uniqueness all choices give the same shape up to the proved identification, so this is the stable form of Baek's Theorem 1.1. It asserts that the supremum equals the area of Gerver's shape, hence that no moving sofa has larger area and that the supremum is attained.

Supporting targets

∃! (A,B,φ,θ), ABphiThetaSpec(A,B,φ,θ).\exists!\,(A,B,\varphi,\theta),\ \mathrm{ABphiThetaSpec}(A,B,\varphi,\theta).∃!(A,B,φ,θ), ABphiThetaSpec(A,B,φ,θ). ∀ A,B,φ,θ, ABphiThetaSpec(A,B,φ,θ)  ⟹  ∃ m, IsMovingSofa(gerversSofaWith(A,B,φ,θ),m).\forall\,A,B,\varphi,\theta,\ \mathrm{ABphiThetaSpec}(A,B,\varphi,\theta)\implies \exists\,m,\ \mathrm{IsMovingSofa}(\mathrm{gerversSofaWith}(A,B,\varphi,\theta),m).∀A,B,φ,θ, ABphiThetaSpec(A,B,φ,θ)⟹∃m, IsMovingSofa(gerversSofaWith(A,B,φ,θ),m).

The first is Gerver's Theorem 2 in Romik's equation form on the closed domain. The second says every such shape admits a hallway motion. Together they supply the constants and the witness that the supremum is attained. The live mission records a root sketch composing the upper-bound half (every moving sofa is bounded by Gerver's area) with the movability witness into the supremum equality.

Significance

The result itself closes a problem open since 1966. It identifies the maximum area, shows the maximum is attained by an explicit shape, and determines that shape from four equations whose solution is unique. Consequences include the numerical enclosure 11/5≤volume≤∞11/5\le\mathrm{volume}\le\infty11/5≤volume≤∞ proved by interval arithmetic, the finiteness of the supremum, and the reduction of future improvements to the analysis of the functional QQQ on caps. Without it the exact maximum remains unknown.

Formalizing it adds a machine-checked proof that makes no classical area assumption: the Green-type curve-area identity and the Minkowski-type mixed-area facts quoted by the paper are proved, the paper's 11 proof gaps and 33 misprints are repaired, and the numerical certificate is kernel-checked. The hallway, motion, cap, convex-body, and surface-measure infrastructure is reusable for related isoperimetric and kinematic formalizations. Status honesty: the underlying paper proof is complete and has been formalized in the source repository; on this platform the three statements above are open targets awaiting proofs, and the uniqueness of the maximizer up to rigid motion remains open and is not part of this mission.

Difficulty

The obvious argument bounds the area of an arbitrary sofa by the area of a circumscribed cap, but caps need not satisfy the injectivity condition that makes the functional QQQ an upper bound, and QQQ need not be concave on the full space of caps. Maximizing sequences of polygons need not converge to a sofa, and limits need not be connected or attain the supremum. The naive idea of taking a supremum over all connected closed sets and extracting a convergent subsequence fails until compactness of motions, closedness of the moving-sofa predicate, and a balanced maximum with rotation angle π/2\pi/2π/2 are established. Each step fails for general sets and only holds after the polygon approximation and monotonization constructions.

Formalization scope

Lean represents the plane as EuclideanSpace ℝ (Fin 2) with its standard orientation, hallway sides as explicit sets, motions as I → E(2) where E(2) is ℝ² ≃ᵃⁱ[ℝ] ℝ² with the topology induced from continuous maps, and area as MeasureSpace.volume. The supremum is in ℝ≥0∞. Statements target the c5ea003 (Lean v4.30.0) environment, an older supported revision against which the development was verified locally. The spec uses non-strict inequalities, which makes uniqueness stronger than the strict-inequality literature form. The functions rrr, xxx, yyy, ppp take the constants as explicit arguments rather than reading global chosen constants, so the definition bundle stays independent of the existence proof; given uniqueness this implies the source statements. Boundedness and measurability are not assumed; every moving sofa is proved compact in the source development. A submission that drops closedness or connectedness, that allows a discontinuous motion, or that hard-codes the numerical value 2.21952.21952.2195 instead of proving equality with the volume of the defined shape, does not satisfy the statements. Contributions welcome: direct proofs of the three targets, sharper enclosures of the volume, and reusable hallway and motion lemmas. Out of scope: uniqueness up to congruence, the 11/511/511/5 certificate details beyond the stated lower bound, and the 20 unformalized numbered environments listed in the source NOTES.md that none of the three targets depends on.

Selected references

  • Jineon Baek, Optimality of Gerver's Sofa, arXiv:2411.19826, 2024. https://arxiv.org/abs/2411.19826
  • Joseph L. Gerver, On moving a sofa around a corner, Geometriae Dedicata 42 (1992), 267-283.
  • Dan Romik, Differential equations and exact solutions in the moving sofa problem, Experimental Mathematics 27 (2018), 316-330. https://arxiv.org/abs/1606.08111
  • Dean Cureton et al., MovingSofa: Autoformalization of Baek's solution, 2026. https://github.com/deancureton/MovingSofa
  • Google DeepMind, formal-conjectures, FormalConjectures/Wikipedia/MovingSofa.lean at ddfbaf90. https://github.com/google-deepmind/formal-conjectures
  • Dawid Trela, GerverSofaLean v1.1.0. https://github.com/dawidmtrela-dotcom/GerverSofaLean
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