In mathematics, a measure on a set is a systematic way to assign a number, intuitively interpreted as its size, to some subsets of that set, called measurable sets. In this sense, a measure is a generalization of the concepts of length, area, and volume. A particularly important example is the Lebesgue measure on a Euclidean space, which assigns the usual length, area, or volume to subsets of a Euclidean spaces, for which this be defined. For instance, the Lebesgue measure of an interval of real numbers is its usual length.
Technically, a measure is a function that assigns a non-negative real number or to (certain) subsets of a set (''see'' , below). A measure must further be countably additive: if a 'large' subset can be decomposed into a finite (or countably infinite) number of 'smaller' disjoint subsets that are measurable, then the 'large' subset is ''measurable'', and its measure is the sum (possibly infinite) of the measures of the "smaller" subsets.
In general, if one wants to associate a ''consistent'' size to ''all'' subsets of a given set, while satisfying the other axioms of a measure, one only finds trivial examples like the counting measure. This problem was resolved by defining measure only on a sub-collection of all subsets; the so-called ''measurable'' subsets, which are required to form a -algebra. This means that countable unions, countable intersections and complements of measurable subsets are measurable. Non-measurable sets in a Euclidean space, on which the Lebesgue measure cannot be defined consistently, are necessarily complicated in the sense of being badly mixed up with their complement. Indeed, their existence is a non-trivial consequence of the axiom of choice.
Measure theory was developed in successive stages during the late 19th and early 20th centuries by Émile Borel, Henri Lebesgue, Johann Radon, and Maurice Fréchet, among others. The main applications of measures are in the foundations of the Lebesgue integral, in Andrey Kolmogorov's axiomatisation of probability theory and in ergodic theory. In integration theory, specifying a measure allows one to define integrals on spaces more general than subsets of Euclidean space; moreover, the integral with respect to the Lebesgue measure on Euclidean spaces is more general and has a richer theory than its predecessor, the Riemann integral. Probability theory considers measures that assign to the whole set the size 1, and considers measurable subsets to be events whose probability is given by the measure. Ergodic theory considers measures that are invariant under, or arise naturally from, a dynamical system.

Definition

Let be a set and a -algebra over . A function from to the extended real number line is called a measure if it satisfies the following properties: *Non-negativity: For all in Σ, we have . *Null empty set: $\backslash mu(\backslash varnothing)=0$. *Countable additivity (or -additivity): For all countable collections $\backslash \_^\backslash infty$ of pairwise disjoint sets in Σ, :$\backslash mu\backslash left(\backslash bigsqcup\_^\backslash infty\; E\_k\backslash right)=\backslash sum\_^\backslash infty\; \backslash mu(E\_k).$ If at least one set $E$ has finite measure, then the requirement that $\backslash mu(\backslash varnothing)=0$ is met automatically. Indeed, by countable additivity, :$\backslash mu(E)=\backslash mu(E\; \backslash cup\; \backslash varnothing)\; =\; \backslash mu(E)\; +\; \backslash mu(\backslash varnothing),$ and therefore $\backslash mu(\backslash varnothing)=0.$ If only the second and third conditions of the definition of measure above are met, and takes on at most one of the values , then is called a signed measure. The pair is called a measurable space, the members of Σ are called measurable sets. If $\backslash left(X,\; \backslash Sigma\_X\backslash right)$ and $\backslash left(Y,\; \backslash Sigma\_Y\backslash right)$ are two measurable spaces, then a function $f\; :\; X\; \backslash to\; Y$ is called measurable if for every -measurable set $B\; \backslash in\; \backslash Sigma\_Y$, the inverse image is -measurable – i.e.: $f^(B)\; \backslash in\; \backslash Sigma\_X$. In this setup, the composition of measurable functions is measurable, making the measurable spaces and measurable functions a category, with the measurable spaces as objects and the set of measurable functions as arrows. See also Measurable function#Term usage variations about another setup. A triple is called a measure space. A probability measure is a measure with total measure one – i.e. . A probability space is a measure space with a probability measure. For measure spaces that are also topological spaces various compatibility conditions can be placed for the measure and the topology. Most measures met in practice in analysis (and in many cases also in probability theory) are Radon measures. Radon measures have an alternative definition in terms of linear functionals on the locally convex space of continuous functions with compact support. This approach is taken by Bourbaki (2004) and a number of other sources. For more details, see the article on Radon measures.

Instances

Some important measures are listed here. * The counting measure is defined by = number of elements in . * The Lebesgue measure on is a complete translation-invariant measure on a ''σ''-algebra containing the intervals in such that ; and every other measure with these properties extends Lebesgue measure. * Circular angle measure is invariant under rotation, and hyperbolic angle measure is invariant under squeeze mapping. * The Haar measure for a locally compact topological group is a generalization of the Lebesgue measure (and also of counting measure and circular angle measure) and has similar uniqueness properties. * The Hausdorff measure is a generalization of the Lebesgue measure to sets with non-integer dimension, in particular, fractal sets. * Every probability space gives rise to a measure which takes the value 1 on the whole space (and therefore takes all its values in the unit interval , 1. Such a measure is called a ''probability measure''. See probability axioms. * The Dirac measure δ_{''a''} (cf. Dirac delta function) is given by δ_{''a''}(''S'') = χ_{''S''}(a), where χ_{''S''} is the indicator function of . The measure of a set is 1 if it contains the point and 0 otherwise.
Other 'named' measures used in various theories include: Borel measure, Jordan measure, ergodic measure, Euler measure, Gaussian measure, Baire measure, Radon measure, Young measure, and Loeb measure.
In physics an example of a measure is spatial distribution of mass (see e.g., gravity potential), or another non-negative extensive property, conserved (see conservation law for a list of these) or not. Negative values lead to signed measures, see "generalizations" below.
* Liouville measure, known also as the natural volume form on a symplectic manifold, is useful in classical statistical and Hamiltonian mechanics.
* Gibbs measure is widely used in statistical mechanics, often under the name canonical ensemble.

Basic properties

Let be a measure.

Monotonicity

If and are measurable sets with then :$\backslash mu(E\_1)\; \backslash leq\; \backslash mu(E\_2).$

Measure of countable unions and intersections

Subadditivity

For any countable sequence of (not necessarily disjoint) measurable sets in Σ: :$\backslash mu\backslash left(\; \backslash bigcup\_^\backslash infty\; E\_i\backslash right)\; \backslash le\; \backslash sum\_^\backslash infty\; \backslash mu(E\_i).$

Continuity from below

If are measurable sets and $E\_n\; \backslash subseteq\; E\_,$ for all , then the union of the sets is measurable, and :$\backslash mu\backslash left(\backslash bigcup\_^\backslash infty\; E\_i\backslash right)\; =\; \backslash lim\_\; \backslash mu(E\_i).$

Continuity from above

If are measurable sets and, for all , $E\_\; \backslash subseteq\; E\_n,$ then the intersection of the sets is measurable; furthermore, if at least one of the has finite measure, then :$\backslash mu\backslash left(\backslash bigcap\_^\backslash infty\; E\_i\backslash right)\; =\; \backslash lim\_\; \backslash mu(E\_i).$ This property is false without the assumption that at least one of the has finite measure. For instance, for each , let , which all have infinite Lebesgue measure, but the intersection is empty.

Other properties

Completeness

A measurable set is called a ''null set'' if . A subset of a null set is called a ''negligible set''. A negligible set need not be measurable, but every measurable negligible set is automatically a null set. A measure is called ''complete'' if every negligible set is measurable. A measure can be extended to a complete one by considering the σ-algebra of subsets which differ by a negligible set from a measurable set , that is, such that the symmetric difference of and is contained in a null set. One defines to equal .

Additivity

Measures are required to be countably additive. However, the condition can be strengthened as follows. For any set $I$ and any set of nonnegative $r\_i,i\backslash in\; I$ define: :$\backslash sum\_\; r\_i=\backslash sup\backslash left\backslash lbrace\backslash sum\_\; r\_i\; :\; |J|<\backslash aleph\_0,\; J\backslash subseteq\; I\backslash right\backslash rbrace.$ That is, we define the sum of the $r\_i$ to be the supremum of all the sums of finitely many of them. A measure $\backslash mu$ on $\backslash Sigma$ is $\backslash kappa$-additive if for any $\backslash lambda<\backslash kappa$ and any family of disjoint sets $X\_\backslash alpha,\backslash alpha<\backslash lambda$ the following hold: :$\backslash bigcup\_\; X\_\backslash alpha\; \backslash in\; \backslash Sigma$ :$\backslash mu\backslash left(\backslash bigcup\_\; X\_\backslash alpha\backslash right)=\backslash sum\_\backslash mu\backslash left(X\_\backslash alpha\backslash right).$ Note that the second condition is equivalent to the statement that the ideal of null sets is $\backslash kappa$-complete.

Sigma-finite measures

A measure space is called finite if is a finite real number (rather than ∞). Nonzero finite measures are analogous to probability measures in the sense that any finite measure is proportional to the probability measure $\backslash frac\backslash mu$. A measure is called ''σ-finite'' if can be decomposed into a countable union of measurable sets of finite measure. Analogously, a set in a measure space is said to have a ''σ-finite measure'' if it is a countable union of sets with finite measure. For example, the real numbers with the standard Lebesgue measure are σ-finite but not finite. Consider the closed intervals for all integers ; there are countably many such intervals, each has measure 1, and their union is the entire real line. Alternatively, consider the real numbers with the counting measure, which assigns to each finite set of reals the number of points in the set. This measure space is not σ-finite, because every set with finite measure contains only finitely many points, and it would take uncountably many such sets to cover the entire real line. The σ-finite measure spaces have some very convenient properties; σ-finiteness can be compared in this respect to the Lindelöf property of topological spaces. They can be also thought of as a vague generalization of the idea that a measure space may have 'uncountable measure'.

s-finite measures

A measure is said to be s-finite if it is a countable sum of bounded measures. S-finite measures are more general than sigma-finite ones and have applications in the theory of stochastic processes.

Non-measurable sets

If the axiom of choice is assumed to be true, it can be proved that not all subsets of Euclidean space are Lebesgue measurable; examples of such sets include the Vitali set, and the non-measurable sets postulated by the Hausdorff paradox and the Banach–Tarski paradox.

Generalizations

For certain purposes, it is useful to have a "measure" whose values are not restricted to the non-negative reals or infinity. For instance, a countably additive set function with values in the (signed) real numbers is called a ''signed measure'', while such a function with values in the complex numbers is called a ''complex measure''. Measures that take values in Banach spaces have been studied extensively.. A measure that takes values in the set of self-adjoint projections on a Hilbert space is called a ''projection-valued measure''; these are used in functional analysis for the spectral theorem. When it is necessary to distinguish the usual measures which take non-negative values from generalizations, the term positive measure is used. Positive measures are closed under conical combination but not general linear combination, while signed measures are the linear closure of positive measures. Another generalization is the ''finitely additive measure'', also known as a content. This is the same as a measure except that instead of requiring ''countable'' additivity we require only ''finite'' additivity. Historically, this definition was used first. It turns out that in general, finitely additive measures are connected with notions such as Banach limits, the dual of ''L''^{∞} and the Stone–Čech compactification. All these are linked in one way or another to the axiom of choice. Contents remain useful in certain technical problems in geometric measure theory; this is the theory of Banach measures.
A charge is a generalization in both directions: it is a finitely additive, signed measure.

See also

* Abelian von Neumann algebra * Almost everywhere * Carathéodory's extension theorem * Content (measure theory) * Fubini's theorem * Fatou's lemma * Fuzzy measure theory * Geometric measure theory * Hausdorff measure * Inner measure * Lebesgue integration * Lebesgue measure * Lorentz space * Lifting theory * Measurable cardinal * Measurable function * Minkowski content * Outer measure * Product measure * Pushforward measure * Regular measure * Vector measure * Valuation (measure theory) * Volume form

References

Bibliography

* Robert G. Bartle (1995) ''The Elements of Integration and Lebesgue Measure'', Wiley Interscience. * * * * Chapter III. * R. M. Dudley, 2002. ''Real Analysis and Probability''. Cambridge University Press. * Second edition. * Federer, Herbert. Geometric measure theory. Die Grundlehren der mathematischen Wissenschaften, Band 153 Springer-Verlag New York Inc., New York 1969 xiv+676 pp. * D. H. Fremlin, 2000.

Measure Theory

'. Torres Fremlin. * * R. Duncan Luce and Louis Narens (1987). "measurement, theory of," ''The New Palgrave: A Dictionary of Economics'', v. 3, pp. 428–32. * M. E. Munroe, 1953. ''Introduction to Measure and Integration''. Addison Wesley. * * Shilov, G. E., and Gurevich, B. L., 1978. ''Integral, Measure, and Derivative: A Unified Approach'', Richard A. Silverman, trans. Dover Publications. . Emphasizes the Daniell integral. * * *

External links

*

Tutorial: Measure Theory for Dummies

{{Authority control

Definition

Let be a set and a -algebra over . A function from to the extended real number line is called a measure if it satisfies the following properties: *Non-negativity: For all in Σ, we have . *Null empty set: $\backslash mu(\backslash varnothing)=0$. *Countable additivity (or -additivity): For all countable collections $\backslash \_^\backslash infty$ of pairwise disjoint sets in Σ, :$\backslash mu\backslash left(\backslash bigsqcup\_^\backslash infty\; E\_k\backslash right)=\backslash sum\_^\backslash infty\; \backslash mu(E\_k).$ If at least one set $E$ has finite measure, then the requirement that $\backslash mu(\backslash varnothing)=0$ is met automatically. Indeed, by countable additivity, :$\backslash mu(E)=\backslash mu(E\; \backslash cup\; \backslash varnothing)\; =\; \backslash mu(E)\; +\; \backslash mu(\backslash varnothing),$ and therefore $\backslash mu(\backslash varnothing)=0.$ If only the second and third conditions of the definition of measure above are met, and takes on at most one of the values , then is called a signed measure. The pair is called a measurable space, the members of Σ are called measurable sets. If $\backslash left(X,\; \backslash Sigma\_X\backslash right)$ and $\backslash left(Y,\; \backslash Sigma\_Y\backslash right)$ are two measurable spaces, then a function $f\; :\; X\; \backslash to\; Y$ is called measurable if for every -measurable set $B\; \backslash in\; \backslash Sigma\_Y$, the inverse image is -measurable – i.e.: $f^(B)\; \backslash in\; \backslash Sigma\_X$. In this setup, the composition of measurable functions is measurable, making the measurable spaces and measurable functions a category, with the measurable spaces as objects and the set of measurable functions as arrows. See also Measurable function#Term usage variations about another setup. A triple is called a measure space. A probability measure is a measure with total measure one – i.e. . A probability space is a measure space with a probability measure. For measure spaces that are also topological spaces various compatibility conditions can be placed for the measure and the topology. Most measures met in practice in analysis (and in many cases also in probability theory) are Radon measures. Radon measures have an alternative definition in terms of linear functionals on the locally convex space of continuous functions with compact support. This approach is taken by Bourbaki (2004) and a number of other sources. For more details, see the article on Radon measures.

Instances

Some important measures are listed here. * The counting measure is defined by = number of elements in . * The Lebesgue measure on is a complete translation-invariant measure on a ''σ''-algebra containing the intervals in such that ; and every other measure with these properties extends Lebesgue measure. * Circular angle measure is invariant under rotation, and hyperbolic angle measure is invariant under squeeze mapping. * The Haar measure for a locally compact topological group is a generalization of the Lebesgue measure (and also of counting measure and circular angle measure) and has similar uniqueness properties. * The Hausdorff measure is a generalization of the Lebesgue measure to sets with non-integer dimension, in particular, fractal sets. * Every probability space gives rise to a measure which takes the value 1 on the whole space (and therefore takes all its values in the unit interval , 1. Such a measure is called a ''probability measure''. See probability axioms. * The Dirac measure δ

Basic properties

Let be a measure.

Monotonicity

If and are measurable sets with then :$\backslash mu(E\_1)\; \backslash leq\; \backslash mu(E\_2).$

Measure of countable unions and intersections

Subadditivity

For any countable sequence of (not necessarily disjoint) measurable sets in Σ: :$\backslash mu\backslash left(\; \backslash bigcup\_^\backslash infty\; E\_i\backslash right)\; \backslash le\; \backslash sum\_^\backslash infty\; \backslash mu(E\_i).$

Continuity from below

If are measurable sets and $E\_n\; \backslash subseteq\; E\_,$ for all , then the union of the sets is measurable, and :$\backslash mu\backslash left(\backslash bigcup\_^\backslash infty\; E\_i\backslash right)\; =\; \backslash lim\_\; \backslash mu(E\_i).$

Continuity from above

If are measurable sets and, for all , $E\_\; \backslash subseteq\; E\_n,$ then the intersection of the sets is measurable; furthermore, if at least one of the has finite measure, then :$\backslash mu\backslash left(\backslash bigcap\_^\backslash infty\; E\_i\backslash right)\; =\; \backslash lim\_\; \backslash mu(E\_i).$ This property is false without the assumption that at least one of the has finite measure. For instance, for each , let , which all have infinite Lebesgue measure, but the intersection is empty.

Other properties

Completeness

A measurable set is called a ''null set'' if . A subset of a null set is called a ''negligible set''. A negligible set need not be measurable, but every measurable negligible set is automatically a null set. A measure is called ''complete'' if every negligible set is measurable. A measure can be extended to a complete one by considering the σ-algebra of subsets which differ by a negligible set from a measurable set , that is, such that the symmetric difference of and is contained in a null set. One defines to equal .

Additivity

Measures are required to be countably additive. However, the condition can be strengthened as follows. For any set $I$ and any set of nonnegative $r\_i,i\backslash in\; I$ define: :$\backslash sum\_\; r\_i=\backslash sup\backslash left\backslash lbrace\backslash sum\_\; r\_i\; :\; |J|<\backslash aleph\_0,\; J\backslash subseteq\; I\backslash right\backslash rbrace.$ That is, we define the sum of the $r\_i$ to be the supremum of all the sums of finitely many of them. A measure $\backslash mu$ on $\backslash Sigma$ is $\backslash kappa$-additive if for any $\backslash lambda<\backslash kappa$ and any family of disjoint sets $X\_\backslash alpha,\backslash alpha<\backslash lambda$ the following hold: :$\backslash bigcup\_\; X\_\backslash alpha\; \backslash in\; \backslash Sigma$ :$\backslash mu\backslash left(\backslash bigcup\_\; X\_\backslash alpha\backslash right)=\backslash sum\_\backslash mu\backslash left(X\_\backslash alpha\backslash right).$ Note that the second condition is equivalent to the statement that the ideal of null sets is $\backslash kappa$-complete.

Sigma-finite measures

A measure space is called finite if is a finite real number (rather than ∞). Nonzero finite measures are analogous to probability measures in the sense that any finite measure is proportional to the probability measure $\backslash frac\backslash mu$. A measure is called ''σ-finite'' if can be decomposed into a countable union of measurable sets of finite measure. Analogously, a set in a measure space is said to have a ''σ-finite measure'' if it is a countable union of sets with finite measure. For example, the real numbers with the standard Lebesgue measure are σ-finite but not finite. Consider the closed intervals for all integers ; there are countably many such intervals, each has measure 1, and their union is the entire real line. Alternatively, consider the real numbers with the counting measure, which assigns to each finite set of reals the number of points in the set. This measure space is not σ-finite, because every set with finite measure contains only finitely many points, and it would take uncountably many such sets to cover the entire real line. The σ-finite measure spaces have some very convenient properties; σ-finiteness can be compared in this respect to the Lindelöf property of topological spaces. They can be also thought of as a vague generalization of the idea that a measure space may have 'uncountable measure'.

s-finite measures

A measure is said to be s-finite if it is a countable sum of bounded measures. S-finite measures are more general than sigma-finite ones and have applications in the theory of stochastic processes.

Non-measurable sets

If the axiom of choice is assumed to be true, it can be proved that not all subsets of Euclidean space are Lebesgue measurable; examples of such sets include the Vitali set, and the non-measurable sets postulated by the Hausdorff paradox and the Banach–Tarski paradox.

Generalizations

For certain purposes, it is useful to have a "measure" whose values are not restricted to the non-negative reals or infinity. For instance, a countably additive set function with values in the (signed) real numbers is called a ''signed measure'', while such a function with values in the complex numbers is called a ''complex measure''. Measures that take values in Banach spaces have been studied extensively.. A measure that takes values in the set of self-adjoint projections on a Hilbert space is called a ''projection-valued measure''; these are used in functional analysis for the spectral theorem. When it is necessary to distinguish the usual measures which take non-negative values from generalizations, the term positive measure is used. Positive measures are closed under conical combination but not general linear combination, while signed measures are the linear closure of positive measures. Another generalization is the ''finitely additive measure'', also known as a content. This is the same as a measure except that instead of requiring ''countable'' additivity we require only ''finite'' additivity. Historically, this definition was used first. It turns out that in general, finitely additive measures are connected with notions such as Banach limits, the dual of ''L''

See also

* Abelian von Neumann algebra * Almost everywhere * Carathéodory's extension theorem * Content (measure theory) * Fubini's theorem * Fatou's lemma * Fuzzy measure theory * Geometric measure theory * Hausdorff measure * Inner measure * Lebesgue integration * Lebesgue measure * Lorentz space * Lifting theory * Measurable cardinal * Measurable function * Minkowski content * Outer measure * Product measure * Pushforward measure * Regular measure * Vector measure * Valuation (measure theory) * Volume form

References

Bibliography

* Robert G. Bartle (1995) ''The Elements of Integration and Lebesgue Measure'', Wiley Interscience. * * * * Chapter III. * R. M. Dudley, 2002. ''Real Analysis and Probability''. Cambridge University Press. * Second edition. * Federer, Herbert. Geometric measure theory. Die Grundlehren der mathematischen Wissenschaften, Band 153 Springer-Verlag New York Inc., New York 1969 xiv+676 pp. * D. H. Fremlin, 2000.

Measure Theory

'. Torres Fremlin. * * R. Duncan Luce and Louis Narens (1987). "measurement, theory of," ''The New Palgrave: A Dictionary of Economics'', v. 3, pp. 428–32. * M. E. Munroe, 1953. ''Introduction to Measure and Integration''. Addison Wesley. * * Shilov, G. E., and Gurevich, B. L., 1978. ''Integral, Measure, and Derivative: A Unified Approach'', Richard A. Silverman, trans. Dover Publications. . Emphasizes the Daniell integral. * * *

External links

*

Tutorial: Measure Theory for Dummies

{{Authority control