PCMI lecture notes on random matrix theory

In July I will be spending a week at Park City, being one of the mini-course lecturers in the Graduate Summer School component of the Park City Summer Session on random matrices.  I have chosen to give some lectures on least singular values of random matrices, the circular law, and the Lindeberg exchange method in random matrix theory; this is a slightly different set of topics than I had initially advertised (which was instead about the Lindeberg exchange method and the local relaxation flow method), but after consulting with the other mini-course lecturers I felt that this would be a more complementary set of topics.  I have uploaded an draft of my lecture notes (some portion of which is derived from my monograph on the subject); as always, comments and corrections are welcome.

<I>[Update, June 23: notes revised and reformatted to PCMI format. -T.]</I>

 

 

Quantitative continuity estimates

Suppose is a continuous (but nonlinear) map from one normed vector space to another . The continuity means, roughly speaking, that if are such that is small, then is also small (though the precise notion of “smallness” may depend on or , particularly if is not known to be uniformly continuous). If is known to be differentiable (in, say, the Fréchet sense), then we in fact have a linear bound of the form

for some depending on , if is small enough; one can of course make independent of (and drop the smallness condition) if is known instead to be Lipschitz continuous.

In many applications in analysis, one would like more explicit and quantitative bounds that estimate quantities like in terms of quantities like . There are a number of ways to do this. First of all, there is of course the trivial estimate arising from the triangle inequality:

This estimate is usually not very good when and are close together. However, when and are far apart, this estimate can be more or less sharp. For instance, if the magnitude of varies so much from to that is more than (say) twice that of , or vice versa, then (1) is sharp up to a multiplicative constant. Also, if is oscillatory in nature, and the distance between and exceeds the “wavelength” of the oscillation of at (or at ), then one also typically expects (1) to be close to sharp. Conversely, if does not vary much in magnitude from to , and the distance between and is less than the wavelength of any oscillation present in , one expects to be able to improve upon (1).

When is relatively simple in form, one can sometimes proceed simply by substituting . For instance, if is the squaring function in a commutative ring , one has

and thus

or in terms of the original variables one has

If the ring is not commutative, one has to modify this to

Thus, for instance, if are matrices and denotes the operator norm, one sees from the triangle inequality and the sub-multiplicativity of operator norm that

If involves (or various components of ) in several places, one can sometimes get a good estimate by “swapping” with at each of the places in turn, using a telescoping series. For instance, if we again use the squaring function in a non-commutative ring, we have

which for instance leads to a slight improvement of (2):

More generally, for any natural number , one has the identity

in a commutative ring, while in a non-commutative ring one must modify this to

and for matrices one has

Exercise 1 If and are unitary matrices, show that the commutator obeys the inequality

(Hint: first control .)

Now suppose (for simplicity) that is a map between Euclidean spaces. If is continuously differentiable, then one can use the fundamental theorem of calculus to write

where is any continuously differentiable path from to . For instance, if one uses the straight line path , one has

In the one-dimensional case , this simplifies to

Among other things, this immediately implies the factor theorem for functions: if is a function for some that vanishes at some point , then factors as the product of and some function . Another basic consequence is that if is uniformly bounded in magnitude by some constant , then is Lipschitz continuous with the same constant .

Applying (4) to the power function , we obtain the identity

which can be compared with (3). Indeed, for and close to , one can use logarithms and Taylor expansion to arrive at the approximation , so (3) behaves a little like a Riemann sum approximation to (5).

Exercise 2 For each , let and be random variables taking values in a measurable space , and let be a bounded measurable function.

• (i) (Lindeberg exchange identity) Show that

  

  

  

• (ii) (Knowles-Yin exchange identity) Show that

  

  

  

  where is a mixture of and , with uniformly drawn from independently of each other and of the .

• (iii) Discuss the relationship between the identities in parts (i), (ii) with the identities (3), (5).

(The identity in (i) is the starting point for the Lindeberg exchange method in probability theory, discussed for instance in this previous post. The identity in (ii) can also be used in the Lindeberg exchange method; the terms in the right-hand side are slightly more symmetric in the indices , which can be a technical advantage in some applications; see this paper of Knowles and Yin for an instance of this.)

Exercise 3 If is continuously times differentiable, establish Taylor’s theorem with remainder

If is bounded, conclude that

For real scalar functions , the average value of the continuous real-valued function must be attained at some point in the interval . We thus conclude the mean-value theorem

for some (that can depend on , , and ). This can for instance give a second proof of fact that continuously differentiable functions with bounded derivative are Lipschitz continuous. However it is worth stressing that the mean-value theorem is only available for real scalar functions; it is false for instance for complex scalar functions. A basic counterexample is given by the function ; there is no for which . On the other hand, as has magnitude , we still know from (4) that is Lipschitz of constant , and when combined with (1) we obtain the basic bounds

which are already very useful for many applications.

Exercise 4 Let be matrices, and let be a non-negative real.

• (i) Establish the Duhamel formula

  

  

  where denotes the matrix exponential of . (Hint: Differentiate or in .)

• (ii) Establish the iterated Duhamel formula

  

  

  

  

  for any .

• (iii) Establish the infinitely iterated Duhamel formula

  

  

• (iv) If is an matrix depending in a continuously differentiable fashion on , establish the variation formula

  

  where is the adjoint representation applied to , and is the function

  

  (thus for non-zero ), with defined using functional calculus.

We remark that further manipulation of (iv) of the above exercise using the fundamental theorem of calculus eventually leads to the Baker-Campbell-Hausdorff-Dynkin formula, as discussed in this previous blog post.

Exercise 5 Let be positive definite matrices, and let be an matrix. Show that there is a unique solution to the Sylvester equation

which is given by the formula

In the above examples we had applied the fundamental theorem of calculus along linear curves . However, it is sometimes better to use other curves. For instance, the circular arc can be useful, particularly if and are “orthogonal” or “independent” in some sense; a good example of this is the proof by Maurey and Pisier of the gaussian concentration inequality, given in Theorem 8 of this previous blog post. In a similar vein, if one wishes to compare a scalar random variable of mean zero and variance one with a Gaussian random variable of mean zero and variance one, it can be useful to introduce the intermediate random variables (where and are independent); note that these variables have mean zero and variance one, and after coupling them together appropriately they evolve by the Ornstein-Uhlenbeck process, which has many useful properties. For instance, one can use these ideas to establish monotonicity formulae for entropy; see e.g. this paper of Courtade for an example of this and further references. More generally, one can exploit curves that flow according to some geometrically natural ODE or PDE; several examples of this occur famously in Perelman’s proof of the Poincaré conjecture via Ricci flow, discussed for instance in this previous set of lecture notes.

In some cases, it is difficult to compute or the derivative directly, but one can instead proceed by implicit differentiation, or some variant thereof. Consider for instance the matrix inversion map (defined on the open dense subset of matrices consisting of invertible matrices). If one wants to compute for close to , one can write temporarily write , thus

Multiplying both sides on the left by to eliminate the term, and on the right by to eliminate the term, one obtains

and thus on reversing these steps we arrive at the basic identity

For instance, if are matrices, and we consider the resolvents

then we have the resolvent identity

as long as does not lie in the spectrum of or (for instance, if , are self-adjoint then one can take to be any strictly complex number). One can iterate this identity to obtain

for any natural number ; in particular, if has operator norm less than one, one has the Neumann series

Similarly, if is a family of invertible matrices that depends in a continuously differentiable fashion on a time variable , then by implicitly differentiating the identity

in using the product rule, we obtain

and hence

(this identity may also be easily derived from (6)). One can then use the fundamental theorem of calculus to obtain variants of (6), for instance by using the curve we arrive at

assuming that the curve stays entirely within the set of invertible matrices. While this identity may seem more complicated than (6), it is more symmetric, which conveys some advantages. For instance, using this identity it is easy to see that if are positive definite with in the sense of positive definite matrices (that is, is positive definite), then . (Try to prove this using (6) instead!)

Exercise 6 If is an invertible matrix and are vectors, establish the Sherman-Morrison formula

whenever is a scalar such that is non-zero. (See also this previous blog post for more discussion of these sorts of identities.)

One can use the Cauchy integral formula to extend these identities to other functions of matrices. For instance, if is an entire function, and is a counterclockwise contour that goes around the spectrum of both and , then we have

and similarly

and hence by (7) one has

similarly, if depends on in a continuously differentiable fashion, then

as long as goes around the spectrum of .

Exercise 7 If is an matrix depending continuously differentiably on , and is an entire function, establish the tracial chain rule

In a similar vein, given that the logarithm function is the antiderivative of the reciprocal, one can express the matrix logarithm of a positive definite matrix by the fundamental theorem of calculus identity

(with the constant term needed to prevent a logarithmic divergence in the integral). Differentiating, we see that if is a family of positive definite matrices depending continuously on , that

This can be used for instance to show that is a monotone increasing function, in the sense that whenever in the sense of positive definite matrices. One can of course integrate this formula to obtain some formulae for the difference of the logarithm of two positive definite matrices .

To compare the square root of two positive definite matrices is trickier; there are multiple ways to proceed. One approach is to use contour integration as before (but one has to take some care to avoid branch cuts of the square root). Another to express the square root in terms of exponentials via the formula

where is the gamma function; this formula can be verified by first diagonalising to reduce to the scalar case and using the definition of the Gamma function. Then one has

and one can use some of the previous identities to control . This is pretty messy though. A third way to proceed is via implicit differentiation. If for instance is a family of positive definite matrices depending continuously differentiably on , we can differentiate the identity

to obtain

This can for instance be solved using Exercise 5 to obtain

and this can in turn be integrated to obtain a formula for . This is again a rather messy formula, but it does at least demonstrate that the square root is a monotone increasing function on positive definite matrices: implies .

Several of the above identities for matrices can be (carefully) extended to operators on Hilbert spaces provided that they are sufficiently well behaved (in particular, if they have a good functional calculus, and if various spectral hypotheses are obeyed). We will not attempt to do so here, however.

Generalisations of the limit functional

Suppose one has a bounded sequence of real numbers. What kinds of limits can one form from this sequence?

Of course, we have the usual notion of limit , which in this post I will refer to as the classical limit to distinguish from the other limits discussed in this post. The classical limit, if it exists, is the unique real number such that for every , one has for all sufficiently large . We say that a sequence is (classically) convergent if its classical limit exists. The classical limit obeys many useful limit laws when applied to classically convergent sequences. Firstly, it is linear: if and are classically convergent sequences, then is also classically convergent with

and similarly for any scalar , is classically convergent with

It is also an algebra homomorphism: is also classically convergent with

We also have shift invariance: if is classically convergent, then so is with

and more generally in fact for any injection , is classically convergent with

The classical limit of a sequence is unchanged if one modifies any finite number of elements of the sequence. Finally, we have boundedness: for any classically convergent sequence , one has

One can in fact show without much difficulty that these laws uniquely determine the classical limit functional on convergent sequences.

One would like to extend the classical limit notion to more general bounded sequences; however, when doing so one must give up one or more of the desirable limit laws that were listed above. Consider for instance the sequence . On the one hand, one has for all , so if one wishes to retain the homomorphism property (3), any “limit” of this sequence would have to necessarily square to , that is to say it must equal or . On the other hand, if one wished to retain the shift invariance property (4) as well as the homogeneity property (2), any “limit” of this sequence would have to equal its own negation and thus be zero.

Nevertheless there are a number of useful generalisations and variants of the classical limit concept for non-convergent sequences that obey a significant portion of the above limit laws. For instance, we have the limit superior

and limit inferior

which are well-defined real numbers for any bounded sequence ; they agree with the classical limit when the sequence is convergent, but disagree otherwise. They enjoy the shift-invariance property (4), and the boundedness property (6), but do not in general obey the homomorphism property (3) or the linearity property (1); indeed, we only have the subadditivity property

for the limit superior, and the superadditivity property

for the limit inferior. The homogeneity property (2) is only obeyed by the limits superior and inferior for non-negative ; for negative , one must have the limit inferior on one side of (2) and the limit superior on the other, thus for instance

The limit superior and limit inferior are examples of limit points of the sequence, which can for instance be defined as points that are limits of at least one subsequence of the original sequence. Indeed, the limit superior is always the largest limit point of the sequence, and the limit inferior is always the smallest limit point. However, limit points can be highly non-unique (indeed they are unique if and only if the sequence is classically convergent), and so it is difficult to sensibly interpret most of the usual limit laws in this setting, with the exception of the homogeneity property (2) and the boundedness property (6) that are easy to state for limit points.

Another notion of limit are the Césaro limits

if this limit exists, we say that the sequence is Césaro convergent. If the sequence already has a classical limit, then it also has a Césaro limit that agrees with the classical limit; but there are additional sequences that have a Césaro limit but not a classical one. For instance, the non-classically convergent sequence discussed above is Césaro convergent, with a Césaro limit of . However, there are still bounded sequences that do not have Césaro limit, such as (exercise!). The Césaro limit is linear, bounded, and shift invariant, but not an algebra homomorphism and also does not obey the rearrangement property (5).

Using the Hahn-Banach theorem, one can extend the classical limit functional to generalised limit functionals , defined to be bounded linear functionals from the space of bounded real sequences to the real numbers that extend the classical limit functional (defined on the space of convergent sequences) without any increase in the operator norm. (In some of my past writings I made the slight error of referring to these generalised limit functionals as Banach limits, though as discussed below, the latter actually refers to a subclass of generalised limit functionals.) It is not difficult to see that such generalised limit functionals will range between the limit inferior and limit superior. In fact, for any specific sequence and any number lying in the closed interval , there exists at least one generalised limit functional that takes the value when applied to ; for instance, for any number in , there exists a generalised limit functional that assigns that number as the “limit” of the sequence . This claim can be seen by first designing such a limit functional on the vector space spanned by the convergent sequences and by , and then appealing to the Hahn-Banach theorem to extend to all sequences. This observation also gives a necessary and sufficient criterion for a bounded sequence to classically converge to a limit , namely that all generalised limits of this sequence must equal .

Because of the reliance on the Hahn-Banach theorem, the existence of generalised limits requires the axiom of choice (or some weakened version thereof); there are presumably models of set theory without the axiom of choice in which no generalised limits exist, but I do not know of an explicit reference for this.

Generalised limits can obey the shift-invariance property (4) or the algebra homomorphism property (2), but as the above analysis of the sequence shows, they cannot do both. Generalised limits that obey the shift-invariance property (4) are known as Banach limits; one can for instance construct them by applying the Hahn-Banach theorem to the Césaro limit functional; alternatively, if is any generalised limit, then the Césaro-type functional will be a Banach limit. The existence of Banach limits can be viewed as a demonstration of the amenability of the natural numbers (or integers); see this previous blog post for further discussion.

Generalised limits that obey the algebra homomorphism property (2) are known as ultrafilter limits. If one is given a generalised limit functional that obeys (2), then for any subset of the natural numbers , the generalised limit must equal its own square (since ) and is thus either or . If one defines to be the collection of all subsets of for which , one can verify that obeys the axioms of a non-principal ultrafilter. Conversely, if is a non-principal ultrafilter, one can define the associated generalised limit of any bounded sequence to be the unique real number such that the sets lie in for all ; one can check that this does indeed give a well-defined generalised limit that obeys (2). Non-principal ultrafilters can be constructed using Zorn’s lemma. In fact, they do not quite need the full strength of the axiom of choice; see the Wikipedia article on the ultrafilter lemma for examples.

We have previously noted that generalised limits of a sequence can converge to any point between the limit inferior and limit superior. The same is not true if one restricts to Banach limits or ultrafilter limits. For instance, by the arguments already given, the only possible Banach limit for the sequence is zero. Meanwhile, an ultrafilter limit must converge to a limit point of the original sequence, but conversely every limit point can be attained by at least one ultrafilter limit; we leave these assertions as an exercise to the interested reader. In particular, a bounded sequence converges classically to a limit if and only if all ultrafilter limits converge to .

There is no generalisation of the classical limit functional to any space that includes non-classically convergent sequences that obeys the subsequence property (5), since any non-classically-convergent sequence will have one subsequence that converges to the limit superior, and another subsequence that converges to the limit inferior, and one of these will have to violate (5) since the limit superior and limit inferior are distinct. So the above limit notions come close to the best generalisations of limit that one can use in practice.

We summarise the above discussion in the following table:

Limit	Always defined	Linear	Shift-invariant	Homomorphism	Constructive
Classical	No	Yes	Yes	Yes	Yes
Superior	Yes	No	Yes	No	Yes
Inferior	Yes	No	Yes	No	Yes
Césaro	No	Yes	Yes	No	Yes
Generalised	Yes	Yes	Depends	Depends	No
Banach	Yes	Yes	Yes	No	No
Ultrafilter	Yes	Yes	No	Yes	No

New bounds for Szemerédi’s theorem, III: A polylogarithmic bound for r_4(N)

Ben Green and I have (finally!) uploaded to the arXiv our paper “New bounds for Szemerédi’s theorem, III: A polylogarithmic bound for “, submitted to Mathematika. This is the sequel to two previous papers (and an erratum to the former paper), concerning quantitative versions of Szemerédi’s theorem in the case of length four progressions. This sequel has been delayed for over a decade for a number of reasons, but we have finally managed to write the arguments up to our satisfaction and submit it (to a special issue of Mathematika honouring the work of Klaus Roth).

For any natural number , define to be the largest cardinality of a subset of which does not contain any non-trivial arithmetic progressions of length four (where “non-trivial” means that is non-zero). Trivially we have . In 1969, Szemerédi showed that . However, the decay rate that could be theoretically extracted from this argument (and from several subsequent proofs of this bound, including one by Roth) were quite poor. The first significant quantitative bound on this quantity was by Gowers, who showed that for some absolute constant . In the second paper in the above-mentioned series, we managed to improve this bound to . In this paper, we improve the bound further to , which seems to be the limit of the methods. (We remark that if we could take to be larger than one, this would imply the length four case of a well known conjecture of Erdös that any set of natural numbers whose sum of reciprocals diverges would contain arbitrarily long arithmetic progressions. Thanks to the work of Sanders and of Bloom, the corresponding case of the conjecture for length three conjectures is nearly settled, as it is known that for the analogous bound on one can take any less than one.)

Most of the previous work on bounding relied in some form or another on the density increment argument introduced by Roth back in 1953; roughly speaking, the idea is to show that if a dense subset of fails to contain arithmetic progressions of length four, one seeks to then locate a long subprogression of in which has increased density. This was the basic method for instance underlying our previous bound , as well as a finite field analogue of the bound ; however we encountered significant technical difficulties for several years in extending this argument to obtain the result of the current paper. Our method is instead based on “energy increment arguments”, and more specifically on establishing quantitative version of a Khintchine-type recurrence theorem, similar to the qualitative recurrence theorems established (in the ergodic theory context) by Bergelson-Host-Kra, and (in the current combinatorial context) by Ben Green and myself.

One way to phrase the latter recurrence theorem is as follows. Suppose that has density . Then one would expect a “randomly” selected arithmetic progression in (using the convention that random variables will be in boldface) to be contained in with probability about . This is not true in general, however it was shown by Ben and myself that for any , there was a set of shifts of cardinality , such that for any such one had

if was chosen uniformly at random from . This easily implies that , but does not give a particularly good bound on the decay rate, because the implied constant in the cardinality lower bound is quite poor (in fact of tower-exponential type, due to the use of regularity lemmas!), and so one has to take to be extremely large compared to to avoid the possibility that the set of shifts in the above theorem consists only of the trivial shift .

We do not know how to improve the lower bound on the set of shifts to the point where it can give bounds that are competitive with those in this paper. However, we can obtain better quantitative results if we permit ourselves to couple together the two parameters and of the length four progression. Namely, with , , as above, we are able to show that there exist random variables , not necessarily independent, such that

and such that we have the non-degeneracy bound

This then easily implies the main theorem.

The energy increment method is then deployed to locate a good pair of random variables that will obey the above bounds. One can get some intuition on how to proceed here by considering some model cases. Firstly one can consider a “globally quadratically structured” case in which the indicator function “behaves like” a globally quadratic function such as , for some irrational and some smooth periodic function of mean . If one then takes to be uniformly distributed in and respectively for some small , with no coupling between the two variables, then the left-hand side of (1) is approximately of the form

where the integral is with respect to the probability Haar measure, and the constraint ultimately arises from the algebraic constraint

However, an application of the Cauchy-Schwarz inequality and Fubini’s theorem shows that the integral in (2) is at least , which (morally at least) gives (1) in this case.

Due to the nature of the energy increment argument, it also becomes necessary to consider “locally quadratically structured” cases, in which is partitioned into some number of structured pieces (think of these as arithmetic progressions, or as “Bohr sets), and on each piece , behaves like a locally quadratic function such as , where now varies with , and the mean of will be approximately on the average after averaging in (weighted by the size of the pieces ). Now one should select and in the following coupled manner: first one chooses uniformly from , then one defines to be the label such that , and then selects uniformly from a set which is related to in much the same way that is related to . If one does this correctly, the analogue of (2) becomes

and one can again use Cauchy-Schwarz and Fubini’s theorem to conclude.

The general case proceeds, very roughly, by an iterative argument. At each stage of the iteration, one has some sort of quadratic model of which involves a decomposition of into structured pieces , and a quadratic approximation to on each piece. If this approximation is accurate enough (or more precisely, if a certain (averaged) local Gowers uniformity norm of the error is small enough) to model the count in (1) (for random variables determined by the above partition of into pieces ), and if the frequencies (such as ) involved in the quadratic approximation are “high rank” or “linearly independent over the rationals” in a suitably quantitative sense, then some version of the above arguments can be made to work. If there are some unwanted linear dependencies in the frequencies, we can do some linear algebra to eliminate one of the frequencies (using some geometry of numbers to keep the quantitative bounds under control) and continue the iteration. If instead the approximation is too inaccurate, then the error will be large in a certain averaged local Gowers uniformity norm . A significant fraction of the paper is then devoted to establishing a quantitative inverse theorem for that norm that concludes (with good bounds) that the error must then locally correlate with locally quadratic phases, which can be used to refine the quadratic approximation to in a manner that significantly increases its “energy” (basically an norm). Such energy increments cannot continue indefinitely, and when they terminate we obtain the desired claim.

There are existing inverse theorems for type norms in the literature, going back to the pioneering work of Gowers mentioned previously, and relying on arithmetic combinatorics tools such as Freiman’s theorem and the Balog-Szemerédi-Gowers lemma, which are good for analysing the “-structured homomorphisms” that arise in Gowers’ argument. However, when we applied these methods to the local Gowers norms we obtained inferior quantitative results that were not strong enough for our application. Instead, we use arguments from a different paper of Gowers in which he tackled Szemerédi’s theorem for arbitrary length progressions. This method produces “-structured homomorphisms” associated to any function with large Gowers uniformity norm; however the catch is that such homomorphisms are initially supported only on a sparse unstructured set, rather than a structured set such as a Bohr set. To proceed further, one first has to locate inside the sparse unstructured set a sparse pseudorandom subset of a Bohr set, and then use “error-correction” type methods (such as “majority-vote” based algorithms) to locally upgrade this -structured homomorphism on pseudorandom subsets of Bohr sets to a -structured homomorphism on the entirety of a Bohr set. It is then possible to use some “approximate cohomology” tools to “integrate” these homomorphisms (and discern a key “local symmetry” property of these homomorphisms) to locate the desired local quadratic structure (in much the same fashion that a -form on that varies linearly with the coordinates can be integrated to be the derivative of a quadratic function if we know that the -form is closed). These portions of the paper are unfortunately rather technical, but broadly follow the methods already used in previous literature.

Notes on nilcharacters and their symbols

A sequence of complex numbers is said to be quasiperiodic if it is of the form

for some real numbers and continuous function . For instance, linear phases such as (where ) are examples of quasiperiodic sequences; the top order coefficient (modulo ) can be viewed as a “frequency” of the integers, and an element of the Pontryagin dual of the integers. Any periodic sequence is also quasiperiodic (taking and to be the reciprocal of the period). A sequence is said to be almost periodic if it is the uniform limit of quasiperiodic sequences. For instance any Fourier series of the form

with real numbers and an absolutely summable sequence of complex coefficients, will be almost periodic.

These sequences arise in various “complexity one” problems in arithmetic combinatorics and ergodic theory. For instance, if is a measure-preserving system – a probability space equipped with a measure-preserving shift, and are bounded measurable functions, then the correlation sequence

can be shown to be an almost periodic sequence, plus an error term which is “null” in the sense that it has vanishing uniform density:

This can be established in a number of ways, for instance by writing as the Fourier coefficients of the spectral measure of the shift with respect to the functions , and then decomposing that measure into pure point and continuous components.

In the last two decades or so, it has become clear that there are natural higher order versions of these concepts, in which linear polynomials such as are replaced with higher degree counterparts. The most obvious candidates for these counterparts would be the polynomials , but this turns out to not be a complete set of higher degree objects needed for the theory. Instead, the higher order versions of quasiperiodic and almost periodic sequences are now known as basic nilsequences and nilsequences respectively, while the higher order version of a linear phase is a nilcharacter; each nilcharacter then has a symbol that is a higher order generalisation of the concept of a frequency (and the collection of all symbols forms a group that can be viewed as a higher order version of the Pontryagin dual of ). The theory of these objects is spread out in the literature across a number of papers; in particular, the theory of nilcharacters is mostly developed in Appendix E of this 116-page paper of Ben Green, Tamar Ziegler, and myself, and is furthermore written using nonstandard analysis and treating the more general setting of higher dimensional sequences. I therefore decided to rewrite some of that material in this blog post, in the simpler context of the qualitative asymptotic theory of one-dimensional nilsequences and nilcharacters rather than the quantitative single-scale theory that is needed for combinatorial applications (and which necessitated the use of nonstandard analysis in the previous paper).

For technical reasons (having to do with the non-trivial topological structure on nilmanifolds), it will be convenient to work with vector-valued sequences, that take values in a finite-dimensional complex vector space rather than in . By doing so, the space of sequences is now, technically, no longer a ring, as the operations of addition and multiplication on vector-valued sequences become ill-defined. However, we can still take complex conjugates of a sequence, and add sequences taking values in the same vector space , and for sequences taking values in different vector spaces , , we may utilise the tensor product , which we will normalise by defining

This product is associative and bilinear, and also commutative up to permutation of the indices. It also interacts well with the Hermitian norm

since we have .

The traditional definition of a basic nilsequence (as defined for instance by Bergelson, Host, and Kra) is as follows:

Definition 1 (Basic nilsequence, first definition) A nilmanifold of step at most is a quotient , where is a connected, simply connected nilpotent Lie group of step at most (thus, all -fold commutators vanish) and is a discrete cocompact lattice in . A basic nilsequence of degree at most is a sequence of the form , where , , and is a continuous function.

For instance, it is not difficult using this definition to show that a sequence is a basic nilsequence of degree at most if and only if it is quasiperiodic. The requirement that be simply connected can be easily removed if desired by passing to a universal cover, but it is technically convenient to assume it (among other things, it allows for a well-defined logarithm map that obeys the Baker-Campbell-Hausdorff formula). When one wishes to perform a more quantitative analysis of nilsequences (particularly when working on a “single scale”. sich as on a single long interval ), it is common to impose additional regularity conditions on the function , such as Lipschitz continuity or smoothness, but ordinary continuity will suffice for the qualitative discussion in this blog post.

Nowadays, and particularly when one needs to understand the “single-scale” equidistribution properties of nilsequences, it is more convenient (as is for instance done in this ICM paper of Green) to use an alternate definition of a nilsequence as follows.

Definition 2 Let . A filtered group of degree at most is a group together with a sequence of subgroups with and for . A polynomial sequence into a filtered group is a function such that for all and , where is the difference operator. A filtered nilmanifold of degree at most is a quotient , where is a filtered group of degree at most such that and all of the subgroups are connected, simply connected nilpotent filtered Lie group, and is a discrete cocompact subgroup of such that is a discrete cocompact subgroup of . A basic nilsequence of degree at most is a sequence of the form , where is a polynomial sequence, is a filtered nilmanifold of degree at most , and is a continuous function which is -automorphic, in the sense that for all and .

One can easily identify a -automorphic function on with a function on , but there are some (very minor) advantages to working on the group instead of the quotient , as it becomes slightly easier to modify the automorphy group when needed. (But because the action of on is free, one can pass from -automorphic functions on to functions on with very little difficulty.) The main reason to work with polynomial sequences rather than geometric progressions is that they form a group, a fact essentially established by by Lazard and Leibman; see Corollary B.4 of this paper of Green, Ziegler, and myself for a proof in the filtered group setting.

It is easy to see that any sequence that is a basic nilsequence of degree at most in the sense of the first definition, is also a basic nilsequence of degree at most in the second definition, since a nilmanifold of degree at most can be filtered using the lower central series, and any linear sequence will be a polynomial sequence with respect to that filtration. The converse implication is a little trickier, but still not too hard to show: see Appendix C of this paper of Ben Green, Tamar Ziegler, and myself. There are two key examples of basic nilsequences to keep in mind. The first are the polynomially quasiperiodic sequences

where are polynomials of degree at most , and is a -automorphic (i.e., -periodic) continuous function. The map defined by is a polynomial map of degree at most , if one filters by defining to equal when , and for . The torus then becomes a filtered nilmanifold of degree at most , and is thus a basic nilsequence of degree at most as per the second definition. It is also possible explicitly describe as a basic nilsequence of degree at most as per the first definition, for instance (in the case) by taking to be the space of upper triangular unipotent real matrices, and the subgroup with integer coefficients; we leave the details to the interested reader.

The other key example is a sequence of the form

where are real numbers, denotes the fractional part of , and and is a -automorphic continuous function that vanishes in a neighbourhood of . To describe this as a nilsequence, we use the nilpotent connected, simply connected degree , Heisenberg group

with the lower central series filtration , , and for , to be the discrete compact subgroup

to be the polynomial sequence

and to be the -automorphic function

one easily verifies that this function is indeed -automorphic, and it is continuous thanks to the vanishing properties of . Also we have , so is a basic nilsequence of degree at most . One can concoct similar examples with replaced by other “bracket polynomials” of ; for instance

will be a basic nilsequence if now vanishes in a neighbourhood of rather than . See this paper of Bergelson and Leibman for more discussion of bracket polynomials (also known as generalised polynomials) and their relationship to nilsequences.

A nilsequence of degree at most is defined to be a sequence that is the uniform limit of basic nilsequences of degree at most . Thus for instance a sequence is a nilsequence of degree at most if and only if it is almost periodic, while a sequence is a nilsequence of degree at most if and only if it is constant. Such objects arise in higher order recurrence: for instance, if are integers, is a measure-preserving system, and , then it was shown by Leibman that the sequence

is equal to a nilsequence of degree at most , plus a null sequence. (The special case when the measure-preserving system was ergodic and for was previously established by Bergelson, Host, and Kra.) Nilsequences also arise in the inverse theory of the Gowers uniformity norms, as discussed for instance in this previous post.

It is easy to see that a sequence is a basic nilsequence of degree at most if and only if each of its components are. The scalar basic nilsequences of degree are easily seen to form a -algebra (that is to say, they are a complex vector space closed under pointwise multiplication and complex conjugation), which implies similarly that vector-valued basic nilsequences of degree at most form a complex vector space closed under complex conjugation for each , and that the tensor product of any two basic nilsequences of degree at most is another basic nilsequence of degree at most . Similarly with “basic nilsequence” replaced by “nilsequence” throughout.

Now we turn to the notion of a nilcharacter, as defined in this paper of Ben Green, Tamar Ziegler, and myself:

Definition 3 (Nilcharacters) Let . A sub-nilcharacter of degree is a basic nilsequence of degree at most , such that obeys the additional modulation property

for all and , where is a continuous homomorphism . (Note from (1) and -automorphy that unless vanishes identically, must map to , thus without loss of generality one can view as an element of the Pontryagial dual of the torus .) If in addition one has for all , we call a nilcharacter of degree .

In the degree one case , the only sub-nilcharacters are of the form for some vector and , and this is a nilcharacter if is a unit vector. Similarly, in higher degree, any sequence of the form , where is a vector and is a polynomial of degree at most , is a sub-nilcharacter of degree , and a character if is a unit vector. A nilsequence of degree at most is automatically a sub-nilcharacter of degree , and a nilcharacter if it is of magnitude . A further example of a nilcharacter is provided by the two-dimensional sequence defined by

where are continuous, -automorphic functions that vanish on a neighbourhood of and respectively, and which form a partition of unity in the sense that

for all . Note that one needs both and to be not identically zero in order for all these conditions to be satisfied; it turns out (for topological reasons) that there is no scalar nilcharacter that is “equivalent” to this nilcharacter in a sense to be defined shortly. In some literature, one works exclusively with sub-nilcharacters rather than nilcharacters, however the former space contains zero-divisors, which is a little annoying technically. Nevertheless, both nilcharacters and sub-nilcharacters generate the same set of “symbols” as we shall see later.

We claim that every degree sub-nilcharacter can be expressed in the form , where is a degree nilcharacter, and is a linear transformation. Indeed, by scaling we may assume where uniformly. Using partitions of unity, one can find further functions also obeying (1) for the same character such that is non-zero; by dividing out the by the square root of this quantity, and then multiplying by , we may assume that

and then

becomes a degree nilcharacter that contains amongst its components, giving the claim.

As we shall show below, nilsequences can be approximated uniformly by linear combinations of nilcharacters, in much the same way that quasiperiodic or almost periodic sequences can be approximated uniformly by linear combinations of linear phases. In particular, nilcharacters can be used as “obstructions to uniformity” in the sense of the inverse theory of the Gowers uniformity norms.

The space of degree nilcharacters forms a semigroup under tensor product, with the constant sequence as the identity. One can upgrade this semigroup to an abelian group by quotienting nilcharacters out by equivalence:

Definition 4 Let . We say that two degree nilcharacters , are equivalent if is equal (as a sequence) to a basic nilsequence of degree at most . (We will later show that this is indeed an equivalence relation.) The equivalence class of such a nilcharacter will be called the symbol of that nilcharacter (in analogy to the symbol of a differential or pseudodifferential operator), and the collection of such symbols will be denoted .

As we shall see below the fold, has the structure of an abelian group, and enjoys some nice “symbol calculus” properties; also, one can view symbols as precisely describing the obstruction to equidistribution for nilsequences. For , the group is isomorphic to the Ponytragin dual of the integers, and for should be viewed as higher order generalisations of this Pontryagin dual. In principle, this group can be explicitly described for all , but the theory rapidly gets complicated as increases (much as the classification of nilpotent Lie groups or Lie algebras of step rapidly gets complicated even for medium-sized such as or ). We will give an explicit description of the case here. There is however one nice (and non-trivial) feature of for – it is not just an abelian group, but is in fact a vector space over the rationals !

Counting objects up to isomorphism: groupoid cardinality

How many groups of order four are there? Technically, there are an enormous number, so much so, in fact, that the class of groups of order four is not even a set, but merely a proper class. This is because any four objects can be turned into a group by designating one of the four objects, say , to be the group identity, and imposing a suitable multiplication table (and inversion law) on the four elements in a manner that obeys the usual group axioms. Since all sets are themselves objects, the class of four-element groups is thus at least as large as the class of all sets, which by Russell’s paradox is known not to itself be a set (assuming the usual ZFC axioms of set theory).

A much better question is to ask how many groups of order four there are up to isomorphism, counting each isomorphism class of groups exactly once. Now, as one learns in undergraduate group theory classes, the answer is just “two”: the cyclic group and the Klein four-group .

More generally, given a class of objects and some equivalence relation on (which one should interpret as describing the property of two objects in being “isomorphic”), one can consider the number of objects in “up to isomorphism”, which is simply the cardinality of the collection of equivalence classes of . In the case where is finite, one can express this cardinality by the formula

thus one counts elements in , weighted by the reciprocal of the number of objects they are isomorphic to.

Example 1 Let be the five-element set of integers between and . Let us say that two elements of are isomorphic if they have the same magnitude: . Then the quotient space consists of just three equivalence classes: , , and . Thus there are three objects in up to isomorphism, and the identity (1) is then just

Thus, to count elements in up to equivalence, the elements are given a weight of because they are each isomorphic to two elements in , while the element is given a weight of because it is isomorphic to just one element in (namely, itself).

Given a finite probability set , there is also a natural probability distribution on , namely the uniform distribution, according to which a random variable is set equal to any given element of with probability :

Given a notion of isomorphism on , one can then define the random equivalence class that the random element belongs to. But if the isomorphism classes are unequal in size, we now encounter a biasing effect: even if was drawn uniformly from , the equivalence class need not be uniformly distributed in . For instance, in the above example, if was drawn uniformly from , then the equivalence class will not be uniformly distributed in the three-element space , because it has a probability of being equal to the class or to the class , and only a probability of being equal to the class .

However, it is possible to remove this bias by changing the weighting in (1), and thus changing the notion of what cardinality means. To do this, we generalise the previous situation. Instead of considering sets with an equivalence relation to capture the notion of isomorphism, we instead consider groupoids, which are sets in which there are allowed to be multiple isomorphisms between elements in (and in particular, there are allowed to be multiple automorphisms from an element to itself). More precisely:

Definition 2 A groupoid is a set (or proper class) , together with a (possibly empty) collection of “isomorphisms” between any pair of elements of , and a composition map from isomorphisms , to isomorphisms in for every , obeying the following group-like axioms:

• (Identity) For every , there is an identity isomorphism , such that for all and .
• (Associativity) If , , and for some , then .
• (Inverse) If for some , then there exists an inverse isomorphism such that and .

We say that two elements of a groupoid are isomorphic, and write , if there is at least one isomorphism from to .

Example 3 Any category gives a groupoid by taking to be the set (or class) of objects, and to be the collection of invertible morphisms from to . For instance, in the category of sets, would be the collection of bijections from to ; in the category of linear vector spaces over some given base field , would be the collection of invertible linear transformations from to ; and so forth.

Every set equipped with an equivalence relation can be turned into a groupoid by assigning precisely one isomorphism from to for any pair with , and no isomorphisms from to when , with the groupoid operations of identity, composition, and inverse defined in the only way possible consistent with the axioms. We will call this the simply connected groupoid associated with this equivalence relation. For instance, with as above, if we turn into a simply connected groupoid, there will be precisely one isomorphism from to , and also precisely one isomorphism from to , but no isomorphisms from to , , or .

However, one can also form multiply-connected groupoids in which there can be multiple isomorphisms from one element of to another. For instance, one can view as a space that is acted on by multiplication by the two-element group . This gives rise to two types of isomorphisms, an identity isomorphism from to for each , and a negation isomorphism from to for each ; in particular, there are two automorphisms of (i.e., isomorphisms from to itself), namely and , whereas the other four elements of only have a single automorphism (the identity isomorphism). One defines composition, identity, and inverse in this groupoid in the obvious fashion (using the group law of the two-element group ); for instance, we have .

For a finite multiply-connected groupoid, it turns out that the natural notion of “cardinality” (or as I prefer to call it, “cardinality up to isomorphism”) is given by the variant

of (1). That is to say, in the multiply connected case, the denominator is no longer the number of objects isomorphic to , but rather the number of isomorphisms from to other objects . Grouping together all summands coming from a single equivalence class in , we can also write this expression as

where is the automorphism group of , that is to say the group of isomorphisms from to itself. (Note that if belong to the same equivalence class , then the two groups and will be isomorphic and thus have the same cardinality, and so the above expression is well-defined.

For instance, if we take to be the simply connected groupoid on , then the number of elements of up to isomorphism is

exactly as before. If however we take the multiply connected groupoid on , in which has two automorphisms, the number of elements of up to isomorphism is now the smaller quantity

the equivalence class is now counted with weight rather than due to the two automorphisms on . Geometrically, one can think of this groupoid as being formed by taking the five-element set , and “folding it in half” around the fixed point , giving rise to two “full” quotient points and one “half” point . More generally, given a finite group acting on a finite set , and forming the associated multiply connected groupoid, the cardinality up to isomorphism of this groupoid will be , since each element of will have isomorphisms on it (whether they be to the same element , or to other elements of ).

The definition (2) can also make sense for some infinite groupoids; to my knowledge this was first explicitly done in this paper of Baez and Dolan. Consider for instance the category of finite sets, with isomorphisms given by bijections as in Example 3. Every finite set is isomorphic to for some natural number , so the equivalence classes of may be indexed by the natural numbers. The automorphism group of has order , so the cardinality of up to isomorphism is

(This fact is sometimes loosely stated as “the number of finite sets is “, but I view this statement as somewhat misleading if the qualifier “up to isomorphism” is not added.) Similarly, when one allows for multiple isomorphisms from a group to itself, the number of groups of order four up to isomorphism is now

because the cyclic group has two automorphisms, whereas the Klein four-group has six.

In the case that the cardinality of a groupoid up to isomorphism is finite and non-empty, one can now define the notion of a random isomorphism class in drawn “uniformly up to isomorphism”, by requiring the probability of attaining any given isomorphism class to be

thus the probability of being isomorphic to a given element will be inversely proportional to the number of automorphisms that has. For instance, if we take to be the set with the simply connected groupoid, will be drawn uniformly from the three available equivalence classes , with a probability of attaining each; but if instead one uses the multiply connected groupoid coming from the action of , and draws uniformly up to isomorphism, then and will now be selected with probability each, and will be selected with probability . Thus this distribution has accounted for the bias mentioned previously: if a finite group acts on a finite space , and is drawn uniformly from , then now still be drawn uniformly up to isomorphism from , if we use the multiply connected groupoid coming from the action, rather than the simply connected groupoid coming from just the -orbit structure on .

Using the groupoid of finite sets, we see that a finite set chosen uniformly up to isomorphism will have a cardinality that is distributed according to the Poisson distribution of parameter , that is to say it will be of cardinality with probability .

One important source of groupoids are the fundamental groupoids of a manifold (one can also consider more general topological spaces than manifolds, but for simplicity we will restrict this discussion to the manifold case), in which the underlying space is simply , and the isomorphisms from to are the equivalence classes of paths from to up to homotopy; in particular, the automorphism group of any given point is just the fundamental group of at that base point. The equivalence class of a point in is then the connected component of in . The cardinality up to isomorphism of the fundamental groupoid is then

where is the collection of connected components of , and is the order of the fundamental group of . Thus, simply connected components of count for a full unit of cardinality, whereas multiply connected components (which can be viewed as quotients of their simply connected cover by their fundamental group) will count for a fractional unit of cardinality, inversely to the order of their fundamental group.

This notion of cardinality up to isomorphism of a groupoid behaves well with respect to various basic notions. For instance, suppose one has an -fold covering map of one finite groupoid by another . This means that is a functor that is surjective, with all preimages of cardinality , with the property that given any pair in the base space and any in the preimage of , every isomorphism has a unique lift from the given initial point (and some in the preimage of ). Then one can check that the cardinality up to isomorphism of is times the cardinality up to isomorphism of , which fits well with the geometric picture of as the -fold cover of . (For instance, if one covers a manifold with finite fundamental group by its universal cover, this is a -fold cover, the base has cardinality up to isomorphism, and the universal cover has cardinality one up to isomorphism.) Related to this, if one draws an equivalence class of uniformly up to isomorphism, then will be an equivalence class of drawn uniformly up to isomorphism also.

Indeed, one can show that this notion of cardinality up to isomorphism for groupoids is uniquely determined by a small number of axioms such as these (similar to the axioms that determine Euler characteristic); see this blog post of Qiaochu Yuan for details.

The probability distributions on isomorphism classes described by the above recipe seem to arise naturally in many applications. For instance, if one draws a profinite abelian group up to isomorphism at random in this fashion (so that each isomorphism class of a profinite abelian group occurs with probability inversely proportional to the number of automorphisms of this group), then the resulting distribution is known as the Cohen-Lenstra distribution, and seems to emerge as the natural asymptotic distribution of many randomly generated profinite abelian groups in number theory and combinatorics, such as the class groups of random quadratic fields; see this previous blog post for more discussion. For a simple combinatorial example, the set of fixed points of a random permutation on elements will have a cardinality that converges in distribution to the Poisson distribution of rate (as discussed in this previous post), thus we see that the fixed points of a large random permutation asymptotically are distributed uniformly up to isomorphism. I’ve been told that this notion of cardinality up to isomorphism is also particularly compatible with stacks (which are a good framework to describe such objects as moduli spaces of algebraic varieties up to isomorphism), though I am not sufficiently acquainted with this theory to say much more than this.

Yves Meyer wins the 2017 Abel Prize

Just a short post to note that Norwegian Academy of Science and Letters has just announced that the 2017 Abel prize has been awarded to Yves Meyer, “for his pivotal role in the development of the mathematical theory of wavelets”.  The actual prize ceremony will be at Oslo in May.

I am actually in Oslo myself currently, having just presented Meyer’s work at the announcement ceremony (and also having written a brief description of some of his work).  The Abel prize has a somewhat unintuitive (and occasionally misunderstood) arrangement in which the presenter of the work of the prize is selected independently of the winner of the prize (I think in part so that the choice of presenter gives no clues as to the identity of the laureate).  In particular, like other presenters before me (which in recent years have included Timothy Gowers, Jordan Ellenberg, and Alex Bellos), I agreed to present the laureate’s work before knowing who the laureate was!  But in this case the task was very easy, because Meyer’s areas of (both pure and applied) harmonic analysis and PDE fell rather squarely within my own area of expertise.  (I had previously written about some other work of Meyer in this blog post.)  Indeed I had learned about Meyer’s wavelet constructions as a graduate student while taking a course from Ingrid Daubechies.   Daubechies also made extremely important contributions to the theory of wavelets, but due to a conflict of interest (as per the guidelines for the prize committee) arising from Daubechies’ presidency of the International Mathematical Union (which nominates the majority of the members of the Abel prize committee, who then serve for two years) from 2011 to 2014 (and her continuing service ex officio on the IMU executive committee from 2015 to 2018), she will not be eligible for the prize until 2021 at the earliest, and so I do not think this prize should be necessarily construed as a judgement on the relative contributions of Meyer and Daubechies to this field.  (In any case I fully agree with the Abel prize committee’s citation of Meyer’s pivotal role in the development of the theory of wavelets.)

[Update, Mar 28: link to prize committee guidelines and clarification of the extent of Daubechies’ conflict of interest added. -T]

Furstenberg limits of the Liouville function

Given a function on the natural numbers taking values in , one can invoke the Furstenberg correspondence principle to locate a measure preserving system – a probability space together with a measure-preserving shift (or equivalently, a measure-preserving -action on ) – together with a measurable function (or “observable”) that has essentially the same statistics as in the sense that

for any integers . In particular, one has

 

whenever the limit on the right-hand side exists. We will refer to the system together with the designated function as a Furstenberg limit ot the sequence . These Furstenberg limits capture some, but not all, of the asymptotic behaviour of ; roughly speaking, they control the typical “local” behaviour of , involving correlations such as in the regime where are much smaller than . However, the control on error terms here is usually only qualitative at best, and one usually does not obtain non-trivial control on correlations in which the are allowed to grow at some significant rate with (e.g. like some power of ).

The correspondence principle is discussed in these previous blog posts. One way to establish the principle is by introducing a Banach limit that extends the usual limit functional on the subspace of consisting of convergent sequences while still having operator norm one. Such functionals cannot be constructed explicitly, but can be proven to exist (non-constructively and non-uniquely) using the Hahn-Banach theorem; one can also use a non-principal ultrafilter here if desired. One can then seek to construct a system and a measurable function for which one has the statistics

 

for all . One can explicitly construct such a system as follows. One can take to be the Cantor space with the product -algebra and the shift

with the function being the coordinate function at zero:

(so in particular for any ). The only thing remaining is to construct the invariant measure . In order to be consistent with (2), one must have

for any distinct integers and signs . One can check that this defines a premeasure on the Boolean algebra of defined by cylinder sets, and the existence of then follows from the Hahn-Kolmogorov extension theorem (or the closely related Kolmogorov extension theorem). One can then check that the correspondence (2) holds, and that is translation-invariant; the latter comes from the translation invariance of the (Banach-)Césaro averaging operation . A variant of this construction shows that the Furstenberg limit is unique up to equivalence if and only if all the limits appearing in (1) actually exist.

One can obtain a slightly tighter correspondence by using a smoother average than the Césaro average. For instance, one can use the logarithmic Césaro averages in place of the Césaro average , thus one replaces (2) by

Whenever the Césaro average of a bounded sequence exists, then the logarithmic Césaro average exists and is equal to the Césaro average. Thus, a Furstenberg limit constructed using logarithmic Banach-Césaro averaging still obeys (1) for all when the right-hand side limit exists, but also obeys the more general assertion

whenever the limit of the right-hand side exists.

In a recent paper of Frantizinakis, the Furstenberg limits of the Liouville function (with logarithmic averaging) were studied. Some (but not all) of the known facts and conjectures about the Liouville function can be interpreted in the Furstenberg limit. For instance, in a recent breakthrough result of Matomaki and Radziwill (discussed previously here), it was shown that the Liouville function exhibited cancellation on short intervals in the sense that

In terms of Furstenberg limits of the Liouville function, this assertion is equivalent to the assertion that

for all Furstenberg limits of Liouville (including those without logarithmic averaging). Invoking the mean ergodic theorem (discussed in this previous post), this assertion is in turn equivalent to the observable that corresponds to the Liouville function being orthogonal to the invariant factor of ; equivalently, the first Gowers-Host-Kra seminorm of (as defined for instance in this previous post) vanishes. The Chowla conjecture, which asserts that

for all distinct integers , is equivalent to the assertion that all the Furstenberg limits of Liouville are equivalent to the Bernoulli system ( with the product measure arising from the uniform distribution on , with the shift and observable as before). Similarly, the logarithmically averaged Chowla conjecture

is equivalent to the assertion that all the Furstenberg limits of Liouville with logarithmic averaging are equivalent to the Bernoulli system. Recently, I was able to prove the two-point version

 

of the logarithmically averaged Chowla conjecture, for any non-zero integer ; this is equivalent to the perfect strong mixing property

for any Furstenberg limit of Liouville with logarithmic averaging, and any .

The situation is more delicate with regards to the Sarnak conjecture, which is equivalent to the assertion that

for any zero-entropy sequence (see this previous blog post for more discussion). Morally speaking, this conjecture should be equivalent to the assertion that any Furstenberg limit of Liouville is disjoint from any zero entropy system, but I was not able to formally establish an implication in either direction due to some technical issues regarding the fact that the Furstenberg limit does not directly control long-range correlations, only short-range ones. (There are however ergodic theoretic interpretations of the Sarnak conjecture that involve the notion of generic points; see this paper of El Abdalaoui, Lemancyk, and de la Rue.) But the situation is currently better with the logarithmically averaged Sarnak conjecture

as I was able to show that this conjecture was equivalent to the logarithmically averaged Chowla conjecture, and hence to all Furstenberg limits of Liouville with logarithmic averaging being Bernoulli; I also showed the conjecture was equivalent to local Gowers uniformity of the Liouville function, which is in turn equivalent to the function having all Gowers-Host-Kra seminorms vanishing in every Furstenberg limit with logarithmic averaging. In this recent paper of Frantzikinakis, this analysis was taken further, showing that the logarithmically averaged Chowla and Sarnak conjectures were in fact equivalent to the much milder seeming assertion that all Furstenberg limits with logarithmic averaging were ergodic.

Actually, the logarithmically averaged Furstenberg limits have more structure than just a -action on a measure preserving system with a single observable . Let denote the semigroup of affine maps on the integers with and positive. Also, let denote the profinite integers (the inverse limit of the cyclic groups ). Observe that acts on by taking the inverse limit of the obvious actions of on .

Proposition 1 (Enriched logarithmically averaged Furstenberg limit of Liouville) Let be a Banach limit. Then there exists a probability space with an action of the affine semigroup , as well as measurable functions and , with the following properties:

• (i) (Affine Furstenberg limit) For any , and any congruence class , one has

  

  

• (ii) (Equivariance of ) For any , one has

  

  for -almost every .

• (iii) (Multiplicativity at fixed primes) For any prime , one has

  

  for -almost every , where is the dilation map .

• (iv) (Measure pushforward) If is of the form and is the set , then the pushforward of by is equal to , that is to say one has

  

  for every measurable .

Note that can be viewed as the subgroup of consisting of the translations . If one only keeps the -portion of the action and forgets the rest (as well as the function ) then the action becomes measure-preserving, and we recover an ordinary Furstenberg limit with logarithmic averaging. However, the additional structure here can be quite useful; for instance, one can transfer the proof of (3) to this setting, which we sketch below the fold, after proving the proposition.

The observable , roughly speaking, means that points in the Furstenberg limit constructed by this proposition are still “virtual integers” in the sense that one can meaningfully compute the residue class of modulo any natural number modulus , by first applying and then reducing mod . The action of means that one can also meaningfully multiply by any natural number, and translate it by any integer. As with other applications of the correspondence principle, the main advantage of moving to this more “virtual” setting is that one now acquires a probability measure , so that the tools of ergodic theory can be readily applied.

Special cases of Shannon entropy

Given a random variable that takes on only finitely many values, we can define its Shannon entropy by the formula

with the convention that . (In some texts, one uses the logarithm to base rather than the natural logarithm, but the choice of base will not be relevant for this discussion.) This is clearly a nonnegative quantity. Given two random variables taking on finitely many values, the joint variable is also a random variable taking on finitely many values, and also has an entropy . It obeys the Shannon inequalities

so we can define some further nonnegative quantities, the mutual information

and the conditional entropies

More generally, given three random variables , one can define the conditional mutual information

and the final of the Shannon entropy inequalities asserts that this quantity is also non-negative.

The mutual information is a measure of the extent to which and fail to be independent; indeed, it is not difficult to show that vanishes if and only if and are independent. Similarly, vanishes if and only if and are conditionally independent relative to . At the other extreme, is a measure of the extent to which fails to depend on ; indeed, it is not difficult to show that if and only if is determined by in the sense that there is a deterministic function such that . In a related vein, if and are equivalent in the sense that there are deterministic functional relationships , between the two variables, then is interchangeable with for the purposes of computing the above quantities, thus for instance , , , , etc..

One can get some initial intuition for these information-theoretic quantities by specialising to a simple situation in which all the random variables being considered come from restricting a single random (and uniformly distributed) boolean function on a given finite domain to some subset of :

In this case, has the law of a random uniformly distributed boolean function from to , and the entropy here can be easily computed to be , where denotes the cardinality of . If is the restriction of to , and is the restriction of to , then the joint variable is equivalent to the restriction of to . If one discards the normalisation factor , one then obtains the following dictionary between entropy and the combinatorics of finite sets:

Random variables	Finite sets
Entropy	Cardinality
Joint variable	Union
Mutual information	Intersection cardinality
Conditional entropy	Set difference cardinality
Conditional mutual information
independent	disjoint
determined by	a subset of
conditionally independent relative to

Every (linear) inequality or identity about entropy (and related quantities, such as mutual information) then specialises to a combinatorial inequality or identity about finite sets that is easily verified. For instance, the Shannon inequality becomes the union bound , and the definition of mutual information becomes the inclusion-exclusion formula

For a more advanced example, consider the data processing inequality that asserts that if are conditionally independent relative to , then . Specialising to sets, this now says that if are disjoint outside of , then ; this can be made apparent by considering the corresponding Venn diagram. This dictionary also suggests how to prove the data processing inequality using the existing Shannon inequalities. Firstly, if and are not necessarily disjoint outside of , then a consideration of Venn diagrams gives the more general inequality

and a further inspection of the diagram then reveals the more precise identity

Using the dictionary in the reverse direction, one is then led to conjecture the identity

which (together with non-negativity of conditional mutual information) implies the data processing inequality, and this identity is in turn easily established from the definition of mutual information.

On the other hand, not every assertion about cardinalities of sets generalises to entropies of random variables that are not arising from restricting random boolean functions to sets. For instance, a basic property of sets is that disjointness from a given set is preserved by unions:

Indeed, one has the union bound

Applying the dictionary in the reverse direction, one might now conjecture that if was independent of and was independent of , then should also be independent of , and furthermore that

but these statements are well known to be false (for reasons related to pairwise independence of random variables being strictly weaker than joint independence). For a concrete counterexample, one can take to be independent, uniformly distributed random elements of the finite field of two elements, and take to be the sum of these two field elements. One can easily check that each of and is separately independent of , but the joint variable determines and thus is not independent of .

From the inclusion-exclusion identities

one can check that (1) is equivalent to the trivial lower bound . The basic issue here is that in the dictionary between entropy and combinatorics, there is no satisfactory entropy analogue of the notion of a triple intersection . (Even the double intersection only exists information theoretically in a “virtual” sense; the mutual information allows one to “compute the entropy” of this “intersection”, but does not actually describe this intersection itself as a random variable.)

However, this issue only arises with three or more variables; it is not too difficult to show that the only linear equalities and inequalities that are necessarily obeyed by the information-theoretic quantities associated to just two variables are those that are also necessarily obeyed by their combinatorial analogues . (See for instance the Venn diagram at the Wikipedia page for mutual information for a pictorial summation of this statement.)

One can work with a larger class of special cases of Shannon entropy by working with random linear functions rather than random boolean functions. Namely, let be some finite-dimensional vector space over a finite field , and let be a random linear functional on , selected uniformly among all such functions. Every subspace of then gives rise to a random variable formed by restricting to . This random variable is also distributed uniformly amongst all linear functions on , and its entropy can be easily computed to be . Given two random variables formed by restricting to respectively, the joint random variable determines the random linear function on the union on the two spaces, and thus by linearity on the Minkowski sum as well; thus is equivalent to the restriction of to . In particular, . This implies that and also , where is the quotient map. After discarding the normalising constant , this leads to the following dictionary between information theoretic quantities and linear algebra quantities, analogous to the previous dictionary:

Random variables	Subspaces
Entropy	Dimension
Joint variable	Sum
Mutual information	Dimension of intersection
Conditional entropy	Dimension of projection
Conditional mutual information
independent	transverse ()
determined by	a subspace of
conditionally independent relative to	, transverse.

The combinatorial dictionary can be regarded as a specialisation of the linear algebra dictionary, by taking to be the vector space over the finite field of two elements, and only considering those subspaces that are coordinate subspaces associated to various subsets of .

As before, every linear inequality or equality that is valid for the information-theoretic quantities discussed above, is automatically valid for the linear algebra counterparts for subspaces of a vector space over a finite field by applying the above specialisation (and dividing out by the normalising factor of ). In fact, the requirement that the field be finite can be removed by applying the compactness theorem from logic (or one of its relatives, such as Los’s theorem on ultraproducts, as done in this previous blog post).

The linear algebra model captures more of the features of Shannon entropy than the combinatorial model. For instance, in contrast to the combinatorial case, it is possible in the linear algebra setting to have subspaces such that and are separately transverse to , but their sum is not; for instance, in a two-dimensional vector space , one can take to be the one-dimensional subspaces spanned by , , and respectively. Note that this is essentially the same counterexample from before (which took to be the field of two elements). Indeed, one can show that any necessarily true linear inequality or equality involving the dimensions of three subspaces (as well as the various other quantities on the above table) will also be necessarily true when applied to the entropies of three discrete random variables (as well as the corresponding quantities on the above table).

However, the linear algebra model does not completely capture the subtleties of Shannon entropy once one works with four or more variables (or subspaces). This was first observed by Ingleton, who established the dimensional inequality

for any subspaces . This is easiest to see when the three terms on the right-hand side vanish; then are transverse, which implies that ; similarly . But and are transverse, and this clearly implies that and are themselves transverse. To prove the general case of Ingleton’s inequality, one can define and use (and similarly for instead of ) to reduce to establishing the inequality

which can be rearranged using (and similarly for instead of ) and as

but this is clear since .

Returning to the entropy setting, the analogue

of (3) is true (exercise!), but the analogue

of Ingleton’s inequality is false in general. Again, this is easiest to see when all the terms on the right-hand side vanish; then are conditionally independent relative to , and relative to , and and are independent, and the claim (4) would then be asserting that and are independent. While there is no linear counterexample to this statement, there are simple non-linear ones: for instance, one can take to be independent uniform variables from , and take and to be (say) and respectively (thus are the indicators of the events and respectively). Once one conditions on either or , one of has positive conditional entropy and the other has zero entropy, and so are conditionally independent relative to either or ; also, or are independent of each other. But and are not independent of each other (they cannot be simultaneously equal to ). Somehow, the feature of the linear algebra model that is not present in general is that in the linear algebra setting, every pair of subspaces has a well-defined intersection that is also a subspace, whereas for arbitrary random variables , there does not necessarily exist the analogue of an intersection, namely a “common information” random variable that has the entropy of and is determined either by or by .

I do not know if there is any simpler model of Shannon entropy that captures all the inequalities available for four variables. One significant complication is that there exist some information inequalities in this setting that are not of Shannon type, such as the Zhang-Yeung inequality

One can however still use these simpler models of Shannon entropy to be able to guess arguments that would work for general random variables. An example of this comes from my paper on the logarithmically averaged Chowla conjecture, in which I showed among other things that

whenever was sufficiently large depending on , where is the Liouville function. The information-theoretic part of the proof was as follows. Given some intermediate scale between and , one can form certain random variables . The random variable is a sign pattern of the form where is a random number chosen from to (with logarithmic weighting). The random variable was tuple of reductions of to primes comparable to . Roughly speaking, what was implicitly shown in the paper (after using the multiplicativity of , the circle method, and the Matomaki-Radziwill theorem on short averages of multiplicative functions) is that if the inequality (5) fails, then there was a lower bound

on the mutual information between and . From translation invariance, this also gives the more general lower bound

for any , where denotes the shifted sign pattern . On the other hand, one had the entropy bounds

and from concatenating sign patterns one could see that is equivalent to the joint random variable for any . Applying these facts and using an “entropy decrement” argument, I was able to obtain a contradiction once was allowed to become sufficiently large compared to , but the bound was quite weak (coming ultimately from the unboundedness of as the interval of values of under consideration becomes large), something of the order of ; the quantity needs at various junctures to be less than a small power of , so the relationship between and becomes essentially quadruple exponential in nature, . The basic strategy was to observe that the lower bound (6) causes some slowdown in the growth rate of the mean entropy, in that this quantity decreased by as increased from to , basically by dividing into components , and observing from (6) each of these shares a bit of common information with the same variable . This is relatively clear when one works in a set model, in which is modeled by a set of size , and is modeled by a set of the form

for various sets of size (also there is some translation symmetry that maps to a shift while preserving all of the ).

However, on considering the set model recently, I realised that one can be a little more efficient by exploiting the fact (basically the Chinese remainder theorem) that the random variables are basically jointly independent as ranges over dyadic values that are much smaller than , which in the set model corresponds to the all being disjoint. One can then establish a variant

of (6), which in the set model roughly speaking asserts that each claims a portion of the of cardinality that is not claimed by previous choices of . This leads to a more efficient contradiction (relying on the unboundedness of rather than ) that looks like it removes one order of exponential growth, thus the relationship between and is now . Returning to the entropy model, one can use (7) and Shannon inequalities to establish an inequality of the form

for a small constant , which on iterating and using the boundedness of gives the claim. (A modification of this analysis, at least on the level of the back of the envelope calculation, suggests that the Matomaki-Radziwill theorem is needed only for ranges greater than or so, although at this range the theorem is not significantly simpler than the general case).

A bound on partitioning clusters

Daniel Kane and I have just uploaded to the arXiv our paper “A bound on partitioning clusters“, submitted to the Electronic Journal of Combinatorics. In this short and elementary paper, we consider a question that arose from biomathematical applications: given a finite family of sets (or “clusters”), how many ways can there be of partitioning a set in this family as the disjoint union of two other sets in this family? That is to say, what is the best upper bound one can place on the quantity

in terms of the cardinality of ? A trivial upper bound would be , since this is the number of possible pairs , and clearly determine . In our paper, we establish the improved bound

where is the somewhat strange exponent

 

so that . Furthermore, this exponent is best possible!

Actually, the latter claim is quite easy to show: one takes to be all the subsets of of cardinality either or , for a multiple of , and the claim follows readily from Stirling’s formula. So it is perhaps the former claim that is more interesting (since many combinatorial proof techniques, such as those based on inequalities such as the Cauchy-Schwarz inequality, tend to produce exponents that are rational or at least algebraic). We follow the common, though unintuitive, trick of generalising a problem to make it simpler. Firstly, one generalises the bound to the “trilinear” bound

for arbitrary finite collections of sets. One can place all the sets in inside a single finite set such as , and then by replacing every set in by its complement in , one can phrase the inequality in the equivalent form

for arbitrary collections of subsets of . We generalise further by turning sets into functions, replacing the estimate with the slightly stronger convolution estimate

for arbitrary functions on the Hamming cube , where the convolution is on the integer lattice rather than on the finite field vector space . The advantage of working in this general setting is that it becomes very easy to apply induction on the dimension ; indeed, to prove this estimate for arbitrary it suffices to do so for . This reduces matters to establishing the elementary inequality

for all , which can be done by a combination of undergraduate multivariable calculus and a little bit of numerical computation. (The left-hand side turns out to have local maxima at , with the latter being the cause of the numerology (1).)

The same sort of argument also gives an energy bound

for any subset of the Hamming cube, where

is the additive energy of . The example shows that the exponent cannot be improved.