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As laid out in the foundational work of Kolmogorov, a classical probability space (or probability space for short) is a triplet ${(X, {\mathcal X}, \mu)}$, where ${X}$ is a set, ${{\mathcal X}}$ is a ${\sigma}$-algebra of subsets of ${X}$, and ${\mu: {\mathcal X} \rightarrow [0,1]}$ is a countably additive probability measure on ${{\mathcal X}}$. Given such a space, one can form a number of interesting function spaces, including

• the (real) Hilbert space ${L^2(X, {\mathcal X}, \mu)}$ of square-integrable functions ${f: X \rightarrow {\bf R}}$, modulo ${\mu}$-almost everywhere equivalence, and with the positive definite inner product ${\langle f, g\rangle_{L^2(X, {\mathcal X}, \mu)} := \int_X f g\ d\mu}$; and
• the unital commutative Banach algebra ${L^\infty(X, {\mathcal X}, \mu)}$ of essentially bounded functions ${f: X \rightarrow {\bf R}}$, modulo ${\mu}$-almost everywhere equivalence, with ${\|f\|_{L^\infty(X, {\mathcal X}, \mu)}}$ defined as the essential supremum of ${|f|}$.

There is also a trace ${\tau = \tau_\mu: L^\infty(X, {\mathcal X}, \mu) \rightarrow {\bf C}}$ on ${L^\infty}$ defined by integration: ${\tau(f) := \int_X f\ d\mu}$.

One can form the category ${\mathbf{Prb}}$ of classical probability spaces, by defining a morphism ${\phi: (X, {\mathcal X}, \mu) \rightarrow (Y, {\mathcal Y}, \nu)}$ between probability spaces to be a function ${\phi: X \rightarrow Y}$ which is measurable (thus ${\phi^{-1}(E) \in {\mathcal X}}$ for all ${E \in {\mathcal Y}}$) and measure-preserving (thus ${\mu(\phi^{-1}(E)) = \nu(E)}$ for all ${E \in {\mathcal Y}}$).

Let us now abstract the algebraic features of these spaces as follows; for want of a better name, I will refer to this abstraction as an algebraic probability space, and is very similar to the non-commutative probability spaces studied in this previous post, except that these spaces are now commutative (and real).

Definition 1 An algebraic probability space is a pair ${({\mathcal A}, \tau)}$ where

• ${{\mathcal A}}$ is a unital commutative real algebra;
• ${\tau: {\mathcal A} \rightarrow {\bf R}}$ is a homomorphism such that ${\tau(1)=1}$ and ${\tau( f^2 ) \geq 0}$ for all ${f \in {\mathcal A}}$;
• Every element ${f}$ of ${{\mathcal A}}$ is bounded in the sense that ${\sup_{k \geq 1} \tau( f^{2k} )^{1/2k} < \infty}$. (Technically, this isn’t an algebraic property, but I need it for technical reasons.)

A morphism ${\phi: ({\mathcal A}_1, \tau_1) \rightarrow ({\mathcal A}_2, \tau_2)}$ is a homomorphism ${\phi^*: {\mathcal A}_2 \rightarrow {\mathcal A}_1}$ which is trace-preserving, in the sense that ${\tau_1(\phi^*(f)) = \tau_2(f)}$ for all ${f \in {\mathcal A}_2}$.

For want of a better name, I’ll denote the category of algebraic probability spaces as ${\mathbf{AlgPrb}}$. One can view this category as the opposite category to that of (a subcategory of) the category of tracial commutative real algebras. One could emphasise this opposite nature by denoting the algebraic probability space as ${({\mathcal A}, \tau)^{op}}$ rather than ${({\mathcal A},\tau)}$; another suggestive (but slightly inaccurate) notation, inspired by the language of schemes, would be ${\hbox{Spec}({\mathcal A},\tau)}$ rather than ${({\mathcal A},\tau)}$. However, we will not adopt these conventions here, and refer to algebraic probability spaces just by the pair ${({\mathcal A},\tau)}$.

By the previous discussion, we have a covariant functor ${F: \textbf{Prb} \rightarrow \textbf{AlgPrb}}$ that takes a classical probability space ${(X, {\mathcal X}, \mu)}$ to its algebraic counterpart ${(L^\infty(X, {\mathcal X},\mu), \tau_\mu)}$, with a morphism ${\phi: (X, {\mathcal X}, \mu) \rightarrow (Y, {\mathcal Y}, \nu)}$ of classical probability spaces mapping to a morphism ${F(\phi): (L^\infty(X, {\mathcal X},\mu), \tau_\mu) \rightarrow (L^\infty(Y, {\mathcal Y},\nu), \tau_\nu)}$ of the corresponding algebraic probability spaces by the formula

$\displaystyle F(\phi)^* f := f \circ \phi$

for ${f \in L^\infty(Y, {\mathcal Y}, \nu)}$. One easily verifies that this is a functor.

In this post I would like to describe a functor ${G: \textbf{AlgPrb} \rightarrow \textbf{Prb}}$ which partially inverts ${F}$ (up to natural isomorphism), that is to say a recipe for starting with an algebraic probability space ${({\mathcal A}, \tau)}$ and producing a classical probability space ${(X, {\mathcal X}, \mu)}$. This recipe is not new – it is basically the (commutative) Gelfand-Naimark-Segal construction (discussed in this previous post) combined with the Loomis-Sikorski theorem (discussed in this previous post). However, I wanted to put the construction in a single location for sake of reference. I also wanted to make the point that ${F}$ and ${G}$ are not complete inverses; there is a bit of information in the algebraic probability space (e.g. topological information) which is lost when passing back to the classical probability space. In some future posts, I would like to develop some ergodic theory using the algebraic foundations of probability theory rather than the classical foundations; this turns out to be convenient in the ergodic theory arising from nonstandard analysis (such as that described in this previous post), in which the groups involved are uncountable and the underlying spaces are not standard Borel spaces.

Let us describe how to construct the functor ${G}$, with details postponed to below the fold.

1. Starting with an algebraic probability space ${({\mathcal A}, \tau)}$, form an inner product on ${{\mathcal A}}$ by the formula ${\langle f, g \rangle := \tau(fg)}$, and also form the spectral radius ${\rho(f) :=\lim_{k \rightarrow \infty} \tau(f^{2^k})^{1/2^k}}$.
2. The inner product is clearly positive semi-definite. Quotienting out the null vectors and taking completions, we arrive at a real Hilbert space ${L^2 = L^2({\mathcal A},\tau)}$, to which the trace ${\tau}$ may be extended.
3. Somewhat less obviously, the spectral radius is well-defined and gives a norm on ${{\mathcal A}}$. Taking ${L^2}$ limits of sequences in ${{\mathcal A}}$ of bounded spectral radius gives us a subspace ${L^\infty = L^\infty({\mathcal A},\tau)}$ of ${L^2}$ that has the structure of a real commutative Banach algebra.
4. The idempotents ${1_E}$ of the Banach algebra ${L^\infty}$ may be indexed by elements ${E}$ of an abstract ${\sigma}$-algebra ${{\mathcal B}}$.
5. The Boolean algebra homomorphisms ${\delta_x: {\mathcal B} \rightarrow \{0,1\}}$ (or equivalently, the real algebra homomorphisms ${\iota_x: L^\infty \rightarrow {\bf R}}$) may be indexed by elements ${x}$ of a space ${X}$.
6. Let ${{\mathcal X}}$ denote the ${\sigma}$-algebra on ${X}$ generated by the basic sets ${\overline{E} := \{ x \in X: \delta_x(E) = 1 \}}$ for every ${E \in {\mathcal B}}$.
7. Let ${{\mathcal N}}$ be the ${\sigma}$-ideal of ${{\mathcal X}}$ generated by the sets ${\bigcap_n \overline{E_n}}$, where ${E_n \in {\mathcal B}}$ is a sequence with ${\bigcap_n E_n = \emptyset}$.
8. One verifies that ${{\mathcal B}}$ is isomorphic to ${{\mathcal X}/{\mathcal N}}$. Using this isomorphism, the trace ${\tau}$ on ${L^\infty}$ can be used to construct a countably additive measure ${\mu}$ on ${{\mathcal X}}$. The classical probability space ${(X, {\mathcal X}, \mu)}$ is then ${G( {\mathcal A}, \tau )}$, and the abstract spaces ${L^2, L^\infty}$ may now be identified with their concrete counterparts ${L^2(X, {\mathcal X}, \mu)}$, ${L^\infty(X, {\mathcal X}, \mu)}$.
9. Every algebraic probability space morphism ${\phi: ({\mathcal A}_1,\tau_1) \rightarrow ({\mathcal A}_2,\tau_2)}$ generates a classical probability morphism ${G(\phi): (X_1, {\mathcal X}_1, \mu_1) \rightarrow (X_2, {\mathcal X}_2, \mu_2)}$ via the formula

$\displaystyle \delta_{G(\phi)(x_1)}( E_2 ) = \delta_{x_1}( \phi^*(E_2) )$

using a pullback operation ${\phi^*}$ on the abstract ${\sigma}$-algebras ${{\mathcal B}_1, {\mathcal B}_2}$ that can be defined by density.

Remark 1 The classical probability space ${X}$ constructed by the functor ${G}$ has some additional structure; namely ${X}$ is a ${\sigma}$-Stone space (a Stone space with the property that the closure of any countable union of clopen sets is clopen), ${{\mathcal X}}$ is the Baire ${\sigma}$-algebra (generated by the clopen sets), and the null sets are the meager sets. However, we will not use this additional structure here.

The partial inversion relationship between the functors ${F: \textbf{Prb} \rightarrow \textbf{AlgPrb}}$ and ${G: \textbf{AlgPrb} \rightarrow \textbf{Prb}}$ is given by the following assertion:

1. There is a natural transformation from ${F \circ G: \textbf{AlgPrb} \rightarrow \textbf{AlgPrb}}$ to the identity functor ${I: \textbf{AlgPrb} \rightarrow \textbf{AlgPrb}}$.

More informally: if one starts with an algebraic probability space ${({\mathcal A},\tau)}$ and converts it back into a classical probability space ${(X, {\mathcal X}, \mu)}$, then there is a trace-preserving algebra homomorphism of ${{\mathcal A}}$ to ${L^\infty( X, {\mathcal X}, \mu )}$, which respects morphisms of the algebraic probability space. While this relationship is far weaker than an equivalence of categories (which would require that ${F \circ G}$ and ${G \circ F}$ are both natural isomorphisms), it is still good enough to allow many ergodic theory problems formulated using classical probability spaces to be reformulated instead as an equivalent problem in algebraic probability spaces.

Remark 2 The opposite composition ${G \circ F: \textbf{Prb} \rightarrow \textbf{Prb}}$ is a little odd: it takes an arbitrary probability space ${(X, {\mathcal X}, \mu)}$ and returns a more complicated probability space ${(X', {\mathcal X}', \mu')}$, with ${X'}$ being the space of homomorphisms ${\iota_x: L^\infty(X, {\mathcal X}, \mu) \rightarrow {\bf R}}$. while there is “morally” an embedding of ${X}$ into ${X'}$ using the evaluation map, this map does not exist in general because points in ${X}$ may well have zero measure. However, if one takes a “pointless” approach and focuses just on the measure algebras ${({\mathcal X}, \mu)}$, ${({\mathcal X}', \mu')}$, then these algebras become naturally isomorphic after quotienting out by null sets.

Remark 3 An algebraic probability space captures a bit more structure than a classical probability space, because ${{\mathcal A}}$ may be identified with a proper subset of ${L^\infty}$ that describes the “regular” functions (or random variables) of the space. For instance, starting with the unit circle ${{\bf R}/{\bf Z}}$ (with the usual Haar measure and the usual trace ${\tau(f) = \int_{{\bf R}/{\bf Z}} f}$), any unital subalgebra ${{\mathcal A}}$ of ${L^\infty({\bf R}/{\bf Z})}$ that is dense in ${L^2({\bf R}/{\bf Z})}$ will generate the same classical probability space ${G( {\mathcal A}, \tau )}$ on applying the functor ${G}$, namely one will get the space ${({\bf R}/{\bf Z})'}$ of homomorphisms from ${L^\infty({\bf R}/{\bf Z})}$ to ${{\bf R}}$ (with the measure induced from ${\tau}$). Thus for instance ${{\mathcal A}}$ could be the continuous functions ${C( {\bf R}/{\bf Z} )}$, the Wiener algebra ${A({\bf R}/{\bf Z})}$ or the full space ${L^\infty({\bf R}/{\bf Z})}$, but the classical space ${G( {\mathcal A}, \tau )}$ will be unable to distinguish these spaces from each other. In particular, the functor ${F \circ G}$ loses information (roughly speaking, this functor takes an algebraic probability space and completes it to a von Neumann algebra, but then forgets exactly what algebra was initially used to create this completion). In ergodic theory, this sort of “extra structure” is traditionally encoded in topological terms, by assuming that the underlying probability space ${X}$ has a nice topological structure (e.g. a standard Borel space); however, with the algebraic perspective one has the freedom to have non-topological notions of extra structure, by choosing ${{\mathcal A}}$ to be something other than an algebra ${C(X)}$ of continuous functions on a topological space. I hope to discuss one such example of extra structure (coming from the Gowers-Host-Kra theory of uniformity seminorms) in a later blog post (this generalises the example of the Wiener algebra given previously, which is encoding “Fourier structure”).

A small example of how one could use the functors ${F, G}$ is as follows. Suppose one has a classical probability space ${(X, {\mathcal X}, \mu)}$ with a measure-preserving action of an uncountable group ${\Gamma}$, which is only defined (and an action) up to almost everywhere equivalence; thus for instance for any set ${E}$ and any ${g, h \in \Gamma}$, ${T^{gh} E}$ and ${T^g T^h E}$ might not be exactly equal, but only equal up to a null set. For similar reasons, an element ${E}$ of the invariant factor ${{\mathcal X}^\Gamma}$ might not be exactly invariant with respect to ${\Gamma}$, but instead one only has ${T^g E}$ and ${E}$ equal up to null sets for each ${g \in \Gamma}$. One might like to “clean up” the action of ${\Gamma}$ to make it defined everywhere, and a genuine action everywhere, but this is not immediately achievable if ${\Gamma}$ is uncountable, since the union of all the null sets where something bad occurs may cease to be a null set. However, by applying the functor ${F}$, each shift ${T^g: X \rightarrow X}$ defines a morphism ${T^g: L^\infty(X, {\mathcal X}, \mu) \rightarrow L^\infty(X, {\mathcal X}, \mu)}$ on the associated algebraic probability space (i.e. the Koopman operator), and then applying ${G}$, we obtain a shift ${T^g: X' \rightarrow X'}$ on a new classical probability space ${(X', {\mathcal X}', \mu')}$ which now gives a genuine measure-preserving action of ${\Gamma}$, and which is equivalent to the original action from a measure algebra standpoint. The invariant factor ${{\mathcal X}^\Gamma}$ now consists of those sets in ${{\mathcal X}'}$ which are genuinely ${\Gamma}$-invariant, not just up to null sets. (Basically, the classical probability space ${(X', {\mathcal X}', \mu')}$ contains a Boolean algebra ${\overline{\mathcal B}}$ with the property that every measurable set ${A \in {\mathcal X}'}$ is equivalent up to null sets to precisely one set in ${\overline{\mathcal B}}$, allowing for a canonical “retraction” onto ${\overline{\mathcal B}}$ that eliminates all null set issues.)

More indirectly, the functors ${F, G}$ suggest that one should be able to develop a “pointless” form of ergodic theory, in which the underlying probability spaces are given algebraically rather than classically. I hope to give some more specific examples of this in later posts.

There are a number of ways to construct the real numbers ${{\bf R}}$, for instance

• as the metric completion of ${{\bf Q}}$ (thus, ${{\bf R}}$ is defined as the set of Cauchy sequences of rationals, modulo Cauchy equivalence);
• as the space of Dedekind cuts on the rationals ${{\bf Q}}$;
• as the space of quasimorphisms ${\phi: {\bf Z} \rightarrow {\bf Z}}$ on the integers, quotiented by bounded functions. (I believe this construction first appears in this paper of Street, who credits the idea to Schanuel, though the germ of this construction arguably goes all the way back to Eudoxus.)

There is also a fourth family of constructions that proceeds via nonstandard analysis, as a special case of what is known as the nonstandard hull construction. (Here I will assume some basic familiarity with nonstandard analysis and ultraproducts, as covered for instance in this previous blog post.) Given an unbounded nonstandard natural number ${N \in {}^* {\bf N} \backslash {\bf N}}$, one can define two external additive subgroups of the nonstandard integers ${{}^* {\bf Z}}$:

• The group ${O(N) := \{ n \in {}^* {\bf Z}: |n| \leq CN \hbox{ for some } C \in {\bf N} \}}$ of all nonstandard integers of magnitude less than or comparable to ${N}$; and
• The group ${o(N) := \{ n \in {}^* {\bf Z}: |n| \leq C^{-1} N \hbox{ for all } C \in {\bf N} \}}$ of nonstandard integers of magnitude infinitesimally smaller than ${N}$.

The group ${o(N)}$ is a subgroup of ${O(N)}$, so we may form the quotient group ${O(N)/o(N)}$. This space is isomorphic to the reals ${{\bf R}}$, and can in fact be used to construct the reals:

Proposition 1 For any coset ${n + o(N)}$ of ${O(N)/o(N)}$, there is a unique real number ${\hbox{st} \frac{n}{N}}$ with the property that ${\frac{n}{N} = \hbox{st} \frac{n}{N} + o(1)}$. The map ${n + o(N) \mapsto \hbox{st} \frac{n}{N}}$ is then an isomorphism between the additive groups ${O(N)/o(N)}$ and ${{\bf R}}$.

Proof: Uniqueness is clear. For existence, observe that the set ${\{ x \in {\bf R}: Nx \leq n + o(N) \}}$ is a Dedekind cut, and its supremum can be verified to have the required properties for ${\hbox{st} \frac{n}{N}}$. $\Box$

In a similar vein, we can view the unit interval ${[0,1]}$ in the reals as the quotient

$\displaystyle [0,1] \equiv [N] / o(N) \ \ \ \ \ (1)$

where ${[N]}$ is the nonstandard (i.e. internal) set ${\{ n \in {\bf N}: n \leq N \}}$; of course, ${[N]}$ is not a group, so one should interpret ${[N]/o(N)}$ as the image of ${[N]}$ under the quotient map ${{}^* {\bf Z} \rightarrow {}^* {\bf Z} / o(N)}$ (or ${O(N) \rightarrow O(N)/o(N)}$, if one prefers). Or to put it another way, (1) asserts that ${[0,1]}$ is the image of ${[N]}$ with respect to the map ${\pi: n \mapsto \hbox{st} \frac{n}{N}}$.

In this post I would like to record a nice measure-theoretic version of the equivalence (1), which essentially appears already in standard texts on Loeb measure (see e.g. this text of Cutland). To describe the results, we must first quickly recall the construction of Loeb measure on ${[N]}$. Given an internal subset ${A}$ of ${[N]}$, we may define the elementary measure ${\mu_0(A)}$ of ${A}$ by the formula

$\displaystyle \mu_0(A) := \hbox{st} \frac{|A|}{N}.$

This is a finitely additive probability measure on the Boolean algebra of internal subsets of ${[N]}$. We can then construct the Loeb outer measure ${\mu^*(A)}$ of any subset ${A \subset [N]}$ in complete analogy with Lebesgue outer measure by the formula

$\displaystyle \mu^*(A) := \inf \sum_{n=1}^\infty \mu_0(A_n)$

where ${(A_n)_{n=1}^\infty}$ ranges over all sequences of internal subsets of ${[N]}$ that cover ${A}$. We say that a subset ${A}$ of ${[N]}$ is Loeb measurable if, for any (standard) ${\epsilon>0}$, one can find an internal subset ${B}$ of ${[N]}$ which differs from ${A}$ by a set of Loeb outer measure at most ${\epsilon}$, and in that case we define the Loeb measure ${\mu(A)}$ of ${A}$ to be ${\mu^*(A)}$. It is a routine matter to show (e.g. using the Carathéodory extension theorem) that the space ${{\mathcal L}}$ of Loeb measurable sets is a ${\sigma}$-algebra, and that ${\mu}$ is a countably additive probability measure on this space that extends the elementary measure ${\mu_0}$. Thus ${[N]}$ now has the structure of a probability space ${([N], {\mathcal L}, \mu)}$.

Now, the group ${o(N)}$ acts (Loeb-almost everywhere) on the probability space ${[N]}$ by the addition map, thus ${T^h n := n+h}$ for ${n \in [N]}$ and ${h \in o(N)}$ (excluding a set of Loeb measure zero where ${n+h}$ exits ${[N]}$). This action is clearly seen to be measure-preserving. As such, we can form the invariant factor ${Z^0_{o(N)}([N]) = ([N], {\mathcal L}^{o(N)}, \mu\downharpoonright_{{\mathcal L}^{o(N)}})}$, defined by restricting attention to those Loeb measurable sets ${A \subset [N]}$ with the property that ${T^h A}$ is equal ${\mu}$-almost everywhere to ${A}$ for each ${h \in o(N)}$.

The claim is then that this invariant factor is equivalent (up to almost everywhere equivalence) to the unit interval ${[0,1]}$ with Lebesgue measure ${m}$ (and the trivial action of ${o(N)}$), by the same factor map ${\pi: n \mapsto \hbox{st} \frac{n}{N}}$ used in (1). More precisely:

Theorem 2 Given a set ${A \in {\mathcal L}^{o(N)}}$, there exists a Lebesgue measurable set ${B \subset [0,1]}$, unique up to ${m}$-a.e. equivalence, such that ${A}$ is ${\mu}$-a.e. equivalent to the set ${\pi^{-1}(B) := \{ n \in [N]: \hbox{st} \frac{n}{N} \in B \}}$. Conversely, if ${B \in [0,1]}$ is Lebesgue measurable, then ${\pi^{-1}(B)}$ is in ${{\mathcal L}^{o(N)}}$, and ${\mu( \pi^{-1}(B) ) = m( B )}$.

$\displaystyle [0,1] \equiv Z^0_{o(N)}( [N] )$

of (1).

Proof: We first prove the converse. It is clear that ${\pi^{-1}(B)}$ is ${o(N)}$-invariant, so it suffices to show that ${\pi^{-1}(B)}$ is Loeb measurable with Loeb measure ${m(B)}$. This is easily verified when ${B}$ is an elementary set (a finite union of intervals). By countable subadditivity of outer measure, this implies that Loeb outer measure of ${\pi^{-1}(E)}$ is bounded by the Lebesgue outer measure of ${E}$ for any set ${E \subset [0,1]}$; since every Lebesgue measurable set differs from an elementary set by a set of arbitrarily small Lebesgue outer measure, the claim follows.

Now we establish the forward claim. Uniqueness is clear from the converse claim, so it suffices to show existence. Let ${A \in {\mathcal L}^{o(N)}}$. Let ${\epsilon>0}$ be an arbitrary standard real number, then we can find an internal set ${A_\epsilon \subset [N]}$ which differs from ${A}$ by a set of Loeb measure at most ${\epsilon}$. As ${A}$ is ${o(N)}$-invariant, we conclude that for every ${h \in o(N)}$, ${A_\epsilon}$ and ${T^h A_\epsilon}$ differ by a set of Loeb measure (and hence elementary measure) at most ${2\epsilon}$. By the (contrapositive of the) underspill principle, there must exist a standard ${\delta>0}$ such that ${A_\epsilon}$ and ${T^h A_\epsilon}$ differ by a set of elementary measure at most ${2\epsilon}$ for all ${|h| \leq \delta N}$. If we then define the nonstandard function ${f_\epsilon: [N] \rightarrow {}^* {\bf R}}$ by the formula

$\displaystyle f(n) := \hbox{st} \frac{1}{\delta N} \sum_{m \in [N]: m \leq n \leq m+\delta N} 1_{A_\epsilon}(m),$

then from the (nonstandard) triangle inequality we have

$\displaystyle \frac{1}{N} \sum_{n \in [N]} |f(n) - 1_{A_\epsilon}(n)| \leq 3\epsilon$

(say). On the other hand, ${f}$ has the Lipschitz continuity property

$\displaystyle |f(n)-f(m)| \leq \frac{2|n-m|}{\delta N}$

and so in particular we see that

$\displaystyle \hbox{st} f(n) = \tilde f( \hbox{st} \frac{n}{N} )$

for some Lipschitz continuous function ${\tilde f: [0,1] \rightarrow [0,1]}$. If we then let ${E_\epsilon}$ be the set where ${\tilde f \geq 1 - \sqrt{\epsilon}}$, one can check that ${A_\epsilon}$ differs from ${\pi^{-1}(E_\epsilon)}$ by a set of Loeb outer measure ${O(\sqrt{\epsilon})}$, and hence ${A}$ does so also. Sending ${\epsilon}$ to zero, we see (from the converse claim) that ${1_{E_\epsilon}}$ is a Cauchy sequence in ${L^1}$ and thus converges in ${L^1}$ for some Lebesgue measurable ${E}$. The sets ${A_\epsilon}$ then converge in Loeb outer measure to ${\pi^{-1}(E)}$, giving the claim. $\Box$

Thanks to the Lebesgue differentiation theorem, the conditional expectation ${{\bf E}( f | Z^0_{o(N)}([N]))}$ of a bounded Loeb-measurable function ${f: [N] \rightarrow {\bf R}}$ can be expressed (as a function on ${[0,1]}$, defined ${m}$-a.e.) as

$\displaystyle {\bf E}( f | Z^0_{o(N)}([N]))(x) := \lim_{\epsilon \rightarrow 0} \frac{1}{2\epsilon} \int_{[x-\epsilon N,x+\epsilon N]} f\ d\mu.$

By the abstract ergodic theorem from the previous post, one can also view this conditional expectation as the element in the closed convex hull of the shifts ${T^h f}$, ${h = o(N)}$ of minimal ${L^2}$ norm. In particular, we obtain a form of the von Neumann ergodic theorem in this context: the averages ${\frac{1}{H} \sum_{h=1}^H T^h f}$ for ${H=O(N)}$ converge (as a net, rather than a sequence) in ${L^2}$ to ${{\bf E}( f | Z^0_{o(N)}([N]))}$.

If ${f: [N] \rightarrow [-1,1]}$ is (the standard part of) an internal function, that is to say the ultralimit of a sequence ${f_n: [N_n] \rightarrow [-1,1]}$ of finitary bounded functions, one can view the measurable function ${F := {\bf E}( f | Z^0_{o(N)}([N]))}$ as a limit of the ${f_n}$ that is analogous to the “graphons” that emerge as limits of graphs (see e.g. the recent text of Lovasz on graph limits). Indeed, the measurable function ${F: [0,1] \rightarrow [-1,1]}$ is related to the discrete functions ${f_n: [N_n] \rightarrow [-1,1]}$ by the formula

$\displaystyle \int_a^b F(x)\ dx = \hbox{st} \lim_{n \rightarrow p} \frac{1}{N_n} \sum_{a N_n \leq m \leq b N_n} f_n(m)$

for all ${0 \leq a < b \leq 1}$, where ${p}$ is the nonprincipal ultrafilter used to define the nonstandard universe. In particular, from the Arzela-Ascoli diagonalisation argument there is a subsequence ${n_j}$ such that

$\displaystyle \int_a^b F(x)\ dx = \lim_{j \rightarrow \infty} \frac{1}{N_{n_j}} \sum_{a N_{n_j} \leq m \leq b N_{n_j}} f_n(m),$

thus ${F}$ is the asymptotic density function of the ${f_n}$. For instance, if ${f_n}$ is the indicator function of a randomly chosen subset of ${[N_n]}$, then the asymptotic density function would equal ${1/2}$ (almost everywhere, at least).

I’m continuing to look into understanding the ergodic theory of ${o(N)}$ actions, as I believe this may allow one to apply ergodic theory methods to the “single-scale” or “non-asymptotic” setting (in which one averages only over scales comparable to a large parameter ${N}$, rather than the traditional asymptotic approach of letting the scale go to infinity). I’m planning some further posts in this direction, though this is still a work in progress.

The von Neumann ergodic theorem (the Hilbert space version of the mean ergodic theorem) asserts that if ${U: H \rightarrow H}$ is a unitary operator on a Hilbert space ${H}$, and ${v \in H}$ is a vector in that Hilbert space, then one has

$\displaystyle \lim_{N \rightarrow \infty} \frac{1}{N} \sum_{n=1}^N U^n v = \pi_{H^U} v$

in the strong topology, where ${H^U := \{ w \in H: Uw = w \}}$ is the ${U}$-invariant subspace of ${H}$, and ${\pi_{H^U}}$ is the orthogonal projection to ${H^U}$. (See e.g. these previous lecture notes for a proof.) The same proof extends to more general amenable groups: if ${G}$ is a countable amenable group acting on a Hilbert space ${H}$ by unitary transformations ${g: H \rightarrow H}$, and ${v \in H}$ is a vector in that Hilbert space, then one has

$\displaystyle \lim_{N \rightarrow \infty} \frac{1}{|\Phi_N|} \sum_{g \in \Phi_N} gv = \pi_{H^G} v \ \ \ \ \ (1)$

for any Følner sequence ${\Phi_N}$ of ${G}$, where ${H^G := \{ w \in H: gw = w \hbox{ for all }g \in G \}}$ is the ${G}$-invariant subspace. Thus one can interpret ${\pi_{H^G} v}$ as a certain average of elements of the orbit ${Gv := \{ gv: g \in G \}}$ of ${v}$.

I recently discovered that there is a simple variant of this ergodic theorem that holds even when the group ${G}$ is not amenable (or not discrete), using a more abstract notion of averaging:

Theorem 1 (Abstract ergodic theorem) Let ${G}$ be an arbitrary group acting unitarily on a Hilbert space ${H}$, and let ${v}$ be a vector in ${H}$. Then ${\pi_{H^G} v}$ is the element in the closed convex hull of ${Gv := \{ gv: g \in G \}}$ of minimal norm, and is also the unique element of ${H^G}$ in this closed convex hull.

Proof: As the closed convex hull of ${Gv}$ is closed, convex, and non-empty in a Hilbert space, it is a classical fact (see e.g. Proposition 1 of this previous post) that it has a unique element ${F}$ of minimal norm. If ${g F \neq F}$ for some ${g}$, then the midpoint of ${g F}$ and ${F}$ would be in the closed convex hull and be of smaller norm, a contradiction; thus ${F}$ is ${G}$-invariant. To finish the first claim, it suffices to show that ${v-F}$ is orthogonal to every element ${h}$ of ${H^G}$. But if this were not the case for some such ${h}$, we would have ${\langle g v - F, h \rangle = \langle v-F,h\rangle \neq 0}$ for all ${g \in G}$, and thus on taking convex hulls ${\langle F-F,h\rangle = \langle f-F,h\rangle \neq 0}$, a contradiction.

Finally, since ${T_g v - F}$ is orthogonal to ${H^G}$, the same is true for ${F'-F}$ for any ${F'}$ in the closed convex hull of ${Gv}$, and this gives the second claim. $\Box$

This result is due to Alaoglu and Birkhoff. It implies the amenable ergodic theorem (1); indeed, given any ${\varepsilon>0}$, Theorem 1 implies that there is a finite convex combination ${v_\varepsilon}$ of shifts ${gv}$ of ${v}$ which lies within ${\varepsilon}$ (in the ${H}$ norm) to ${\pi_{H^G} v}$. By the triangle inequality, all the averages ${\frac{1}{|\Phi_N|} \sum_{g \in \Phi_N} gv_\varepsilon}$ also lie within ${\varepsilon}$ of ${\pi_{H^G} v}$, but by the Følner property this implies that the averages ${\frac{1}{|\Phi_N|} \sum_{g \in \Phi_N} gv}$ are eventually within ${2\varepsilon}$ (say) of ${\pi_{H^G} v}$, giving the claim.

It turns out to be possible to use Theorem 1 as a substitute for the mean ergodic theorem in a number of contexts, thus removing the need for an amenability hypothesis. Here is a basic application:

Corollary 2 (Relative orthogonality) Let ${G}$ be a group acting unitarily on a Hilbert space ${H}$, and let ${V}$ be a ${G}$-invariant closed subspace of ${H}$. Then ${V}$ and ${H^G}$ are relatively orthogonal over their common subspace ${V^G}$, that is to say the restrictions of ${V}$ and ${H^G}$ to the orthogonal complement of ${V^G}$ are orthogonal to each other.

Proof: By Theorem 1, we have ${\pi_{H^G} v = \pi_{V^G} v}$ for all ${v \in V}$, and the claim follows. (Thanks to Gergely Harcos for this short argument.) $\Box$

Now we give a more advanced application of Theorem 1, to establish some “Mackey theory” over arbitrary groups ${G}$. Define a ${G}$-system ${(X, {\mathcal X}, \mu, (T_g)_{g \in G})}$ to be a probability space ${X = (X, {\mathcal X}, \mu)}$ together with a measure-preserving action ${(T_g)_{g \in G}}$ of ${G}$ on ${X}$; this gives an action of ${G}$ on ${L^2(X) = L^2(X,{\mathcal X},\mu)}$, which by abuse of notation we also call ${T_g}$:

$\displaystyle T_g f := f \circ T_{g^{-1}}.$

(In this post we follow the usual convention of defining the ${L^p}$ spaces by quotienting out by almost everywhere equivalence.) We say that a ${G}$-system is ergodic if ${L^2(X)^G}$ consists only of the constants.

(A technical point: the theory becomes slightly cleaner if we interpret our measure spaces abstractly (or “pointlessly“), removing the underlying space ${X}$ and quotienting ${{\mathcal X}}$ by the ${\sigma}$-ideal of null sets, and considering maps such as ${T_g}$ only on this quotient ${\sigma}$-algebra (or on the associated von Neumann algebra ${L^\infty(X)}$ or Hilbert space ${L^2(X)}$). However, we will stick with the more traditional setting of classical probability spaces here to keep the notation familiar, but with the understanding that many of the statements below should be understood modulo null sets.)

A factor ${Y = (Y, {\mathcal Y}, \nu, (S_g)_{g \in G})}$ of a ${G}$-system ${X = (X,{\mathcal X},\mu, (T_g)_{g \in G})}$ is another ${G}$-system together with a factor map ${\pi: X \rightarrow Y}$ which commutes with the ${G}$-action (thus ${T_g \pi = \pi S_g}$ for all ${g \in G}$) and respects the measure in the sense that ${\mu(\pi^{-1}(E)) = \nu(E)}$ for all ${E \in {\mathcal Y}}$. For instance, the ${G}$-invariant factor ${Z^0_G(X) := (X, {\mathcal X}^G, \mu\downharpoonright_{{\mathcal X}^G}, (T_g)_{g \in G})}$, formed by restricting ${X}$ to the invariant algebra ${{\mathcal X}^G := \{ E \in {\mathcal X}: T_g E = E \hbox{ a.e. for all } g \in G \}}$, is a factor of ${X}$. (This factor is the first factor in an important hierachy, the next element of which is the Kronecker factor ${Z^1_G(X)}$, but we will not discuss higher elements of this hierarchy further here.) If ${Y}$ is a factor of ${X}$, we refer to ${X}$ as an extension of ${Y}$.

From Corollary 2 we have

Corollary 3 (Relative independence) Let ${X}$ be a ${G}$-system for a group ${G}$, and let ${Y}$ be a factor of ${X}$. Then ${Y}$ and ${Z^0_G(X)}$ are relatively independent over their common factor ${Z^0_G(Y)}$, in the sense that the spaces ${L^2(Y)}$ and ${L^2(Z^0_G(X))}$ are relatively orthogonal over ${L^2(Z^0_G(Y))}$ when all these spaces are embedded into ${L^2(X)}$.

This has a simple consequence regarding the product ${X \times Y = (X \times Y, {\mathcal X} \times {\mathcal Y}, \mu \times \nu, (T_g \oplus S_g)_{g \in G})}$ of two ${G}$-systems ${X = (X, {\mathcal X}, \mu, (T_g)_{g \in G})}$ and ${Y = (Y, {\mathcal Y}, \nu, (S_g)_{g \in G})}$, in the case when the ${Y}$ action is trivial:

Lemma 4 If ${X,Y}$ are two ${G}$-systems, with the action of ${G}$ on ${Y}$ trivial, then ${Z^0_G(X \times Y)}$ is isomorphic to ${Z^0_G(X) \times Y}$ in the obvious fashion.

This lemma is immediate for countable ${G}$, since for a ${G}$-invariant function ${f}$, one can ensure that ${T_g f = f}$ holds simultaneously for all ${g \in G}$ outside of a null set, but is a little trickier for uncountable ${G}$.

Proof: It is clear that ${Z^0_G(X) \times Y}$ is a factor of ${Z^0_G(X \times Y)}$. To obtain the reverse inclusion, suppose that it fails, thus there is a non-zero ${f \in L^2(Z^0_G(X \times Y))}$ which is orthogonal to ${L^2(Z^0_G(X) \times Y)}$. In particular, we have ${fg}$ orthogonal to ${L^2(Z^0_G(X))}$ for any ${g \in L^\infty(Y)}$. Since ${fg}$ lies in ${L^2(Z^0_G(X \times Y))}$, we conclude from Corollary 3 (viewing ${X}$ as a factor of ${X \times Y}$) that ${fg}$ is also orthogonal to ${L^2(X)}$. Since ${g}$ is an arbitrary element of ${L^\infty(Y)}$, we conclude that ${f}$ is orthogonal to ${L^2(X \times Y)}$ and in particular is orthogonal to itself, a contradiction. (Thanks to Gergely Harcos for this argument.) $\Box$

Now we discuss the notion of a group extension.

Definition 5 (Group extension) Let ${G}$ be an arbitrary group, let ${Y = (Y, {\mathcal Y}, \nu, (S_g)_{g \in G})}$ be a ${G}$-system, and let ${K}$ be a compact metrisable group. A ${K}$-extension of ${Y}$ is an extension ${X = (X, {\mathcal X}, \mu, (T_g)_{g \in G})}$ whose underlying space is ${X = Y \times K}$ (with ${{\mathcal X}}$ the product of ${{\mathcal Y}}$ and the Borel ${\sigma}$-algebra on ${K}$), the factor map is ${\pi: (y,k) \mapsto y}$, and the shift maps ${T_g}$ are given by

$\displaystyle T_g ( y, k ) = (S_g y, \rho_g(y) k )$

where for each ${g \in G}$, ${\rho_g: Y \rightarrow K}$ is a measurable map (known as the cocycle associated to the ${K}$-extension ${X}$).

An important special case of a ${K}$-extension arises when the measure ${\mu}$ is the product of ${\nu}$ with the Haar measure ${dk}$ on ${K}$. In this case, ${X}$ also has a ${K}$-action ${k': (y,k) \mapsto (y,k(k')^{-1})}$ that commutes with the ${G}$-action, making ${X}$ a ${G \times K}$-system. More generally, ${\mu}$ could be the product of ${\nu}$ with the Haar measure ${dh}$ of some closed subgroup ${H}$ of ${K}$, with ${\rho_g}$ taking values in ${H}$; then ${X}$ is now a ${G \times H}$ system. In this latter case we will call ${X}$ ${H}$-uniform.

If ${X}$ is a ${K}$-extension of ${Y}$ and ${U: Y \rightarrow K}$ is a measurable map, we can define the gauge transform ${X_U}$ of ${X}$ to be the ${K}$-extension of ${Y}$ whose measure ${\mu_U}$ is the pushforward of ${\mu}$ under the map ${(y,k) \mapsto (y, U(y) k)}$, and whose cocycles ${\rho_{g,U}: Y \rightarrow K}$ for ${g \in G}$ are given by the formula

$\displaystyle \rho_{g,U}(y) := U(gy) \rho_g(y) U(y)^{-1}.$

It is easy to see that ${X_U}$ is a ${K}$-extension that is isomorphic to ${X}$ as a ${K}$-extension of ${Y}$; we will refer to ${X_U}$ and ${X}$ as equivalent systems, and ${\rho_{g,U}}$ as cohomologous to ${\rho_g}$. We then have the following fundamental result of Mackey and of Zimmer:

Theorem 6 (Mackey-Zimmer theorem) Let ${G}$ be an arbitrary group, let ${Y}$ be an ergodic ${G}$-system, and let ${K}$ be a compact metrisable group. Then every ergodic ${K}$-extension ${X}$ of ${Y}$ is equivalent to an ${H}$-uniform extension of ${Y}$ for some closed subgroup ${H}$ of ${K}$.

This theorem is usually stated for amenable groups ${G}$, but by using Theorem 1 (or more precisely, Corollary 3) the result is in fact also valid for arbitrary groups; we give the proof below the fold. (In the usual formulations of the theorem, ${X}$ and ${Y}$ are also required to be Lebesgue spaces, or at least standard Borel, but again with our abstract approach here, such hypotheses will be unnecessary.) Among other things, this theorem plays an important role in the Furstenberg-Zimmer structural theory of measure-preserving systems (as well as subsequent refinements of this theory by Host and Kra); see this previous blog post for some relevant discussion. One can obtain similar descriptions of non-ergodic extensions by working relative to the invariant factor (or via the ergodic decomposition, if one has enough separability hypotheses on the system), but the result becomes more complicated to state, and we will not do so here; see this paper of Austin for details.

This should be the final thread (for now, at least) for the Polymath8 project (encompassing the original Polymath8a paper, the nearly finished Polymath8b paper, and the retrospective paper), superseding the previous Polymath8b thread (which was quite full) and the Polymath8a/retrospective thread (which was more or less inactive).

On Polymath8a: I talked briefly with Andrew Granville, who is handling the paper for Algebra & Number Theory, and he said that a referee report should be coming in soon.  Apparently length of the paper is a bit of an issue (not surprising, as it is 163 pages long) and there will be some suggestions to trim the size down a bit.

In view of the length issue at A&NT, I’m now leaning towards taking up Ken Ono’s offer to submit the Polymath8b paper to the new open access journal “Research in the Mathematical Sciences“.  I think the paper is almost ready to be submitted (after the current participants sign off on it, of course), but it might be worth waiting on the Polymath8a referee report in case the changes suggested impact the 8b paper.

Finally, it is perhaps time to start working on the retrospective article, and collect some impressions from participants.  I wrote up a quick draft of my own experiences, and also pasted in Pace Nielsen’s thoughts, as well as a contribution from an undergraduate following the project (Andrew Gibson).  Hopefully we can collect a few more (either through comments on this blog, through email, or through Dropbox), and then start working on editing them together and finding some suitable concluding points to make about the Polymath8 project, and what lessons we can take from it for future projects of this type.

Given two unit vectors ${v,w}$ in a real inner product space, one can define the correlation between these vectors to be their inner product ${\langle v, w \rangle}$, or in more geometric terms, the cosine of the angle ${\angle(v,w)}$ subtended by ${v}$ and ${w}$. By the Cauchy-Schwarz inequality, this is a quantity between ${-1}$ and ${+1}$, with the extreme positive correlation ${+1}$ occurring when ${v,w}$ are identical, the extreme negative correlation ${-1}$ occurring when ${v,w}$ are diametrically opposite, and the zero correlation ${0}$ occurring when ${v,w}$ are orthogonal. This notion is closely related to the notion of correlation between two non-constant square-integrable real-valued random variables ${X,Y}$, which is the same as the correlation between two unit vectors ${v,w}$ lying in the Hilbert space ${L^2(\Omega)}$ of square-integrable random variables, with ${v}$ being the normalisation of ${X}$ defined by subtracting off the mean ${\mathbf{E} X}$ and then dividing by the standard deviation of ${X}$, and similarly for ${w}$ and ${Y}$.

One can also define correlation for complex (Hermitian) inner product spaces by taking the real part ${\hbox{Re} \langle , \rangle}$ of the complex inner product to recover a real inner product.

While reading the (highly recommended) recent popular maths book “How not to be wrong“, by my friend and co-author Jordan Ellenberg, I came across the (important) point that correlation is not necessarily transitive: if ${X}$ correlates with ${Y}$, and ${Y}$ correlates with ${Z}$, then this does not imply that ${X}$ correlates with ${Z}$. A simple geometric example is provided by the three unit vectors

$\displaystyle u := (1,0); v := (\frac{1}{\sqrt{2}}, \frac{1}{\sqrt{2}}); w := (0,1)$

in the Euclidean plane ${{\bf R}^2}$: ${u}$ and ${v}$ have a positive correlation of ${\frac{1}{\sqrt{2}}}$, as does ${v}$ and ${w}$, but ${u}$ and ${w}$ are not correlated with each other. Or: for a typical undergraduate course, it is generally true that good exam scores are correlated with a deep understanding of the course material, and memorising from flash cards are correlated with good exam scores, but this does not imply that memorising flash cards is correlated with deep understanding of the course material.

However, there are at least two situations in which some partial version of transitivity of correlation can be recovered. The first is in the “99%” regime in which the correlations are very close to ${1}$: if ${u,v,w}$ are unit vectors such that ${u}$ is very highly correlated with ${v}$, and ${v}$ is very highly correlated with ${w}$, then this does imply that ${u}$ is very highly correlated with ${w}$. Indeed, from the identity

$\displaystyle \| u-v \| = 2^{1/2} (1 - \langle u,v\rangle)^{1/2}$

(and similarly for ${v-w}$ and ${u-w}$) and the triangle inequality

$\displaystyle \|u-w\| \leq \|u-v\| + \|v-w\|,$

we see that

$\displaystyle (1 - \langle u,w \rangle)^{1/2} \leq (1 - \langle u,v\rangle)^{1/2} + (1 - \langle v,w\rangle)^{1/2}. \ \ \ \ \ (1)$

Thus, for instance, if ${\langle u, v \rangle \geq 1-\varepsilon}$ and ${\langle v,w \rangle \geq 1-\varepsilon}$, then ${\langle u,w \rangle \geq 1-4\varepsilon}$. This is of course closely related to (though slightly weaker than) the triangle inequality for angles:

$\displaystyle \angle(u,w) \leq \angle(u,v) + \angle(v,w).$

Remark 1 (Thanks to Andrew Granville for conversations leading to this observation.) The inequality (1) also holds for sub-unit vectors, i.e. vectors ${u,v,w}$ with ${\|u\|, \|v\|, \|w\| \leq 1}$. This comes by extending ${u,v,w}$ in directions orthogonal to all three original vectors and to each other in order to make them unit vectors, enlarging the ambient Hilbert space ${H}$ if necessary. More concretely, one can apply (1) to the unit vectors

$\displaystyle (u, \sqrt{1-\|u\|^2}, 0, 0), (v, 0, \sqrt{1-\|v\|^2}, 0), (w, 0, 0, \sqrt{1-\|w\|^2})$

in ${H \times {\bf R}^3}$.

But even in the “${1\%}$” regime in which correlations are very weak, there is still a version of transitivity of correlation, known as the van der Corput lemma, which basically asserts that if a unit vector ${v}$ is correlated with many unit vectors ${u_1,\dots,u_n}$, then many of the pairs ${u_i,u_j}$ will then be correlated with each other. Indeed, from the Cauchy-Schwarz inequality

$\displaystyle |\langle v, \sum_{i=1}^n u_i \rangle|^2 \leq \|v\|^2 \| \sum_{i=1}^n u_i \|^2$

we see that

$\displaystyle (\sum_{i=1}^n \langle v, u_i \rangle)^2 \leq \sum_{1 \leq i,j \leq n} \langle u_i, u_j \rangle. \ \ \ \ \ (2)$

Thus, for instance, if ${\langle v, u_i \rangle \geq \varepsilon}$ for at least ${\varepsilon n}$ values of ${i=1,\dots,n}$, then (after removing those indices ${i}$ for which ${\langle v, u_i \rangle < \varepsilon}$) ${\sum_{i,j} \langle u_i, u_j \rangle}$ must be at least ${\varepsilon^4 n^2}$, which implies that ${\langle u_i, u_j \rangle \geq \varepsilon^4/2}$ for at least ${\varepsilon^4 n^2/2}$ pairs ${(i,j)}$. Or as another example: if a random variable ${X}$ exhibits at least ${1\%}$ positive correlation with ${n}$ other random variables ${Y_1,\dots,Y_n}$, then if ${n > 10,000}$, at least two distinct ${Y_i,Y_j}$ must have positive correlation with each other (although this argument does not tell you which pair ${Y_i,Y_j}$ are so correlated). Thus one can view this inequality as a sort of `pigeonhole principle” for correlation.

A similar argument (multiplying each ${u_i}$ by an appropriate sign ${\pm 1}$) shows the related van der Corput inequality

$\displaystyle (\sum_{i=1}^n |\langle v, u_i \rangle|)^2 \leq \sum_{1 \leq i,j \leq n} |\langle u_i, u_j \rangle|, \ \ \ \ \ (3)$

and this inequality is also true for complex inner product spaces. (Also, the ${u_i}$ do not need to be unit vectors for this inequality to hold.)

Geometrically, the picture is this: if ${v}$ positively correlates with all of the ${u_1,\dots,u_n}$, then the ${u_1,\dots,u_n}$ are all squashed into a somewhat narrow cone centred at ${v}$. The cone is still wide enough to allow a few pairs ${u_i, u_j}$ to be orthogonal (or even negatively correlated) with each other, but (when ${n}$ is large enough) it is not wide enough to allow all of the ${u_i,u_j}$ to be so widely separated. Remarkably, the bound here does not depend on the dimension of the ambient inner product space; while increasing the number of dimensions should in principle add more “room” to the cone, this effect is counteracted by the fact that in high dimensions, almost all pairs of vectors are close to orthogonal, and the exceptional pairs that are even weakly correlated to each other become exponentially rare. (See this previous blog post for some related discussion; in particular, Lemma 2 from that post is closely related to the van der Corput inequality presented here.)

A particularly common special case of the van der Corput inequality arises when ${v}$ is a unit vector fixed by some unitary operator ${T}$, and the ${u_i}$ are shifts ${u_i = T^i u}$ of a single unit vector ${u}$. In this case, the inner products ${\langle v, u_i \rangle}$ are all equal, and we arrive at the useful van der Corput inequality

$\displaystyle |\langle v, u \rangle|^2 \leq \frac{1}{n^2} \sum_{1 \leq i,j \leq n} |\langle T^i u, T^j u \rangle|. \ \ \ \ \ (4)$

(In fact, one can even remove the absolute values from the right-hand side, by using (2) instead of (4).) Thus, to show that ${v}$ has negligible correlation with ${u}$, it suffices to show that the shifts of ${u}$ have negligible correlation with each other.

Here is a basic application of the van der Corput inequality:

Proposition 2 (Weyl equidistribution estimate) Let ${P: {\bf Z} \rightarrow {\bf R}/{\bf Z}}$ be a polynomial with at least one non-constant coefficient irrational. Then one has

$\displaystyle \lim_{N \rightarrow \infty} \frac{1}{N} \sum_{n=1}^N e( P(n) ) = 0,$

where ${e(x) := e^{2\pi i x}}$.

Note that this assertion implies the more general assertion

$\displaystyle \lim_{N \rightarrow \infty} \frac{1}{N} \sum_{n=1}^N e( kP(n) ) = 0$

for any non-zero integer ${k}$ (simply by replacing ${P}$ by ${kP}$), which by the Weyl equidistribution criterion is equivalent to the sequence ${P(1), P(2),\dots}$ being asymptotically equidistributed in ${{\bf R}/{\bf Z}}$.

Proof: We induct on the degree ${d}$ of the polynomial ${P}$, which must be at least one. If ${d}$ is equal to one, the claim is easily established from the geometric series formula, so suppose that ${d>1}$ and that the claim has already been proven for ${d-1}$. If the top coefficient ${a_d}$ of ${P(n) = a_d n^d + \dots + a_0}$ is rational, say ${a_d = \frac{p}{q}}$, then by partitioning the natural numbers into residue classes modulo ${q}$, we see that the claim follows from the induction hypothesis; so we may assume that the top coefficient ${a_d}$ is irrational.

In order to use the van der Corput inequality as stated above (i.e. in the formalism of inner product spaces) we will need a non-principal ultrafilter ${p}$ (see e.g this previous blog post for basic theory of ultrafilters); we leave it as an exercise to the reader to figure out how to present the argument below without the use of ultrafilters (or similar devices, such as Banach limits). The ultrafilter ${p}$ defines an inner product ${\langle, \rangle_p}$ on bounded complex sequences ${z = (z_1,z_2,z_3,\dots)}$ by setting

$\displaystyle \langle z, w \rangle_p := \hbox{st} \lim_{N \rightarrow p} \frac{1}{N} \sum_{n=1}^N z_n \overline{w_n}.$

Strictly speaking, this inner product is only positive semi-definite rather than positive definite, but one can quotient out by the null vectors to obtain a positive-definite inner product. To establish the claim, it will suffice to show that

$\displaystyle \langle 1, e(P) \rangle_p = 0$

for every non-principal ultrafilter ${p}$.

Note that the space of bounded sequences (modulo null vectors) admits a shift ${T}$, defined by

$\displaystyle T (z_1,z_2,\dots) := (z_2,z_3,\dots).$

This shift becomes unitary once we quotient out by null vectors, and the constant sequence ${1}$ is clearly a unit vector that is invariant with respect to the shift. So by the van der Corput inequality, we have

$\displaystyle |\langle 1, e(P) \rangle_p| \leq \frac{1}{n^2} \sum_{1 \leq i,j \leq n} |\langle T^i e(P), T^j e(P) \rangle_p|$

for any ${n \geq 1}$. But we may rewrite ${\langle T^i e(P), T^j e(P) \rangle = \langle 1, e(T^j P - T^i P) \rangle_p}$. Then observe that if ${i \neq j}$, ${T^j P - T^i P}$ is a polynomial of degree ${d-1}$ whose ${d-1}$ coefficient is irrational, so by induction hypothesis we have ${\langle T^i e(P), T^j e(P) \rangle_p = 0}$ for ${i \neq j}$. For ${i=j}$ we of course have ${\langle T^i e(P), T^j e(P) \rangle_p = 1}$, and so

$\displaystyle |\langle 1, e(P) \rangle_p| \leq \frac{1}{n^2} \times n$

for any ${n}$. Letting ${n \rightarrow \infty}$, we obtain the claim. $\Box$