formal/lean/mathlib/analysis/calculus/fderiv_symmetric.lean

/-
Copyright (c) 2021 Sébastien Gouëzel. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Sébastien Gouëzel
-/
import analysis.calculus.deriv
import analysis.calculus.mean_value
import analysis.convex.topology

/-!
# Symmetry of the second derivative

We show that, over the reals, the second derivative is symmetric.

The most precise result is `convex.second_derivative_within_at_symmetric`. It asserts that,
if a function is differentiable inside a convex set `s` with nonempty interior, and has a second
derivative within `s` at a point `x`, then this second derivative at `x` is symmetric. Note that
this result does not require continuity of the first derivative.

The following particular cases of this statement are especially relevant:

`second_derivative_symmetric_of_eventually` asserts that, if a function is differentiable on a
neighborhood of `x`, and has a second derivative at `x`, then this second derivative is symmetric.

`second_derivative_symmetric` asserts that, if a function is differentiable, and has a second
derivative at `x`, then this second derivative is symmetric.

## Implementation note

For the proof, we obtain an asymptotic expansion to order two of `f (x + v + w) - f (x + v)`, by
using the mean value inequality applied to a suitable function along the
segment `[x + v, x + v + w]`. This expansion involves `f'' ⬝ w` as we move along a segment directed
by `w` (see `convex.taylor_approx_two_segment`).

Consider the alternate sum `f (x + v + w) + f x - f (x + v) - f (x + w)`, corresponding to the
values of `f` along a rectangle based at `x` with sides `v` and `w`. One can write it using the two
sides directed by `w`, as `(f (x + v + w) - f (x + v)) - (f (x + w) - f x)`. Together with the
previous asymptotic expansion, one deduces that it equals `f'' v w + o(1)` when `v, w` tends to `0`.
Exchanging the roles of `v` and `w`, one instead gets an asymptotic expansion `f'' w v`, from which
the equality `f'' v w = f'' w v` follows.

In our most general statement, we only assume that `f` is differentiable inside a convex set `s`, so
a few modifications have to be made. Since we don't assume continuity of `f` at `x`, we consider
instead the rectangle based at `x + v + w` with sides `v` and `w`,
in `convex.is_o_alternate_sum_square`, but the argument is essentially the same. It only works
when `v` and `w` both point towards the interior of `s`, to make sure that all the sides of the
rectangle are contained in `s` by convexity. The general case follows by linearity, though.
-/

open asymptotics set
open_locale topological_space

variables {E F : Type*} [normed_add_comm_group E] [normed_space ℝ E]
[normed_add_comm_group F] [normed_space ℝ F]
{s : set E} (s_conv : convex ℝ s)
{f : E → F} {f' : E → (E →L[ℝ] F)} {f'' : E →L[ℝ] (E →L[ℝ] F)}
(hf : ∀ x ∈ interior s, has_fderiv_at f (f' x) x)
{x : E} (xs : x ∈ s) (hx : has_fderiv_within_at f' f'' (interior s) x)

include s_conv xs hx hf

/-- Assume that `f` is differentiable inside a convex set `s`, and that its derivative `f'` is
differentiable at a point `x`. Then, given two vectors `v` and `w` pointing inside `s`, one can
Taylor-expand to order two the function `f` on the segment `[x + h v, x + h (v + w)]`, giving a
bilinear estimate for `f (x + hv + hw) - f (x + hv)` in terms of `f' w` and of `f'' ⬝ w`, up to
`o(h^2)`.

This is a technical statement used to show that the second derivative is symmetric.
-/
lemma convex.taylor_approx_two_segment
  {v w : E} (hv : x + v ∈ interior s) (hw : x + v + w ∈ interior s) :
  (λ h : ℝ, f (x + h • v + h • w) - f (x + h • v) - h • f' x w
    - h^2 • f'' v w - (h^2/2) • f'' w w) =o[𝓝[>] 0] (λ h, h^2) :=
begin
  -- it suffices to check that the expression is bounded by `ε * ((∥v∥ + ∥w∥) * ∥w∥) * h^2` for
  -- small enough `h`, for any positive `ε`.
  apply is_o.trans_is_O (is_o_iff.2 (λ ε εpos, _)) (is_O_const_mul_self ((∥v∥ + ∥w∥) * ∥w∥) _ _),
  -- consider a ball of radius `δ` around `x` in which the Taylor approximation for `f''` is
  -- good up to `δ`.
  rw [has_fderiv_within_at, has_fderiv_at_filter, is_o_iff] at hx,
  rcases metric.mem_nhds_within_iff.1 (hx εpos) with ⟨δ, δpos, sδ⟩,
  have E1 : ∀ᶠ h in 𝓝[>] (0:ℝ), h * (∥v∥ + ∥w∥) < δ,
  { have : filter.tendsto (λ h, h * (∥v∥ + ∥w∥)) (𝓝[>] (0:ℝ)) (𝓝 (0 * (∥v∥ + ∥w∥))) :=
      (continuous_id.mul continuous_const).continuous_within_at,
    apply (tendsto_order.1 this).2 δ,
    simpa only [zero_mul] using δpos },
  have E2 : ∀ᶠ h in 𝓝[>] (0:ℝ), (h : ℝ) < 1 :=
    mem_nhds_within_Ioi_iff_exists_Ioo_subset.2
      ⟨(1 : ℝ), by simp only [mem_Ioi, zero_lt_one], λ x hx, hx.2⟩,
  filter_upwards [E1, E2, self_mem_nhds_within] with h hδ h_lt_1 hpos,
  -- we consider `h` small enough that all points under consideration belong to this ball,
  -- and also with `0 < h < 1`.
  replace hpos : 0 < h := hpos,
  have xt_mem : ∀ t ∈ Icc (0 : ℝ) 1, x + h • v + (t * h) • w ∈ interior s,
  { assume t ht,
    have : x + h • v ∈ interior s :=
      s_conv.add_smul_mem_interior xs hv ⟨hpos, h_lt_1.le⟩,
    rw [← smul_smul],
    apply s_conv.interior.add_smul_mem this _ ht,
    rw add_assoc at hw,
    rw [add_assoc, ← smul_add],
    exact s_conv.add_smul_mem_interior xs hw ⟨hpos, h_lt_1.le⟩ },
  -- define a function `g` on `[0,1]` (identified with `[v, v + w]`) such that `g 1 - g 0` is the
  -- quantity to be estimated. We will check that its derivative is given by an explicit
  -- expression `g'`, that we can bound. Then the desired bound for `g 1 - g 0` follows from the
  -- mean value inequality.
  let g := λ t, f (x + h • v + (t * h) • w) - (t * h) • f' x w  - (t * h^2) • f'' v w
    - ((t * h)^2/2) • f'' w w,
  set g' := λ t, f' (x + h • v + (t * h) • w) (h • w) - h • f' x w
    - h^2 • f'' v w - (t * h^2) • f'' w w with hg',
  -- check that `g'` is the derivative of `g`, by a straightforward computation
  have g_deriv : ∀ t ∈ Icc (0 : ℝ) 1, has_deriv_within_at g (g' t) (Icc 0 1) t,
  { assume t ht,
    apply_rules [has_deriv_within_at.sub, has_deriv_within_at.add],
    { refine (hf _ _).comp_has_deriv_within_at _ _,
      { exact xt_mem t ht },
      apply_rules [has_deriv_at.has_deriv_within_at, has_deriv_at.const_add,
        has_deriv_at.smul_const, has_deriv_at_mul_const] },
    { apply_rules [has_deriv_at.has_deriv_within_at, has_deriv_at.smul_const,
        has_deriv_at_mul_const] },
    { apply_rules [has_deriv_at.has_deriv_within_at, has_deriv_at.smul_const,
        has_deriv_at_mul_const] },
    { suffices H : has_deriv_within_at (λ u, ((u * h) ^ 2 / 2) • f'' w w)
        (((((2 : ℕ) : ℝ) * (t * h) ^ (2  - 1) * (1 * h))/2) • f'' w w) (Icc 0 1) t,
      { convert H using 2,
        simp only [one_mul, nat.cast_bit0, pow_one, nat.cast_one],
        ring },
      apply_rules [has_deriv_at.has_deriv_within_at, has_deriv_at.smul_const, has_deriv_at_id',
        has_deriv_at.pow, has_deriv_at.mul_const] } },
  -- check that `g'` is uniformly bounded, with a suitable bound `ε * ((∥v∥ + ∥w∥) * ∥w∥) * h^2`.
  have g'_bound : ∀ t ∈ Ico (0 : ℝ) 1, ∥g' t∥ ≤ ε * ((∥v∥ + ∥w∥) * ∥w∥) * h^2,
  { assume t ht,
    have I : ∥h • v + (t * h) • w∥ ≤ h * (∥v∥ + ∥w∥) := calc
      ∥h • v + (t * h) • w∥ ≤ ∥h • v∥ + ∥(t * h) • w∥ : norm_add_le _ _
      ... = h * ∥v∥ + t * (h * ∥w∥) :
        by simp only [norm_smul, real.norm_eq_abs, hpos.le, abs_of_nonneg, abs_mul, ht.left,
                      mul_assoc]
      ... ≤ h * ∥v∥ + 1 * (h * ∥w∥) :
        add_le_add le_rfl (mul_le_mul_of_nonneg_right ht.2.le
          (mul_nonneg hpos.le (norm_nonneg _)))
      ... = h * (∥v∥ + ∥w∥) : by ring,
    calc ∥g' t∥ = ∥(f' (x + h • v + (t * h) • w) - f' x - f'' (h • v + (t * h) • w)) (h • w)∥ :
    begin
      rw hg',
      have : h * (t * h) = t * (h * h), by ring,
      simp only [continuous_linear_map.coe_sub', continuous_linear_map.map_add, pow_two,
        continuous_linear_map.add_apply, pi.smul_apply, smul_sub, smul_add, smul_smul, ← sub_sub,
        continuous_linear_map.coe_smul', pi.sub_apply, continuous_linear_map.map_smul, this]
    end
    ... ≤ ∥f' (x + h • v + (t * h) • w) - f' x - f'' (h • v + (t * h) • w)∥ * ∥h • w∥ :
      continuous_linear_map.le_op_norm _ _
    ... ≤ (ε * ∥h • v + (t * h) • w∥) * (∥h • w∥) :
    begin
      apply mul_le_mul_of_nonneg_right _ (norm_nonneg _),
      have H : x + h • v + (t * h) • w ∈ metric.ball x δ ∩ interior s,
      { refine ⟨_, xt_mem t ⟨ht.1, ht.2.le⟩⟩,
        rw [add_assoc, add_mem_ball_iff_norm],
        exact I.trans_lt hδ },
      simpa only [mem_set_of_eq, add_assoc x, add_sub_cancel'] using sδ H,
    end
    ... ≤ (ε * (∥h • v∥ + ∥h • w∥)) * (∥h • w∥) :
    begin
      apply mul_le_mul_of_nonneg_right _ (norm_nonneg _),
      apply mul_le_mul_of_nonneg_left _ (εpos.le),
      apply (norm_add_le _ _).trans,
      refine add_le_add le_rfl _,
      simp only [norm_smul, real.norm_eq_abs, abs_mul, abs_of_nonneg, ht.1, hpos.le, mul_assoc],
      exact mul_le_of_le_one_left (mul_nonneg hpos.le (norm_nonneg _)) ht.2.le,
    end
    ... = ε * ((∥v∥ + ∥w∥) * ∥w∥) * h^2 :
      by { simp only [norm_smul, real.norm_eq_abs, abs_mul, abs_of_nonneg, hpos.le], ring } },
  -- conclude using the mean value inequality
  have I : ∥g 1 - g 0∥ ≤ ε * ((∥v∥ + ∥w∥) * ∥w∥) * h^2, by simpa only [mul_one, sub_zero] using
    norm_image_sub_le_of_norm_deriv_le_segment' g_deriv g'_bound 1 (right_mem_Icc.2 zero_le_one),
  convert I using 1,
  { congr' 1,
    dsimp only [g],
    simp only [nat.one_ne_zero, add_zero, one_mul, zero_div, zero_mul, sub_zero, zero_smul,
      ne.def, not_false_iff, bit0_eq_zero, zero_pow'],
    abel },
  { simp only [real.norm_eq_abs, abs_mul, add_nonneg (norm_nonneg v) (norm_nonneg w),
      abs_of_nonneg, mul_assoc, pow_bit0_abs, norm_nonneg, abs_pow] }
end

/-- One can get `f'' v w` as the limit of `h ^ (-2)` times the alternate sum of the values of `f`
along the vertices of a quadrilateral with sides `h v` and `h w` based at `x`.
In a setting where `f` is not guaranteed to be continuous at `f`, we can still
get this if we use a quadrilateral based at `h v + h w`. -/
lemma convex.is_o_alternate_sum_square
  {v w : E} (h4v : x + (4 : ℝ) • v ∈ interior s) (h4w : x + (4 : ℝ) • w ∈ interior s) :
  (λ h : ℝ, f (x + h • (2 • v + 2 • w)) + f (x + h • (v + w))
    - f (x + h • (2 • v + w)) - f (x + h • (v + 2 • w)) - h^2 • f'' v w) =o[𝓝[>] 0] (λ h, h^2) :=
begin
  have A : (1 : ℝ)/2 ∈ Ioc (0 : ℝ) 1 := ⟨by norm_num, by norm_num⟩,
  have B : (1 : ℝ)/2 ∈ Icc (0 : ℝ) 1 := ⟨by norm_num, by norm_num⟩,
  have C : ∀ (w : E), (2 : ℝ) • w = 2 • w := λ w, by simp only [two_smul],
  have h2v2w : x + (2 : ℝ) • v + (2 : ℝ) • w ∈ interior s,
  { convert s_conv.interior.add_smul_sub_mem h4v h4w B using 1,
    simp only [smul_sub, smul_smul, one_div, add_sub_add_left_eq_sub, mul_add, add_smul],
    norm_num,
    simp only [show (4 : ℝ) = (2 : ℝ) + (2 : ℝ), by norm_num, add_smul],
    abel },
  have h2vww : x + (2 • v + w) + w ∈ interior s,
  { convert h2v2w using 1,
    simp only [two_smul],
    abel },
  have h2v : x + (2 : ℝ) • v ∈ interior s,
  { convert s_conv.add_smul_sub_mem_interior xs h4v A using 1,
    simp only [smul_smul, one_div, add_sub_cancel', add_right_inj],
    norm_num },
  have h2w : x + (2 : ℝ) • w ∈ interior s,
  { convert s_conv.add_smul_sub_mem_interior xs h4w A using 1,
    simp only [smul_smul, one_div, add_sub_cancel', add_right_inj],
    norm_num },
  have hvw : x + (v + w) ∈ interior s,
  { convert s_conv.add_smul_sub_mem_interior xs h2v2w A using 1,
    simp only [smul_smul, one_div, add_sub_cancel', add_right_inj, smul_add, smul_sub],
    norm_num,
    abel },
  have h2vw : x + (2 • v + w) ∈ interior s,
  { convert s_conv.interior.add_smul_sub_mem h2v h2v2w B using 1,
    simp only [smul_add, smul_sub, smul_smul, ← C],
    norm_num,
    abel },
  have hvww : x + (v + w) + w ∈ interior s,
  { convert s_conv.interior.add_smul_sub_mem h2w h2v2w B using 1,
    simp only [one_div, add_sub_cancel', inv_smul_smul₀, add_sub_add_right_eq_sub, ne.def,
      not_false_iff, bit0_eq_zero, one_ne_zero],
    rw two_smul,
    abel },
  have TA1 := s_conv.taylor_approx_two_segment hf xs hx h2vw h2vww,
  have TA2 := s_conv.taylor_approx_two_segment hf xs hx hvw hvww,
  convert TA1.sub TA2,
  ext h,
  simp only [two_smul, smul_add, ← add_assoc, continuous_linear_map.map_add,
    continuous_linear_map.add_apply, pi.smul_apply,
    continuous_linear_map.coe_smul', continuous_linear_map.map_smul],
  abel,
end

/-- Assume that `f` is differentiable inside a convex set `s`, and that its derivative `f'` is
differentiable at a point `x`. Then, given two vectors `v` and `w` pointing inside `s`, one
has `f'' v w = f'' w v`. Superseded by `convex.second_derivative_within_at_symmetric`, which
removes the assumption that `v` and `w` point inside `s`.
-/
lemma convex.second_derivative_within_at_symmetric_of_mem_interior
  {v w : E} (h4v : x + (4 : ℝ) • v ∈ interior s) (h4w : x + (4 : ℝ) • w ∈ interior s) :
  f'' w v = f'' v w :=
begin
  have A : (λ h : ℝ, h^2 • (f'' w v- f'' v w)) =o[𝓝[>] 0] (λ h, h^2),
  { convert (s_conv.is_o_alternate_sum_square hf xs hx h4v h4w).sub
            (s_conv.is_o_alternate_sum_square hf xs hx h4w h4v),
    ext h,
    simp only [add_comm, smul_add, smul_sub],
    abel },
  have B : (λ h : ℝ, f'' w v - f'' v w) =o[𝓝[>] 0] (λ h, (1 : ℝ)),
  { have : (λ h : ℝ, 1/h^2) =O[𝓝[>] 0] (λ h, 1/h^2) := is_O_refl _ _,
    have C := this.smul_is_o A,
    apply C.congr' _ _,
    { filter_upwards [self_mem_nhds_within],
      assume h hpos,
      rw [← one_smul ℝ (f'' w v - f'' v w), smul_smul, smul_smul],
      congr' 1,
      field_simp [has_lt.lt.ne' hpos] },
    { filter_upwards [self_mem_nhds_within] with _ hpos,
      field_simp [has_lt.lt.ne' hpos, has_smul.smul], }, },
  simpa only [sub_eq_zero] using is_o_const_const_iff.1 B,
end

omit s_conv xs hx hf

/-- If a function is differentiable inside a convex set with nonempty interior, and has a second
derivative at a point of this convex set, then this second derivative is symmetric. -/
theorem convex.second_derivative_within_at_symmetric
  {s : set E} (s_conv : convex ℝ s) (hne : (interior s).nonempty)
  {f : E → F} {f' : E → (E →L[ℝ] F)} {f'' : E →L[ℝ] (E →L[ℝ] F)}
  (hf : ∀ x ∈ interior s, has_fderiv_at f (f' x) x)
  {x : E} (xs : x ∈ s) (hx : has_fderiv_within_at f' f'' (interior s) x) (v w : E) :
  f'' v w = f'' w v :=
begin
  /- we work around a point `x + 4 z` in the interior of `s`. For any vector `m`,
  then `x + 4 (z + t m)` also belongs to the interior of `s` for small enough `t`. This means that
  we will be able to apply `second_derivative_within_at_symmetric_of_mem_interior` to show
  that `f''` is symmetric, after cancelling all the contributions due to `z`. -/
  rcases hne with ⟨y, hy⟩,
  obtain ⟨z, hz⟩ : ∃ z, z = ((1:ℝ) / 4) • (y - x) := ⟨((1:ℝ) / 4) • (y - x), rfl⟩,
  have A : ∀ (m : E), filter.tendsto (λ (t : ℝ), x + (4 : ℝ) • (z + t • m)) (𝓝 0) (𝓝 y),
  { assume m,
    have : x + (4 : ℝ) • (z + (0 : ℝ) • m) = y, by simp [hz],
    rw ← this,
    refine tendsto_const_nhds.add _,
    refine tendsto_const_nhds.smul _,
    refine tendsto_const_nhds.add _,
    exact continuous_at_id.smul continuous_at_const },
  have B : ∀ (m : E), ∀ᶠ t in 𝓝[>] (0 : ℝ), x + (4 : ℝ) • (z + t • m) ∈ interior s,
  { assume m,
    apply nhds_within_le_nhds,
    apply A m,
    rw [mem_interior_iff_mem_nhds] at hy,
    exact interior_mem_nhds.2 hy },
  -- we choose `t m > 0` such that `x + 4 (z + (t m) m)` belongs to the interior of `s`, for any
  -- vector `m`.
  choose t ts tpos using λ m, ((B m).and self_mem_nhds_within).exists,
  -- applying `second_derivative_within_at_symmetric_of_mem_interior` to the vectors `z`
  -- and `z + (t m) m`, we deduce that `f'' m z = f'' z m` for all `m`.
  have C : ∀ (m : E), f'' m z = f'' z m,
  { assume m,
    have : f'' (z + t m • m) (z + t 0 • 0) = f'' (z + t 0 • 0) (z + t m • m) :=
      s_conv.second_derivative_within_at_symmetric_of_mem_interior hf xs hx (ts 0) (ts m),
    simp only [continuous_linear_map.map_add, continuous_linear_map.map_smul, add_right_inj,
      continuous_linear_map.add_apply, pi.smul_apply, continuous_linear_map.coe_smul', add_zero,
      continuous_linear_map.zero_apply, smul_zero, continuous_linear_map.map_zero] at this,
    exact smul_right_injective F (tpos m).ne' this },
  -- applying `second_derivative_within_at_symmetric_of_mem_interior` to the vectors `z + (t v) v`
  -- and `z + (t w) w`, we deduce that `f'' v w = f'' w v`. Cross terms involving `z` can be
  -- eliminated thanks to the fact proved above that `f'' m z = f'' z m`.
  have : f'' (z + t v • v) (z + t w • w) = f'' (z + t w • w) (z + t v • v) :=
    s_conv.second_derivative_within_at_symmetric_of_mem_interior hf xs hx (ts w) (ts v),
  simp only [continuous_linear_map.map_add, continuous_linear_map.map_smul, smul_add, smul_smul,
    continuous_linear_map.add_apply, pi.smul_apply, continuous_linear_map.coe_smul', C] at this,
  rw ← sub_eq_zero at this,
  abel at this,
  simp only [one_zsmul, neg_smul, sub_eq_zero, mul_comm, ← sub_eq_add_neg] at this,
  apply smul_right_injective F _ this,
  simp [(tpos v).ne', (tpos w).ne']
end

/-- If a function is differentiable around `x`, and has two derivatives at `x`, then the second
derivative is symmetric. -/
theorem second_derivative_symmetric_of_eventually
  {f : E → F} {f' : E → (E →L[ℝ] F)} {f'' : E →L[ℝ] (E →L[ℝ] F)}
  (hf : ∀ᶠ y in 𝓝 x, has_fderiv_at f (f' y) y)
  (hx : has_fderiv_at f' f'' x) (v w : E) :
  f'' v w = f'' w v :=
begin
  rcases metric.mem_nhds_iff.1 hf with ⟨ε, εpos, hε⟩,
  have A : (interior (metric.ball x ε)).nonempty,
    by rwa [metric.is_open_ball.interior_eq, metric.nonempty_ball],
  exact convex.second_derivative_within_at_symmetric (convex_ball x ε) A
    (λ y hy, hε (interior_subset hy)) (metric.mem_ball_self εpos) hx.has_fderiv_within_at v w,
end

/-- If a function is differentiable, and has two derivatives at `x`, then the second
derivative is symmetric. -/
theorem second_derivative_symmetric
  {f : E → F} {f' : E → (E →L[ℝ] F)} {f'' : E →L[ℝ] (E →L[ℝ] F)}
  (hf : ∀ y, has_fderiv_at f (f' y) y)
  (hx : has_fderiv_at f' f'' x) (v w : E) :
  f'' v w = f'' w v :=
second_derivative_symmetric_of_eventually (filter.eventually_of_forall hf) hx v w