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Haar measure

From Wikipedia, the free encyclopedia
Left-invariant (or right-invariant) measure on locally compact topological group

Inmathematical analysis, theHaar measure assigns an "invariant volume" to subsets oflocally compact topological groups, consequently defining anintegral for functions on those groups.

Thismeasure was introduced byAlfréd Haar in 1933, though its special case forLie groups had been introduced byAdolf Hurwitz in 1897 under the name "invariant integral".[1][2] Haar measures are used in many parts ofanalysis,number theory,group theory,representation theory,statistics,probability theory, andergodic theory.

Preliminaries

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Let(G,){\displaystyle (G,\cdot )} be alocally compactHausdorfftopological group. Theσ{\displaystyle \sigma }-algebra generated by all open subsets ofG{\displaystyle G} is called theBorel algebra. An element of the Borel algebra is called aBorel set. Ifg{\displaystyle g} is an element ofG{\displaystyle G} andS{\displaystyle S} is a subset ofG{\displaystyle G}, then we define the left and righttranslates ofS{\displaystyle S} byg as follows:

Left and right translates map Borel sets onto Borel sets.

A measureμ{\displaystyle \mu } on the Borel subsets ofG{\displaystyle G} is calledleft-translation-invariant if for all Borel subsetsSG{\displaystyle S\subseteq G} and allgG{\displaystyle g\in G} one has

μ(gS)=μ(S).{\displaystyle \mu (gS)=\mu (S).}

A measureμ{\displaystyle \mu } on the Borel subsets ofG{\displaystyle G} is calledright-translation-invariant if for all Borel subsetsSG{\displaystyle S\subseteq G} and allgG{\displaystyle g\in G} one has

μ(Sg)=μ(S).{\displaystyle \mu (Sg)=\mu (S).}

Haar's theorem

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There is,up to a positive multiplicative constant, a uniquecountably additive, nontrivial measureμ{\displaystyle \mu } on the Borel subsets ofG{\displaystyle G} satisfying the following properties:

Such a measure onG{\displaystyle G} is called aleft Haar measure. It can be shown as a consequence of the above properties thatμ{\displaystyle \mu } is nontrivial if and only ifμ(U)>0{\displaystyle \mu (U)>0} for every non-empty open subsetUG{\displaystyle U\subseteq G}. In particular, ifG{\displaystyle G} is compact thenμ(G){\displaystyle \mu (G)} is finite and positive, so we can uniquely specify a left Haar measure onG{\displaystyle G} by adding the normalization conditionμ(G)=1{\displaystyle \mu (G)=1}.

In complete analogy, one can also prove the existence and uniqueness of aright Haar measure onG{\displaystyle G}. The two measures need not coincide.

Some authors define a Haar measure onBaire sets rather than Borel sets. This makes the regularity conditions unnecessary as Baire measures are automatically regular.Halmos[3] uses the nonstandard term "Borel set" for elements of theσ{\displaystyle \sigma }-ring generated by compact sets, and defines Haar measures on these sets.

The left Haar measure satisfies the inner regularity condition for allσ{\displaystyle \sigma }-finite Borel sets, but may not be inner regular forall Borel sets. For example, the product of theunit circle (with its usual topology) and thereal line with thediscrete topology is a locally compact group with theproduct topology and a Haar measure on this group is not inner regular for the closed subset{1}×[0,1]{\displaystyle \{1\}\times [0,1]}. (Compact subsets of this vertical segment are finite sets and points have measure0{\displaystyle 0}, so the measure of any compact subset of this vertical segment is0{\displaystyle 0}. But, using outer regularity, one can show the segment has infinite measure.)

The existence and uniqueness (up to scaling) of a left Haar measure was first proven in full generality byAndré Weil.[4] Weil's proof used theaxiom of choice andHenri Cartan furnished a proof that avoided its use.[5] Cartan's proof also establishes the existence and the uniqueness simultaneously. A simplified and complete account of Cartan's argument was given byAlfsen in 1963.[6] The special case of invariant measure forsecond-countable locally compact groups had been shown by Haar in 1933.[1]

Examples

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Construction of Haar measure

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A construction using compact subsets

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The following method of constructing Haar measure is essentially the method used by Haar and Weil.

For any subsetsS,TG{\displaystyle S,T\subseteq G} withS{\displaystyle S} nonempty define[T:S]{\displaystyle [T:S]} to be the smallest number of left translates ofS{\displaystyle S} that coverT{\displaystyle T} (so this is a non-negative integer or infinity). This is not additive on compact setsKG{\displaystyle K\subseteq G}, though it does have the property that[K:U]+[L:U]=[KL:U]{\displaystyle [K:U]+[L:U]=[K\cup L:U]} for disjoint compact setsK,LG{\displaystyle K,L\subseteq G} provided thatU{\displaystyle U} is a sufficiently small open neighborhood of the identity (depending onK{\displaystyle K} andL{\displaystyle L}). The idea of Haar measure is to take a sort of limit of[K:U]{\displaystyle [K:U]} asU{\displaystyle U} becomes smaller to make it additive on all pairs of disjoint compact sets, though it first has to be normalized so that the limit is not just infinity. So fix a compact setA{\displaystyle A} with non-empty interior (which exists as the group is locally compact) and for a compact setK{\displaystyle K} define

μA(K)=limU[K:U][A:U]{\displaystyle \mu _{A}(K)=\lim _{U}{\frac {[K:U]}{[A:U]}}}

where the limit is taken over a suitable directed set of open neighborhoods of the identity eventually contained in any given neighborhood; the existence of a directed set such that the limit exists follows usingTychonoff's theorem.

The functionμA{\displaystyle \mu _{A}} is additive on disjoint compact subsets ofG{\displaystyle G}, which implies that it is a regularcontent. From a regular content one can construct a measure by first extendingμA{\displaystyle \mu _{A}} to open sets by inner regularity, then to all sets by outer regularity, and then restricting it to Borel sets. (Even for open setsU{\displaystyle U}, the corresponding measureμA(U){\displaystyle \mu _{A}(U)} need not be given by the lim sup formula above. The problem is that the function given by the lim sup formula is not countably subadditive in general and in particular is infinite on any set without compact closure, so is not an outer measure.)

A construction using compactly supported functions

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Cartan introduced another way of constructing Haar measure as aRadon measure (a positive linear functional on compactly supported continuous functions), which is similar to the construction above except thatA{\displaystyle A},K{\displaystyle K}, andU{\displaystyle U} are positive continuous functions of compact support rather than subsets ofG{\displaystyle G}. In this case we define[K:U]{\displaystyle [K:U]} to be the infimum of numbersc1++cn{\displaystyle c_{1}+\cdots +c_{n}} such thatK(g){\displaystyle K(g)} is less than the linear combinationc1U(g1g)++cnU(gng){\displaystyle c_{1}U(g_{1}g)+\cdots +c_{n}U(g_{n}g)} of left translates ofU{\displaystyle U} for someg1,,gnG{\displaystyle g_{1},\ldots ,g_{n}\in G}.As before we define

μA(K)=limU[K:U][A:U]{\displaystyle \mu _{A}(K)=\lim _{U}{\frac {[K:U]}{[A:U]}}}.

The fact that the limit exists takes some effort to prove, though the advantage of doing this is that the proof avoids the use of the axiom of choice and also gives uniqueness of Haar measure as a by-product. The functionalμA{\displaystyle \mu _{A}} extends to a positive linear functional on compactly supported continuous functions and so gives a Haar measure. (Note that even though the limit is linear inK{\displaystyle K}, the individual terms[K:U]{\displaystyle [K:U]} are not usually linear inK{\displaystyle K}.)

A construction using mean values of functions

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Von Neumann gave a method of constructing Haar measure using mean values of functions, though it only works for compact groups. The idea is that given a functionf{\displaystyle f} on a compact group, one can find aconvex combinationaif(gig){\textstyle \sum a_{i}f(g_{i}g)} (whereai=1{\textstyle \sum a_{i}=1}) of its left translates that differs from a constant function by at most some small numberϵ{\displaystyle \epsilon }. Then one shows that asϵ{\displaystyle \epsilon } tends to zero the values of these constant functions tend to a limit, which is called the mean value (or integral) of the functionf{\displaystyle f}.

For groups that are locally compact but not compact this construction does not give Haar measure as the mean value of compactly supported functions is zero. However something like this does work foralmost periodic functions on the group which do have a mean value, though this is not given with respect to Haar measure.

A construction on Lie groups

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On ann-dimensional Lie group, Haar measure can be constructed easily as the measure induced by a left-invariantn-form. This was known before Haar's theorem.

The right Haar measure

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It can also be proved that there exists a unique (up to multiplication by a positive constant) right-translation-invariant Borel measureν{\displaystyle \nu } satisfying the above regularity conditions and being finite on compact sets, but it need not coincide with the left-translation-invariant measureμ{\displaystyle \mu }. The left and right Haar measures are the same only for so-calledunimodular groups (see below). It is quite simple, though, to find a relationship betweenμ{\displaystyle \mu } andν{\displaystyle \nu }.

Indeed, for a Borel setS{\displaystyle S}, let us denote byS1{\displaystyle S^{-1}} the set of inverses of elements ofS{\displaystyle S}. If we define

μ1(S)=μ(S1){\displaystyle \mu _{-1}(S)=\mu (S^{-1})\quad }

then this is a right Haar measure. To show right invariance, apply the definition:

μ1(Sg)=μ((Sg)1)=μ(g1S1)=μ(S1)=μ1(S).{\displaystyle \mu _{-1}(Sg)=\mu ((Sg)^{-1})=\mu (g^{-1}S^{-1})=\mu (S^{-1})=\mu _{-1}(S).\quad }

Because the right measure is unique, it follows thatμ1{\displaystyle \mu _{-1}} is a multiple ofν{\displaystyle \nu } and so

μ(S1)=kν(S){\displaystyle \mu (S^{-1})=k\nu (S)\,}

for all Borel setsS{\displaystyle S}, wherek{\displaystyle k} is some positive constant.

The modular function

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Theleft translate of a right Haar measure is a right Haar measure. More precisely, ifν{\displaystyle \nu } is a right Haar measure, then for any fixed choice of a group elementg,

Sν(g1S){\displaystyle S\mapsto \nu (g^{-1}S)\quad }

is also right invariant. Thus, by uniqueness up to a constant scaling factor of the Haar measure, there exists a functionΔ{\displaystyle \Delta } from the group to the positive reals, called theHaar modulus,modular function ormodular character, such that for every Borel setS{\displaystyle S}

ν(g1S)=Δ(g)ν(S).{\displaystyle \nu (g^{-1}S)=\Delta (g)\nu (S).\quad }

Since right Haar measure is well-defined up to a positive scaling factor, this equation shows the modular function is independent of the choice of right Haar measure in the above equation.

The modular function is a continuous group homomorphism fromG to the multiplicative group ofpositive real numbers. A group is calledunimodular if the modular function is identically1{\displaystyle 1}, or, equivalently, if the Haar measure is both left and right invariant. Examples of unimodular groups areabelian groups,compact groups,discrete groups (e.g.,finite groups),semisimple Lie groups andconnectednilpotent Lie groups.[citation needed] An example of a non-unimodular group is the group of affine transformations

{xax+b:aR{0},bR}={[ab01]}{\displaystyle {\big \{}x\mapsto ax+b:a\in \mathbb {R} \setminus \{0\},b\in \mathbb {R} {\big \}}=\left\{{\begin{bmatrix}a&b\\0&1\end{bmatrix}}\right\}}

on the real line. This example shows that asolvable Lie group need not be unimodular.In this group a left Haar measure is given by1a2dadb{\displaystyle {\frac {1}{a^{2}}}da\wedge db}, and a right Haar measure by1|a|dadb{\displaystyle {\frac {1}{|a|}}da\wedge db}.

Measures on homogeneous spaces

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If the locally compact groupG{\displaystyle G} acts transitively on ahomogeneous spaceG/H{\displaystyle G/H}, one can ask if this space has an invariant measure, or more generally a semi-invariant measure with the property thatμ(gS)=χ(g)μ(S){\displaystyle \mu (gS)=\chi (g)\mu (S)} for some characterχ{\displaystyle \chi } ofG{\displaystyle G}. A necessary and sufficient condition for the existence of such a measure is that the restrictionχ|H{\displaystyle \chi |_{H}} is equal toΔ|H/δ{\displaystyle \Delta |_{H}/\delta }, whereΔ{\displaystyle \Delta } andδ{\displaystyle \delta } are the modular functions ofG{\displaystyle G} andH{\displaystyle H} respectively.[8]In particular an invariant measure onG/H{\displaystyle G/H} exists if and only if the modular functionΔ{\displaystyle \Delta } ofG{\displaystyle G} restricted toH{\displaystyle H} is the modular functionδ{\displaystyle \delta } ofH{\displaystyle H}.

Example

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IfG{\displaystyle G} is the groupSL2(R){\displaystyle SL_{2}(\mathbb {R} )} andH{\displaystyle H} is the subgroup of upper triangular matrices, then the modular function ofH{\displaystyle H} is nontrivial but the modular function ofG{\displaystyle G} is trivial. The quotient of these cannot be extended to any character ofG{\displaystyle G}, so the quotient spaceG/H{\displaystyle G/H} (which can be thought of as 1-dimensionalreal projective space) does not have even a semi-invariant measure.

Haar integral

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Using the general theory ofLebesgue integration, one can then define an integral for all Borel measurable functionsf{\displaystyle f} onG{\displaystyle G}. This integral is called theHaar integral and is denoted as:

f(x)dμ(x){\displaystyle \int f(x)\,d\mu (x)}

whereμ{\displaystyle \mu } is the Haar measure.

One property of a left Haar measureμ{\displaystyle \mu } is that, lettings{\displaystyle s} be an element ofG{\displaystyle G}, the following is valid:

Gf(sx) dμ(x)=Gf(x) dμ(x){\displaystyle \int _{G}f(sx)\ d\mu (x)=\int _{G}f(x)\ d\mu (x)}

for any Haar integrable functionf{\displaystyle f} onG{\displaystyle G}. This is immediate forindicator functions:

1A(tg)dμ=1t1A(g)dμ=μ(t1A)=μ(A)=1A(g)dμ,{\displaystyle \int {\mathit {1}}_{A}(tg)\,d\mu =\int {\mathit {1}}_{t^{-1}A}(g)\,d\mu =\mu (t^{-1}A)=\mu (A)=\int {\mathit {1}}_{A}(g)\,d\mu ,}

which is essentially the definition of left invariance.

Uses

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In the same issue ofAnnals of Mathematics and immediately after Haar's paper, the Haar theorem was used to solveHilbert's fifth problem restricted to compact groups byJohn von Neumann.[9]

UnlessG{\displaystyle G} is a discrete group, it is impossible to define a countably additive left-invariant regular measure onall subsets ofG{\displaystyle G}, assuming theaxiom of choice, according to the theory ofnon-measurable sets.

Abstract harmonic analysis

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The Haar measures are used inharmonic analysis on locally compact groups, particularly in the theory ofPontryagin duality.[10][11][12] To prove the existence of a Haar measure on a locally compact groupG{\displaystyle G} it suffices to exhibit a left-invariantRadon measure onG{\displaystyle G}.

Mathematical statistics

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In mathematical statistics, Haar measures are used for prior measures, which areprior probabilities for compact groups of transformations. These prior measures are used to constructadmissible procedures, by appeal to the characterization of admissible procedures asBayesian procedures (or limits of Bayesian procedures) byWald. For example, a right Haar measure for a family of distributions with alocation parameter results in thePitman estimator, which isbestequivariant. When left and right Haar measures differ, the right measure is usually preferred as a prior distribution. For the group of affine transformations on the parameter space of the normal distribution, the right Haar measure is theJeffreys prior measure.[13] Unfortunately, even right Haar measures sometimes result in useless priors, which cannot be recommended for practical use, like other methods of constructing prior measures that avoid subjective information.[14]

Another use of Haar measure in statistics is inconditional inference, in which the sampling distribution of a statistic is conditioned on another statistic of the data. In invariant-theoretic conditional inference, the sampling distribution is conditioned on an invariant of the group of transformations (with respect to which the Haar measure is defined). The result of conditioning sometimes depends on the order in which invariants are used and on the choice of amaximal invariant, so that by itself astatistical principle of invariance fails to select any unique best conditional statistic (if any exist); at least another principle is needed.

For non-compact groups, statisticians have extended Haar-measure results usingamenable groups.[15]

Weil's converse theorem

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In 1936,André Weil proved a converse (of sorts) to Haar's theorem, by showing that if a group has a left invariant measure with a certainseparating property,[3] then one can define a topology on the group, and the completion of the group is locally compact and the given measure is essentially the same as the Haar measure on this completion.

See also

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Notes

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  1. ^abHaar, A. (1933), "Der Massbegriff in der Theorie der kontinuierlichen Gruppen",Annals of Mathematics, 2, vol. 34, no. 1, pp. 147–169,doi:10.2307/1968346,JSTOR 1968346
  2. ^I. M. James, History of Topology, p. 186
  3. ^abHalmos, Paul R. (1950).Measure theory. New York: Springer Science+Business Media. p. 219-220.ISBN 978-1-4684-9442-6.{{cite book}}:ISBN / Date incompatibility (help)
  4. ^Weil, André (1940),L'intégration dans les groupes topologiques et ses applications, Actualités Scientifiques et Industrielles, vol. 869, Paris: Hermann
  5. ^Cartan, Henri (1940), "Sur la mesure de Haar",Comptes Rendus de l'Académie des Sciences de Paris,211:759–762
  6. ^Alfsen, E.M. (1963),"A simplified constructive proof of existence and uniqueness of Haar measure",Math. Scand.,12:106–116,doi:10.7146/math.scand.a-10675
  7. ^Diaconis, Persi (2003-02-12)."Patterns in eigenvalues: the 70th Josiah Willard Gibbs lecture".Bulletin of the American Mathematical Society.40 (2):155–178.doi:10.1090/s0273-0979-03-00975-3.ISSN 0273-0979.
  8. ^Bourbaki, Nicolas (2004),Integration II Ch. 7 § 6 Theorem 3, Berlin-Heidelberg-New York: Springer
  9. ^von Neumann, J. (1933), "Die Einfuhrung Analytischer Parameter in Topologischen Gruppen",Annals of Mathematics, 2, vol. 34, no. 1, pp. 170–179,doi:10.2307/1968347,JSTOR 1968347
  10. ^Banaszczyk, Wojciech (1991).Additive subgroups of topological vector spaces. Lecture Notes in Mathematics. Vol. 1466. Berlin: Springer-Verlag. pp. viii+178.ISBN 3-540-53917-4.MR 1119302.
  11. ^Yurii I. Lyubich.Introduction to the Theory of Banach Representations of Groups. Translated from the 1985 Russian-language edition (Kharkov (Kharkiv), Ukraine). Birkhäuser Verlag. 1988.
  12. ^Charles F. Dunkl and Donald E. Ramirez:Topics in harmonic analysis. Appleton-Century-Crofts. 1971.ISBN 039027819X.
  13. ^Berger, James O. (1985), "6 Invariance",Statistical decision theory and Bayesian analysis (second ed.), Springer Verlag, pp. 388–432,Bibcode:1985sdtb.book.....B
  14. ^Robert, Christian P (2001).The Bayesian Choice – A Decision-Theoretic Motivation (second ed.). Springer.ISBN 0-387-94296-3.
  15. ^Bondar, James V.; Milnes, Paul (1981)."Amenability: A survey for statistical applications of Hunt–Stein and related conditions on groups".Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete.57 (1):103–128.doi:10.1007/BF00533716.

Further reading

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  • Diestel, Joe;Spalsbury, Angela (2014),The Joys of Haar measure, Graduate Studies in Mathematics, vol. 150, Providence, RI: American Mathematical Society,ISBN 978-1-4704-0935-7,MR 3186070
  • Loomis, Lynn (1953),An Introduction to Abstract Harmonic Analysis, D. van Nostrand and Co.,hdl:2027/uc1.b4250788.
  • Hewitt, Edwin; Ross, Kenneth A. (1963),Abstract harmonic analysis. Vol. I: Structure of topological groups. Integration theory, group representations., Die Grundlehren der mathematischen Wissenschaften, vol. 115, Berlin-Göttingen-Heidelberg: Springer-Verlag,MR 0156915
  • Nachbin, Leopoldo (1965),The Haar Integral, Princeton, NJ: D. Van Nostrand
  • André Weil,Basic Number Theory, Academic Press, 1971.

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