From 4a9ac7e8e5552992ec780f1c18c88e36d577a1a5 Mon Sep 17 00:00:00 2001
From: Thibaut Horel <thibaut.horel@gmail.com>
Date: Sun, 19 Oct 2014 14:36:00 -0400
Subject: [ps2] additional problem

---
 ps2/main.tex | 103 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++--
 1 file changed, 100 insertions(+), 3 deletions(-)

(limited to 'ps2/main.tex')

diff --git a/ps2/main.tex b/ps2/main.tex
index a207b12..6979b97 100644
--- a/ps2/main.tex
+++ b/ps2/main.tex
@@ -21,9 +21,11 @@
      \setlength{\itemsep}{-1ex} \setlength{\parsep}{0pt}}%
   {\end{description}}
 
-\DeclareMathOperator*{\E}{\mathbb{E}}
+\DeclareMathOperator{\E}{\mathbb{E}}
 \let\Pr\relax
-\DeclareMathOperator*{\Pr}{\mathbb{P}}
+\DeclareMathOperator{\Pr}{\mathbb{P}}
+\newcommand{\ex}[2][]{\E_{#1}\left[#2\right]}
+\newcommand{\prob}[2][]{\Pr_{#1}\left[#2\right]}
 
 \newcommand{\inprod}[1]{\left\langle #1 \right\rangle}
 \newcommand{\R}{\mathbb{R}}
@@ -33,7 +35,7 @@
 \newtheorem{theorem}{Theorem}
 \newtheorem{lemma}{Lemma}
 
-\author{Thibaut Horel \& Paul Tylkin}
+\author{Thibaut Horel \and Paul Tylkin}
 \title{Economics 2099 Problem Set 2 -- Solutions}
 
 \begin{document}
@@ -47,4 +49,99 @@
 
 \section*{Additional Problem}
 
+We prove that $\ex[\mathbf{F}]{\max_i
+v_i}\leq\frac{e}{e-1}\ex[\mathbf{F}^I]{\max_i v_i}$. We first prove it for
+finite support distributions by reduction to Lemma 4.13 in the lecture notes.
+We then extend the result to general distributions using a density argument
+(general distributions can be approximated arbitrarily well by finite support
+distributions).
+
+\paragraph{Finite support distributions}
+Let us first assume that $\mathbf{F}$ has a finite support. We write $A_i$ the
+set of atoms of $\mathbf{F}_i$ (the $i$-th marginal of $\mathbf{F}$) so that
+both $\mathbf{F}$ and $\mathbf{F}^I$ define a probability distribution over
+$A_1\times\ldots\times A_n$. We now define $A$ to be the disjoint union of
+$A_1$ to $A_n$:
+\begin{displaymath}
+    A = \coprod_{i=1}^n A_i
+    = \big\{ (a, i)\, |\, x\in A_i,\; 1\leq i \leq n\big\}
+\end{displaymath}
+
+Note that there is a canonical injection from $A_1\times\ldots\times A_n$ to
+$\mathcal{P}(A)$:
+\begin{displaymath}
+    (a_1,\ldots, a_n)\mapsto \big\{ (a_1, 1),\ldots, (a_n, n)\big\}
+\end{displaymath}
+so that $\mathbf{F}$ and $\mathbf{F}^I$ naturally define a probability
+distribution over subsets of $A$:
+\begin{displaymath}
+    \Pr^A_{\mathbf{F}}\big( \{(a_1, i_1),\ldots,(a_k, i_k)\}\big) = 
+    \begin{cases}
+        \Pr_{\mathbf{F}} (a_1,\ldots, a_k)&\text{if } \{i_1,\ldots,i_k\}
+    = \{1,\ldots, n\}\\
+    0&\text{otherwise}
+    \end{cases}
+\end{displaymath}
+and similarly for $\Pr^A_{\mathbf{F^I}}$. That is, the only subsets of $A$ which
+have a non-zero probability are the ones which ``correspond'' to a $n$-tuple in
+$A_1\times\ldots\times A_n$ (they are in the image of the canonical injection
+given above).
+
+Similarly, the function $\max_i v_i$ defined over $A_1\times\ldots\times A_n$
+can be extended to subsets of $A$ by:
+\begin{displaymath}
+    g(\{(a_1, i_1),\ldots, (a_k, i_k)\}) \eqdef \max\{a_1,\ldots, a_k\}
+\end{displaymath}
+
+The consequence of this construction\footnote{This construction might appear
+    a bit technical. What we would naturally do is to consider the set of all
+    atoms across all coordinates, but this would not work in cases where the
+    same atom can appear at different coordinates. This is why we have to
+    consider the disjoin union, with ``independent'' copies of the atoms.} is
+    the following key property:
+\begin{displaymath}
+    \E_{S\sim\Pr_{\mathbf{F}}^A}[g(S)] = \E_{\mathbf{F}}[\max_i v_i]
+\end{displaymath}
+and similarly for $\mathbf{F}^I$. Now, we note that $g$ is
+a maximum-weight-element set function, where the weight of $(a, i)\in A$ is
+simply $a$. Hence we can apply Lemma 4.13 to $g$ for subsets of $A$ and obtain:
+\begin{displaymath}
+    \E_{\mathbf{F}}[\max_i v_i] = 
+    \E_{S\sim\Pr_{\mathbf{F}}^A}[g(S)]
+    \geq \frac{e}{e-1}
+    \E_{S\sim\Pr_{\mathbf{F^I}}^A}[g(S)]=
+    \E_{\mathbf{F^I}}[\max_i v_i]
+\end{displaymath}
+
+\paragraph{General distributions} We first look at a continuous distribution
+$\mathbf{F}$ with bounded support. On the support of $\mathbf{F}$, it is
+possible to approximate its CDF arbitrarily well in $L^\infty$ norm (hence in
+$L^2$ norm since we are on a bounded set) by simple functions (convex
+combination of step functions). But a step function is simply the CDF of
+a dirac distribution. Hence, we can approximate $\mathbf{F}$ arbitrarily well
+in $L^2$ norm with finite support distributions. But convergence in $L^2$ norm
+implies weak convergence by Cauchy-Schwarz inequality. That is, we have
+a sequence $F_n$ of finite support distribution such that:
+\begin{displaymath}
+    \E_{F_n}[\max_i v_i] \xrightarrow[n\rightarrow \infty]{} \E_F[\max_i v_i]
+\end{displaymath}
+we can apply the previous result for each of the $F_n$ and take the limit to
+obtain again:
+\begin{displaymath}
+    \E_{\mathbf{F}}[\max_i v_i] \geq \E_{\mathbf{F^I}}[\max_i v_i]
+\end{displaymath}
+
+When $\mathbf{F}$ does not have bounded support, we can truncate $\mathbf{F}$
+by considering its restriction to an increasing sequence of bounded rectangles:
+$K_n = \prod_{i=1}^n [-n, n]$. We can apply the previous result to each of the
+truncated distributions and again take the limit as $n\rightarrow\infty$. The
+validity of this last limit will depend on the exact technical assumptions we
+make on $\mathbf{F}$ (basically we need $F$ to be quickly decreasing outside of
+bounded intervals).
+
+More generally, the previous approach will apply as long as we are considering
+a distribution $\mathbf{F}$ in a space of distributions for which finite
+support distributions are dense for the weak topology. There are various
+assumptions with various level of technicality which imply such a density.
+
 \end{document}
-- 
cgit v1.2.3-70-g09d2

