Wednesday, September 4, 2024

Independent invariant regular hyperreal probabilities: an existence result

A couple of years ago I showed how to construct hyperreal finitely additive probabilities on infinite sets that satisfy certain symmetry constraints and have the Bayesian regularity property that every possible outcome has non-zero probability. In this post, I want to show a result that allows one to construct such probabilities for an infinite sequence of independent random variables.

Suppose first we have a group G of symmetries acting on a space Ω. What I previously showed was that there is a hyperreal G-invariant finitely additive probability assignment on all the subsets of Ω that satisfies Bayesian regularity (i.e., P(A) > 0 for every non-empty A) if and only if the action of G on Ω is “locally finite”, i.e.:

  • For any finitely generated subgroup H of G and any point x in G, the orbit Hx is finite.

Here is today’s main result (unless there is a mistake in the proof):

Theorem. For each i in an index set, suppose we have a group Gi acting on a space Ωi. Let Ω = ∏iΩi and G = ∏iGi, and consider G acting componentwise on Ω. Then the following are equivalent:

  1. there is a hyperreal G-invariant finitely additive probability assignment on all the subsets of Ω that satisfies Bayesian regularity and the independence condition that if A1, ..., An are subsets of Ω such that Ai depends only on coordinates from Ji ⊆ I with J1, ..., Jn pairwise disjoint if and only if the action of G on Ω is locally finite

  2. there is a hyperreal G-invariant finitely additive probability assignment on all the subsets of Ω that satisfies Bayesian regularity

  3. the action of G on Ω is locally finite.

Here, an event A depends only on coordinates from a set J just in case there is a subset A′ of j ∈ JΩj such that A = {ω ∈ Ω : ω|J ∈ A′} (I am thinking of the members of a product of sets as functions from the index set to the union of the Ωi). For brevity, I will omit “finitely additive” from now on.

The equivalence of (b) and (c) is from my old result, and the implication from (a) to (b) is trivial, so the only thing to be shown is that (c) implies (a).

Example: If each group Gi is finite and of size at most N for a fixed N, then the local finiteness condition is met. (Each such group can be embedded into the symmetric group SN, and any power of a finite group is locally finite, so a fortiori its action is locally finite.) In particular, if all of the groups Gi are the same and finite, the condition is met. An example like that is where we have an infinite sequence of coin tosses, and the symmetry on each coin toss is the reversal of the coin.

Philosophical note: The above gives us the kind of symmetry we want for each individual independent experiment. But intuitively, if the experiments are identically distributed, we will want invariance with respect to a shuffling of the experiments. We are unlikely to get that, because the shuffling is unlikely to satisfy the local finiteness condition. For instance, for a doubly infinite sequence of coin tosses, we would want invariance with respect to shifting the sequence, and that doesn’t satisfy local finiteness.

Now, on to a sketch of the proof from (c) to (a). The proof uses a sequence of three reductions using an ultraproduct construction to cases exhibiting more and more finiteness.

First, note that without loss of generality, the index set I can be taken to be finite. For if it’s infinite, for any finite partition K of I, and any J ∈ K, let GJ = ∏i ∈ JGi, let ΩJ = ∏i ∈ JΩi, with the obvious action of GJ on ΩJ. Then G is isomorphic to J ∈ KGJ and Ω to J ∈ KΩJ. Then if we have the result for finite index sets, we will get a regular hyperreal G-invariant probability on Ω that satisfies the independence condition in the special case where J1, ..., Jn are such that Ji and Jj for distinct i and j are such that at least one of Ji ∩ J and Jj ∩ J is empty for every J ∈ K. We then take an ultraproduct of these probability measures with respect to K and an ultrafilter on the partially ordered set of finite partitions of I ordered by fineness, and then we get the independence condition in full generality.

Second, without loss of generality, the groups Gi can be taken as finitely generated. For suppose we can construct a regular probability that is invariant under H = ∏iHi where Hi is a finitely generated subgroup of Gi and satisfies the independence condition. Then we take an ultraproduct with respect to an ultrafilter on the partially ordered set of sequences of finitely generated groups (Hi)i ∈ I where Hi is a subgroup of Gi and where the set is ordered by componentwise inclusion.

Third, also without loss of generality, the sets Ωi can be taken to be finite, by replacing each Ωi with an orbit of some finite collection of elements under the action of the finitely generated Gi, since such orbits will be finite by local finiteness, and once again taking an appropriate ultraproduct with respect to an ultrafilter on the partially ordered set of sequences of finite subsets of Ωi closed under Gi ordered by componentwise inclusion. The Bayesian regularity condition will hold for the ultraproduct if it holds for each factor in the ultraproduct.

We have thus reduced everything to the case where I is finite and each Ωi is finite. The existence of the hyperreal G-invariant finitely additive regular probability measure is now trivial: just let P(A) = |A|/|Ω| for every A ⊆ Ω. (In fact, the measure is countably additive and not merely finitely additive, real and not merely hyperreal, and invariant not just under the action of G but under all permutations.)

No comments: