On the Formalization of the Lebesgue Integration Theory in HOL

Lebesgue integration is a fundamental concept in many mathematical theories, such as real analysis, probability and information theories. Reported higher-order-logic formalizations of the Lebesgue integral either do not include, or have a limited support for the Borel algebra, which is the canonical sigma algebra used on any metric space over which the Lebesgue integral is defined. In this report, we overcome this limitation by presenting a formalization of the Borel sigma algebra that can be used on any metric space, such as the complex numbers or the n-dimensional Euclidean space. Building on top of this framework, we have been able to prove some key Lebesgue integral properties, like its linearity and monotone convergence. Furthermore, we present the formalization of the “almost everywhere” relation and prove that the Lebesgue integral does not distinguish between functions which differ on a null set as well as other important results based on this concept. As applications, we present the verification of Markov and Chebyshev inequalities and the Weak Law of Large Numbers theorem.