[Math] Integral of a simple function

lebesgue-integralmeasure-theoryreal-analysis

The definition of a simple function is that let ($\Omega$,F, $\mu$) be a measure space and for let $\Omega$ be written as disjoint union of $A_i$'s where $i=0,1,..,n$ .
A function $f$ from $\Omega$ to R is called simple if there exist real constants $\alpha_i$'s such that $f$ can be written in the form

$$f=\sum^n_{i=0} \alpha_i \space \chi_{A_i}$$

for all values of $\omega $'s in $\Omega$ where $\chi_{A_i}$ is the indicator function.

The integral of $f$ over a measurable set $E$ is defined as $\sum \alpha _i \cdot\mu(E ∩A_i)$

I have two questions:

  1. Do we use the same constants $\alpha _i$?
  2. How can we take the integral of a function by dividing the domain into finite "pieces" $A_i$ ?

Best Answer

The concept of the simple function becomes clearer if you take the following definition.

Definition: A simple function is a function of real value such that $Im(f)=\{\alpha_0,\alpha_1, \cdots, \alpha_n\}$.

Now, Let $(X,\Sigma)$ a measurable space, you need to prove the following:

$f$ is a simple measurable function if and only if it is written as a finite linear combination of characteristic functions of measurable sets.

Suppose first that $f$ is a simple measurable function, then we write: \begin{equation} f=\sum_{i=0}^{n}\alpha_{i}\mathcal{X}{f^{-}(\alpha_i)} \end{equation} where $\alpha_i\not=\alpha_j$ if $i\not=j$, this implies that $f^{-}(\alpha_i)\cap f^{-}(\alpha_j)=\emptyset$. And since $f$ is measurable: $$f^{-}(\alpha_i)=\{x\in X: f(x)\geq \alpha_i\}\cap\{x\in X: f(x)\leq \alpha_i\}\in\Sigma$$

Now, suppose that $f$ is written as a finite linear combination of characteristic functions of measurable sets: $$f=\sum_{i=0}^{m}c_{i}\mathcal{X}E_i$$ where $E_i$ are not necessarily disjoint.
If we choose arbitrary x, it has finite possibilities where to place within the intersections of $ E_i $, therefore there will be finite values ​​as output.

So regarding your questions

  1. The constants are the same, but keep in mind that no matter what representation $f$ has, the integral always gives the same result.
  2. When taking the integral to a simple measurable function, the domain is already divided into pieces, these become $f^{-}(\alpha_i)\cap E$
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