Measure (mathematics) 1

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Not to be confused with Metric (mathematics).

For the coalgebraic concept, see measuring coalgebra.
In mathematical analysis, a measure on a set is a systematic way to assign a number to each suitable subset of
that set, intuitively interpreted as its size. In this sense, a measure is a generalization of the concepts of length,
area, and volume. A particularly important example is the Lebesgue measure on a Euclidean space, which assigns
the conventional length, area, and volume of Euclidean geometry to suitable subsets of the n-dimensional Euclidean
space Rn . For instance, the Lebesgue measure of the interval [0, 1] in the real numbers is its length in the everyday
sense of the word specically, 1.
Technically, a measure is a function that assigns a non-negative real number or + to (certain) subsets of a set X (see
Denition below). It must further be countably additive: the measure of a 'large' subset that can be decomposed into
a nite (or countably innite) number of 'smaller' disjoint subsets, is the sum of the measures of the smaller subsets.
In general, if one wants to associate a consistent size to each subset of a given set while satisfying the other axioms of
a measure, one only nds trivial examples like the counting measure. This problem was resolved by dening measure
only on a sub-collection of all subsets; the so-called measurable subsets, which are required to form a -algebra. This
means that countable unions, countable intersections and complements of measurable subsets are measurable. Non-
measurable sets in a Euclidean space, on which the Lebesgue measure cannot be dened consistently, are necessarily
complicated in the sense of being badly mixed up with their complement.[1] Indeed, their existence is a non-trivial
consequence of the axiom of choice.
Measure theory was developed in successive stages during the late 19th and early 20th centuries by mile Borel,
Henri Lebesgue, Johann Radon, and Maurice Frchet, among others. The main applications of measures are in the
foundations of the Lebesgue integral, in Andrey Kolmogorov's axiomatisation of probability theory and in ergodic
theory. In integration theory, specifying a measure allows one to dene integrals on spaces more general than subsets
of Euclidean space; moreover, the integral with respect to the Lebesgue measure on Euclidean spaces is more general
and has a richer theory than its predecessor, the Riemann integral. Probability theory considers measures that assign
to the whole set the size 1, and considers measurable subsets to be events whose probability is given by the measure.
Ergodic theory considers measures that are invariant under, or arise naturally from, a dynamical system.

1 Denition
Let X be a set and a -algebra over X. A function from to the extended real number line is called a measure
if it satises the following properties:

Non-negativity: For all E in : (E) 0.

Null empty set: () = 0.

Countable additivity (or -additivity): For all countable collections {Ei }

i=1 of pairwise disjoint sets in :

(
)

Ek = (Ek )
k=1 k=1

One may require that at least one set E has nite measure. Then the empty set automatically has measure zero because
of countable additivity, because

1
2 2 EXAMPLES

(E) = (E . . . ) = (E) + () + () + . . . ,

which implies (since the sum on the right thus converges to a nite value) that () = 0 .
If only the second and third conditions of the denition of measure above are met, and takes on at most one of the
values , then is called a signed measure.
The pair (X, ) is called a measurable space, the members of are called measurable sets. If (X, X ) and (Y, Y )
are two measurable spaces, then a function f : X Y is called measurable if for every Y-measurable set B Y
, the inverse image is X-measurable i.e.: f (1) (B) X . In this setup, the composition of measurable functions
is measurable, making the measurable spaces and measurable functions a category, with the measurable spaces as
objects and the set of measurable functions as arrows. See also Measurable function#Term usage variations about
another setup.
A triple (X, , ) is called a measure space. A probability measure is a measure with total measure one i.e. (X)
= 1. A probability space is a measure space with a probability measure.
For measure spaces that are also topological spaces various compatibility conditions can be placed for the measure
and the topology. Most measures met in practice in analysis (and in many cases also in probability theory) are Radon
measures. Radon measures have an alternative denition in terms of linear functionals on the locally convex space
of continuous functions with compact support. This approach is taken by Bourbaki (2004) and a number of other
sources. For more details, see the article on Radon measures.

2 Examples
Some important measures are listed here.

The counting measure is dened by (S) = number of elements in S.

The Lebesgue measure on R is a complete translation-invariant measure on a -algebra containing the intervals
in R such that ([0, 1]) = 1; and every other measure with these properties extends Lebesgue measure.

Circular angle measure is invariant under rotation, and hyperbolic angle measure is invariant under squeeze
mapping.

The Haar measure for a locally compact topological group is a generalization of the Lebesgue measure (and
also of counting measure and circular angle measure) and has similar uniqueness properties.

The Hausdor measure is a generalization of the Lebesgue measure to sets with non-integer dimension, in
particular, fractal sets.

Every probability space gives rise to a measure which takes the value 1 on the whole space (and therefore takes
all its values in the unit interval [0, 1]). Such a measure is called a probability measure. See probability axioms.

The Dirac measure a (cf. Dirac delta function) is given by a(S) = S(a), where S is the indicator function
of S. The measure of a set is 1 if it contains the point a and 0 otherwise.

Other 'named' measures used in various theories include: Borel measure, Jordan measure, ergodic measure, Euler
measure, Gaussian measure, Baire measure, Radon measure, Young measure, Loeb measure, and strong measure
zero.
In physics an example of a measure is spatial distribution of mass (see e.g., gravity potential), or another non-negative
extensive property, conserved (see conservation law for a list of these) or not. Negative values lead to signed measures,
see generalizations below.

Liouville measure, known also as the natural volume form on a symplectic manifold, is useful in classical
statistical and Hamiltonian mechanics.

Gibbs measure is widely used in statistical mechanics, often under the name canonical ensemble.
 3

3 Properties
Several further properties can be derived from the denition of a countably additive measure.

3.1 Monotonicity
A measure is monotonic: If E 1 and E 2 are measurable sets with E 1 E 2 then

(E1 ) (E2 ).

3.2 Measures of innite unions of measurable sets

A measure is countably subadditive: For any countable sequence E 1 , E 2 , E 3 , ... of sets En in (not necessarily
disjoint):

( )

Ei (Ei ).
i=1 i=1

A measure is continuous from below: If E 1 , E 2 , E 3 , ... are measurable sets and En is a subset of En for all n,
then the union of the sets En is measurable, and

( )

Ei = lim (Ei ).
i
i=1

3.3 Measures of innite intersections of measurable sets

A measure is continuous from above: If E 1 , E 2 , E 3 , ..., are measurable sets and for all n, En En, then the
intersection of the sets En is measurable; furthermore, if at least one of the En has nite measure, then

( )

Ei = lim (Ei ).
i
i=1

This property is false without the assumption that at least one of the En has nite measure. For instance, for each n
N, let En = [n, ) R, which all have innite Lebesgue measure, but the intersection is empty.

4 Sigma-nite measures
Main article: Sigma-nite measure

A measure space (X, , ) is called nite if (X) is a nite real number (rather than ). Nonzero nite measures are
analogous to probability measures in the sense that any nite measure is proportional to the probability measure
1
(X) . A measure is called -nite if X can be decomposed into a countable union of measurable sets of nite
measure. Analogously, a set in a measure space is said to have a -nite measure if it is a countable union of sets with
nite measure.
For example, the real numbers with the standard Lebesgue measure are -nite but not nite. Consider the closed
intervals [k, k+1] for all integers k; there are countably many such intervals, each has measure 1, and their union is
the entire real line. Alternatively, consider the real numbers with the counting measure, which assigns to each nite
set of reals the number of points in the set. This measure space is not -nite, because every set with nite measure
4 8 GENERALIZATIONS

contains only nitely many points, and it would take uncountably many such sets to cover the entire real line. The
-nite measure spaces have some very convenient properties; -niteness can be compared in this respect to the
Lindelf property of topological spaces. They can be also thought of as a vague generalization of the idea that a
measure space may have 'uncountable measure'.

5 Completeness
Main article: Complete measure

A measurable set X is called a null set if (X) = 0. A subset of a null set is called a negligible set. A negligible set
need not be measurable, but every measurable negligible set is automatically a null set. A measure is called complete
if every negligible set is measurable.
A measure can be extended to a complete one by considering the -algebra of subsets Y which dier by a negligible
set from a measurable set X, that is, such that the symmetric dierence of X and Y is contained in a null set. One
denes (Y) to equal (X).

6 Additivity
Measures are required to be countably additive. However, the condition can be strengthened as follows. For any set
I and any set of nonnegative ri , i I dene:

{ }

ri = sup ri : |J| < 0 , J I .
iI iJ

That is, we dene the sum of the ri to be the supremum of all the sums of nitely many of them.
A measure on is -additive if for any < and any family of disjoint sets X , < the following hold:

( )

X = (X ) .

Note that the second condition is equivalent to the statement that the ideal of null sets is -complete.

7 Non-measurable sets
Main article: Non-measurable set

If the axiom of choice is assumed to be true, it can be proved that not all subsets of Euclidean space are Lebesgue
measurable; examples of such sets include the Vitali set, and the non-measurable sets postulated by the Hausdor
paradox and the BanachTarski paradox.

8 Generalizations
For certain purposes, it is useful to have a measure whose values are not restricted to the non-negative reals or
innity. For instance, a countably additive set function with values in the (signed) real numbers is called a signed
measure, while such a function with values in the complex numbers is called a complex measure. Measures that take
 5

values in Banach spaces have been studied extensively.[2] A measure that takes values in the set of self-adjoint pro-
jections on a Hilbert space is called a projection-valued measure; these are used in functional analysis for the spectral
theorem. When it is necessary to distinguish the usual measures which take non-negative values from generalizations,
the term positive measure is used. Positive measures are closed under conical combination but not general linear
combination, while signed measures are the linear closure of positive measures.
Another generalization is the nitely additive measure, which are sometimes called contents. This is the same as
a measure except that instead of requiring countable additivity we require only nite additivity. Historically, this
denition was used rst. It turns out that in general, nitely additive measures are connected with notions such as
Banach limits, the dual of L and the Stoneech compactication. All these are linked in one way or another to the
axiom of choice.
A charge is a generalization in both directions: it is a nitely additive, signed measure.

9 See also
Abelian von Neumann algebra

Almost everywhere

Carathodorys extension theorem

Content (measure theory)

Fubinis theorem

Fatous lemma

Fuzzy measure theory

Geometric measure theory

Hausdor measure

Inner measure

Lebesgue integration

Lebesgue measure

Lorentz space

Lifting theory

Measurable function

Minkowski content

Outer measure

Product measure

Pushforward measure

Regular measure

Vector measure

Volume form

Measurable cardinal
6 12 EXTERNAL LINKS

10 References
[1] Halmos, Paul (1950), Measure theory, Van Nostrand and Co.

[2] Rao, M. M. (2012), Random and vector measures, Series on Multivariate Analysis, 9, World Scientic Publishing Co. Pte.
Ltd., Hackensack, NJ, ISBN 978-981-4350-81-5, MR 2840012.

11 Bibliography
Robert G. Bartle (1995) The Elements of Integration and Lebesgue Measure, Wiley Interscience.

Bauer, H. (2001), Measure and Integration Theory, Berlin: de Gruyter, ISBN 978-3110167191
Bear, H.S. (2001), A Primer of Lebesgue Integration, San Diego: Academic Press, ISBN 978-0120839711

Bogachev, V. I. (2006), Measure theory, Berlin: Springer, ISBN 978-3540345138

Bourbaki, Nicolas (2004), Integration I, Springer Verlag, ISBN 3-540-41129-1 Chapter III.

R. M. Dudley, 2002. Real Analysis and Probability. Cambridge University Press.

Folland, Gerald B. (1999), Real Analysis: Modern Techniques and Their Applications, John Wiley and Sons,
ISBN 0471317160 Second edition.
D. H. Fremlin, 2000. Measure Theory. Torres Fremlin.

Jech, Thomas (2003), Set Theory: The Third Millennium Edition, Revised and Expanded, Springer Verlag,
ISBN 3-540-44085-2
R. Duncan Luce and Louis Narens (1987). measurement, theory of, The New Palgrave: A Dictionary of
Economics, v. 3, pp. 42832.
M. E. Munroe, 1953. Introduction to Measure and Integration. Addison Wesley.

K. P. S. Bhaskara Rao and M. Bhaskara Rao (1983), Theory of Charges: A Study of Finitely Additive Measures,
London: Academic Press, pp. x + 315, ISBN 0-12-095780-9

Shilov, G. E., and Gurevich, B. L., 1978. Integral, Measure, and Derivative: A Unied Approach, Richard A.
Silverman, trans. Dover Publications. ISBN 0-486-63519-8. Emphasizes the Daniell integral.

Teschl, Gerald, Topics in Real and Functional Analysis, (lecture notes)

Tao, Terence (2011). An introduction to measure theory. Providence, R.I.: American Mathematical Society.
ISBN 9780821869192.
Weaver, Nik (2013). Measure theory and functional analysis. Hackensack, NJ: World Scientic. ISBN
9789814508568.

12 External links
Hazewinkel, Michiel, ed. (2001) [1994], Measure, Encyclopedia of Mathematics, Springer Science+Business
Media B.V. / Kluwer Academic Publishers, ISBN 978-1-55608-010-4

Tutorial: Measure Theory for Dummies

 7

Informally, a measure has the property of being monotone in the sense that if A is a subset of B, the measure of A is less than or
equal to the measure of B. Furthermore, the measure of the empty set is required to be 0.
8 12 EXTERNAL LINKS

( ) = ( ) + ( )
+ ( ) + ...
Countable additivity of a measure : The measure of a countable disjoint union is the same as the sum of all measures of each
subset.
 9

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