In measure theory, a branch of mathematics, the Lebesgue measure, named after French mathematician Henri Lebesgue, is the standard way of assigning a measure to subsets of n-dimensional Euclidean space. For n = 1, 2, or 3, it coincides with the standard measure of length, area, or volume. In general, it is also called n-dimensional volume, n-volume, or simply volume. It is used throughout real analysis, in particular to define Lebesgue integration. Sets that can be assigned a Lebesgue measure are called Lebesgue-measurable; the measure of the Lebesgue-measurable set A is here denoted by λ(A).
Henri Lebesgue described this measure in the year 1901, followed the next year by his description of the Lebesgue integral. Both were published as part of his dissertation in 1902.
For any interval , or , in the set of real numbers, let denote its length. For any subset , the Lebesgue outer measure is defined as an infimum
The above definition can be generalised to higher dimensions as follows. For any rectangular cuboid which is a product of open intervals, let denote its volume. For any subset ,
Some sets satisfy the Carathéodory criterion, which requires that for every ,
The set of all such forms a σ-algebra. For any such , its Lebesgue measure is defined to be its Lebesgue outer measure: .
A set that does not satisfy the Carathéodory criterion is not Lebesgue-measurable. ZFC proves that non-measurable sets do exist; an example is the Vitali sets.
The first part of the definition states that the subset of the real numbers is reduced to its outer measure by coverage by sets of open intervals. Each of these sets of intervals covers in a sense, since the union of these intervals contains . The total length of any covering interval set may overestimate the measure of because is a subset of the union of the intervals, and so the intervals may include points which are not in . The Lebesgue outer measure emerges as the greatest lower bound (infimum) of the lengths from among all possible such sets. Intuitively, it is the total length of those interval sets which fit most tightly and do not overlap.
That characterizes the Lebesgue outer measure. Whether this outer measure translates to the Lebesgue measure proper depends on an additional condition. This condition is tested by taking subsets of the real numbers using as an instrument to split into two partitions: the part of which intersects with and the remaining part of which is not in : the set difference of and . These partitions of are subject to the outer measure. If for all possible such subsets of the real numbers, the partitions of cut apart by have outer measures whose sum is the outer measure of , then the outer Lebesgue measure of gives its Lebesgue measure. Intuitively, this condition means that the set must not have some curious properties which causes a discrepancy in the measure of another set when is used as a "mask" to "clip" that set, hinting at the existence of sets for which the Lebesgue outer measure does not give the Lebesgue measure. (Such sets are, in fact, not Lebesgue-measurable.)
The Lebesgue measure on Rn has the following properties:
All the above may be succinctly summarized as follows (although the last two assertions are non-trivially linked to the following):
The Lebesgue measure also has the property of being σ-finite.
Main article: Null set
A subset of Rn is a null set if, for every ε > 0, it can be covered with countably many products of n intervals whose total volume is at most ε. All countable sets are null sets.
If a subset of Rn has Hausdorff dimension less than n then it is a null set with respect to n-dimensional Lebesgue measure. Here Hausdorff dimension is relative to the Euclidean metric on Rn (or any metric Lipschitz equivalent to it). On the other hand, a set may have topological dimension less than n and have positive n-dimensional Lebesgue measure. An example of this is the Smith–Volterra–Cantor set which has topological dimension 0 yet has positive 1-dimensional Lebesgue measure.
In order to show that a given set A is Lebesgue-measurable, one usually tries to find a "nicer" set B which differs from A only by a null set (in the sense that the symmetric difference (A − B) ∪ (B − A) is a null set) and then show that B can be generated using countable unions and intersections from open or closed sets.
The modern construction of the Lebesgue measure is an application of Carathéodory's extension theorem. It proceeds as follows.
Fix n ∈ N. A box in Rn is a set of the form
where bi ≥ ai, and the product symbol here represents a Cartesian product. The volume of this box is defined to be
For any subset A of Rn, we can define its outer measure λ*(A) by:
We then define the set A to be Lebesgue-measurable if for every subset S of Rn,
These Lebesgue-measurable sets form a σ-algebra, and the Lebesgue measure is defined by λ(A) = λ*(A) for any Lebesgue-measurable set A.
The existence of sets that are not Lebesgue-measurable is a consequence of the set-theoretical axiom of choice, which is independent from many of the conventional systems of axioms for set theory. The Vitali theorem, which follows from the axiom, states that there exist subsets of R that are not Lebesgue-measurable. Assuming the axiom of choice, non-measurable sets with many surprising properties have been demonstrated, such as those of the Banach–Tarski paradox.
In 1970, Robert M. Solovay showed that the existence of sets that are not Lebesgue-measurable is not provable within the framework of Zermelo–Fraenkel set theory in the absence of the axiom of choice (see Solovay's model).
The Borel measure agrees with the Lebesgue measure on those sets for which it is defined; however, there are many more Lebesgue-measurable sets than there are Borel measurable sets. The Borel measure is translation-invariant, but not complete.
The Haar measure can be defined on any locally compact group and is a generalization of the Lebesgue measure (Rn with addition is a locally compact group).
The Hausdorff measure is a generalization of the Lebesgue measure that is useful for measuring the subsets of Rn of lower dimensions than n, like submanifolds, for example, surfaces or curves in R3 and fractal sets. The Hausdorff measure is not to be confused with the notion of Hausdorff dimension.
It can be shown that there is no infinite-dimensional analogue of Lebesgue measure.