Lebesgue measure

The *Lebesgue measure* is the usual measure on the real line (or on any Cartesian space). It may be characterised as the Radon measure which is translation invariant and assigns measure $1$ to the unit interval (or unit cube). It generalises (up to a scalar constant) to Haar measure on any locally compact topological group.

The Lebesgue measure’s origins can be traced to the broader theory of Lebesgue integration. The original purpose of the latter, in broad terms, was to expand the class of integrable functions in order to give meaning to functions that are *not* Riemann integrable. In order to accomplish this, the basic properties of the concept of the *length* of an interval must be understood. This then leads to the need to fully define the concept of *measure*, particularly in relation to sets. We begin with a lemma and a corollary.

Let I be an interval, $I = I_{1} \cup I_{2} \cup \cdots$ where $I_{1}, I_{2}, \ldots$ are disjoint intervals. Then ${|I|} = \sum_{j=1}^{\infty} {|I_{j}|}$ (interpreted so that $\sum_{j=1}^{\infty} {|I_{j}|}$ can be $+\infty$, either because one of the summands is $+\infty$ or because the series diverges).

If I is any interval, then

${|I|} = inf \left\{\sum_{j=1}^{\infty} {|I_{j}|} : I \subseteq \bigcup_{j=1}^{\infty} I_{j}\right\}$

where $\{I_{j}\}$ is any countable covering of I by intervals.

Now suppose $B$ is an arbitrary set of real numbers. In order for $B$ to be measurable, we must have ${|B|} \leq \sum_{j=1}^{\infty} {|I_{j}|}$ where $\bigcup_{j=1}^{\infty} I_{j}$ is any countable covering of $B$ by intervals. We must also have ${|B|} \leq \bigcup_{j=1}^{\infty} {|I_{j}|}$ where the infinum is taken over all countable coverings of $B$ by intervals.

We define the **Lebesgue outer measure?** as follows:

${|B|} = inf \left\{\sum_{j=1}^{\infty} {|I_{j}|} : B \subseteq \bigcup_{j=1}^{\infty} I_{j}\right\}.$

The set $B$ is **Lebesgue measurable** if

${|B|} = {|A \cap B|} + {|A \setminus B|}$

holds for every set $A$. Restricting to these sets, Lebesgue outer measure becomes an honest measure.

Note that once the Lebesgue measure is known for open sets, the outer regularity property allows us to find it for all Borel sets (but also rather more sets).

For a very intuitive and readable derivation, see:

- R. Strichartz,
*The Way of Analysis*, Jones & Bartlett, 2000.

Revised on November 7, 2012 22:22:19
by Urs Schreiber
(82.169.65.155)