(* ========================================================================= *)
(* Multivariate calculus in Euclidean space.                                 *)
(*                                                                           *)
(*              (c) Copyright, John Harrison 1998-2008                       *)
(* ========================================================================= *)

needs "Multivariate/dimension.ml";;

(* ------------------------------------------------------------------------- *)
(* Derivatives. The definition is slightly tricky since we make it work over *)
(* nets of a particular form. This lets us prove theorems generally and use  *)
(* "at a" or "at a within s" for restriction to a set (1-sided on R etc.)    *)
(* ------------------------------------------------------------------------- *)

parse_as_infix ("has_derivative",(12,"right"));;

let has_derivative = new_definition
  `(f has_derivative f') net <=>
        linear f' /\
        ((\y. inv(norm(y - netlimit net)) %
              (f(y) -
               (f(netlimit net) + f'(y - netlimit net)))) --> vec 0) net`;;

(* ------------------------------------------------------------------------- *)
(* These are the only cases we'll care about, probably.                      *)
(* ------------------------------------------------------------------------- *)

let has_derivative_within = prove
 (`!f:real^M->real^N f' x s.
    (f has_derivative f') (at x within s) <=>
         linear f' /\
         ((\y. inv(norm(y - x)) % (f(y) - (f(x) + f'(y - x)))) --> vec 0)
         (at x within s)`,
  REPEAT GEN_TAC THEN REWRITE_TAC[has_derivative] THEN AP_TERM_TAC THEN
  ASM_CASES_TAC `trivial_limit(at (x:real^M) within s)` THENL
   [ASM_REWRITE_TAC[LIM]; ASM_SIMP_TAC[NETLIMIT_WITHIN]]);;

let has_derivative_at = prove
 (`!f:real^M->real^N f' x.
    (f has_derivative f') (at x) <=>
         linear f' /\
         ((\y. inv(norm(y - x)) % (f(y) - (f(x) + f'(y - x)))) --> vec 0)
         (at x)`,
  ONCE_REWRITE_TAC[GSYM WITHIN_UNIV] THEN
  REWRITE_TAC[has_derivative_within]);;

(* ------------------------------------------------------------------------- *)
(* More explicit epsilon-delta forms.                                        *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_WITHIN = prove
 (`(f has_derivative f')(at x within s) <=>
        linear f' /\
        !e. &0 < e
            ==> ?d. &0 < d /\
                    !x'. x' IN s /\
                         &0 < norm(x' - x) /\ norm(x' - x) < d
                         ==> norm(f(x') - f(x) - f'(x' - x)) /
                             norm(x' - x) < e`,
  SIMP_TAC[has_derivative_within; LIM_WITHIN] THEN AP_TERM_TAC THEN
  REWRITE_TAC[dist; VECTOR_ARITH `(x' - (x + d)) = x' - x - d:real^N`] THEN
  REWRITE_TAC[real_div; VECTOR_SUB_RZERO; NORM_MUL] THEN
  REWRITE_TAC[REAL_MUL_AC; REAL_ABS_INV; REAL_ABS_NORM]);;

let HAS_DERIVATIVE_AT = prove
 (`(f has_derivative f')(at x) <=>
        linear f' /\
        !e. &0 < e
            ==> ?d. &0 < d /\
                    !x'. &0 < norm(x' - x) /\ norm(x' - x) < d
                         ==> norm(f(x') - f(x) - f'(x' - x)) /
                             norm(x' - x) < e`,
  ONCE_REWRITE_TAC[GSYM WITHIN_UNIV] THEN
  REWRITE_TAC[HAS_DERIVATIVE_WITHIN; IN_UNIV]);;

let HAS_DERIVATIVE_AT_WITHIN = prove
 (`!f x s. (f has_derivative f') (at x)
           ==> (f has_derivative f') (at x within s)`,
  REWRITE_TAC[HAS_DERIVATIVE_WITHIN; HAS_DERIVATIVE_AT] THEN MESON_TAC[]);;

let HAS_DERIVATIVE_WITHIN_OPEN = prove
 (`!f f' a s.
         a IN s /\ open s
         ==> ((f has_derivative f') (at a within s) <=>
              (f has_derivative f') (at a))`,
  SIMP_TAC[has_derivative_within; has_derivative_at; LIM_WITHIN_OPEN]);;

(* ------------------------------------------------------------------------- *)
(* Combining theorems.                                                       *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_LINEAR = prove
 (`!f net. linear f ==> (f has_derivative f) net`,
  REWRITE_TAC[has_derivative; linear] THEN
  SIMP_TAC[VECTOR_ARITH `x - y = x + --(&1) % y`] THEN
  REWRITE_TAC[VECTOR_ARITH `x + --(&1) % (y + x + --(&1) % y) = vec 0`] THEN
  REWRITE_TAC[VECTOR_MUL_RZERO; LIM_CONST]);;

let HAS_DERIVATIVE_ID = prove
 (`!net. ((\x. x) has_derivative (\h. h)) net`,
  SIMP_TAC[HAS_DERIVATIVE_LINEAR; LINEAR_ID]);;

let HAS_DERIVATIVE_CONST = prove
 (`!c net. ((\x. c) has_derivative (\h. vec 0)) net`,
  REPEAT GEN_TAC THEN REWRITE_TAC[has_derivative; linear] THEN
  REWRITE_TAC[VECTOR_ADD_RID; VECTOR_SUB_REFL; VECTOR_MUL_RZERO; LIM_CONST]);;

let HAS_DERIVATIVE_CMUL = prove
 (`!f f' net c. (f has_derivative f') net
                ==> ((\x. c % f(x)) has_derivative (\h. c % f'(h))) net`,
  REPEAT GEN_TAC THEN SIMP_TAC[has_derivative; LINEAR_COMPOSE_CMUL] THEN
  DISCH_THEN(MP_TAC o SPEC `c:real` o MATCH_MP LIM_CMUL o CONJUNCT2) THEN
  REWRITE_TAC[VECTOR_MUL_RZERO] THEN
  MATCH_MP_TAC EQ_IMP THEN
  AP_THM_TAC THEN AP_THM_TAC THEN
  AP_TERM_TAC THEN ABS_TAC THEN VECTOR_ARITH_TAC);;

let HAS_DERIVATIVE_CMUL_EQ = prove
 (`!f f' net c.
       ~(c = &0)
       ==> (((\x. c % f(x)) has_derivative (\h. c % f'(h))) net <=>
            (f has_derivative f') net)`,
  REPEAT STRIP_TAC THEN EQ_TAC THEN
  DISCH_THEN(MP_TAC o MATCH_MP HAS_DERIVATIVE_CMUL) THENL
   [DISCH_THEN(MP_TAC o SPEC `inv(c):real`);
    DISCH_THEN(MP_TAC o SPEC `c:real`)] THEN
  ASM_SIMP_TAC[VECTOR_MUL_ASSOC; REAL_MUL_LINV; VECTOR_MUL_LID; ETA_AX]);;

let HAS_DERIVATIVE_NEG = prove
 (`!f f' net. (f has_derivative f') net
            ==> ((\x. --(f(x))) has_derivative (\h. --(f'(h)))) net`,
  ONCE_REWRITE_TAC[VECTOR_NEG_MINUS1] THEN
  SIMP_TAC[HAS_DERIVATIVE_CMUL]);;

let HAS_DERIVATIVE_NEG_EQ = prove
 (`!f f' net. ((\x. --(f(x))) has_derivative (\h. --(f'(h)))) net <=>
              (f has_derivative f') net`,
  REPEAT GEN_TAC THEN EQ_TAC THEN
  DISCH_THEN(MP_TAC o MATCH_MP HAS_DERIVATIVE_NEG) THEN
  REWRITE_TAC[VECTOR_NEG_NEG; ETA_AX]);;

let HAS_DERIVATIVE_ADD = prove
 (`!f f' g g' net.
        (f has_derivative f') net /\ (g has_derivative g') net
        ==> ((\x. f(x) + g(x)) has_derivative (\h. f'(h) + g'(h))) net`,
  REPEAT GEN_TAC THEN SIMP_TAC[has_derivative; LINEAR_COMPOSE_ADD] THEN
  DISCH_THEN(MP_TAC o MATCH_MP (TAUT `(a /\ b) /\ (c /\ d) ==> b /\ d`)) THEN
  DISCH_THEN(MP_TAC o MATCH_MP LIM_ADD) THEN REWRITE_TAC[VECTOR_ADD_LID] THEN
  MATCH_MP_TAC EQ_IMP THEN
  AP_THM_TAC THEN AP_THM_TAC THEN
  AP_TERM_TAC THEN ABS_TAC THEN VECTOR_ARITH_TAC);;

let HAS_DERIVATIVE_SUB = prove
 (`!f f' g g' net.
        (f has_derivative f') net /\ (g has_derivative g') net
        ==> ((\x. f(x) - g(x)) has_derivative (\h. f'(h) - g'(h))) net`,
  SIMP_TAC[VECTOR_SUB; HAS_DERIVATIVE_ADD; HAS_DERIVATIVE_NEG]);;

let HAS_DERIVATIVE_VSUM = prove
 (`!f net s.
     FINITE s /\
     (!a. a IN s ==> ((f a) has_derivative (f' a)) net)
     ==> ((\x. vsum s (\a. f a x)) has_derivative (\h. vsum s (\a. f' a h)))
          net`,
  GEN_TAC THEN GEN_TAC THEN REWRITE_TAC[IMP_CONJ] THEN
  MATCH_MP_TAC FINITE_INDUCT_STRONG THEN
  SIMP_TAC[VSUM_CLAUSES; HAS_DERIVATIVE_CONST] THEN
  REPEAT STRIP_TAC THEN MATCH_MP_TAC HAS_DERIVATIVE_ADD THEN
  REWRITE_TAC[ETA_AX] THEN ASM_SIMP_TAC[IN_INSERT]);;

let HAS_DERIVATIVE_VSUM_NUMSEG = prove
 (`!f net m n.
     (!i. m <= i /\ i <= n ==> ((f i) has_derivative (f' i)) net)
     ==> ((\x. vsum (m..n) (\i. f i x)) has_derivative
          (\h. vsum (m..n) (\i. f' i h))) net`,
  REPEAT STRIP_TAC THEN MATCH_MP_TAC HAS_DERIVATIVE_VSUM THEN
  ASM_REWRITE_TAC[IN_NUMSEG; FINITE_NUMSEG]);;

(* ------------------------------------------------------------------------- *)
(* Somewhat different results for derivative of scalar multiplier.           *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_VMUL_COMPONENT = prove
 (`!c:real^M->real^N c' k v:real^P.
        1 <= k /\ k <= dimindex(:N) /\ (c has_derivative c') net
        ==> ((\x. c(x)$k % v) has_derivative (\x. c'(x)$k % v)) net`,
  SIMP_TAC[has_derivative; LINEAR_VMUL_COMPONENT] THEN
  REPEAT STRIP_TAC THEN
  REWRITE_TAC[GSYM VECTOR_ADD_RDISTRIB; GSYM VECTOR_SUB_RDISTRIB] THEN
  SUBST1_TAC(VECTOR_ARITH `vec 0 = &0 % (v:real^P)`) THEN
  REWRITE_TAC[VECTOR_MUL_ASSOC] THEN MATCH_MP_TAC LIM_VMUL THEN
  ASM_SIMP_TAC[GSYM VECTOR_SUB_COMPONENT; GSYM VECTOR_ADD_COMPONENT] THEN
  ASM_SIMP_TAC[GSYM VECTOR_MUL_COMPONENT] THEN
  FIRST_X_ASSUM(MP_TAC o GEN_REWRITE_RULE I [LIM]) THEN REWRITE_TAC[LIM] THEN
  REWRITE_TAC[dist; LIFT_NUM; VECTOR_SUB_RZERO; o_THM; NORM_LIFT] THEN
  ASM_SIMP_TAC[VECTOR_MUL_COMPONENT; REAL_ABS_MUL; NORM_MUL] THEN
  ASM_MESON_TAC[REAL_LET_TRANS; COMPONENT_LE_NORM;
                REAL_LE_LMUL; REAL_ABS_POS]);;

let HAS_DERIVATIVE_VMUL_DROP = prove
 (`!c c' v. (c has_derivative c') net
            ==> ((\x. drop(c(x)) % v) has_derivative (\x. drop(c'(x)) % v)) net`,
  SIMP_TAC[drop; LE_REFL; DIMINDEX_1; HAS_DERIVATIVE_VMUL_COMPONENT]);;

let HAS_DERIVATIVE_LIFT_DOT = prove
 (`!f:real^M->real^N f'.
     (f has_derivative f') net
     ==> ((\x. lift(v dot f(x))) has_derivative (\t. lift(v dot (f' t)))) net`,
  REPEAT GEN_TAC THEN REWRITE_TAC[has_derivative] THEN
  REWRITE_TAC[GSYM LIFT_SUB; GSYM LIFT_ADD; GSYM LIFT_CMUL] THEN
  REWRITE_TAC[GSYM DOT_RADD; GSYM DOT_RSUB; GSYM DOT_RMUL] THEN
  SUBGOAL_THEN
   `(\t. lift (v dot (f':real^M->real^N) t)) = (\y. lift(v dot y)) o f'`
  SUBST1_TAC THENL [REWRITE_TAC[o_DEF]; ALL_TAC] THEN
  SIMP_TAC[LINEAR_COMPOSE; LINEAR_LIFT_DOT] THEN
  DISCH_THEN(MP_TAC o MATCH_MP LIM_LIFT_DOT o CONJUNCT2) THEN
  SIMP_TAC[o_DEF; DOT_RZERO; LIFT_NUM]);;

(* ------------------------------------------------------------------------- *)
(* Limit transformation for derivatives.                                     *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_TRANSFORM_WITHIN = prove
 (`!f f' g x s d.
       &0 < d /\ x IN s /\
       (!x'. x' IN s /\ dist (x',x) < d ==> f x' = g x') /\
       (f has_derivative f') (at x within s)
       ==> (g has_derivative f') (at x within s)`,
  REPEAT GEN_TAC THEN SIMP_TAC[has_derivative_within; IMP_CONJ] THEN
  REPLICATE_TAC 4 DISCH_TAC THEN
  MATCH_MP_TAC(REWRITE_RULE[TAUT `a /\ b /\ c ==> d <=> a /\ b ==> c ==> d`]
    LIM_TRANSFORM_WITHIN) THEN
  EXISTS_TAC `d:real` THEN ASM_SIMP_TAC[DIST_REFL]);;

let HAS_DERIVATIVE_TRANSFORM_AT = prove
 (`!f f' g x d.
       &0 < d /\ (!x'. dist (x',x) < d ==> f x' = g x') /\
       (f has_derivative f') (at x)
       ==> (g has_derivative f') (at x)`,
  ONCE_REWRITE_TAC[GSYM WITHIN_UNIV] THEN
  MESON_TAC[HAS_DERIVATIVE_TRANSFORM_WITHIN; IN_UNIV]);;

let HAS_DERIVATIVE_TRANSFORM_WITHIN_OPEN = prove
 (`!f g:real^M->real^N s x.
        open s /\ x IN s /\
        (!y. y IN s ==> f y = g y) /\
        (f has_derivative f') (at x)
        ==> (g has_derivative f') (at x)`,
  REPEAT GEN_TAC THEN SIMP_TAC[has_derivative_at; IMP_CONJ] THEN
  REPLICATE_TAC 4 DISCH_TAC THEN
  MATCH_MP_TAC(REWRITE_RULE
    [TAUT `a /\ b /\ c /\ d ==> e <=> a /\ b /\ c ==> d ==> e`]
    LIM_TRANSFORM_WITHIN_OPEN) THEN
  EXISTS_TAC `s:real^M->bool` THEN ASM_SIMP_TAC[]);;

(* ------------------------------------------------------------------------- *)
(* Differentiability.                                                        *)
(* ------------------------------------------------------------------------- *)

parse_as_infix ("differentiable",(12,"right"));;
parse_as_infix ("differentiable_on",(12,"right"));;

let differentiable = new_definition
  `f differentiable net <=> ?f'. (f has_derivative f') net`;;

let differentiable_on = new_definition
  `f differentiable_on s <=> !x. x IN s ==> f differentiable (at x within s)`;;

let HAS_DERIVATIVE_IMP_DIFFERENTIABLE = prove
 (`!f f' net. (f has_derivative f') net ==> f differentiable net`,
  REWRITE_TAC[differentiable] THEN MESON_TAC[]);;

let DIFFERENTIABLE_AT_WITHIN = prove
 (`!f s x. f differentiable (at x)
           ==> f differentiable (at x within s)`,
  REWRITE_TAC[differentiable] THEN MESON_TAC[HAS_DERIVATIVE_AT_WITHIN]);;

let DIFFERENTIABLE_WITHIN_OPEN = prove
 (`!f a s.
         a IN s /\ open s
         ==> (f differentiable (at a within s) <=> (f differentiable (at a)))`,
  SIMP_TAC[differentiable; HAS_DERIVATIVE_WITHIN_OPEN]);;

let DIFFERENTIABLE_AT_IMP_DIFFERENTIABLE_ON = prove
 (`!f s. (!x. x IN s ==> f differentiable at x) ==> f differentiable_on s`,
  REWRITE_TAC[differentiable_on] THEN MESON_TAC[DIFFERENTIABLE_AT_WITHIN]);;

let DIFFERENTIABLE_ON_EQ_DIFFERENTIABLE_AT = prove
 (`!f s. open s ==> (f differentiable_on s <=>
                     !x. x IN s ==> f differentiable at x)`,
  SIMP_TAC[differentiable_on; DIFFERENTIABLE_WITHIN_OPEN]);;

let DIFFERENTIABLE_TRANSFORM_WITHIN = prove
 (`!f g x s d.
       &0 < d /\ x IN s /\
       (!x'. x' IN s /\ dist (x',x) < d ==> f x' = g x') /\
       f differentiable (at x within s)
       ==> g differentiable (at x within s)`,
  REWRITE_TAC[differentiable] THEN
  MESON_TAC[HAS_DERIVATIVE_TRANSFORM_WITHIN]);;

let DIFFERENTIABLE_TRANSFORM_AT = prove
 (`!f g x d.
       &0 < d /\
       (!x'. dist (x',x) < d ==> f x' = g x') /\
       f differentiable at x
       ==> g differentiable at x`,
  REWRITE_TAC[differentiable] THEN
  MESON_TAC[HAS_DERIVATIVE_TRANSFORM_AT]);;

(* ------------------------------------------------------------------------- *)
(* Frechet derivative and Jacobian matrix.                                   *)
(* ------------------------------------------------------------------------- *)

let frechet_derivative = new_definition
  `frechet_derivative f net = @f'. (f has_derivative f') net`;;

let FRECHET_DERIVATIVE_WORKS = prove
 (`!f net. f differentiable net <=>
           (f has_derivative (frechet_derivative f net)) net`,
  REPEAT GEN_TAC THEN REWRITE_TAC[frechet_derivative] THEN
  CONV_TAC(RAND_CONV SELECT_CONV) THEN REWRITE_TAC[differentiable]);;

let LINEAR_FRECHET_DERIVATIVE = prove
 (`!f net. f differentiable net ==> linear(frechet_derivative f net)`,
  SIMP_TAC[FRECHET_DERIVATIVE_WORKS; has_derivative]);;

let jacobian = new_definition
  `jacobian f net = matrix(frechet_derivative f net)`;;

let JACOBIAN_WORKS = prove
 (`!f net. f differentiable net <=>
           (f has_derivative (\h. jacobian f net ** h)) net`,
  REPEAT GEN_TAC THEN EQ_TAC THENL [ALL_TAC; MESON_TAC[differentiable]] THEN
  REWRITE_TAC[FRECHET_DERIVATIVE_WORKS] THEN
  SIMP_TAC[jacobian; MATRIX_WORKS; has_derivative] THEN SIMP_TAC[ETA_AX]);;

(* ------------------------------------------------------------------------- *)
(* Differentiability implies continuity.                                     *)
(* ------------------------------------------------------------------------- *)

let LIM_MUL_NORM_WITHIN = prove
 (`!f a s. (f --> vec 0) (at a within s)
           ==> ((\x. norm(x - a) % f(x)) --> vec 0) (at a within s)`,
  REPEAT GEN_TAC THEN REWRITE_TAC[LIM_WITHIN] THEN
  MATCH_MP_TAC MONO_FORALL THEN X_GEN_TAC `e:real` THEN
  ASM_CASES_TAC `&0 < e` THEN ASM_REWRITE_TAC[dist; VECTOR_SUB_RZERO] THEN
  DISCH_THEN(X_CHOOSE_THEN `d:real` STRIP_ASSUME_TAC) THEN
  EXISTS_TAC `min d (&1)` THEN ASM_REWRITE_TAC[REAL_LT_MIN; REAL_LT_01] THEN
  REPEAT STRIP_TAC THEN REWRITE_TAC[NORM_MUL; REAL_ABS_NORM] THEN
  GEN_REWRITE_TAC RAND_CONV [GSYM REAL_MUL_LID] THEN
  ASM_SIMP_TAC[REAL_LT_MUL2; NORM_POS_LE]);;

let DIFFERENTIABLE_IMP_CONTINUOUS_WITHIN = prove
 (`!f:real^M->real^N s.
        f differentiable (at x within s) ==> f continuous (at x within s)`,
  REWRITE_TAC[differentiable; has_derivative_within; CONTINUOUS_WITHIN] THEN
  REPEAT GEN_TAC THEN
  DISCH_THEN(X_CHOOSE_THEN `f':real^M->real^N` MP_TAC) THEN
  STRIP_TAC THEN FIRST_X_ASSUM(MP_TAC o MATCH_MP LIM_MUL_NORM_WITHIN) THEN
  SUBGOAL_THEN
   `((f':real^M->real^N) o (\y. y - x)) continuous (at x within s)`
  MP_TAC THENL
   [MATCH_MP_TAC CONTINUOUS_WITHIN_COMPOSE THEN
    ASM_SIMP_TAC[LINEAR_CONTINUOUS_WITHIN] THEN
    SIMP_TAC[CONTINUOUS_SUB; CONTINUOUS_CONST; CONTINUOUS_WITHIN_ID];
    ALL_TAC] THEN
  REWRITE_TAC[CONTINUOUS_WITHIN; o_DEF] THEN
  ASM_REWRITE_TAC[VECTOR_MUL_ASSOC; IMP_IMP; IN_UNIV] THEN
  DISCH_THEN(MP_TAC o MATCH_MP LIM_ADD) THEN
  SIMP_TAC[LIM_WITHIN; GSYM DIST_NZ; REAL_MUL_RINV; NORM_EQ_0;
           VECTOR_ARITH `(x - y = vec 0) <=> (x = y)`;
           VECTOR_MUL_LID; VECTOR_SUB_REFL] THEN
  FIRST_ASSUM(SUBST1_TAC o MATCH_MP LINEAR_0) THEN
  REWRITE_TAC[dist; VECTOR_SUB_RZERO] THEN
  REWRITE_TAC[VECTOR_ARITH `(a + b - (c + a)) - (vec 0 + vec 0) = b - c`]);;

let DIFFERENTIABLE_IMP_CONTINUOUS_AT = prove
 (`!f:real^M->real^N x. f differentiable (at x) ==> f continuous (at x)`,
  ONCE_REWRITE_TAC[GSYM WITHIN_UNIV] THEN
  REWRITE_TAC[DIFFERENTIABLE_IMP_CONTINUOUS_WITHIN]);;

let DIFFERENTIABLE_IMP_CONTINUOUS_ON = prove
 (`!f:real^M->real^N s. f differentiable_on s ==> f continuous_on s`,
  SIMP_TAC[differentiable_on; CONTINUOUS_ON_EQ_CONTINUOUS_WITHIN;
           DIFFERENTIABLE_IMP_CONTINUOUS_WITHIN]);;

let HAS_DERIVATIVE_WITHIN_SUBSET = prove
 (`!f s t x. (f has_derivative f') (at x within s) /\ t SUBSET s
             ==> (f has_derivative f') (at x within t)`,
   REWRITE_TAC[has_derivative_within] THEN MESON_TAC[LIM_WITHIN_SUBSET]);;

let DIFFERENTIABLE_WITHIN_SUBSET = prove
 (`!f:real^M->real^N s t.
      f differentiable (at x within t) /\ s SUBSET t
      ==> f differentiable (at x within s)`,
  REWRITE_TAC[differentiable] THEN MESON_TAC[HAS_DERIVATIVE_WITHIN_SUBSET]);;

let DIFFERENTIABLE_ON_SUBSET = prove
 (`!f:real^M->real^N s t.
      f differentiable_on t /\ s SUBSET t ==> f differentiable_on s`,
  REWRITE_TAC[differentiable_on] THEN
  MESON_TAC[SUBSET; DIFFERENTIABLE_WITHIN_SUBSET]);;

let DIFFERENTIABLE_ON_EMPTY = prove
 (`!f. f differentiable_on {}`,
  REWRITE_TAC[differentiable_on; NOT_IN_EMPTY]);;

(* ------------------------------------------------------------------------- *)
(* Several results are easier using a "multiplied-out" variant.              *)
(* (I got this idea from Dieudonne's proof of the chain rule).               *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_WITHIN_ALT = prove
 (`!f:real^M->real^N f' s x.
     (f has_derivative f') (at x within s) <=>
            linear f' /\
            !e. &0 < e
                ==> ?d. &0 < d /\
                        !y. y IN s /\ norm(y - x) < d
                            ==> norm(f(y) - f(x) - f'(y - x)) <=
                                e * norm(y - x)`,
  REPEAT GEN_TAC THEN REWRITE_TAC[has_derivative_within; LIM_WITHIN] THEN
  ASM_REWRITE_TAC[dist; VECTOR_SUB_RZERO] THEN
  ASM_CASES_TAC `linear(f':real^M->real^N)` THEN
  ASM_REWRITE_TAC[NORM_MUL; REAL_ABS_INV; REAL_ABS_NORM] THEN
  GEN_REWRITE_TAC (LAND_CONV o ONCE_DEPTH_CONV) [REAL_MUL_SYM] THEN
  SIMP_TAC[GSYM real_div; REAL_LT_LDIV_EQ] THEN
  REWRITE_TAC[VECTOR_ARITH `a - (b + c) = a - b - c :real^M`] THEN
  EQ_TAC THEN DISCH_TAC THEN X_GEN_TAC `e:real` THEN DISCH_TAC THENL
   [FIRST_X_ASSUM(MP_TAC o SPEC `e:real`) THEN ASM_REWRITE_TAC[] THEN
    MATCH_MP_TAC MONO_EXISTS THEN X_GEN_TAC `d:real` THEN STRIP_TAC THEN
    ASM_REWRITE_TAC[] THEN X_GEN_TAC `y:real^M` THEN DISCH_TAC THEN
    ASM_CASES_TAC `&0 < norm(y - x :real^M)` THENL
     [ASM_SIMP_TAC[REAL_LT_IMP_LE]; ALL_TAC] THEN
    FIRST_X_ASSUM(MP_TAC o GEN_REWRITE_RULE RAND_CONV [NORM_POS_LT]) THEN
    ASM_SIMP_TAC[VECTOR_SUB_EQ; VECTOR_SUB_REFL; NORM_0; REAL_MUL_RZERO;
                 VECTOR_ARITH `vec 0 - x = --x`; NORM_NEG] THEN
    ASM_MESON_TAC[LINEAR_0; NORM_0; REAL_LE_REFL];
    FIRST_X_ASSUM(MP_TAC o SPEC `e / &2`) THEN
    ASM_SIMP_TAC[REAL_LT_DIV; REAL_OF_NUM_LT; ARITH] THEN
    MATCH_MP_TAC MONO_EXISTS THEN X_GEN_TAC `d:real` THEN STRIP_TAC THEN
    ASM_REWRITE_TAC[] THEN X_GEN_TAC `y:real^M` THEN STRIP_TAC THEN
    MATCH_MP_TAC REAL_LET_TRANS THEN
    EXISTS_TAC `e / &2 * norm(y - x :real^M)` THEN
    ASM_SIMP_TAC[REAL_LT_RMUL_EQ; REAL_LT_LDIV_EQ; REAL_OF_NUM_LT; ARITH] THEN
    UNDISCH_TAC `&0 < e` THEN REAL_ARITH_TAC]);;

let HAS_DERIVATIVE_AT_ALT = prove
 (`!f:real^M->real^N f' x.
     (f has_derivative f') (at x) <=>
        linear f' /\
        !e. &0 < e
            ==> ?d. &0 < d /\
                    !y. norm(y - x) < d
                        ==> norm(f(y) - f(x) - f'(y - x)) <= e * norm(y - x)`,
  ONCE_REWRITE_TAC[GSYM WITHIN_UNIV] THEN
  REWRITE_TAC[HAS_DERIVATIVE_WITHIN_ALT; IN_UNIV]);;

(* ------------------------------------------------------------------------- *)
(* The chain rule.                                                           *)
(* ------------------------------------------------------------------------- *)

let DIFF_CHAIN_WITHIN = prove
 (`!f:real^M->real^N g:real^N->real^P f' g' x s.
        (f has_derivative f') (at x within s) /\
        (g has_derivative g') (at (f x) within (IMAGE f s))
        ==> ((g o f) has_derivative (g' o f'))(at x within s)`,
  REPEAT GEN_TAC THEN SIMP_TAC[HAS_DERIVATIVE_WITHIN_ALT; LINEAR_COMPOSE] THEN
  DISCH_THEN(CONJUNCTS_THEN2 STRIP_ASSUME_TAC MP_TAC) THEN
  FIRST_ASSUM(X_CHOOSE_TAC `B1:real` o MATCH_MP LINEAR_BOUNDED_POS) THEN
  DISCH_THEN(fun th -> X_GEN_TAC `e:real` THEN DISCH_TAC THEN MP_TAC th) THEN
  DISCH_THEN(CONJUNCTS_THEN2
   (fun th -> ASSUME_TAC th THEN X_CHOOSE_TAC `B2:real` (MATCH_MP
              LINEAR_BOUNDED_POS th)) MP_TAC) THEN
  FIRST_X_ASSUM(fun th -> MP_TAC th THEN MP_TAC(SPEC `e / &2 / B2` th)) THEN
  ASM_SIMP_TAC[REAL_LT_DIV; REAL_OF_NUM_LT; ARITH] THEN
  DISCH_THEN(X_CHOOSE_THEN `d1:real` STRIP_ASSUME_TAC) THEN DISCH_TAC THEN
  DISCH_THEN(MP_TAC o SPEC `e / &2 / (&1 + B1)`) THEN
  ASM_SIMP_TAC[REAL_LT_DIV; REAL_OF_NUM_LT; ARITH; REAL_LT_ADD] THEN
  DISCH_THEN(X_CHOOSE_THEN `de:real` STRIP_ASSUME_TAC) THEN
  FIRST_X_ASSUM(MP_TAC o SPEC `&1`) THEN
  REWRITE_TAC[REAL_LT_01; REAL_MUL_LID] THEN
  DISCH_THEN(X_CHOOSE_THEN `d2:real` STRIP_ASSUME_TAC) THEN
  MP_TAC(SPECL [`d1:real`; `d2:real`] REAL_DOWN2) THEN
  ASM_SIMP_TAC[REAL_LT_DIV; REAL_LT_ADD; REAL_LT_01] THEN
  DISCH_THEN(X_CHOOSE_THEN `d0:real` STRIP_ASSUME_TAC) THEN
  MP_TAC(SPECL [`d0:real`; `de / (B1 + &1)`] REAL_DOWN2) THEN
  ASM_SIMP_TAC[REAL_LT_DIV; REAL_LT_ADD; REAL_LT_01] THEN
  MATCH_MP_TAC MONO_EXISTS THEN X_GEN_TAC `d:real` THEN
  STRIP_TAC THEN ASM_REWRITE_TAC[] THEN X_GEN_TAC `y:real^M` THEN
  DISCH_TAC THEN UNDISCH_TAC
   `!y. y IN s /\ norm(y - x) < d2
        ==> norm ((f:real^M->real^N) y - f x - f'(y - x)) <= norm(y - x)` THEN
  DISCH_THEN(MP_TAC o SPEC `y:real^M`) THEN ANTS_TAC THENL
   [ASM_MESON_TAC[REAL_LT_TRANS]; DISCH_TAC] THEN
  FIRST_X_ASSUM(MP_TAC o SPEC `y:real^M`) THEN ANTS_TAC THENL
   [ASM_MESON_TAC[REAL_LT_TRANS]; DISCH_TAC] THEN
  FIRST_X_ASSUM(MP_TAC o SPEC `(f:real^M->real^N) y`) THEN ANTS_TAC THENL
   [CONJ_TAC THENL [ASM_MESON_TAC[IN_IMAGE]; ALL_TAC] THEN
    MATCH_MP_TAC REAL_LET_TRANS THEN EXISTS_TAC
     `norm(f'(y - x)) + norm((f:real^M->real^N) y - f x - f'(y - x))` THEN
    REWRITE_TAC[NORM_TRIANGLE_SUB] THEN
    MATCH_MP_TAC REAL_LET_TRANS THEN
    EXISTS_TAC `B1 * norm(y - x) + norm(y - x :real^M)` THEN
    ASM_SIMP_TAC[REAL_LE_ADD2] THEN
    REWRITE_TAC[REAL_ARITH `a * x + x = x * (a + &1)`] THEN
    ASM_SIMP_TAC[GSYM REAL_LT_RDIV_EQ; REAL_LT_ADD; REAL_LT_01] THEN
    ASM_MESON_TAC[REAL_LT_TRANS];
    DISCH_TAC] THEN
  REWRITE_TAC[o_THM] THEN MATCH_MP_TAC REAL_LE_TRANS THEN
  EXISTS_TAC `norm((g:real^N->real^P)(f(y:real^M)) - g(f x) - g'(f y - f x)) +
              norm((g(f y) - g(f x) - g'(f'(y - x))) -
                   (g(f y) - g(f x) - g'(f y - f x)))` THEN
  REWRITE_TAC[NORM_TRIANGLE_SUB] THEN
  REWRITE_TAC[VECTOR_ARITH `(a - b - c1) - (a - b - c2) = c2 - c1:real^M`] THEN
  ASM_SIMP_TAC[GSYM LINEAR_SUB] THEN
  FIRST_ASSUM(MATCH_MP_TAC o MATCH_MP (REAL_ARITH
    `a <= d ==> b <= ee - d ==> a + b <= ee`)) THEN
  MATCH_MP_TAC REAL_LE_TRANS THEN
  EXISTS_TAC `B2 * norm((f:real^M->real^N) y - f x - f'(y - x))` THEN
  ASM_REWRITE_TAC[] THEN MATCH_MP_TAC REAL_LE_TRANS THEN
  EXISTS_TAC `B2 * e / &2 / B2 * norm(y - x :real^M)` THEN
  ASM_SIMP_TAC[REAL_LE_LMUL; REAL_LT_IMP_LE] THEN REWRITE_TAC[real_div] THEN
  ONCE_REWRITE_TAC[REAL_ARITH
   `b * ((e * h) * b') * x <= e * x - d <=>
    d <= e * (&1 - h * b' * b) * x`] THEN
  ASM_SIMP_TAC[REAL_MUL_LINV; REAL_LT_IMP_NZ] THEN
  CONV_TAC REAL_RAT_REDUCE_CONV THEN REWRITE_TAC[GSYM REAL_MUL_ASSOC] THEN
  ASM_SIMP_TAC[REAL_LE_LMUL_EQ; REAL_LT_DIV; REAL_OF_NUM_LT; ARITH] THEN
  ONCE_REWRITE_TAC[REAL_MUL_SYM] THEN REWRITE_TAC[GSYM real_div] THEN
  ASM_SIMP_TAC[REAL_LE_LDIV_EQ; REAL_LT_ADD; REAL_LT_01] THEN
  MATCH_MP_TAC REAL_LE_TRANS THEN EXISTS_TAC
   `norm(f'(y - x)) + norm((f:real^M->real^N) y - f x - f'(y - x))` THEN
  REWRITE_TAC[NORM_TRIANGLE_SUB] THEN MATCH_MP_TAC(REAL_ARITH
   `u <= x * b /\ v <= b ==> u + v <= b * (&1 + x)`) THEN
  ASM_REWRITE_TAC[]);;

let DIFF_CHAIN_AT = prove
 (`!f:real^M->real^N g:real^N->real^P f' g' x.
        (f has_derivative f') (at x) /\
        (g has_derivative g') (at (f x))
        ==> ((g o f) has_derivative (g' o f')) (at x)`,
  ONCE_REWRITE_TAC[GSYM WITHIN_UNIV] THEN
  ASM_MESON_TAC[DIFF_CHAIN_WITHIN; LIM_WITHIN_SUBSET; SUBSET_UNIV;
                HAS_DERIVATIVE_WITHIN_SUBSET]);;

(* ------------------------------------------------------------------------- *)
(* Composition rules stated just for differentiability.                      *)
(* ------------------------------------------------------------------------- *)

let DIFFERENTIABLE_CONST = prove
 (`!c net. (\z. c) differentiable net`,
  REWRITE_TAC[differentiable] THEN
  MESON_TAC[HAS_DERIVATIVE_CONST]);;

let DIFFERENTIABLE_ID = prove
 (`!net. (\z. z) differentiable net`,
  REWRITE_TAC[differentiable] THEN
  MESON_TAC[HAS_DERIVATIVE_ID]);;

let DIFFERENTIABLE_CMUL = prove
 (`!net f c. f differentiable net ==> (\x. c % f(x)) differentiable net`,
  REWRITE_TAC[differentiable] THEN
  MESON_TAC[HAS_DERIVATIVE_CMUL]);;

let DIFFERENTIABLE_NEG = prove
 (`!f net. f differentiable net ==> (\z. --(f z)) differentiable net`,
  REWRITE_TAC[differentiable] THEN
  MESON_TAC[HAS_DERIVATIVE_NEG]);;

let DIFFERENTIABLE_ADD = prove
 (`!f g net.
        f differentiable net /\
        g differentiable net
        ==> (\z. f z + g z) differentiable net`,
  REWRITE_TAC[differentiable] THEN
  MESON_TAC[HAS_DERIVATIVE_ADD]);;

let DIFFERENTIABLE_SUB = prove
 (`!f g net.
        f differentiable net /\
        g differentiable net
        ==> (\z. f z - g z) differentiable net`,
  REWRITE_TAC[differentiable] THEN
  MESON_TAC[HAS_DERIVATIVE_SUB]);;

let DIFFERENTIABLE_VSUM = prove
 (`!f net s.
     FINITE s /\
     (!a. a IN s ==> (f a) differentiable net)
     ==> (\x. vsum s (\a. f a x)) differentiable net`,
  REPEAT GEN_TAC THEN REWRITE_TAC[differentiable] THEN
  GEN_REWRITE_TAC (LAND_CONV o TOP_DEPTH_CONV)
   [RIGHT_IMP_EXISTS_THM; SKOLEM_THM; RIGHT_AND_EXISTS_THM] THEN
  DISCH_THEN(CHOOSE_THEN (MP_TAC o MATCH_MP HAS_DERIVATIVE_VSUM)) THEN
  MESON_TAC[]);;

let DIFFERENTIABLE_VSUM_NUMSEG = prove
 (`!f net m n.
     FINITE s /\
     (!i. m <= i /\ i <= n ==> (f i) differentiable net)
     ==> (\x. vsum (m..n) (\a. f a x)) differentiable net`,
  SIMP_TAC[DIFFERENTIABLE_VSUM; FINITE_NUMSEG; IN_NUMSEG]);;

let DIFFERENTIABLE_CHAIN_AT = prove
 (`!f g x.
    f differentiable (at x) /\
    g differentiable (at(f x))
    ==> (g o f) differentiable (at x)`,
  REWRITE_TAC[differentiable] THEN MESON_TAC[DIFF_CHAIN_AT]);;

let DIFFERENTIABLE_CHAIN_WITHIN = prove
 (`!f g x s.
    f differentiable (at x within s) /\
    g differentiable (at(f x) within IMAGE f s)
    ==> (g o f) differentiable (at x within s)`,
  REWRITE_TAC[differentiable] THEN MESON_TAC[DIFF_CHAIN_WITHIN]);;

(* ------------------------------------------------------------------------- *)
(* Similarly for "differentiable_on".                                        *)
(* ------------------------------------------------------------------------- *)

let DIFFERENTIABLE_ON_CONST = prove
 (`!s c. (\z. c) differentiable_on s`,
  REWRITE_TAC[differentiable_on; DIFFERENTIABLE_CONST]);;

let DIFFERENTIABLE_ON_ID = prove
 (`!s. (\z. z) differentiable_on s`,
  REWRITE_TAC[differentiable_on; DIFFERENTIABLE_ID]);;

let DIFFERENTIABLE_ON_COMPOSE = prove
 (`!f g s. f differentiable_on s /\ g differentiable_on (IMAGE f s)
           ==> (g o f) differentiable_on s`,
  SIMP_TAC[differentiable_on; FORALL_IN_IMAGE] THEN
  MESON_TAC[DIFFERENTIABLE_CHAIN_WITHIN]);;

let DIFFERENTIABLE_ON_NEG = prove
 (`!f s. f differentiable_on s ==> (\z. --(f z)) differentiable_on s`,
  SIMP_TAC[differentiable_on; DIFFERENTIABLE_NEG]);;

let DIFFERENTIABLE_ON_ADD = prove
 (`!f g s.
        f differentiable_on s /\ g differentiable_on s
        ==> (\z. f z + g z) differentiable_on s`,
  SIMP_TAC[differentiable_on; DIFFERENTIABLE_ADD]);;

let DIFFERENTIABLE_ON_SUB = prove
 (`!f g s.
        f differentiable_on s /\ g differentiable_on s
        ==> (\z. f z - g z) differentiable_on s`,
  SIMP_TAC[differentiable_on; DIFFERENTIABLE_SUB]);;

(* ------------------------------------------------------------------------- *)
(* Uniqueness of derivative.                                                 *)
(*                                                                           *)
(* The general result is a bit messy because we need approachability of the  *)
(* limit point from any direction. But OK for nontrivial intervals etc.      *)
(* ------------------------------------------------------------------------- *)

let FRECHET_DERIVATIVE_UNIQUE_WITHIN = prove
 (`!f:real^M->real^N f' f'' x s.
     (f has_derivative f') (at x within s) /\
     (f has_derivative f'') (at x within s) /\
     (!i e. 1 <= i /\ i <= dimindex(:M) /\ &0 < e
            ==> ?d. &0 < abs(d) /\ abs(d) < e /\ (x + d % basis i) IN s)
     ==> f' = f''`,
  REPEAT GEN_TAC THEN REWRITE_TAC[has_derivative] THEN
  ONCE_REWRITE_TAC[CONJ_ASSOC] THEN
  DISCH_THEN(CONJUNCTS_THEN2 MP_TAC STRIP_ASSUME_TAC) THEN
  SUBGOAL_THEN `(x:real^M) limit_point_of s` ASSUME_TAC THENL
   [REWRITE_TAC[LIMPT_APPROACHABLE] THEN X_GEN_TAC `e:real` THEN DISCH_TAC THEN
    FIRST_X_ASSUM(MP_TAC o SPECL [`1`; `e:real`]) THEN
    ASM_REWRITE_TAC[DIMINDEX_GE_1; LE_REFL] THEN
    DISCH_THEN(X_CHOOSE_THEN `d:real` STRIP_ASSUME_TAC) THEN
    EXISTS_TAC `(x:real^M) + d % basis 1` THEN
    ASM_REWRITE_TAC[dist] THEN ONCE_REWRITE_TAC[GSYM VECTOR_SUB_EQ] THEN
    ASM_SIMP_TAC[VECTOR_ADD_SUB; NORM_MUL; NORM_BASIS; DIMINDEX_GE_1; LE_REFL;
                 VECTOR_MUL_EQ_0; REAL_MUL_RID; DE_MORGAN_THM; REAL_ABS_NZ;
                 BASIS_NONZERO];
    ALL_TAC] THEN
  DISCH_THEN(CONJUNCTS_THEN (CONJUNCTS_THEN2 ASSUME_TAC MP_TAC)) THEN
  REWRITE_TAC[IMP_IMP] THEN DISCH_THEN(MP_TAC o MATCH_MP LIM_SUB) THEN
  SUBGOAL_THEN `netlimit(at x within s) = x:real^M` SUBST_ALL_TAC THENL
   [ASM_MESON_TAC[NETLIMIT_WITHIN; TRIVIAL_LIMIT_WITHIN]; ALL_TAC] THEN
  REWRITE_TAC[GSYM VECTOR_SUB_LDISTRIB; NORM_MUL] THEN
  REWRITE_TAC[VECTOR_ARITH
   `fx - (fa + f'') - (fx - (fa + f')):real^M = f' - f''`] THEN
  DISCH_TAC THEN MATCH_MP_TAC LINEAR_EQ_STDBASIS THEN ASM_REWRITE_TAC[] THEN
  X_GEN_TAC `i:num` THEN STRIP_TAC THEN
  ONCE_REWRITE_TAC[GSYM VECTOR_SUB_EQ] THEN
  GEN_REWRITE_TAC I [TAUT `p = ~ ~p`] THEN
  PURE_REWRITE_TAC[GSYM NORM_POS_LT] THEN DISCH_TAC THEN ABBREV_TAC
   `e = norm((f':real^M->real^N) (basis i) - f''(basis i :real^M))` THEN
  FIRST_X_ASSUM(MP_TAC o GEN_REWRITE_RULE I [LIM_WITHIN]) THEN
  DISCH_THEN(MP_TAC o SPEC `e:real`) THEN
  ASM_REWRITE_TAC[dist; VECTOR_SUB_RZERO] THEN
  DISCH_THEN(X_CHOOSE_THEN `d:real` STRIP_ASSUME_TAC) THEN
  FIRST_X_ASSUM(MP_TAC o SPECL [`i:num`; `d:real`]) THEN ASM_REWRITE_TAC[] THEN
  DISCH_THEN(X_CHOOSE_THEN `c:real` STRIP_ASSUME_TAC) THEN
  FIRST_X_ASSUM(MP_TAC o SPEC `(x:real^M) + c % basis i`) THEN
  ASM_REWRITE_TAC[VECTOR_ADD_SUB; NORM_MUL] THEN
  ASM_SIMP_TAC[NORM_BASIS; REAL_MUL_RID] THEN
  ASM_SIMP_TAC[LINEAR_CMUL; GSYM VECTOR_SUB_LDISTRIB; NORM_MUL] THEN
  REWRITE_TAC[REAL_ABS_INV; REAL_ABS_ABS] THEN
  ASM_SIMP_TAC[REAL_MUL_LINV; REAL_LT_IMP_NZ; REAL_MUL_ASSOC] THEN
  REWRITE_TAC[REAL_MUL_LID; REAL_LT_REFL]);;

let FRECHET_DERIVATIVE_UNIQUE_AT = prove
 (`!f:real^M->real^N f' f'' x.
     (f has_derivative f') (at x) /\ (f has_derivative f'') (at x)
     ==> f' = f''`,
  REPEAT STRIP_TAC THEN MATCH_MP_TAC FRECHET_DERIVATIVE_UNIQUE_WITHIN THEN
  MAP_EVERY EXISTS_TAC
   [`f:real^M->real^N`; `x:real^M`; `(:real^M)`] THEN
  ASM_REWRITE_TAC[IN_UNIV; WITHIN_UNIV] THEN
  MESON_TAC[REAL_ARITH `&0 < e ==> &0 < abs(e / &2) /\ abs(e / &2) < e`]);;

let HAS_FRECHET_DERIVATIVE_UNIQUE_AT = prove
 (`!f:real^M->real^N f' x.
        (f has_derivative f') (at x)
        ==> frechet_derivative f (at x) = f'`,
  REPEAT STRIP_TAC THEN MATCH_MP_TAC FRECHET_DERIVATIVE_UNIQUE_AT THEN
  MAP_EVERY EXISTS_TAC [`f:real^M->real^N`; `x:real^M`] THEN
  ASM_REWRITE_TAC[frechet_derivative] THEN CONV_TAC SELECT_CONV THEN
  ASM_MESON_TAC[]);;

let FRECHET_DERIVATIVE_CONST_AT = prove
 (`!c:real^N a:real^M. frechet_derivative (\x. c) (at a) = \h. vec 0`,
  REPEAT GEN_TAC THEN MATCH_MP_TAC HAS_FRECHET_DERIVATIVE_UNIQUE_AT THEN
  REWRITE_TAC[HAS_DERIVATIVE_CONST]);;

let FRECHET_DERIVATIVE_UNIQUE_WITHIN_CLOSED_INTERVAL = prove
 (`!f:real^M->real^N f' f'' x a b.
     (!i. 1 <= i /\ i <= dimindex(:M) ==> a$i < b$i) /\
     x IN interval[a,b] /\
     (f has_derivative f') (at x within interval[a,b]) /\
     (f has_derivative f'') (at x within interval[a,b])
     ==> f' = f''`,
  REPEAT STRIP_TAC THEN MATCH_MP_TAC FRECHET_DERIVATIVE_UNIQUE_WITHIN THEN
  MAP_EVERY EXISTS_TAC
   [`f:real^M->real^N`; `x:real^M`; `interval[a:real^M,b]`] THEN
  ASM_REWRITE_TAC[] THEN
  MAP_EVERY X_GEN_TAC [`i:num`; `e:real`] THEN STRIP_TAC  THEN
  MATCH_MP_TAC(MESON[] `(?a. P a \/ P(--a)) ==> (?a:real. P a)`) THEN
  EXISTS_TAC `(min ((b:real^M)$i - (a:real^M)$i) e) / &2` THEN
  REWRITE_TAC[REAL_ABS_NEG; GSYM LEFT_OR_DISTRIB] THEN
  REWRITE_TAC[CONJ_ASSOC] THEN CONJ_TAC THENL
   [UNDISCH_TAC `&0 < e` THEN FIRST_X_ASSUM(MP_TAC o SPEC `i:num`) THEN
    ASM_REWRITE_TAC[] THEN REAL_ARITH_TAC;
    ALL_TAC] THEN
  UNDISCH_TAC `(x:real^M) IN interval[a,b]` THEN REWRITE_TAC[IN_INTERVAL] THEN
  DISCH_TAC THEN
  ASM_SIMP_TAC[VECTOR_ADD_COMPONENT; VECTOR_MUL_COMPONENT;
               BASIS_COMPONENT] THEN
  SUBGOAL_THEN
   `!P. (!j. 1 <= j /\ j <= dimindex(:M) ==> P j) <=>
        P i /\
        (!j. 1 <= j /\ j <= dimindex(:M) /\ ~(j = i) ==> P j)`
   (fun th -> ONCE_REWRITE_TAC[th])
  THENL [ASM_MESON_TAC[]; ALL_TAC] THEN
  ASM_SIMP_TAC[REAL_MUL_RZERO; REAL_ADD_RID; REAL_MUL_RID] THEN
  REPEAT(FIRST_X_ASSUM(MP_TAC o SPEC `i:num`)) THEN
  UNDISCH_TAC `&0 < e` THEN ASM_REWRITE_TAC[] THEN REAL_ARITH_TAC);;

let FRECHET_DERIVATIVE_UNIQUE_WITHIN_OPEN_INTERVAL = prove
 (`!f:real^M->real^N f' f'' x a b.
     x IN interval(a,b) /\
     (f has_derivative f') (at x within interval(a,b)) /\
     (f has_derivative f'') (at x within interval(a,b))
     ==> f' = f''`,
  REPEAT STRIP_TAC THEN MATCH_MP_TAC FRECHET_DERIVATIVE_UNIQUE_WITHIN THEN
  MAP_EVERY EXISTS_TAC
   [`f:real^M->real^N`; `x:real^M`; `interval(a:real^M,b)`] THEN
  ASM_REWRITE_TAC[] THEN
  MAP_EVERY X_GEN_TAC [`i:num`; `e:real`] THEN STRIP_TAC  THEN
  MATCH_MP_TAC(MESON[] `(?a. P a \/ P(--a)) ==> (?a:real. P a)`) THEN
  EXISTS_TAC `(min ((b:real^M)$i - (a:real^M)$i) e) / &3` THEN
  REWRITE_TAC[REAL_ABS_NEG; GSYM LEFT_OR_DISTRIB] THEN
  REWRITE_TAC[CONJ_ASSOC] THEN CONJ_TAC THENL
   [UNDISCH_TAC `&0 < e` THEN
    FIRST_X_ASSUM(MP_TAC o GEN_REWRITE_RULE I [IN_INTERVAL]) THEN
    DISCH_THEN(MP_TAC o SPEC `i:num`) THEN
    ASM_REWRITE_TAC[] THEN REAL_ARITH_TAC;
    ALL_TAC] THEN
  UNDISCH_TAC `(x:real^M) IN interval(a,b)` THEN REWRITE_TAC[IN_INTERVAL] THEN
  DISCH_TAC THEN
  ASM_SIMP_TAC[VECTOR_ADD_COMPONENT; VECTOR_MUL_COMPONENT;
               BASIS_COMPONENT] THEN
  SUBGOAL_THEN
   `!P. (!j. 1 <= j /\ j <= dimindex(:M) ==> P j) <=>
        P i /\
        (!j. 1 <= j /\ j <= dimindex(:M) /\ ~(j = i) ==> P j)`
   (fun th -> ONCE_REWRITE_TAC[th])
  THENL [ASM_MESON_TAC[]; ALL_TAC] THEN
  ASM_SIMP_TAC[REAL_MUL_RZERO; REAL_ADD_RID; REAL_MUL_RID] THEN
  REPEAT(FIRST_X_ASSUM(MP_TAC o SPEC `i:num`)) THEN
  UNDISCH_TAC `&0 < e` THEN ASM_REWRITE_TAC[] THEN REAL_ARITH_TAC);;

let FRECHET_DERIVATIVE_AT = prove
 (`!f:real^M->real^N f' x.
     (f has_derivative f') (at x) ==> (f' = frechet_derivative f (at x))`,
  MESON_TAC[has_derivative; FRECHET_DERIVATIVE_WORKS;
            differentiable; FRECHET_DERIVATIVE_UNIQUE_AT]);;

let FRECHET_DERIVATIVE_WITHIN_CLOSED_INTERVAL = prove
 (`!f:real^M->real^N f' x a b.
     (!i. 1 <= i /\ i <= dimindex(:M) ==> a$i < b$i) /\
     x IN interval[a,b] /\
     (f has_derivative f') (at x within interval[a,b])
     ==> frechet_derivative f (at x within interval[a,b]) = f'`,
  ASM_MESON_TAC[has_derivative; FRECHET_DERIVATIVE_WORKS;
        differentiable; FRECHET_DERIVATIVE_UNIQUE_WITHIN_CLOSED_INTERVAL]);;

(* ------------------------------------------------------------------------- *)
(* Component of the differential must be zero if it exists at a local        *)
(* maximum or minimum for that corresponding component. Start with slightly  *)
(* sharper forms that fix the sign of the derivative on the boundary.        *)
(* ------------------------------------------------------------------------- *)

let DIFFERENTIAL_COMPONENT_POS_AT_MINIMUM = prove
 (`!f:real^M->real^N f' x s k e.
        1 <= k /\ k <= dimindex(:N) /\
        x IN s /\ convex s /\ (f has_derivative f') (at x within s) /\
        &0 < e /\ (!w. w IN s INTER ball(x,e) ==> (f x)$k <= (f w)$k)
        ==> !y. y IN s ==> &0 <= (f'(y - x))$k`,
  REWRITE_TAC[has_derivative_within] THEN REPEAT STRIP_TAC THEN
  ASM_CASES_TAC `y:real^M = x` THENL
   [ASM_MESON_TAC[VECTOR_SUB_REFL; LINEAR_0; VEC_COMPONENT; REAL_LE_REFL];
    ALL_TAC] THEN
  ONCE_REWRITE_TAC[GSYM REAL_NOT_LT] THEN DISCH_TAC THEN
  FIRST_X_ASSUM(MP_TAC o GEN_REWRITE_RULE I [LIM_WITHIN]) THEN
  DISCH_THEN(MP_TAC o SPEC
    `--((f':real^M->real^N)(y - x)$k) / norm(y - x)`) THEN
  ASM_SIMP_TAC[REAL_LT_DIV; NORM_POS_LT; VECTOR_SUB_EQ;
               NOT_EXISTS_THM; REAL_ARITH `&0 < --x <=> x < &0`] THEN
  X_GEN_TAC `d:real` THEN
  DISCH_THEN(CONJUNCTS_THEN2 ASSUME_TAC MP_TAC) THEN
  ABBREV_TAC `de = min (&1) ((min d e) / &2 / norm(y - x:real^M))` THEN
  DISCH_THEN(MP_TAC o SPEC `x + de % (y - x):real^M`) THEN
  REWRITE_TAC[dist; VECTOR_ADD_SUB; NOT_IMP; GSYM CONJ_ASSOC] THEN
  SUBGOAL_THEN `norm(de % (y - x):real^M) < min d e` MP_TAC THENL
   [ASM_SIMP_TAC[NORM_MUL; GSYM REAL_LT_RDIV_EQ;
                 NORM_POS_LT; VECTOR_SUB_EQ] THEN
    EXPAND_TAC "de" THEN MATCH_MP_TAC(REAL_ARITH
     `&0 < de / x ==> abs(min (&1) (de / &2 / x)) < de / x`) THEN
    ASM_SIMP_TAC[REAL_LT_DIV; REAL_LT_MIN; NORM_POS_LT; VECTOR_SUB_EQ];
    REWRITE_TAC[REAL_LT_MIN] THEN STRIP_TAC] THEN
  SUBGOAL_THEN `&0 < de /\ de <= &1` STRIP_ASSUME_TAC THENL
   [EXPAND_TAC "de" THEN CONJ_TAC THENL [ALL_TAC; REAL_ARITH_TAC] THEN
    ASM_SIMP_TAC[REAL_LT_MIN; REAL_LT_01; REAL_HALF; REAL_LT_DIV;
                 NORM_POS_LT; VECTOR_SUB_EQ];
    ALL_TAC] THEN
  MATCH_MP_TAC(TAUT `a /\ (a ==> b) ==> a /\ b`) THEN CONJ_TAC THENL
   [REWRITE_TAC[VECTOR_ARITH
     `x + a % (y - x):real^N = (&1 - a) % x + a % y`] THEN
    MATCH_MP_TAC IN_CONVEX_SET THEN ASM_SIMP_TAC[REAL_LT_IMP_LE];
    DISCH_TAC] THEN
  ASM_REWRITE_TAC[] THEN REWRITE_TAC[NORM_MUL] THEN
  ASM_SIMP_TAC[REAL_LT_MUL; REAL_ARITH `&0 < x ==> &0 < abs x`;
               NORM_POS_LT; VECTOR_SUB_EQ; VECTOR_SUB_RZERO] THEN
  MATCH_MP_TAC(NORM_ARITH
   `abs(y$k) <= norm(y) /\ ~(abs(y$k) < e) ==> ~(norm y < e)`) THEN
  ASM_SIMP_TAC[COMPONENT_LE_NORM] THEN REWRITE_TAC[VECTOR_MUL_COMPONENT] THEN
  REWRITE_TAC[REAL_ABS_INV; REAL_ABS_MUL; REAL_ABS_NORM; REAL_ABS_ABS] THEN
  REWRITE_TAC[REAL_NOT_LT; REAL_INV_MUL; REAL_ARITH
   `d <= (a * inv b) * c <=> d <= (c * a) / b`] THEN
  ASM_SIMP_TAC[REAL_LE_DIV2_EQ; NORM_POS_LT; VECTOR_SUB_EQ] THEN
  ASM_SIMP_TAC[GSYM real_div; REAL_LE_RDIV_EQ; VECTOR_SUB_COMPONENT;
    VECTOR_ADD_COMPONENT; REAL_ARITH `&0 < x ==> &0 < abs x`] THEN
  MATCH_MP_TAC(REAL_ARITH
   `fx <= fy /\ a = --b /\ b < &0 ==> a <= abs(fy - (fx + b))`) THEN
  FIRST_ASSUM(fun th -> REWRITE_TAC[MATCH_MP LINEAR_CMUL th]) THEN
  ASM_SIMP_TAC[real_abs; VECTOR_MUL_COMPONENT; REAL_LT_IMP_LE] THEN
  ONCE_REWRITE_TAC[REAL_ARITH `x * y < &0 <=> &0 < x * --y`] THEN
  ASM_SIMP_TAC[REAL_LT_MUL_EQ] THEN
  CONJ_TAC THENL [FIRST_X_ASSUM MATCH_MP_TAC; ASM_REAL_ARITH_TAC] THEN
  ASM_REWRITE_TAC[IN_INTER; IN_BALL; NORM_ARITH
   `dist(x:real^M,x + e) = norm e`]);;

let DIFFERENTIAL_COMPONENT_NEG_AT_MAXIMUM = prove
 (`!f:real^M->real^N f' x s k e.
        1 <= k /\ k <= dimindex(:N) /\
        x IN s /\ convex s /\ (f has_derivative f') (at x within s) /\
        &0 < e /\ (!w. w IN s INTER ball(x,e) ==> (f w)$k <= (f x)$k)
        ==> !y. y IN s ==> (f'(y - x))$k <= &0`,
  REPEAT STRIP_TAC THEN
  MP_TAC(ISPECL
   [`\x. --((f:real^M->real^N) x)`;  `\x. --((f':real^M->real^N) x)`;
    `x:real^M`; `s:real^M->bool`; `k:num`; `e:real`]
        DIFFERENTIAL_COMPONENT_POS_AT_MINIMUM) THEN
  ASM_SIMP_TAC[HAS_DERIVATIVE_NEG] THEN
  ASM_SIMP_TAC[REAL_LE_NEG2; VECTOR_NEG_COMPONENT; REAL_NEG_GE0]);;

let DROP_DIFFERENTIAL_POS_AT_MINIMUM = prove
 (`!f:real^N->real^1 f' x s e.
        x IN s /\ convex s /\ (f has_derivative f') (at x within s) /\
        &0 < e /\ (!w. w IN s INTER ball(x,e) ==> drop(f x) <= drop(f w))
        ==> !y. y IN s ==> &0 <= drop(f'(y - x))`,
  REPEAT GEN_TAC THEN REWRITE_TAC[drop] THEN STRIP_TAC THEN
  MATCH_MP_TAC DIFFERENTIAL_COMPONENT_POS_AT_MINIMUM THEN
  MAP_EVERY EXISTS_TAC [`f:real^N->real^1`; `e:real`] THEN
  ASM_REWRITE_TAC[DIMINDEX_1; LE_REFL]);;

let DROP_DIFFERENTIAL_NEG_AT_MAXIMUM = prove
 (`!f:real^N->real^1 f' x s e.
        x IN s /\ convex s /\ (f has_derivative f') (at x within s) /\
        &0 < e /\ (!w. w IN s INTER ball(x,e) ==> drop(f w) <= drop(f x))
        ==> !y. y IN s ==> drop(f'(y - x)) <= &0`,
  REPEAT GEN_TAC THEN REWRITE_TAC[drop] THEN STRIP_TAC THEN
  MATCH_MP_TAC DIFFERENTIAL_COMPONENT_NEG_AT_MAXIMUM THEN
  MAP_EVERY EXISTS_TAC [`f:real^N->real^1`; `e:real`] THEN
  ASM_REWRITE_TAC[DIMINDEX_1; LE_REFL]);;

let DIFFERENTIAL_COMPONENT_ZERO_AT_MAXMIN = prove
 (`!f:real^M->real^N f' x s k.
        1 <= k /\ k <= dimindex(:N) /\
        x IN s /\ open s /\ (f has_derivative f') (at x) /\
        ((!w. w IN s ==> (f w)$k <= (f x)$k) \/
         (!w. w IN s ==> (f x)$k <= (f w)$k))
        ==> !h. (f' h)$k = &0`,
  REPEAT GEN_TAC THEN
  DISCH_THEN(REPEAT_TCL CONJUNCTS_THEN ASSUME_TAC) THEN
  FIRST_ASSUM(MP_TAC o GEN_REWRITE_RULE I [OPEN_CONTAINS_CBALL]) THEN
  DISCH_THEN(MP_TAC o SPEC `x:real^M`) THEN ASM_REWRITE_TAC[SUBSET] THEN
  DISCH_THEN(X_CHOOSE_THEN `e:real` STRIP_ASSUME_TAC) THEN
  FIRST_X_ASSUM DISJ_CASES_TAC THENL
   [MP_TAC(ISPECL [`f:real^M->real^N`; `f':real^M->real^N`;
                   `x:real^M`; `cball(x:real^M,e)`; `k:num`; `e:real`]
        DIFFERENTIAL_COMPONENT_NEG_AT_MAXIMUM);
    MP_TAC(ISPECL [`f:real^M->real^N`; `f':real^M->real^N`;
                   `x:real^M`; `cball(x:real^M,e)`; `k:num`; `e:real`]
        DIFFERENTIAL_COMPONENT_POS_AT_MINIMUM)] THEN
  ASM_SIMP_TAC[HAS_DERIVATIVE_AT_WITHIN; CENTRE_IN_CBALL;
               CONVEX_CBALL; REAL_LT_IMP_LE; IN_INTER] THEN
  DISCH_THEN(LABEL_TAC "*") THEN X_GEN_TAC `h:real^M` THEN
  FIRST_X_ASSUM(STRIP_ASSUME_TAC o GEN_REWRITE_RULE I [has_derivative_at]) THEN
  (ASM_CASES_TAC `h:real^M = vec 0` THENL
    [ASM_MESON_TAC[LINEAR_0; VEC_COMPONENT]; ALL_TAC]) THEN
  REMOVE_THEN "*" (fun th ->
    MP_TAC(SPEC `x + e / norm h % h:real^M` th) THEN
    MP_TAC(SPEC `x - e / norm h % h:real^M` th)) THEN
  REWRITE_TAC[IN_CBALL; NORM_ARITH
   `dist(x:real^N,x - e) = norm e /\ dist(x:real^N,x + e) = norm e`] THEN
  REWRITE_TAC[NORM_MUL; REAL_ABS_DIV; REAL_ABS_NORM] THEN
  ASM_SIMP_TAC[real_abs; REAL_DIV_RMUL; NORM_EQ_0; REAL_LT_IMP_LE;
               REAL_LE_REFL] THEN
  REWRITE_TAC[VECTOR_ARITH `x - e - x:real^N = --e /\ (x + e) - x = e`] THEN
  FIRST_ASSUM(fun th -> REWRITE_TAC[MATCH_MP LINEAR_NEG th]) THEN
  REWRITE_TAC[IMP_IMP; REAL_ARITH `&0 <= --x /\ &0 <= x <=> x = &0`;
    VECTOR_NEG_COMPONENT; REAL_ARITH `--x <= &0 /\ x <= &0 <=> x = &0`] THEN
  DISCH_THEN(MP_TAC o AP_TERM `(*) (norm(h:real^M) / e)`) THEN
  REWRITE_TAC[GSYM VECTOR_MUL_COMPONENT] THEN
  FIRST_ASSUM(fun th -> REWRITE_TAC[GSYM(MATCH_MP LINEAR_CMUL th)]) THEN
  REWRITE_TAC[REAL_MUL_RZERO; VECTOR_MUL_ASSOC] THEN
  ASM_SIMP_TAC[REAL_FIELD `~(x = &0) /\ ~(y = &0) ==> x / y * y / x = &1`;
               NORM_EQ_0; REAL_LT_IMP_NZ; VECTOR_MUL_LID]);;

let DIFFERENTIAL_ZERO_MAXMIN_COMPONENT = prove
 (`!f:real^M->real^N x e k.
        1 <= k /\ k <= dimindex(:N) /\ &0 < e /\
        ((!y. y IN ball(x,e) ==> (f y)$k <= (f x)$k) \/
         (!y. y IN ball(x,e) ==> (f x)$k <= (f y)$k)) /\
        f differentiable (at x)
        ==> (jacobian f (at x) $ k = vec 0)`,
  REWRITE_TAC[JACOBIAN_WORKS] THEN REPEAT STRIP_TAC THEN
  MP_TAC(ISPECL
   [`f:real^M->real^N`; `\h. jacobian (f:real^M->real^N) (at x) ** h`;
    `x:real^M`; `ball(x:real^M,e)`; `k:num`]
      DIFFERENTIAL_COMPONENT_ZERO_AT_MAXMIN) THEN
  ASM_REWRITE_TAC[CENTRE_IN_BALL; OPEN_BALL] THEN
  ASM_SIMP_TAC[MATRIX_VECTOR_MUL_COMPONENT; FORALL_DOT_EQ_0]);;

let DIFFERENTIAL_ZERO_MAXMIN = prove
 (`!f:real^N->real^1 f' x s.
        x IN s /\ open s /\ (f has_derivative f') (at x) /\
        ((!y. y IN s ==> drop(f y) <= drop(f x)) \/
         (!y. y IN s ==> drop(f x) <= drop(f y)))
        ==> (f' = \v. vec 0)`,
  REPEAT STRIP_TAC THEN
  MP_TAC(ISPECL [`f:real^N->real^1`; `f':real^N->real^1`;
                 `x:real^N`; `s:real^N->bool`; `1:num`]
        DIFFERENTIAL_COMPONENT_ZERO_AT_MAXMIN) THEN
  ASM_REWRITE_TAC[GSYM drop; DIMINDEX_1; LE_REFL] THEN
  REWRITE_TAC[GSYM LIFT_EQ; LIFT_NUM; FUN_EQ_THM; LIFT_DROP]);;

(* ------------------------------------------------------------------------- *)
(* The traditional Rolle theorem in one dimension.                           *)
(* ------------------------------------------------------------------------- *)

let ROLLE = prove
 (`!f:real^1->real^1 f' a b.
        drop a < drop b /\ (f a = f b) /\
        f continuous_on interval[a,b] /\
        (!x. x IN interval(a,b) ==> (f has_derivative f'(x)) (at x))
        ==> ?x. x IN interval(a,b) /\ (f'(x) = \v. vec 0)`,
  REPEAT STRIP_TAC THEN
  SUBGOAL_THEN
   `?x. x:real^1 IN interval(a,b) /\
        ((!y. y IN interval(a,b) ==> drop(f x) <= drop(f y)) \/
         (!y. y IN interval(a,b) ==> drop(f y) <= drop(f x)))`
  MP_TAC THENL
   [ALL_TAC; ASM_MESON_TAC[DIFFERENTIAL_ZERO_MAXMIN; OPEN_INTERVAL]] THEN
  MAP_EVERY (MP_TAC o ISPECL
            [`drop o (f:real^1->real^1)`; `interval[a:real^1,b]`])
            [CONTINUOUS_ATTAINS_SUP; CONTINUOUS_ATTAINS_INF] THEN
  REWRITE_TAC[COMPACT_INTERVAL; o_ASSOC] THEN
  ASM_SIMP_TAC[CONTINUOUS_ON_COMPOSE; CONTINUOUS_ON_LIFT_COMPONENT; o_DEF] THEN
  ASM_REWRITE_TAC[LIFT_DROP; ETA_AX] THEN
  REWRITE_TAC[INTERVAL_EQ_EMPTY; DIMINDEX_1; CONJ_ASSOC; LE_ANTISYM] THEN
  ASM_SIMP_TAC[UNWIND_THM1; GSYM drop; REAL_NOT_LT; REAL_LT_IMP_LE] THEN
  DISCH_THEN(X_CHOOSE_THEN `d:real^1` STRIP_ASSUME_TAC) THEN
  ASM_CASES_TAC `(d:real^1) IN interval(a,b)` THENL
   [ASM_MESON_TAC[SUBSET; INTERVAL_OPEN_SUBSET_CLOSED]; ALL_TAC] THEN
  DISCH_THEN(X_CHOOSE_THEN `c:real^1` STRIP_ASSUME_TAC) THEN
  ASM_CASES_TAC `(c:real^1) IN interval(a,b)` THENL
   [ASM_MESON_TAC[SUBSET; INTERVAL_OPEN_SUBSET_CLOSED]; ALL_TAC] THEN
  SUBGOAL_THEN `?x:real^1. x IN interval(a,b)` MP_TAC THENL
   [REWRITE_TAC[MEMBER_NOT_EMPTY; INTERVAL_EQ_EMPTY; DIMINDEX_1] THEN
    ASM_MESON_TAC[LE_ANTISYM; drop; REAL_NOT_LE];
    ALL_TAC] THEN
  MATCH_MP_TAC MONO_EXISTS THEN X_GEN_TAC `x:real^1` THEN DISCH_TAC THEN
  REPEAT(FIRST_X_ASSUM(MP_TAC o MATCH_MP INTERVAL_CASES_1)) THEN
  ASM_REWRITE_TAC[] THEN REPEAT(DISCH_THEN(DISJ_CASES_THEN SUBST_ALL_TAC)) THEN
  ASM_MESON_TAC[REAL_LE_ANTISYM; SUBSET; INTERVAL_OPEN_SUBSET_CLOSED]);;

(* ------------------------------------------------------------------------- *)
(* One-dimensional mean value theorem.                                       *)
(* ------------------------------------------------------------------------- *)

let MVT = prove
 (`!f:real^1->real^1 f' a b.
        drop a < drop b /\
        f continuous_on interval[a,b] /\
        (!x. x IN interval(a,b) ==> (f has_derivative f'(x)) (at x))
        ==> ?x. x IN interval(a,b) /\ (f(b) - f(a) = f'(x) (b - a))`,
  REPEAT STRIP_TAC THEN
  MP_TAC(SPECL [`\x. f(x) - (drop(f b - f a) / drop(b - a)) % x`;
                `\k:real^1 x:real^1.
                    f'(k)(x) - (drop(f b - f a) / drop(b - a)) % x`;
                `a:real^1`; `b:real^1`]
               ROLLE) THEN
  REWRITE_TAC[] THEN ANTS_TAC THENL
   [ASM_SIMP_TAC[CONTINUOUS_ON_SUB; CONTINUOUS_ON_CMUL; CONTINUOUS_ON_ID] THEN
    CONJ_TAC THENL
     [REWRITE_TAC[VECTOR_ARITH
       `(fa - k % a = fb - k % b) <=> (fb - fa = k % (b - a))`];
      REPEAT STRIP_TAC THEN MATCH_MP_TAC HAS_DERIVATIVE_SUB THEN
      ASM_SIMP_TAC[HAS_DERIVATIVE_CMUL; HAS_DERIVATIVE_ID; ETA_AX]];
    MATCH_MP_TAC MONO_EXISTS THEN SIMP_TAC[FUN_EQ_THM] THEN
    X_GEN_TAC `x:real^1` THEN
    DISCH_THEN(CONJUNCTS_THEN2 ASSUME_TAC (MP_TAC o SPEC `b - a:real^1`))] THEN
  SIMP_TAC[VECTOR_SUB_EQ; GSYM DROP_EQ; DROP_SUB; DROP_CMUL] THEN
  ASM_SIMP_TAC[REAL_DIV_RMUL; REAL_SUB_LT; REAL_LT_IMP_NZ]);;

let MVT_SIMPLE = prove
 (`!f:real^1->real^1 f' a b.
        drop a < drop b /\
        (!x. x IN interval[a,b]
             ==> (f has_derivative f'(x)) (at x within interval[a,b]))
        ==> ?x. x IN interval(a,b) /\ (f(b) - f(a) = f'(x) (b - a))`,
  MP_TAC MVT THEN
  REPEAT(MATCH_MP_TAC MONO_FORALL THEN GEN_TAC) THEN
  REPEAT STRIP_TAC THEN FIRST_X_ASSUM MATCH_MP_TAC THEN ASM_REWRITE_TAC[] THEN
  CONJ_TAC THENL
   [MATCH_MP_TAC DIFFERENTIABLE_IMP_CONTINUOUS_ON THEN
    ASM_MESON_TAC[differentiable_on; differentiable];
    ASM_MESON_TAC[HAS_DERIVATIVE_WITHIN_OPEN; OPEN_INTERVAL;
                  HAS_DERIVATIVE_WITHIN_SUBSET; INTERVAL_OPEN_SUBSET_CLOSED;
                  SUBSET]]);;

let MVT_VERY_SIMPLE = prove
 (`!f:real^1->real^1 f' a b.
        drop a <= drop b /\
        (!x. x IN interval[a,b]
             ==> (f has_derivative f'(x)) (at x within interval[a,b]))
        ==> ?x. x IN interval[a,b] /\ (f(b) - f(a) = f'(x) (b - a))`,
  REPEAT GEN_TAC THEN ASM_CASES_TAC `b:real^1 = a` THENL
   [ASM_REWRITE_TAC[VECTOR_SUB_REFL] THEN REPEAT STRIP_TAC THEN
    FIRST_X_ASSUM(MP_TAC o SPEC `a:real^1`) THEN
    REWRITE_TAC[INTERVAL_SING; IN_SING; has_derivative; UNWIND_THM2] THEN
    MESON_TAC[LINEAR_0];
    ASM_REWRITE_TAC[REAL_LE_LT; DROP_EQ] THEN
    DISCH_THEN(MP_TAC o MATCH_MP MVT_SIMPLE) THEN
    MATCH_MP_TAC MONO_EXISTS THEN
    SIMP_TAC[REWRITE_RULE[SUBSET] INTERVAL_OPEN_SUBSET_CLOSED]]);;

(* ------------------------------------------------------------------------- *)
(* A nice generalization (see Havin's proof of 5.19 from Rudin's book).      *)
(* ------------------------------------------------------------------------- *)

let MVT_GENERAL = prove
 (`!f:real^1->real^N f' a b.
        drop a < drop b /\
        f continuous_on interval[a,b] /\
        (!x. x IN interval(a,b) ==> (f has_derivative f'(x)) (at x))
        ==> ?x. x IN interval(a,b) /\
                norm(f(b) - f(a)) <= norm(f'(x) (b - a))`,
  REPEAT STRIP_TAC THEN
  MP_TAC(SPECL [`(lift o (\y. (f(b) - f(a)) dot y)) o (f:real^1->real^N)`;
                `\x t. lift((f(b:real^1) - f(a)) dot
                      ((f':real^1->real^1->real^N) x t))`;
                `a:real^1`; `b:real^1`]  MVT) THEN
  ANTS_TAC THENL
   [ASM_SIMP_TAC[CONTINUOUS_ON_LIFT_DOT; CONTINUOUS_ON_COMPOSE] THEN
    REPEAT STRIP_TAC THEN REWRITE_TAC[o_DEF] THEN
    MATCH_MP_TAC HAS_DERIVATIVE_LIFT_DOT THEN ASM_SIMP_TAC[ETA_AX];
    ALL_TAC] THEN
  MATCH_MP_TAC MONO_EXISTS THEN X_GEN_TAC `x:real^1` THEN
  DISCH_THEN(CONJUNCTS_THEN2 ASSUME_TAC MP_TAC) THEN
  ASM_REWRITE_TAC[o_THM; GSYM LIFT_SUB; GSYM DOT_RSUB; LIFT_EQ] THEN
  DISCH_TAC THEN ASM_CASES_TAC `(f:real^1->real^N) b = f a` THENL
   [ASM_REWRITE_TAC[VECTOR_SUB_REFL; NORM_0; NORM_POS_LE]; ALL_TAC] THEN
  MATCH_MP_TAC REAL_LE_LCANCEL_IMP THEN
  EXISTS_TAC `norm((f:real^1->real^N) b - f a)` THEN
  ASM_REWRITE_TAC[NORM_POS_LT; VECTOR_SUB_EQ; GSYM REAL_POW_2] THEN
  ASM_REWRITE_TAC[NORM_POW_2; NORM_CAUCHY_SCHWARZ]);;

(* ------------------------------------------------------------------------- *)
(* Still more general bound theorem.                                         *)
(* ------------------------------------------------------------------------- *)

let DIFFERENTIABLE_BOUND = prove
 (`!f:real^M->real^N f' s B.
        convex s /\
        (!x. x IN s ==> (f has_derivative f'(x)) (at x within s)) /\
        (!x. x IN s ==> onorm(f'(x)) <= B)
        ==> !x y. x IN s /\ y IN s ==> norm(f(x) - f(y)) <= B * norm(x - y)`,
  ONCE_REWRITE_TAC[NORM_SUB] THEN REPEAT STRIP_TAC THEN
  SUBGOAL_THEN
    `!x y. x IN s ==> norm((f':real^M->real^M->real^N)(x) y) <= B * norm(y)`
  ASSUME_TAC THENL
   [ASM_MESON_TAC[ONORM; has_derivative; REAL_LE_TRANS; NORM_POS_LE;
                  REAL_LE_RMUL]; ALL_TAC] THEN
  SUBGOAL_THEN
   `!u. u IN interval[vec 0,vec 1] ==> (x + drop u % (y - x) :real^M) IN s`
  ASSUME_TAC THENL
   [REWRITE_TAC[IN_INTERVAL; FORALL_DIMINDEX_1; drop] THEN
    SIMP_TAC[VEC_COMPONENT; LE_REFL; DIMINDEX_1] THEN
    REWRITE_TAC[VECTOR_ARITH `x + u % (y - x) = (&1 - u) % x + u % y`] THEN
    ASM_MESON_TAC[CONVEX_ALT];
    ALL_TAC] THEN
  SUBGOAL_THEN
   `!u. u IN interval(vec 0,vec 1) ==> (x + drop u % (y - x) :real^M) IN s`
  ASSUME_TAC THENL
   [ASM_MESON_TAC[SUBSET; INTERVAL_OPEN_SUBSET_CLOSED]; ALL_TAC] THEN
  MP_TAC(SPECL
   [`(f:real^M->real^N) o (\u. x + drop u % (y - x))`;
    `\u. (f':real^M->real^M->real^N) (x + drop u % (y - x)) o
         (\u. vec 0 + drop u % (y - x))`;
    `vec 0:real^1`; `vec 1:real^1`] MVT_GENERAL) THEN
  REWRITE_TAC[o_THM; DROP_VEC; VECTOR_ARITH `x + &1 % (y - x) = y`;
              VECTOR_MUL_LZERO; VECTOR_SUB_RZERO; VECTOR_ADD_RID] THEN
  REWRITE_TAC[VECTOR_MUL_LID] THEN ANTS_TAC THENL
   [ALL_TAC; ASM_MESON_TAC[VECTOR_ADD_LID; REAL_LE_TRANS]] THEN
  REWRITE_TAC[REAL_LT_01] THEN CONJ_TAC THENL
   [MATCH_MP_TAC CONTINUOUS_ON_COMPOSE THEN
    SIMP_TAC[CONTINUOUS_ON_ADD; CONTINUOUS_ON_CONST; CONTINUOUS_ON_VMUL;
             o_DEF; LIFT_DROP; CONTINUOUS_ON_ID] THEN
    MATCH_MP_TAC CONTINUOUS_ON_SUBSET THEN EXISTS_TAC `s:real^M->bool` THEN
    ASM_REWRITE_TAC[SUBSET; FORALL_IN_IMAGE] THEN
    ASM_MESON_TAC[DIFFERENTIABLE_IMP_CONTINUOUS_WITHIN; differentiable;
                  CONTINUOUS_ON_EQ_CONTINUOUS_WITHIN];
    ALL_TAC] THEN
  X_GEN_TAC `a:real^1` THEN DISCH_TAC THEN
  SUBGOAL_THEN `a IN interval(vec 0:real^1,vec 1) /\
                open(interval(vec 0:real^1,vec 1))`
  MP_TAC THENL [ASM_MESON_TAC[OPEN_INTERVAL]; ALL_TAC] THEN
  DISCH_THEN(fun th -> ONCE_REWRITE_TAC[GSYM(MATCH_MP
    HAS_DERIVATIVE_WITHIN_OPEN th)]) THEN
  MATCH_MP_TAC DIFF_CHAIN_WITHIN THEN
  ASM_SIMP_TAC[HAS_DERIVATIVE_ADD; HAS_DERIVATIVE_CONST;
               HAS_DERIVATIVE_VMUL_DROP; HAS_DERIVATIVE_ID] THEN
  MATCH_MP_TAC HAS_DERIVATIVE_WITHIN_SUBSET THEN
  EXISTS_TAC `s:real^M->bool` THEN
  REWRITE_TAC[SUBSET; FORALL_IN_IMAGE] THEN
  ASM_MESON_TAC[INTERVAL_OPEN_SUBSET_CLOSED; SUBSET]);;

(* ------------------------------------------------------------------------- *)
(* In particular.                                                            *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_ZERO_CONSTANT = prove
 (`!f:real^M->real^N s.
        convex s /\
        (!x. x IN s ==> (f has_derivative (\h. vec 0)) (at x within s))
        ==> ?c. !x. x IN s ==> f(x) = c`,
  REPEAT STRIP_TAC THEN
  MP_TAC(ISPECL [`f:real^M->real^N`; `(\x h. vec 0):real^M->real^M->real^N`;
                 `s:real^M->bool`; `&0`] DIFFERENTIABLE_BOUND) THEN
  ASM_REWRITE_TAC[REAL_MUL_LZERO; ONORM_CONST; NORM_0; REAL_LE_REFL] THEN
  SIMP_TAC[NORM_LE_0; VECTOR_SUB_EQ] THEN MESON_TAC[]);;

let HAS_DERIVATIVE_ZERO_UNIQUE = prove
 (`!f s a c. convex s /\ a IN s /\ f a = c /\
             (!x. x IN s ==> (f has_derivative (\h. vec 0)) (at x within s))
             ==> !x. x IN s ==> f x = c`,
  MESON_TAC[HAS_DERIVATIVE_ZERO_CONSTANT]);;

let HAS_DERIVATIVE_ZERO_CONNECTED_CONSTANT = prove
 (`!f:real^M->real^N s.
        open s /\ connected s /\
        (!x. x IN s ==> (f has_derivative (\h. vec 0)) (at x))
        ==> ?c. !x. x IN s ==> f(x) = c`,
  REPEAT STRIP_TAC THEN
  ASM_CASES_TAC `s:real^M->bool = {}` THEN ASM_REWRITE_TAC[NOT_IN_EMPTY] THEN
  FIRST_X_ASSUM(MP_TAC o GEN_REWRITE_RULE I [GSYM MEMBER_NOT_EMPTY]) THEN
  DISCH_THEN(X_CHOOSE_TAC `a:real^M`) THEN
  FIRST_ASSUM(MP_TAC o GEN_REWRITE_RULE I [CONNECTED_CLOPEN]) THEN
  DISCH_THEN(MP_TAC o SPEC `{x | x IN s /\ (f:real^M->real^N) x = f a}`) THEN
  ANTS_TAC THENL [ALL_TAC; ASM SET_TAC[]] THEN CONJ_TAC THENL
   [SIMP_TAC[open_in; SUBSET; IN_ELIM_THM] THEN
    X_GEN_TAC `x:real^M` THEN STRIP_TAC THEN
    FIRST_X_ASSUM(MP_TAC o GEN_REWRITE_RULE I [OPEN_CONTAINS_BALL]) THEN
    DISCH_THEN(MP_TAC o SPEC `x:real^M`) THEN ASM_REWRITE_TAC[] THEN
    MATCH_MP_TAC MONO_EXISTS THEN X_GEN_TAC `e:real` THEN
    REWRITE_TAC[SUBSET; IN_BALL] THEN STRIP_TAC THEN ASM_REWRITE_TAC[] THEN
    MP_TAC(ISPECL [`f:real^M->real^N`; `ball(x:real^M,e)`]
        HAS_DERIVATIVE_ZERO_CONSTANT) THEN
    REWRITE_TAC[IN_BALL; CONVEX_BALL] THEN
    ASM_MESON_TAC[HAS_DERIVATIVE_AT_WITHIN; DIST_SYM; DIST_REFL];
    MATCH_MP_TAC CONTINUOUS_CLOSED_IN_PREIMAGE_CONSTANT THEN
    MATCH_MP_TAC DIFFERENTIABLE_IMP_CONTINUOUS_ON THEN
    ASM_SIMP_TAC[DIFFERENTIABLE_ON_EQ_DIFFERENTIABLE_AT] THEN
    ASM_MESON_TAC[differentiable]]);;

let HAS_DERIVATIVE_ZERO_CONNECTED_UNIQUE = prove
 (`!f s a c. open s /\ connected s /\ a IN s /\ f a = c /\
             (!x. x IN s ==> (f has_derivative (\h. vec 0)) (at x))
             ==> !x. x IN s ==> f x = c`,
  MESON_TAC[HAS_DERIVATIVE_ZERO_CONNECTED_CONSTANT]);;

(* ------------------------------------------------------------------------- *)
(* Differentiability of inverse function (most basic form).                  *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_INVERSE_BASIC = prove
 (`!f:real^M->real^N g f' g' t y.
        (f has_derivative f') (at (g y)) /\ linear g' /\ (g' o f' = I) /\
        g continuous (at y) /\
        open t /\ y IN t /\ (!z. z IN t ==> (f(g(z)) = z))
        ==> (g has_derivative g') (at y)`,
  REWRITE_TAC[FUN_EQ_THM; o_THM; I_THM] THEN REPEAT STRIP_TAC THEN
  FIRST_ASSUM(X_CHOOSE_TAC `C:real` o MATCH_MP LINEAR_BOUNDED_POS) THEN
  SUBGOAL_THEN
   `!e. &0 < e ==> ?d. &0 < d /\
                       !z. norm(z - y) < d
                           ==> norm((g:real^N->real^M)(z) - g(y) - g'(z - y))
                               <= e * norm(g(z) - g(y))`
  ASSUME_TAC THENL
   [X_GEN_TAC `e:real` THEN DISCH_TAC THEN
    FIRST_X_ASSUM(MP_TAC o GEN_REWRITE_RULE I [HAS_DERIVATIVE_AT_ALT]) THEN
    DISCH_THEN(CONJUNCTS_THEN2 ASSUME_TAC (MP_TAC o SPEC `e / C`)) THEN
    ASM_SIMP_TAC[REAL_LT_DIV] THEN
    DISCH_THEN(X_CHOOSE_THEN `d0:real`
     (CONJUNCTS_THEN2 ASSUME_TAC MP_TAC)) THEN
    DISCH_THEN(ASSUME_TAC o GEN `z:real^N` o SPEC `(g:real^N->real^M) z`) THEN
    FIRST_X_ASSUM(MP_TAC o GEN_REWRITE_RULE I [continuous_at]) THEN
    DISCH_THEN(MP_TAC o SPEC `d0:real`) THEN ASM_REWRITE_TAC[dist] THEN
    DISCH_THEN(X_CHOOSE_THEN `d1:real` STRIP_ASSUME_TAC) THEN
    FIRST_X_ASSUM(MP_TAC o SPEC `y:real^N` o
      GEN_REWRITE_RULE I [open_def]) THEN
    ASM_REWRITE_TAC[dist] THEN
    DISCH_THEN(X_CHOOSE_THEN `d2:real` STRIP_ASSUME_TAC) THEN
    MP_TAC(SPECL [`d1:real`; `d2:real`] REAL_DOWN2) THEN
    ASM_REWRITE_TAC[] THEN
    MATCH_MP_TAC MONO_EXISTS THEN X_GEN_TAC `d:real` THEN STRIP_TAC THEN
    ASM_REWRITE_TAC[] THEN
    X_GEN_TAC `z:real^N` THEN DISCH_TAC THEN MATCH_MP_TAC REAL_LE_TRANS THEN
    EXISTS_TAC `C * (e / C) * norm((g:real^N->real^M) z - g y)` THEN
    CONJ_TAC THENL
     [ALL_TAC;
      ASM_SIMP_TAC[REAL_MUL_ASSOC; REAL_LE_RMUL; REAL_DIV_LMUL;
                   REAL_EQ_IMP_LE; REAL_LT_IMP_NZ; NORM_POS_LE]] THEN
    MATCH_MP_TAC REAL_LE_TRANS THEN
    EXISTS_TAC `C * norm(f((g:real^N->real^M) z) - y - f'(g z - g y))` THEN
    CONJ_TAC THENL [ALL_TAC; ASM_MESON_TAC[REAL_LT_TRANS; REAL_LE_LMUL_EQ]] THEN
    MATCH_MP_TAC REAL_LE_TRANS THEN
    EXISTS_TAC
     `norm(g'(f((g:real^N->real^M) z) - y - f'(g z - g y)):real^M)` THEN
    ASM_REWRITE_TAC[] THEN ASM_SIMP_TAC[LINEAR_SUB] THEN
    GEN_REWRITE_TAC LAND_CONV [GSYM NORM_NEG] THEN
    REWRITE_TAC[VECTOR_ARITH
     `--(gz:real^N - gy - (z - y)) = z - y - (gz - gy)`] THEN
    ASM_MESON_TAC[REAL_LE_REFL; REAL_LT_TRANS];
    ALL_TAC] THEN
  SUBGOAL_THEN
   `?B d. &0 < B /\ &0 < d /\
          !z. norm(z - y) < d
              ==> norm((g:real^N->real^M)(z) - g(y)) <= B * norm(z - y)`
  STRIP_ASSUME_TAC THENL
   [EXISTS_TAC `&2 * C` THEN
    FIRST_X_ASSUM(MP_TAC o SPEC `&1 / &2`) THEN
    CONV_TAC REAL_RAT_REDUCE_CONV THEN
    MATCH_MP_TAC MONO_EXISTS THEN X_GEN_TAC `d:real` THEN
    ASM_SIMP_TAC[REAL_LT_MUL; REAL_OF_NUM_LT; ARITH] THEN
    DISCH_THEN(CONJUNCTS_THEN2 ASSUME_TAC MP_TAC) THEN
    MATCH_MP_TAC MONO_FORALL THEN X_GEN_TAC `z:real^N` THEN
    MATCH_MP_TAC MONO_IMP THEN REWRITE_TAC[] THEN
    MATCH_MP_TAC(REAL_ARITH
        `norm(dg) <= norm(dg') + norm(dg - dg') /\
         ((&2 * (&1 - h)) * norm(dg) = &1 * norm(dg)) /\
         norm(dg') <= c * norm(d)
         ==> norm(dg - dg') <= h * norm(dg)
             ==> norm(dg) <= (&2 * c) * norm(d)`) THEN
    CONV_TAC REAL_RAT_REDUCE_CONV THEN ASM_REWRITE_TAC[NORM_TRIANGLE_SUB];
    ALL_TAC] THEN
  REWRITE_TAC[HAS_DERIVATIVE_AT_ALT] THEN ASM_REWRITE_TAC[] THEN
  X_GEN_TAC `e:real` THEN DISCH_TAC THEN
  FIRST_X_ASSUM(MP_TAC o SPEC `e / B`) THEN
  ASM_SIMP_TAC[REAL_LT_DIV] THEN
  DISCH_THEN(X_CHOOSE_THEN `d':real` STRIP_ASSUME_TAC) THEN
  MP_TAC(SPECL [`d:real`; `d':real`] REAL_DOWN2) THEN ASM_REWRITE_TAC[] THEN
  MATCH_MP_TAC MONO_EXISTS THEN X_GEN_TAC `k:real` THEN
  STRIP_TAC THEN ASM_REWRITE_TAC[] THEN X_GEN_TAC `z:real^N` THEN
  DISCH_TAC THEN MATCH_MP_TAC REAL_LE_TRANS THEN
  EXISTS_TAC `e / B * norm ((g:real^N->real^M) z - g y)` THEN
  CONJ_TAC THENL [ASM_MESON_TAC[REAL_LT_TRANS]; ALL_TAC] THEN
  ASM_SIMP_TAC[real_div; GSYM REAL_MUL_ASSOC; REAL_LE_LMUL_EQ] THEN
  ONCE_REWRITE_TAC[REAL_MUL_SYM] THEN
  ASM_SIMP_TAC[GSYM real_div; REAL_LE_LDIV_EQ] THEN
  ASM_MESON_TAC[REAL_MUL_SYM; REAL_LT_TRANS]);;

(* ------------------------------------------------------------------------- *)
(* Simply rewrite that based on the domain point x.                          *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_INVERSE_BASIC_X = prove
 (`!f:real^M->real^N g f' g' t x.
        (f has_derivative f') (at x) /\ linear g' /\ (g' o f' = I) /\
        g continuous (at (f(x))) /\ (g(f(x)) = x) /\
        open t /\ f(x) IN t /\ (!y. y IN t ==> (f(g(y)) = y))
        ==> (g has_derivative g') (at (f(x)))`,
  MESON_TAC[HAS_DERIVATIVE_INVERSE_BASIC]);;

(* ------------------------------------------------------------------------- *)
(* This is the version in Dieudonne', assuming continuity of f and g.        *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_INVERSE_DIEUDONNE = prove
 (`!f:real^M->real^N g s.
        open s /\ open (IMAGE f s) /\
        f continuous_on s /\ g continuous_on (IMAGE f s) /\
        (!x. x IN s ==> (g(f(x)) = x))
        ==> !f' g' x. x IN s /\ (f has_derivative f') (at x) /\
                      linear g' /\ (g' o f' = I)
                      ==> (g has_derivative g') (at (f(x)))`,
  REPEAT STRIP_TAC THEN MATCH_MP_TAC HAS_DERIVATIVE_INVERSE_BASIC_X THEN
  EXISTS_TAC `f':real^M->real^N` THEN
  EXISTS_TAC `IMAGE (f:real^M->real^N) s` THEN
  ASM_MESON_TAC[CONTINUOUS_ON_EQ_CONTINUOUS_AT; IN_IMAGE]);;

(* ------------------------------------------------------------------------- *)
(* Here's the simplest way of not assuming much about g.                     *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_INVERSE = prove
 (`!f:real^M->real^N g f' g' s x.
        compact s /\ x IN s /\ f(x) IN interior(IMAGE f s) /\
        f continuous_on s /\ (!x. x IN s ==> (g(f(x)) = x)) /\
        (f has_derivative f') (at x) /\ linear g' /\ (g' o f' = I)
        ==> (g has_derivative g') (at (f(x)))`,
  REPEAT STRIP_TAC THEN
  MATCH_MP_TAC HAS_DERIVATIVE_INVERSE_BASIC_X THEN
  EXISTS_TAC `f':real^M->real^N` THEN
  EXISTS_TAC `interior(IMAGE (f:real^M->real^N) s)` THEN
  ASM_MESON_TAC[CONTINUOUS_ON_INTERIOR; CONTINUOUS_ON_INVERSE;
    OPEN_INTERIOR; IN_IMAGE; INTERIOR_SUBSET; SUBSET]);;

(* ------------------------------------------------------------------------- *)
(* Proving surjectivity via Brouwer fixpoint theorem.                        *)
(* ------------------------------------------------------------------------- *)

let BROUWER_SURJECTIVE = prove
 (`!f:real^N->real^N s t.
        compact t /\ convex t /\ ~(t = {}) /\ f continuous_on t /\
        (!x y. x IN s /\ y IN t ==> x + (y - f(y)) IN t)
        ==> !x. x IN s ==> ?y. y IN t /\ (f(y) = x)`,
  REPEAT STRIP_TAC THEN
  ONCE_REWRITE_TAC[VECTOR_ARITH
   `((f:real^N->real^N)(y) = x) <=> (x + (y - f(y)) = y)`] THEN
  ASM_SIMP_TAC[CONTINUOUS_ON_ADD; CONTINUOUS_ON_CONST; CONTINUOUS_ON_SUB;
               BROUWER; SUBSET; FORALL_IN_IMAGE; CONTINUOUS_ON_ID]);;

let BROUWER_SURJECTIVE_CBALL = prove
 (`!f:real^N->real^N s a e.
        &0 < e /\
        f continuous_on cball(a,e) /\
        (!x y. x IN s /\ y IN cball(a,e) ==> x + (y - f(y)) IN cball(a,e))
        ==> !x. x IN s ==> ?y. y IN cball(a,e) /\ (f(y) = x)`,
  REPEAT GEN_TAC THEN STRIP_TAC THEN MATCH_MP_TAC BROUWER_SURJECTIVE THEN
  ASM_REWRITE_TAC[COMPACT_CBALL; CONVEX_CBALL] THEN
  ASM_SIMP_TAC[CBALL_EQ_EMPTY; REAL_LT_IMP_LE; REAL_NOT_LT]);;

(* ------------------------------------------------------------------------- *)
(* See Sussmann: "Multidifferential calculus", Theorem 2.1.1                 *)
(* ------------------------------------------------------------------------- *)

let SUSSMANN_OPEN_MAPPING = prove
 (`!f:real^M->real^N f' g' s x.
        open s /\ f continuous_on s /\
        x IN s /\ (f has_derivative f') (at x) /\ linear g' /\ (f' o g' = I)
        ==> !t. t SUBSET s /\ x IN interior(t)
                ==> f(x) IN interior(IMAGE f t)`,
  REWRITE_TAC[HAS_DERIVATIVE_AT_ALT] THEN
  REWRITE_TAC[FUN_EQ_THM; o_THM; I_THM] THEN REPEAT STRIP_TAC THEN
  MP_TAC(MATCH_MP LINEAR_BOUNDED_POS (ASSUME `linear(g':real^N->real^M)`)) THEN
  DISCH_THEN(X_CHOOSE_THEN `B:real` STRIP_ASSUME_TAC) THEN
  FIRST_X_ASSUM(MP_TAC o SPEC `&1 / (&2 * B)`) THEN
  ASM_SIMP_TAC[REAL_LT_MUL; REAL_LT_DIV; REAL_OF_NUM_LT; ARITH] THEN
  DISCH_THEN(X_CHOOSE_THEN `e0:real` STRIP_ASSUME_TAC) THEN
  FIRST_X_ASSUM(MP_TAC o GEN_REWRITE_RULE I [IN_INTERIOR_CBALL]) THEN
  DISCH_THEN(X_CHOOSE_THEN `e1:real` STRIP_ASSUME_TAC) THEN
  MP_TAC(SPECL [`e0 / B`; `e1 / B`] REAL_DOWN2) THEN
  ASM_SIMP_TAC[REAL_LT_DIV] THEN
  DISCH_THEN(X_CHOOSE_THEN `e:real` STRIP_ASSUME_TAC) THEN
  MP_TAC(ISPECL
   [`\y. (f:real^M->real^N)(x + g'(y - f(x)))`;
    `cball((f:real^M->real^N) x,e / &2)`; `(f:real^M->real^N) x`; `e:real`]
   BROUWER_SURJECTIVE_CBALL) THEN
  REWRITE_TAC[] THEN ANTS_TAC THENL
   [ASM_REWRITE_TAC[] THEN CONJ_TAC THENL
     [ONCE_REWRITE_TAC[GSYM o_DEF] THEN
      MATCH_MP_TAC CONTINUOUS_ON_COMPOSE THEN CONJ_TAC THENL
       [MATCH_MP_TAC CONTINUOUS_ON_ADD THEN
        REWRITE_TAC[CONTINUOUS_ON_CONST] THEN
        ONCE_REWRITE_TAC[GSYM o_DEF] THEN
        MATCH_MP_TAC CONTINUOUS_ON_COMPOSE THEN
        ASM_SIMP_TAC[CONTINUOUS_ON_SUB; CONTINUOUS_ON_CONST;
                     CONTINUOUS_ON_ID; LINEAR_CONTINUOUS_ON];
        ALL_TAC] THEN
      MATCH_MP_TAC CONTINUOUS_ON_SUBSET THEN
      EXISTS_TAC `cball(x:real^M,e1)` THEN CONJ_TAC THENL
       [ASM_MESON_TAC[CONTINUOUS_ON_SUBSET; SUBSET_TRANS]; ALL_TAC] THEN
      REWRITE_TAC[SUBSET; FORALL_IN_IMAGE] THEN X_GEN_TAC `y:real^N` THEN
      REWRITE_TAC[IN_CBALL; dist] THEN
      REWRITE_TAC[VECTOR_ARITH `x - (x + y) = --y:real^N`] THEN
      GEN_REWRITE_TAC (LAND_CONV o ONCE_DEPTH_CONV) [NORM_SUB] THEN
      DISCH_TAC THEN MATCH_MP_TAC REAL_LE_TRANS THEN
      EXISTS_TAC `B * norm(y - (f:real^M->real^N) x)` THEN
      ASM_REWRITE_TAC[NORM_NEG] THEN ONCE_REWRITE_TAC[REAL_MUL_SYM] THEN
      ASM_SIMP_TAC[GSYM REAL_LE_RDIV_EQ] THEN
      ASM_MESON_TAC[REAL_LE_TRANS; REAL_LT_IMP_LE];
      ALL_TAC] THEN
    MAP_EVERY X_GEN_TAC [`y:real^N`; `z:real^N`] THEN STRIP_TAC THEN
    FIRST_X_ASSUM(MP_TAC o SPEC `x + g'(z - (f:real^M->real^N) x)`) THEN
    ASM_REWRITE_TAC[VECTOR_ADD_SUB] THEN ANTS_TAC THENL
     [MATCH_MP_TAC REAL_LET_TRANS THEN
      EXISTS_TAC `B * norm(z - (f:real^M->real^N) x)` THEN
      ASM_REWRITE_TAC[NORM_NEG] THEN ONCE_REWRITE_TAC[REAL_MUL_SYM] THEN
      ASM_SIMP_TAC[GSYM REAL_LT_RDIV_EQ] THEN
      ASM_MESON_TAC[IN_CBALL; dist; NORM_SUB; REAL_LET_TRANS];
      ALL_TAC] THEN
    REWRITE_TAC[VECTOR_ARITH `a - b - (c - b) = a - c:real^N`] THEN
    DISCH_TAC THEN REWRITE_TAC[IN_CBALL; dist] THEN
    ONCE_REWRITE_TAC[VECTOR_ARITH
     `f0 - (y + z - f1) = (f1 - z) + (f0 - y):real^N`] THEN
    MATCH_MP_TAC REAL_LE_TRANS THEN EXISTS_TAC
     `norm(f(x + g'(z - (f:real^M->real^N) x)) - z) + norm(f x - y)` THEN
    REWRITE_TAC[NORM_TRIANGLE] THEN
    FIRST_X_ASSUM(MATCH_MP_TAC o MATCH_MP (REAL_ARITH
     `x <= a ==> y <= b - a ==> x + y <= b`)) THEN
    MATCH_MP_TAC REAL_LE_TRANS THEN EXISTS_TAC `e / &2` THEN CONJ_TAC THENL
     [ASM_MESON_TAC[IN_CBALL; dist]; ALL_TAC] THEN
    REWRITE_TAC[REAL_ARITH `e / &2 <= e - x <=> x <= e / &2`] THEN
    REWRITE_TAC[real_div; REAL_INV_MUL; REAL_MUL_ASSOC] THEN
    CONV_TAC REAL_RAT_REDUCE_CONV THEN
    SIMP_TAC[REAL_ARITH `(&1 / &2 * b) * x <= e * &1 / &2 <=> x * b <= e`] THEN
    ASM_SIMP_TAC[GSYM real_div; REAL_LE_LDIV_EQ] THEN
    MATCH_MP_TAC REAL_LE_TRANS THEN
    EXISTS_TAC `B * norm(z - (f:real^M->real^N) x)` THEN
    ASM_REWRITE_TAC[] THEN
    ASM_MESON_TAC[REAL_LE_LMUL_EQ; REAL_MUL_SYM; IN_CBALL; dist; DIST_SYM];
    ALL_TAC] THEN
  REWRITE_TAC[IN_INTERIOR] THEN
  DISCH_THEN(fun th -> EXISTS_TAC `e / &2` THEN MP_TAC th) THEN
  ASM_SIMP_TAC[REAL_LT_DIV; REAL_OF_NUM_LT; ARITH; SUBSET] THEN
  MATCH_MP_TAC MONO_FORALL THEN X_GEN_TAC `y:real^N` THEN
  MATCH_MP_TAC MONO_IMP THEN
  REWRITE_TAC[REWRITE_RULE[SUBSET] BALL_SUBSET_CBALL] THEN
  DISCH_THEN(X_CHOOSE_THEN `z:real^N` (STRIP_ASSUME_TAC o GSYM)) THEN
  ASM_REWRITE_TAC[IN_IMAGE] THEN
  EXISTS_TAC `x + g'(z - (f:real^M->real^N) x)` THEN REWRITE_TAC[] THEN
  FIRST_ASSUM(MATCH_MP_TAC o REWRITE_RULE[SUBSET]) THEN
  REWRITE_TAC[IN_CBALL; dist; VECTOR_ARITH `x - (x + y) = --y:real^N`] THEN
  MATCH_MP_TAC REAL_LE_TRANS THEN
  EXISTS_TAC `B * norm(z - (f:real^M->real^N) x)` THEN
  ASM_REWRITE_TAC[NORM_NEG] THEN
  ONCE_REWRITE_TAC[REAL_MUL_SYM] THEN
  ASM_SIMP_TAC[GSYM REAL_LE_RDIV_EQ] THEN
  ASM_MESON_TAC[IN_CBALL; dist; NORM_SUB; REAL_LT_IMP_LE; REAL_LE_TRANS]);;

(* ------------------------------------------------------------------------- *)
(* Hence the following eccentric variant of the inverse function theorem.    *)
(* This has no continuity assumptions, but we do need the inverse function.  *)
(* We could put f' o g = I but this happens to fit with the minimal linear   *)
(* algebra theory I've set up so far.                                        *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_INVERSE_STRONG = prove
 (`!f:real^N->real^N g f' g' s x.
        open s /\ x IN s /\ f continuous_on s /\
        (!x. x IN s ==> (g(f(x)) = x)) /\
        (f has_derivative f') (at x) /\ (f' o g' = I)
        ==> (g has_derivative g') (at (f(x)))`,
  REPEAT STRIP_TAC THEN MATCH_MP_TAC HAS_DERIVATIVE_INVERSE_BASIC_X THEN
  SUBGOAL_THEN `linear (g':real^N->real^N) /\ (g' o f' = I)`
  STRIP_ASSUME_TAC THENL
   [ASM_MESON_TAC[has_derivative; RIGHT_INVERSE_LINEAR; LINEAR_INVERSE_LEFT];
    ALL_TAC] THEN
  EXISTS_TAC `f':real^N->real^N` THEN
  EXISTS_TAC `interior (IMAGE (f:real^N->real^N) s)` THEN
  ASM_REWRITE_TAC[] THEN REPEAT CONJ_TAC THENL
   [ALL_TAC;
    ASM_SIMP_TAC[];
    REWRITE_TAC[OPEN_INTERIOR];
    ASM_MESON_TAC[INTERIOR_OPEN; SUSSMANN_OPEN_MAPPING; LINEAR_INVERSE_LEFT;
                  SUBSET_REFL; has_derivative];
    ASM_MESON_TAC[IN_IMAGE; SUBSET; INTERIOR_SUBSET]] THEN
  REWRITE_TAC[continuous_at] THEN
  X_GEN_TAC `e:real` THEN DISCH_TAC THEN
  SUBGOAL_THEN
   `!t. t SUBSET s /\ x IN interior(t)
        ==> (f:real^N->real^N)(x) IN interior(IMAGE f t)`
  MP_TAC THENL
   [ASM_MESON_TAC[SUSSMANN_OPEN_MAPPING; LINEAR_INVERSE_LEFT; has_derivative];
    ALL_TAC] THEN
  DISCH_THEN(MP_TAC o SPEC `ball(x:real^N,e) INTER s`) THEN ANTS_TAC THENL
   [ASM_SIMP_TAC[IN_INTER; OPEN_BALL; INTERIOR_OPEN; OPEN_INTER;
                 INTER_SUBSET; CENTRE_IN_BALL];
    ALL_TAC] THEN
  REWRITE_TAC[IN_INTERIOR] THEN
  MATCH_MP_TAC MONO_EXISTS THEN X_GEN_TAC `d:real` THEN
  ASM_CASES_TAC `&0 < d` THEN ASM_REWRITE_TAC[] THEN
  REWRITE_TAC[SUBSET; IN_BALL; IN_IMAGE; IN_INTER] THEN
  MATCH_MP_TAC MONO_FORALL THEN X_GEN_TAC `y:real^N` THEN
  REWRITE_TAC[DIST_SYM] THEN MATCH_MP_TAC MONO_IMP THEN
  ASM_MESON_TAC[DIST_SYM]);;

(* ------------------------------------------------------------------------- *)
(* A rewrite based on the other domain.                                      *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_INVERSE_STRONG_X = prove
 (`!f:real^N->real^N g f' g' s y.
        open s /\ (g y) IN s /\ f continuous_on s /\
        (!x. x IN s ==> (g(f(x)) = x)) /\
        (f has_derivative f') (at (g y)) /\ (f' o g' = I) /\
        f(g y) = y
        ==> (g has_derivative g') (at y)`,
  REPEAT STRIP_TAC THEN
  FIRST_ASSUM(fun th -> GEN_REWRITE_TAC (RAND_CONV o RAND_CONV) [SYM th]) THEN
  MATCH_MP_TAC HAS_DERIVATIVE_INVERSE_STRONG THEN
  MAP_EVERY EXISTS_TAC [`f':real^N->real^N`; `s:real^N->bool`] THEN
  ASM_REWRITE_TAC[]);;

(* ------------------------------------------------------------------------- *)
(* On a region.                                                              *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_INVERSE_ON = prove
 (`!f:real^N->real^N s.
        open s /\
        (!x. x IN s ==> (f has_derivative f'(x)) (at x) /\ (g(f(x)) = x) /\
                        (f'(x) o g'(x) = I))
        ==> !x. x IN s ==> (g has_derivative g'(x)) (at (f(x)))`,
  REPEAT STRIP_TAC THEN MATCH_MP_TAC HAS_DERIVATIVE_INVERSE_STRONG THEN
  EXISTS_TAC `(f':real^N->real^N->real^N) x` THEN
  EXISTS_TAC `s:real^N->bool` THEN
  ASM_MESON_TAC[CONTINUOUS_ON_EQ_CONTINUOUS_AT;
                DIFFERENTIABLE_IMP_CONTINUOUS_AT; differentiable]);;

(* ------------------------------------------------------------------------- *)
(* Invertible derivative continous at a point implies local injectivity.     *)
(* It's only for this we need continuity of the derivative, except of course *)
(* if we want the fact that the inverse derivative is also continuous. So if *)
(* we know for some other reason that the inverse function exists, it's OK.  *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_LOCALLY_INJECTIVE = prove
 (`!f:real^M->real^N f' g' s a.
        a IN s /\ open s /\ linear g' /\ (g' o f'(a) = I) /\
        (!x. x IN s ==> (f has_derivative f'(x)) (at x)) /\
        (!e. &0 < e
             ==> ?d. &0 < d /\
                     !x. dist(a,x) < d ==> onorm(\v. f'(x) v - f'(a) v) < e)
        ==> ?t. a IN t /\ open t /\
                !x x'. x IN t /\ x' IN t /\ (f x' = f x) ==> (x' = x)`,
  REWRITE_TAC[FUN_EQ_THM; o_THM; I_THM] THEN REPEAT STRIP_TAC THEN
  SUBGOAL_THEN `&0 < onorm(g':real^N->real^M)` ASSUME_TAC THENL
   [ASM_SIMP_TAC[ONORM_POS_LT] THEN ASM_MESON_TAC[VEC_EQ; ARITH_EQ];
    ALL_TAC] THEN
  ABBREV_TAC `k = &1 / onorm(g':real^N->real^M) / &2` THEN
  SUBGOAL_THEN
   `?d. &0 < d /\ ball(a,d) SUBSET s /\
        !x. x IN ball(a,d)
            ==> onorm(\v. (f':real^M->real^M->real^N)(x) v - f'(a) v) < k`
  STRIP_ASSUME_TAC THENL
   [FIRST_X_ASSUM(MP_TAC o SPEC `k:real`) THEN EXPAND_TAC "k" THEN
    ASM_SIMP_TAC[REAL_LT_DIV; REAL_OF_NUM_LT; ARITH] THEN
    DISCH_THEN(X_CHOOSE_THEN `d1:real` STRIP_ASSUME_TAC) THEN
    FIRST_X_ASSUM(MP_TAC o GEN_REWRITE_RULE I [OPEN_CONTAINS_BALL]) THEN
    DISCH_THEN(MP_TAC o SPEC `a:real^M`) THEN ASM_REWRITE_TAC[] THEN
    REWRITE_TAC[SUBSET; IN_BALL] THEN DISCH_THEN(X_CHOOSE_TAC `d2:real`) THEN
    EXISTS_TAC `min d1 d2` THEN ASM_REWRITE_TAC[REAL_LT_MIN; IN_BALL] THEN
    ASM_MESON_TAC[REAL_LT_TRANS];
    ALL_TAC] THEN
  EXISTS_TAC `ball(a:real^M,d)` THEN
  ASM_SIMP_TAC[OPEN_BALL; CENTRE_IN_BALL] THEN
  MAP_EVERY X_GEN_TAC [`x:real^M`; `x':real^M`] THEN STRIP_TAC THEN
  ABBREV_TAC `ph = \w. w - g'(f(w) - (f:real^M->real^N)(x))` THEN
  SUBGOAL_THEN `norm((ph:real^M->real^M) x' - ph x) <= norm(x' - x) / &2`
  MP_TAC THENL
   [ALL_TAC;
    EXPAND_TAC "ph" THEN ASM_REWRITE_TAC[VECTOR_SUB_REFL] THEN
    FIRST_ASSUM(fun th -> REWRITE_TAC[MATCH_MP LINEAR_0 th]) THEN
    ONCE_REWRITE_TAC[GSYM VECTOR_SUB_EQ] THEN
    REWRITE_TAC[VECTOR_SUB_RZERO; GSYM NORM_LE_0] THEN REAL_ARITH_TAC] THEN
  SUBGOAL_THEN
   `!u v:real^M. u IN ball(a,d) /\ v IN ball(a,d)
                 ==> norm(ph u - ph v :real^M) <= norm(u - v) / &2`
   (fun th -> ASM_SIMP_TAC[th]) THEN
  REWRITE_TAC[real_div] THEN ONCE_REWRITE_TAC[REAL_MUL_SYM] THEN
  MATCH_MP_TAC DIFFERENTIABLE_BOUND THEN
  REWRITE_TAC[CONVEX_BALL; OPEN_BALL] THEN
  EXISTS_TAC `\x v. v - g'((f':real^M->real^M->real^N) x v)` THEN
  CONJ_TAC THEN X_GEN_TAC `u:real^M` THEN DISCH_TAC THEN REWRITE_TAC[] THENL
   [EXPAND_TAC "ph" THEN
    MATCH_MP_TAC HAS_DERIVATIVE_SUB THEN REWRITE_TAC[HAS_DERIVATIVE_ID] THEN
    FIRST_ASSUM(fun th -> REWRITE_TAC[MATCH_MP LINEAR_SUB th]) THEN
    GEN_REWRITE_TAC (RATOR_CONV o BINDER_CONV) [GSYM VECTOR_SUB_RZERO] THEN
    MATCH_MP_TAC HAS_DERIVATIVE_SUB THEN REWRITE_TAC[HAS_DERIVATIVE_CONST] THEN
    ONCE_REWRITE_TAC[GSYM o_DEF] THEN MATCH_MP_TAC DIFF_CHAIN_WITHIN THEN
    ONCE_REWRITE_TAC[ETA_AX] THEN
    ASM_MESON_TAC[HAS_DERIVATIVE_LINEAR; SUBSET; HAS_DERIVATIVE_AT_WITHIN];
    ALL_TAC] THEN
  SUBGOAL_THEN
   `(\w. w - g'((f':real^M->real^M->real^N) u w)) =
     g' o (\w. f' a w - f' u w)`
  SUBST1_TAC THENL
   [REWRITE_TAC[FUN_EQ_THM; o_THM] THEN ASM_MESON_TAC[LINEAR_SUB];
    ALL_TAC] THEN
  SUBGOAL_THEN `linear(\w. f' a w - (f':real^M->real^M->real^N) u w)`
  ASSUME_TAC THENL
   [MATCH_MP_TAC LINEAR_COMPOSE_SUB THEN ONCE_REWRITE_TAC[ETA_AX] THEN
    ASM_MESON_TAC[has_derivative; SUBSET; CENTRE_IN_BALL];
    ALL_TAC] THEN
  MATCH_MP_TAC REAL_LE_TRANS THEN
  EXISTS_TAC
   `onorm(g':real^N->real^M) *
    onorm(\w. f' a w - (f':real^M->real^M->real^N) u w)` THEN
  ASM_SIMP_TAC[ONORM_COMPOSE] THEN
  ONCE_REWRITE_TAC[REAL_MUL_SYM] THEN ASM_SIMP_TAC[GSYM REAL_LE_RDIV_EQ] THEN
  REWRITE_TAC[real_div; REAL_ARITH `inv(&2) * x = (&1 * x) * inv(&2)`] THEN
  ASM_REWRITE_TAC[GSYM real_div] THEN
  SUBGOAL_THEN `onorm(\w. (f':real^M->real^M->real^N) a w - f' u w) =
                onorm(\w. f' u w - f' a w)`
   (fun th -> ASM_SIMP_TAC[th; REAL_LT_IMP_LE]) THEN
  GEN_REWRITE_TAC (LAND_CONV o ONCE_DEPTH_CONV) [GSYM VECTOR_NEG_SUB] THEN
  MATCH_MP_TAC ONORM_NEG THEN ONCE_REWRITE_TAC[GSYM VECTOR_NEG_SUB] THEN
  ASM_SIMP_TAC[LINEAR_COMPOSE_NEG]);;

(* ------------------------------------------------------------------------- *)
(* Uniformly convergent sequence of derivatives.                             *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_SEQUENCE_LIPSCHITZ = prove
 (`!s f:num->real^M->real^N f' g'.
        convex s /\
        (!n x. x IN s ==> ((f n) has_derivative (f' n x)) (at x within s)) /\
        (!e. &0 < e
             ==> ?N. !n x h. n >= N /\ x IN s
                             ==> norm(f' n x h - g' x h) <= e * norm(h))
        ==> !e. &0 < e
                ==> ?N. !m n x y. m >= N /\ n >= N /\ x IN s /\ y IN s
                                  ==> norm((f m x - f n x) - (f m y - f n y))
                                      <= e * norm(x - y)`,
  REPEAT STRIP_TAC THEN FIRST_X_ASSUM(MP_TAC o SPEC `e / &2`) THEN
  ASM_REWRITE_TAC[REAL_HALF] THEN MATCH_MP_TAC MONO_EXISTS THEN
  X_GEN_TAC `N:num` THEN DISCH_TAC THEN
  MAP_EVERY X_GEN_TAC [`m:num`; `n:num`] THEN
  ASM_CASES_TAC `m:num >= N` THEN ASM_REWRITE_TAC[] THEN
  ASM_CASES_TAC `n:num >= N` THEN ASM_REWRITE_TAC[] THEN
  MATCH_MP_TAC DIFFERENTIABLE_BOUND THEN
  EXISTS_TAC `\x h. (f':num->real^M->real^M->real^N) m x h - f' n x h` THEN
  ASM_SIMP_TAC[HAS_DERIVATIVE_SUB; ETA_AX] THEN
  X_GEN_TAC `x:real^M` THEN DISCH_TAC THEN
  SUBGOAL_THEN
   `!h. norm((f':num->real^M->real^M->real^N) m x h - f' n x h) <= e * norm(h)`
  MP_TAC THEN RULE_ASSUM_TAC(REWRITE_RULE[HAS_DERIVATIVE_WITHIN_ALT]) THEN
  ASM_SIMP_TAC[ONORM; LINEAR_COMPOSE_SUB; ETA_AX] THEN
  X_GEN_TAC `h:real^M` THEN SUBST1_TAC(VECTOR_ARITH
   `(f':num->real^M->real^M->real^N) m x h - f' n x h =
    (f' m x h - g' x h) + --(f' n x h - g' x h)`) THEN
  MATCH_MP_TAC NORM_TRIANGLE_LE THEN
  ASM_SIMP_TAC[NORM_NEG; REAL_ARITH
   `a <= e / &2 * h /\ b <= e / &2 * h ==> a + b <= e * h`]);;

let HAS_DERIVATIVE_SEQUENCE = prove
 (`!s f:num->real^M->real^N f' g'.
        convex s /\
        (!n x. x IN s ==> ((f n) has_derivative (f' n x)) (at x within s)) /\
        (!e. &0 < e
             ==> ?N. !n x h. n >= N /\ x IN s
                             ==> norm(f' n x h - g' x h) <= e * norm(h)) /\
        (?x l. x IN s /\ ((\n. f n x) --> l) sequentially)
        ==> ?g. !x. x IN s
                    ==> ((\n. f n x) --> g x) sequentially /\
                        (g has_derivative g'(x)) (at x within s)`,
  REPEAT GEN_TAC THEN
  REPLICATE_TAC 2 (DISCH_THEN(CONJUNCTS_THEN2 ASSUME_TAC MP_TAC)) THEN
  DISCH_THEN(CONJUNCTS_THEN2 (LABEL_TAC "O") MP_TAC) THEN
  DISCH_THEN(X_CHOOSE_THEN `x0:real^M` STRIP_ASSUME_TAC) THEN
  SUBGOAL_TAC "A"
   `!e. &0 < e
        ==> ?N. !m n x y. m >= N /\ n >= N /\ x IN s /\ y IN s
                          ==> norm(((f:num->real^M->real^N) m x - f n x) -
                                   (f m y - f n y))
                               <= e * norm(x - y)`
   [MATCH_MP_TAC HAS_DERIVATIVE_SEQUENCE_LIPSCHITZ THEN
    ASM_REWRITE_TAC[] THEN ASM_MESON_TAC[]] THEN
  SUBGOAL_THEN
   `?g:real^M->real^N. !x. x IN s ==> ((\n. f n x) --> g x) sequentially`
  MP_TAC THENL
   [REWRITE_TAC[GSYM SKOLEM_THM; RIGHT_EXISTS_IMP_THM] THEN
    X_GEN_TAC `x:real^M` THEN DISCH_TAC THEN
    GEN_REWRITE_TAC I [CONVERGENT_EQ_CAUCHY] THEN
    FIRST_X_ASSUM(MP_TAC o MATCH_MP CONVERGENT_IMP_CAUCHY) THEN
    REWRITE_TAC[cauchy; dist] THEN DISCH_THEN(LABEL_TAC "B") THEN
    X_GEN_TAC `e:real` THEN DISCH_TAC THEN
    ASM_CASES_TAC `x:real^M = x0` THEN ASM_SIMP_TAC[] THEN
    REMOVE_THEN "B" (MP_TAC o SPEC `e / &2`) THEN
    ASM_REWRITE_TAC[REAL_HALF] THEN
    DISCH_THEN(X_CHOOSE_THEN `N1:num` STRIP_ASSUME_TAC) THEN
    REMOVE_THEN "A" (MP_TAC o SPEC `e / &2 / norm(x - x0:real^M)`) THEN
    ASM_SIMP_TAC[REAL_LT_DIV; NORM_POS_LT; REAL_HALF; VECTOR_SUB_EQ] THEN
    DISCH_THEN(X_CHOOSE_TAC `N2:num`) THEN
    EXISTS_TAC `N1 + N2:num` THEN REPEAT GEN_TAC THEN
    DISCH_THEN(CONJUNCTS_THEN (STRIP_ASSUME_TAC o MATCH_MP
      (ARITH_RULE `m >= N1 + N2:num ==> m >= N1 /\ m >= N2`))) THEN
    SUBST1_TAC(VECTOR_ARITH
     `(f:num->real^M->real^N) m x - f n x =
      (f m x - f n x - (f m x0 - f n x0)) + (f m x0 - f n x0)`) THEN
    MATCH_MP_TAC NORM_TRIANGLE_LT THEN
    FIRST_X_ASSUM(MP_TAC o SPECL
      [`m:num`; `n:num`; `x:real^M`; `x0:real^M`]) THEN
    FIRST_X_ASSUM(MP_TAC o SPECL [`m:num`; `n:num`]) THEN
    ASM_SIMP_TAC[REAL_DIV_RMUL; NORM_EQ_0; VECTOR_SUB_EQ] THEN REAL_ARITH_TAC;
    ALL_TAC] THEN
  MATCH_MP_TAC MONO_EXISTS THEN GEN_TAC THEN SIMP_TAC[] THEN
  DISCH_THEN(LABEL_TAC "B") THEN X_GEN_TAC `x:real^M` THEN DISCH_TAC THEN
  REWRITE_TAC[HAS_DERIVATIVE_WITHIN_ALT] THEN
  SUBGOAL_TAC "C"
   `!e. &0 < e
        ==> ?N. !n x y. n >= N /\ x IN s /\ y IN s
                        ==> norm(((f:num->real^M->real^N) n x - f n y) -
                                 (g x - g y))
                             <= e * norm(x - y)`
   [X_GEN_TAC `e:real` THEN DISCH_TAC THEN
    REMOVE_THEN "A" (MP_TAC o SPEC `e:real`) THEN ASM_REWRITE_TAC[] THEN
    MATCH_MP_TAC MONO_EXISTS THEN X_GEN_TAC `N:num` THEN
    MATCH_MP_TAC MONO_FORALL THEN X_GEN_TAC `n:num` THEN
    DISCH_TAC THEN MAP_EVERY X_GEN_TAC [`u:real^M`; `v:real^M`] THEN
    STRIP_TAC THEN FIRST_X_ASSUM(MP_TAC o GEN `m:num` o SPECL
      [`m:num`; `u:real^M`; `v:real^M`]) THEN
    DISCH_TAC THEN MATCH_MP_TAC(ISPEC `sequentially` LIM_NORM_UBOUND) THEN
    EXISTS_TAC
      `\m. ((f:num->real^M->real^N) n u - f n v) - (f m u - f m v)` THEN
    REWRITE_TAC[eventually; TRIVIAL_LIMIT_SEQUENTIALLY] THEN
    ASM_SIMP_TAC[SEQUENTIALLY; LIM_SUB; LIM_CONST] THEN EXISTS_TAC `N:num` THEN
    ONCE_REWRITE_TAC[VECTOR_ARITH
     `(x - y) - (u - v) = (x - u) - (y -  v):real^N`] THEN
    ASM_MESON_TAC[GE_REFL]] THEN
  CONJ_TAC THENL
   [SUBGOAL_TAC "D"
    `!u. ((\n. (f':num->real^M->real^M->real^N) n x u) --> g' x u) sequentially`
     [REWRITE_TAC[LIM_SEQUENTIALLY; dist] THEN REPEAT STRIP_TAC THEN
      ASM_CASES_TAC `u = vec 0:real^M` THENL
       [REMOVE_THEN "O" (MP_TAC o SPEC `e:real`);
        REMOVE_THEN "O" (MP_TAC o SPEC `e / &2 / norm(u:real^M)`)] THEN
      ASM_SIMP_TAC[NORM_POS_LT; REAL_LT_DIV; REAL_OF_NUM_LT; ARITH] THEN
      MATCH_MP_TAC MONO_EXISTS THEN GEN_TAC THEN
      MATCH_MP_TAC MONO_FORALL THEN GEN_TAC THEN
      DISCH_THEN(MP_TAC o SPECL [`x:real^M`; `u:real^M`]) THEN
      DISCH_THEN(fun th -> DISCH_TAC THEN MP_TAC th) THEN
      ASM_SIMP_TAC[GE; NORM_0; REAL_MUL_RZERO; NORM_LE_0] THEN
      ASM_SIMP_TAC[REAL_DIV_RMUL; NORM_EQ_0] THEN
      UNDISCH_TAC `&0 < e` THEN REAL_ARITH_TAC] THEN
    REWRITE_TAC[linear] THEN ONCE_REWRITE_TAC[GSYM VECTOR_SUB_EQ] THEN
    CONJ_TAC THENL
     [MAP_EVERY X_GEN_TAC [`u:real^M`; `v:real^M`];
      MAP_EVERY X_GEN_TAC [`c:real`; `u:real^M`]] THEN
    MATCH_MP_TAC(ISPEC `sequentially` LIM_UNIQUE) THENL
     [EXISTS_TAC
       `\n. (f':num->real^M->real^M->real^N) n x (u + v) -
            (f' n x u + f' n x v)`;
      EXISTS_TAC
       `\n. (f':num->real^M->real^M->real^N) n x (c % u) -
            c % f' n x u`] THEN
    ASM_SIMP_TAC[TRIVIAL_LIMIT_SEQUENTIALLY; LIM_SUB; LIM_ADD; LIM_CMUL] THEN
    RULE_ASSUM_TAC(REWRITE_RULE[has_derivative_within; linear]) THEN
    ASM_SIMP_TAC[VECTOR_SUB_REFL; LIM_CONST];
    ALL_TAC] THEN
  X_GEN_TAC `e:real` THEN DISCH_TAC THEN
  MAP_EVERY (fun s -> REMOVE_THEN s (MP_TAC o SPEC `e / &3`)) ["C"; "O"] THEN
  ASM_SIMP_TAC[REAL_LT_DIV; REAL_OF_NUM_LT; ARITH] THEN
  DISCH_THEN(X_CHOOSE_THEN `N1:num` (LABEL_TAC "C")) THEN
  DISCH_THEN(X_CHOOSE_THEN `N2:num` (LABEL_TAC "A")) THEN
  REMOVE_THEN "C" (MP_TAC o GEN `y:real^M` o
   SPECL [`N1 + N2:num`; `x:real^M`; `y - x:real^M`]) THEN
  REMOVE_THEN "A" (MP_TAC o GEN `y:real^M` o
   SPECL [`N1 + N2:num`; `y:real^M`; `x:real^M`]) THEN
  FIRST_X_ASSUM(MP_TAC o SPECL [`N1 + N2:num`; `x:real^M`]) THEN
  ASM_REWRITE_TAC[ARITH_RULE `m + n >= m:num /\ m + n >= n`] THEN
  REWRITE_TAC[HAS_DERIVATIVE_WITHIN_ALT] THEN
  DISCH_THEN(MP_TAC o SPEC `e / &3` o CONJUNCT2) THEN
  ASM_SIMP_TAC[REAL_LT_DIV; REAL_OF_NUM_LT; ARITH] THEN
  DISCH_THEN(X_CHOOSE_THEN `d1:real` STRIP_ASSUME_TAC) THEN
  DISCH_THEN(LABEL_TAC "D1") THEN DISCH_THEN(LABEL_TAC "D2") THEN
  EXISTS_TAC `d1:real` THEN ASM_REWRITE_TAC[] THEN X_GEN_TAC `y:real^M` THEN
  DISCH_TAC THEN REMOVE_THEN "D2" (MP_TAC o SPEC `y:real^M`) THEN
  REMOVE_THEN "D1" (MP_TAC o SPEC `y:real^M`) THEN ANTS_TAC THENL
   [ASM_MESON_TAC[REAL_LT_TRANS; NORM_SUB]; ALL_TAC] THEN
  FIRST_X_ASSUM(MP_TAC o SPEC `y:real^M`) THEN ANTS_TAC THENL
   [ASM_MESON_TAC[REAL_LT_TRANS; NORM_SUB]; ALL_TAC] THEN
  MATCH_MP_TAC(REAL_ARITH
   `d <= a + b + c
    ==> a <= e / &3 * n ==> b <= e / &3 * n ==> c <= e / &3 * n
        ==> d <= e * n`) THEN
  GEN_REWRITE_TAC (funpow 2 RAND_CONV o LAND_CONV) [NORM_SUB] THEN
  MATCH_MP_TAC(REAL_ARITH
   `(norm(x + y + z) = norm(a)) /\
    norm(x + y + z) <= norm(x) + norm(y + z) /\
    norm(y + z) <= norm(y) + norm(z)
    ==> norm(a) <= norm(x) + norm(y) + norm(z)`) THEN
  REWRITE_TAC[NORM_TRIANGLE] THEN AP_TERM_TAC THEN VECTOR_ARITH_TAC);;

(* ------------------------------------------------------------------------- *)
(* Can choose to line up antiderivatives if we want.                         *)
(* ------------------------------------------------------------------------- *)

let HAS_ANTIDERIVATIVE_SEQUENCE = prove
 (`!s f:num->real^M->real^N f' g'.
        convex s /\
        (!n x. x IN s ==> ((f n) has_derivative (f' n x)) (at x within s)) /\
        (!e. &0 < e
             ==> ?N. !n x h. n >= N /\ x IN s
                             ==> norm(f' n x h - g' x h) <= e * norm(h))
        ==> ?g. !x. x IN s ==> (g has_derivative g'(x)) (at x within s)`,
  REPEAT STRIP_TAC THEN ASM_CASES_TAC `(s:real^M->bool) = {}` THEN
  ASM_REWRITE_TAC[NOT_IN_EMPTY] THEN
  FIRST_X_ASSUM(MP_TAC o GEN_REWRITE_RULE I [GSYM MEMBER_NOT_EMPTY]) THEN
  DISCH_THEN(X_CHOOSE_TAC `a:real^M`) THEN
  MP_TAC(ISPECL
       [`s:real^M->bool`;
        `\n x. (f:num->real^M->real^N) n x + (f 0 a -  f n a)`;
        `f':num->real^M->real^M->real^N`;
        `g':real^M->real^M->real^N`]
      HAS_DERIVATIVE_SEQUENCE) THEN
  ASM_REWRITE_TAC[] THEN ANTS_TAC THENL [ALL_TAC; MESON_TAC[]] THEN
  CONJ_TAC THENL
   [REPEAT STRIP_TAC THEN
    SUBGOAL_THEN `(f':num->real^M->real^M->real^N) n x =
                  \h. f' n x h + vec 0`
    SUBST1_TAC THENL [SIMP_TAC[FUN_EQ_THM] THEN VECTOR_ARITH_TAC; ALL_TAC] THEN
    MATCH_MP_TAC HAS_DERIVATIVE_ADD THEN
    ASM_SIMP_TAC[HAS_DERIVATIVE_CONST; ETA_AX];
    MAP_EVERY EXISTS_TAC [`a:real^M`; `f 0 (a:real^M) :real^N`] THEN
    ASM_REWRITE_TAC[VECTOR_ARITH `a + b - a = b:real^N`; LIM_CONST]]);;

let HAS_ANTIDERIVATIVE_LIMIT = prove
 (`!s g':real^M->real^M->real^N.
        convex s /\
        (!e. &0 < e
             ==> ?f f'. !x. x IN s
                            ==> (f has_derivative (f' x)) (at x within s) /\
                                (!h. norm(f' x h - g' x h) <= e * norm(h)))
        ==> ?g. !x. x IN s ==> (g has_derivative g'(x)) (at x within s)`,
  REPEAT STRIP_TAC THEN
  FIRST_X_ASSUM(MP_TAC o GEN `n:num` o SPEC `inv(&n + &1)`) THEN
  REWRITE_TAC[REAL_LT_INV_EQ; REAL_ARITH `&0 < &n + &1`] THEN
  REWRITE_TAC[SKOLEM_THM] THEN DISCH_TAC THEN
  MATCH_MP_TAC HAS_ANTIDERIVATIVE_SEQUENCE THEN
  UNDISCH_TAC `convex(s:real^M->bool)` THEN SIMP_TAC[] THEN
  DISCH_THEN(K ALL_TAC) THEN POP_ASSUM MP_TAC THEN
  MATCH_MP_TAC MONO_EXISTS THEN X_GEN_TAC `f:num->real^M->real^N` THEN
  MATCH_MP_TAC MONO_EXISTS THEN X_GEN_TAC `f':num->real^M->real^M->real^N` THEN
  REPEAT STRIP_TAC THEN ASM_SIMP_TAC[] THEN
  FIRST_ASSUM(MP_TAC o GEN_REWRITE_RULE I [REAL_ARCH_INV]) THEN
  MATCH_MP_TAC MONO_EXISTS THEN X_GEN_TAC `N:num` THEN STRIP_TAC THEN
  X_GEN_TAC `n:num` THEN REWRITE_TAC[GE] THEN
  MAP_EVERY X_GEN_TAC [`x:real^M`; `h:real^M`] THEN STRIP_TAC THEN
  MATCH_MP_TAC REAL_LE_TRANS THEN
  EXISTS_TAC `inv(&n + &1) * norm(h:real^M)` THEN
  ASM_SIMP_TAC[] THEN MATCH_MP_TAC REAL_LE_RMUL THEN
  REWRITE_TAC[NORM_POS_LE] THEN MATCH_MP_TAC REAL_LE_TRANS THEN
  EXISTS_TAC `inv(&N)` THEN ASM_SIMP_TAC[REAL_LT_IMP_LE] THEN
  MATCH_MP_TAC REAL_LE_INV2 THEN
  REWRITE_TAC[REAL_OF_NUM_ADD; REAL_OF_NUM_LE; REAL_OF_NUM_LT] THEN
  ASM_ARITH_TAC);;

(* ------------------------------------------------------------------------- *)
(* Differentiation of a series.                                              *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_SERIES = prove
 (`!s f:num->real^M->real^N f' g' k.
        convex s /\
        (!n x. x IN s ==> ((f n) has_derivative (f' n x)) (at x within s)) /\
        (!e. &0 < e
             ==> ?N. !n x h. n >= N /\ x IN s
                             ==> norm(vsum(k INTER (0..n)) (\i. f' i x h) -
                                      g' x h) <= e * norm(h)) /\
        (?x l. x IN s /\ ((\n. f n x) sums l) k)
        ==> ?g. !x. x IN s ==> ((\n. f n x) sums (g x)) k /\
                               (g has_derivative g'(x)) (at x within s)`,
  REPEAT GEN_TAC THEN REWRITE_TAC[sums] THEN
  DISCH_THEN(REPEAT_TCL CONJUNCTS_THEN ASSUME_TAC) THEN
  MATCH_MP_TAC HAS_DERIVATIVE_SEQUENCE THEN EXISTS_TAC
   `\n:num x:real^M h:real^M. vsum(k INTER (0..n)) (\n. f' n x h):real^N` THEN
  ASM_SIMP_TAC[ETA_AX; FINITE_INTER_NUMSEG; HAS_DERIVATIVE_VSUM]);;

(* ------------------------------------------------------------------------- *)
(* Derivative with composed bilinear function.                               *)
(* ------------------------------------------------------------------------- *)

let HAS_DERIVATIVE_BILINEAR_WITHIN = prove
 (`!h:real^M->real^N->real^P f g f' g' x:real^Q s.
        (f has_derivative f') (at x within s) /\
        (g has_derivative g') (at x within s) /\
        bilinear h
        ==> ((\x. h (f x) (g x)) has_derivative
             (\d. h (f x) (g' d) + h (f' d) (g x))) (at x within s)`,
  REPEAT STRIP_TAC THEN
  SUBGOAL_TAC "contg" `((g:real^Q->real^N) --> g(x)) (at x within s)`
   [REWRITE_TAC[GSYM CONTINUOUS_WITHIN] THEN
    ASM_MESON_TAC[differentiable; DIFFERENTIABLE_IMP_CONTINUOUS_WITHIN]] THEN
  UNDISCH_TAC `((f:real^Q->real^M) has_derivative f') (at x within s)` THEN
  REWRITE_TAC[has_derivative_within] THEN
  DISCH_THEN(CONJUNCTS_THEN2 ASSUME_TAC (LABEL_TAC "df")) THEN
  SUBGOAL_TAC "contf"
   `((\y. (f:real^Q->real^M)(x) + f'(y - x)) --> f(x)) (at x within s)`
   [GEN_REWRITE_TAC LAND_CONV [GSYM VECTOR_ADD_RID] THEN
    MATCH_MP_TAC LIM_ADD THEN REWRITE_TAC[LIM_CONST] THEN
    SUBGOAL_THEN `vec 0 = (f':real^Q->real^M)(x - x)` SUBST1_TAC THENL
     [ASM_MESON_TAC[LINEAR_0; VECTOR_SUB_REFL]; ALL_TAC] THEN
    ASM_SIMP_TAC[LIM_LINEAR; LIM_SUB; LIM_CONST; LIM_WITHIN_ID]] THEN
  FIRST_X_ASSUM(MP_TAC o GEN_REWRITE_RULE I [has_derivative_within]) THEN
  DISCH_THEN(CONJUNCTS_THEN2 ASSUME_TAC (LABEL_TAC "dg")) THEN
  CONJ_TAC THENL
   [FIRST_ASSUM(STRIP_ASSUME_TAC o GEN_REWRITE_RULE I [bilinear]) THEN
    RULE_ASSUM_TAC(REWRITE_RULE[linear]) THEN ASM_REWRITE_TAC[linear] THEN
    REPEAT STRIP_TAC THEN VECTOR_ARITH_TAC;
    ALL_TAC] THEN
  MP_TAC(ISPECL [`at (x:real^Q) within s`; `h:real^M->real^N->real^P`]
         LIM_BILINEAR) THEN
  ASM_REWRITE_TAC[] THEN STRIP_TAC THEN
  REMOVE_THEN "contg" MP_TAC THEN REMOVE_THEN "df" MP_TAC THEN
  REWRITE_TAC[IMP_IMP] THEN DISCH_THEN(ANTE_RES_THEN MP_TAC) THEN
  REMOVE_THEN "dg" MP_TAC THEN REMOVE_THEN "contf" MP_TAC THEN
  ONCE_REWRITE_TAC[IMP_IMP] THEN DISCH_THEN(ANTE_RES_THEN MP_TAC) THEN
  REWRITE_TAC[IMP_IMP] THEN DISCH_THEN(MP_TAC o MATCH_MP LIM_ADD) THEN
  SUBGOAL_THEN
   `((\y:real^Q. inv(norm(y - x)) %
                 (h:real^M->real^N->real^P) (f'(y - x)) (g'(y - x)))
    --> vec 0) (at x within s)`
  MP_TAC THENL
   [FIRST_ASSUM(X_CHOOSE_THEN `B:real` STRIP_ASSUME_TAC o MATCH_MP
                BILINEAR_BOUNDED_POS) THEN
    X_CHOOSE_THEN `C:real` STRIP_ASSUME_TAC
     (MATCH_MP LINEAR_BOUNDED_POS (ASSUME `linear (f':real^Q->real^M)`)) THEN
    X_CHOOSE_THEN `D:real` STRIP_ASSUME_TAC
     (MATCH_MP LINEAR_BOUNDED_POS (ASSUME `linear (g':real^Q->real^N)`)) THEN
    REWRITE_TAC[LIM_WITHIN; dist; VECTOR_SUB_RZERO] THEN
    X_GEN_TAC `e:real` THEN STRIP_TAC THEN EXISTS_TAC `e / (B * C * D)` THEN
    ASM_SIMP_TAC[REAL_LT_DIV; NORM_MUL; REAL_LT_MUL] THEN
    X_GEN_TAC `x':real^Q` THEN
    REWRITE_TAC[REAL_ABS_MUL; REAL_ABS_NORM; REAL_ABS_INV] THEN
    STRIP_TAC THEN MATCH_MP_TAC REAL_LET_TRANS THEN
    EXISTS_TAC `inv(norm(x' - x :real^Q)) *
                B * (C * norm(x' - x)) * (D * norm(x' - x))` THEN
    CONJ_TAC THENL
     [MATCH_MP_TAC REAL_LE_LMUL THEN SIMP_TAC[REAL_LE_INV_EQ; NORM_POS_LE] THEN
      ASM_MESON_TAC[REAL_LE_LMUL; REAL_LT_IMP_LE; REAL_LE_MUL2; NORM_POS_LE;
                    REAL_LE_TRANS];
      ONCE_REWRITE_TAC[AC REAL_MUL_AC
       `i * b * (c * x) * (d * x) = (i * x) * x * (b * c * d)`] THEN
      ASM_SIMP_TAC[REAL_MUL_LINV; REAL_LT_IMP_NZ; REAL_MUL_LID] THEN
      ASM_SIMP_TAC[GSYM REAL_LT_RDIV_EQ; REAL_LT_MUL]];
    REWRITE_TAC[IMP_IMP] THEN DISCH_THEN(MP_TAC o MATCH_MP LIM_ADD) THEN
    REWRITE_TAC (map (C MATCH_MP (ASSUME `bilinear(h:real^M->real^N->real^P)`))
     [BILINEAR_RZERO; BILINEAR_LZERO; BILINEAR_LADD; BILINEAR_RADD;
      BILINEAR_LMUL; BILINEAR_RMUL; BILINEAR_LSUB; BILINEAR_RSUB]) THEN
    MATCH_MP_TAC EQ_IMP THEN AP_THM_TAC THEN
    BINOP_TAC THEN REWRITE_TAC[FUN_EQ_THM] THEN VECTOR_ARITH_TAC]);;

let HAS_DERIVATIVE_BILINEAR_AT = prove
 (`!h:real^M->real^N->real^P f g f' g' x:real^Q.
        (f has_derivative f') (at x) /\
        (g has_derivative g') (at x) /\
        bilinear h
        ==> ((\x. h (f x) (g x)) has_derivative
             (\d. h (f x) (g' d) + h (f' d) (g x))) (at x)`,
  REWRITE_TAC[has_derivative_at] THEN
  ONCE_REWRITE_TAC[GSYM WITHIN_UNIV] THEN
  REWRITE_TAC[GSYM has_derivative_within; HAS_DERIVATIVE_BILINEAR_WITHIN]);;

(* ------------------------------------------------------------------------- *)
(* Considering derivative R(^1)->R^n as a vector.                            *)
(* ------------------------------------------------------------------------- *)

parse_as_infix ("has_vector_derivative",(12,"right"));;

let has_vector_derivative = new_definition
 `(f has_vector_derivative f') net <=>
        (f has_derivative (\x. drop(x) % f')) net`;;

let vector_derivative = new_definition
 `vector_derivative (f:real^1->real^N) net =
        @f'. (f has_vector_derivative f') net`;;

let VECTOR_DERIVATIVE_WORKS = prove
 (`!net f:real^1->real^N.
        f differentiable net <=>
        (f has_vector_derivative (vector_derivative f net)) net`,
  REPEAT GEN_TAC THEN REWRITE_TAC[vector_derivative] THEN
  CONV_TAC(RAND_CONV SELECT_CONV) THEN
  SIMP_TAC[FRECHET_DERIVATIVE_WORKS; has_vector_derivative] THEN EQ_TAC THENL
   [ALL_TAC; MESON_TAC[FRECHET_DERIVATIVE_WORKS; differentiable]] THEN
  DISCH_TAC THEN EXISTS_TAC `column 1 (jacobian (f:real^1->real^N) net)` THEN
  FIRST_ASSUM MP_TAC THEN MATCH_MP_TAC EQ_IMP THEN AP_THM_TAC THEN
  AP_TERM_TAC THEN REWRITE_TAC[jacobian] THEN
  MATCH_MP_TAC LINEAR_FROM_REALS THEN
  RULE_ASSUM_TAC(REWRITE_RULE[has_derivative]) THEN ASM_REWRITE_TAC[]);;

let VECTOR_DERIVATIVE_UNIQUE_AT = prove
 (`!f:real^1->real^N x f' f''.
     (f has_vector_derivative f') (at x) /\
     (f has_vector_derivative f'') (at x)
     ==> f' = f''`,
  REWRITE_TAC[has_vector_derivative; drop] THEN REPEAT STRIP_TAC THEN
  MP_TAC(ISPECL [`f:real^1->real^N`;
                 `\x. drop x % (f':real^N)`; `\x. drop x % (f'':real^N)`;
                `x:real^1`] FRECHET_DERIVATIVE_UNIQUE_AT) THEN
  ASM_SIMP_TAC[DIMINDEX_1; LE_ANTISYM; drop] THEN
  REWRITE_TAC[FUN_EQ_THM] THEN DISCH_THEN(MP_TAC o SPEC `vec 1:real^1`) THEN
  SIMP_TAC[VEC_COMPONENT; DIMINDEX_1; ARITH; VECTOR_MUL_LID]);;

let HAS_VECTOR_DERIVATIVE_UNIQUE_AT = prove
 (`!f:real^1->real^N f' x.
        (f has_vector_derivative f') (at x)
        ==> vector_derivative f (at x) = f'`,
  REPEAT STRIP_TAC THEN MATCH_MP_TAC VECTOR_DERIVATIVE_UNIQUE_AT THEN
  MAP_EVERY EXISTS_TAC [`f:real^1->real^N`; `x:real^1`] THEN
  ASM_REWRITE_TAC[vector_derivative] THEN CONV_TAC SELECT_CONV THEN
  ASM_MESON_TAC[]);;

let VECTOR_DERIVATIVE_UNIQUE_WITHIN_CLOSED_INTERVAL = prove
 (`!f:real^1->real^N a b x f' f''.
        drop a < drop b /\
        x IN interval [a,b] /\
        (f has_vector_derivative f') (at x within interval [a,b]) /\
        (f has_vector_derivative f'') (at x within interval [a,b])
        ==> f' = f''`,
  REWRITE_TAC[has_vector_derivative; drop] THEN REPEAT STRIP_TAC THEN
  MP_TAC(ISPECL [`f:real^1->real^N`;
                 `\x. drop x % (f':real^N)`; `\x. drop x % (f'':real^N)`;
                `x:real^1`; `a:real^1`; `b:real^1`]
         FRECHET_DERIVATIVE_UNIQUE_WITHIN_CLOSED_INTERVAL) THEN
  ASM_SIMP_TAC[DIMINDEX_1; LE_ANTISYM; drop] THEN
  ANTS_TAC THENL [ASM_MESON_TAC[]; ALL_TAC] THEN REWRITE_TAC[FUN_EQ_THM] THEN
  DISCH_THEN(MP_TAC o SPEC `vec 1:real^1`) THEN
  SIMP_TAC[VEC_COMPONENT; DIMINDEX_1; ARITH; VECTOR_MUL_LID]);;

let VECTOR_DERIVATIVE_AT = prove
 (`(f has_vector_derivative f') (at x) ==> vector_derivative f (at x) = f'`,
  ASM_MESON_TAC[VECTOR_DERIVATIVE_UNIQUE_AT;
  VECTOR_DERIVATIVE_WORKS; differentiable; has_vector_derivative]);;

let VECTOR_DERIVATIVE_WITHIN_CLOSED_INTERVAL = prove
 (`!f:real^1->real^N f' x a b.
         drop a < drop b /\ x IN interval[a,b] /\
         (f has_vector_derivative f') (at x within interval [a,b])
         ==> vector_derivative f (at x within interval [a,b]) = f'`,
  ASM_MESON_TAC[VECTOR_DERIVATIVE_UNIQUE_WITHIN_CLOSED_INTERVAL;
    VECTOR_DERIVATIVE_WORKS; differentiable; has_vector_derivative]);;

let HAS_VECTOR_DERIVATIVE_WITHIN_SUBSET = prove
 (`!f s t x. (f has_vector_derivative f') (at x within s) /\ t SUBSET s
             ==> (f has_vector_derivative f') (at x within t)`,
  REWRITE_TAC[has_vector_derivative; HAS_DERIVATIVE_WITHIN_SUBSET]);;

let HAS_VECTOR_DERIVATIVE_CONST = prove
 (`!c net. ((\x. c) has_vector_derivative vec 0) net`,
  REWRITE_TAC[has_vector_derivative] THEN
  REWRITE_TAC[VECTOR_MUL_RZERO; HAS_DERIVATIVE_CONST]);;

let VECTOR_DERIVATIVE_CONST_AT = prove
 (`!c:real^N a. vector_derivative (\x. c) (at a) = vec 0`,
  REPEAT GEN_TAC THEN MATCH_MP_TAC HAS_VECTOR_DERIVATIVE_UNIQUE_AT THEN
  REWRITE_TAC[HAS_VECTOR_DERIVATIVE_CONST]);;

let HAS_VECTOR_DERIVATIVE_ID = prove
 (`!net. ((\x. x) has_vector_derivative (vec 1)) net`,
  REWRITE_TAC[has_vector_derivative] THEN
  SUBGOAL_THEN `(\x. drop x % vec 1) = (\x. x)`
   (fun th -> REWRITE_TAC[HAS_DERIVATIVE_ID; th]) THEN
  REWRITE_TAC[FUN_EQ_THM; GSYM DROP_EQ; DROP_CMUL; DROP_VEC] THEN
  REAL_ARITH_TAC);;

let HAS_VECTOR_DERIVATIVE_CMUL = prove
 (`!f f' net c. (f has_vector_derivative f') net
                ==> ((\x. c % f(x)) has_vector_derivative (c % f')) net`,
  SIMP_TAC[has_vector_derivative] THEN
  ONCE_REWRITE_TAC[VECTOR_ARITH `a % b % x = b % a % x`] THEN
  SIMP_TAC[HAS_DERIVATIVE_CMUL]);;

let HAS_VECTOR_DERIVATIVE_CMUL_EQ = prove
 (`!f f' net c.
       ~(c = &0)
       ==> (((\x. c % f(x)) has_vector_derivative (c % f')) net <=>
            (f has_vector_derivative f') net)`,
  REPEAT STRIP_TAC THEN EQ_TAC THEN
  DISCH_THEN(MP_TAC o MATCH_MP HAS_VECTOR_DERIVATIVE_CMUL) THENL
   [DISCH_THEN(MP_TAC o SPEC `inv(c):real`);
    DISCH_THEN(MP_TAC o SPEC `c:real`)] THEN
  ASM_SIMP_TAC[VECTOR_MUL_ASSOC; REAL_MUL_LINV; VECTOR_MUL_LID; ETA_AX]);;

let HAS_VECTOR_DERIVATIVE_NEG = prove
 (`!f f' net. (f has_vector_derivative f') net
            ==> ((\x. --(f(x))) has_vector_derivative (--f')) net`,
  SIMP_TAC[has_vector_derivative; VECTOR_MUL_RNEG; HAS_DERIVATIVE_NEG]);;

let HAS_VECTOR_DERIVATIVE_NEG_EQ = prove
 (`!f f' net. ((\x. --(f(x))) has_vector_derivative --f') net <=>
              (f has_vector_derivative f') net`,
  SIMP_TAC[has_vector_derivative; HAS_DERIVATIVE_NEG_EQ; VECTOR_MUL_RNEG]);;

let HAS_VECTOR_DERIVATIVE_ADD = prove
 (`!f f' g g' net.
        (f has_vector_derivative f') net /\ (g has_vector_derivative g') net
        ==> ((\x. f(x) + g(x)) has_vector_derivative (f' + g')) net`,
  SIMP_TAC[has_vector_derivative; VECTOR_ADD_LDISTRIB; HAS_DERIVATIVE_ADD]);;

let HAS_VECTOR_DERIVATIVE_SUB = prove
 (`!f f' g g' net.
        (f has_vector_derivative f') net /\ (g has_vector_derivative g') net
        ==> ((\x. f(x) - g(x)) has_vector_derivative (f' - g')) net`,
  SIMP_TAC[has_vector_derivative; VECTOR_SUB_LDISTRIB; HAS_DERIVATIVE_SUB]);;

let HAS_VECTOR_DERIVATIVE_BILINEAR_WITHIN = prove
 (`!h:real^M->real^N->real^P f g f' g' x s.
        (f has_vector_derivative f') (at x within s) /\
        (g has_vector_derivative g') (at x within s) /\
        bilinear h
        ==> ((\x. h (f x) (g x)) has_vector_derivative
             (h (f x) g' + h f' (g x))) (at x within s)`,
  REPEAT GEN_TAC THEN REWRITE_TAC[has_vector_derivative] THEN
  DISCH_TAC THEN
  FIRST_ASSUM(MP_TAC o MATCH_MP HAS_DERIVATIVE_BILINEAR_WITHIN) THEN
  RULE_ASSUM_TAC(REWRITE_RULE[bilinear; linear]) THEN
  ASM_REWRITE_TAC[VECTOR_ADD_LDISTRIB]);;

let HAS_VECTOR_DERIVATIVE_BILINEAR_AT = prove
 (`!h:real^M->real^N->real^P f g f' g' x.
        (f has_vector_derivative f') (at x) /\
        (g has_vector_derivative g') (at x) /\
        bilinear h
        ==> ((\x. h (f x) (g x)) has_vector_derivative
             (h (f x) g' + h f' (g x))) (at x)`,
  REPEAT GEN_TAC THEN REWRITE_TAC[has_vector_derivative] THEN
  DISCH_TAC THEN
  FIRST_ASSUM(MP_TAC o MATCH_MP HAS_DERIVATIVE_BILINEAR_AT) THEN
  RULE_ASSUM_TAC(REWRITE_RULE[bilinear; linear]) THEN
  ASM_REWRITE_TAC[VECTOR_ADD_LDISTRIB]);;

let HAS_VECTOR_DERIVATIVE_AT_WITHIN = prove
 (`!f x s. (f has_vector_derivative f') (at x)
           ==> (f has_vector_derivative f') (at x within s)`,
  SIMP_TAC[has_vector_derivative; HAS_DERIVATIVE_AT_WITHIN]);;

let HAS_VECTOR_DERIVATIVE_TRANSFORM_WITHIN = prove
 (`!f f' g x s d.
       &0 < d /\ x IN s /\
       (!x'. x' IN s /\ dist (x',x) < d ==> f x' = g x') /\
       (f has_vector_derivative f') (at x within s)
       ==> (g has_vector_derivative f') (at x within s)`,
  REWRITE_TAC[has_vector_derivative; HAS_DERIVATIVE_TRANSFORM_WITHIN]);;

let HAS_VECTOR_DERIVATIVE_TRANSFORM_AT = prove
 (`!f f' g x d.
       &0 < d /\ (!x'. dist (x',x) < d ==> f x' = g x') /\
       (f has_vector_derivative f') (at x)
       ==> (g has_vector_derivative f') (at x)`,
  REWRITE_TAC[has_vector_derivative; HAS_DERIVATIVE_TRANSFORM_AT]);;

let HAS_VECTOR_DERIVATIVE_TRANSFORM_WITHIN_OPEN = prove
 (`!f g s x.
        open s /\ x IN s /\
        (!y. y IN s ==> f y = g y) /\
        (f has_vector_derivative f') (at x)
        ==> (g has_vector_derivative f') (at x)`,
  REWRITE_TAC[has_vector_derivative; HAS_DERIVATIVE_TRANSFORM_WITHIN_OPEN]);;

let VECTOR_DIFF_CHAIN_AT = prove
 (`!f g f' g' x.
         (f has_vector_derivative f') (at x) /\
         (g has_vector_derivative g') (at (f x))
         ==> ((g o f) has_vector_derivative (drop f' % g')) (at x)`,
  REPEAT GEN_TAC THEN REWRITE_TAC[has_vector_derivative] THEN
  DISCH_THEN(MP_TAC o MATCH_MP DIFF_CHAIN_AT) THEN
  REWRITE_TAC[o_DEF; DROP_CMUL; GSYM VECTOR_MUL_ASSOC]);;

let VECTOR_DIFF_CHAIN_WITHIN = prove
 (`!f g f' g' s x.
         (f has_vector_derivative f') (at x within s) /\
         (g has_vector_derivative g') (at (f x) within IMAGE f s)
         ==> ((g o f) has_vector_derivative (drop f' % g')) (at x within s)`,
  REPEAT GEN_TAC THEN REWRITE_TAC[has_vector_derivative] THEN
  DISCH_THEN(MP_TAC o MATCH_MP DIFF_CHAIN_WITHIN) THEN
  REWRITE_TAC[o_DEF; DROP_CMUL; GSYM VECTOR_MUL_ASSOC]);;

(* ------------------------------------------------------------------------- *)
(* Various versions of Kachurovskii's theorem.                               *)
(* ------------------------------------------------------------------------- *)

let CONVEX_ON_DERIVATIVE_SECANT_IMP = prove
 (`!f f' s x y:real^N.
        f convex_on s /\ segment[x,y] SUBSET s /\
        ((lift o f) has_derivative (lift o f')) (at x within s)
        ==> f'(y - x) <= f y - f x`,
  REPEAT STRIP_TAC THEN
  SUBGOAL_THEN `(x:real^N) IN s /\ (y:real^N) IN s` ASSUME_TAC THENL
   [ASM_MESON_TAC[SUBSET; ENDS_IN_SEGMENT]; ALL_TAC] THEN
  FIRST_X_ASSUM(MP_TAC o GEN_REWRITE_RULE I [has_derivative_within]) THEN
  REWRITE_TAC[LIM_WITHIN; DIST_0; o_THM] THEN
  REWRITE_TAC[GSYM LIFT_ADD; GSYM LIFT_SUB; GSYM LIFT_CMUL; NORM_LIFT] THEN
  STRIP_TAC THEN ASM_CASES_TAC `y:real^N = x` THENL
   [FIRST_X_ASSUM(MP_TAC o MATCH_MP LINEAR_0) THEN
    REWRITE_TAC[o_THM; VECTOR_SUB_REFL; GSYM DROP_EQ; DROP_VEC; LIFT_DROP] THEN
    ASM_SIMP_TAC[REAL_SUB_REFL; REAL_LE_REFL; VECTOR_SUB_REFL];
    ALL_TAC] THEN
  ABBREV_TAC `e = (f':real^N->real)(y - x) - (f y - f x)` THEN
  ASM_CASES_TAC `&0 < e` THENL [ALL_TAC; ASM_REAL_ARITH_TAC] THEN
  FIRST_X_ASSUM(MP_TAC o SPEC `e / &2 / norm(y - x:real^N)`) THEN
  ASM_SIMP_TAC[REAL_LT_DIV; REAL_HALF; NORM_POS_LT; VECTOR_SUB_EQ] THEN
  DISCH_THEN(X_CHOOSE_THEN `d:real` (CONJUNCTS_THEN2 ASSUME_TAC MP_TAC)) THEN
  ABBREV_TAC `u = min (&1 / &2) (d / &2 / norm (y - x:real^N))` THEN
  SUBGOAL_THEN `&0 < u /\ u < &1` STRIP_ASSUME_TAC THENL
   [EXPAND_TAC "u" THEN REWRITE_TAC[REAL_LT_MIN; REAL_MIN_LT] THEN
    ASM_SIMP_TAC[REAL_LT_DIV; NORM_POS_LT; REAL_HALF; VECTOR_SUB_EQ] THEN
    CONV_TAC REAL_RAT_REDUCE_CONV;
    ALL_TAC] THEN
  ABBREV_TAC `z:real^N = (&1 - u) % x + u % y` THEN
  SUBGOAL_THEN `(z:real^N) IN segment(x,y)` MP_TAC THENL
   [ASM_MESON_TAC[IN_SEGMENT]; ALL_TAC] THEN
  SIMP_TAC[open_segment; IN_DIFF; IN_INSERT; NOT_IN_EMPTY; DE_MORGAN_THM] THEN
  STRIP_TAC THEN DISCH_THEN(MP_TAC o SPEC `z:real^N`) THEN
  SUBGOAL_THEN `(z:real^N) IN s` ASSUME_TAC THENL [ASM SET_TAC[]; ALL_TAC] THEN
  ANTS_TAC THENL
   [ASM_SIMP_TAC[DIST_POS_LT] THEN
    EXPAND_TAC "z" THEN REWRITE_TAC[dist; NORM_MUL; VECTOR_ARITH
     `((&1 - u) % x + u % y) - x:real^N = u % (y - x)`] THEN
    ASM_SIMP_TAC[GSYM REAL_LT_RDIV_EQ; NORM_POS_LT; VECTOR_SUB_EQ] THEN
    ASM_REAL_ARITH_TAC;
    ALL_TAC] THEN
  FIRST_ASSUM(MP_TAC o GEN_REWRITE_RULE I [CONVEX_ON_LEFT_SECANT]) THEN
  DISCH_THEN(MP_TAC o SPECL [`x:real^N`; `y:real^N`; `z:real^N`]) THEN
  ASM_REWRITE_TAC[open_segment; IN_DIFF; IN_INSERT; NOT_IN_EMPTY] THEN
  SIMP_TAC[REAL_ARITH `inv y * (z - (x + d)):real = (z - x) / y - d / y`] THEN
  REWRITE_TAC[IMP_IMP] THEN DISCH_THEN(MP_TAC o MATCH_MP (REAL_ARITH
   `z <= y / n /\ abs(z - d) < e / n ==> d <= (y + e) / n`)) THEN
  SUBGOAL_THEN
   `(f':real^N->real)(z - x) / norm(z - x) = f'(y - x) / norm(y - x)`
  SUBST1_TAC THENL
   [EXPAND_TAC "z" THEN
    REWRITE_TAC[VECTOR_ARITH
     `((&1 - u) % x + u % y) - x:real^N = u % (y - x)`] THEN
    FIRST_ASSUM(MP_TAC o MATCH_MP LINEAR_CMUL) THEN
    DISCH_THEN(MP_TAC o SPECL [`u:real`; `y - x:real^N`]) THEN
    ASM_REWRITE_TAC[GSYM LIFT_CMUL; o_THM; LIFT_EQ] THEN
    DISCH_THEN SUBST1_TAC THEN REWRITE_TAC[NORM_MUL] THEN
    ASM_SIMP_TAC[real_abs; REAL_LT_IMP_LE] THEN
    REWRITE_TAC[real_div; REAL_INV_MUL; REAL_MUL_ASSOC] THEN
    AP_THM_TAC THEN AP_TERM_TAC THEN REWRITE_TAC[GSYM REAL_MUL_ASSOC] THEN
    REWRITE_TAC[GSYM real_div] THEN MATCH_MP_TAC REAL_DIV_LMUL THEN
    ASM_REAL_ARITH_TAC;
    ASM_SIMP_TAC[REAL_LE_DIV2_EQ; NORM_POS_LT; VECTOR_SUB_EQ] THEN
    ASM_REAL_ARITH_TAC]);;

let CONVEX_ON_SECANT_DERIVATIVE_IMP = prove
 (`!f f' s x y:real^N.
        f convex_on s /\ segment[x,y] SUBSET s /\
        ((lift o f) has_derivative (lift o f')) (at y within s)
        ==> f y - f x <= f'(y - x)`,
  ONCE_REWRITE_TAC[SEGMENT_SYM] THEN REPEAT STRIP_TAC THEN
  MP_TAC(ISPECL
   [`f:real^N->real`; `f':real^N->real`; `s:real^N->bool`;
    `y:real^N`; `x:real^N`] CONVEX_ON_DERIVATIVE_SECANT_IMP) THEN
  ASM_REWRITE_TAC[] THEN ONCE_REWRITE_TAC[SEGMENT_SYM] THEN
  MATCH_MP_TAC(REAL_ARITH
   `f' = --f'' ==> f' <= x - y ==> y - x <= f''`) THEN
  GEN_REWRITE_TAC (LAND_CONV o RAND_CONV) [GSYM VECTOR_NEG_SUB] THEN
  GEN_REWRITE_TAC I [GSYM LIFT_EQ] THEN REWRITE_TAC[LIFT_NEG] THEN
  SPEC_TAC(`y - x:real^N`,`z:real^N`) THEN
  MATCH_MP_TAC(REWRITE_RULE[RIGHT_FORALL_IMP_THM] LINEAR_NEG) THEN
  REWRITE_TAC[GSYM o_DEF] THEN ASM_MESON_TAC[has_derivative]);;

let CONVEX_ON_DERIVATIVES_IMP = prove
 (`!f f'x f'y s x y:real^N.
        f convex_on s /\ segment[x,y] SUBSET s /\
        ((lift o f) has_derivative (lift o f'x)) (at x within s) /\
        ((lift o f) has_derivative (lift o f'y)) (at y within s)
        ==> f'x(y - x) <= f'y(y - x)`,
  ASM_MESON_TAC[CONVEX_ON_DERIVATIVE_SECANT_IMP;
                CONVEX_ON_SECANT_DERIVATIVE_IMP;
                SEGMENT_SYM; REAL_LE_TRANS]);;

let CONVEX_ON_DERIVATIVE_SECANT,CONVEX_ON_DERIVATIVES =
 (CONJ_PAIR o prove)
 (`(!f f' s:real^N->bool.
        convex s /\
        (!x. x IN s ==> ((lift o f) has_derivative (lift o f'(x)))
                        (at x within s))
        ==> (f convex_on s <=>
             !x y. x IN s /\ y IN s ==> f'(x)(y - x) <= f y - f x)) /\
   (!f f' s:real^N->bool.
        convex s /\
        (!x. x IN s ==> ((lift o f) has_derivative (lift o f'(x)))
                        (at x within s))
        ==> (f convex_on s <=>
             !x y. x IN s /\ y IN s ==> f'(x)(y - x) <= f'(y)(y - x)))`,
  REWRITE_TAC[AND_FORALL_THM] THEN REPEAT GEN_TAC THEN
  REWRITE_TAC[TAUT `(a ==> b) /\ (a ==> c) <=> a ==> b /\ c`] THEN
  STRIP_TAC THEN MATCH_MP_TAC(TAUT
   `(a ==> b) /\ (b ==> c) /\ (c ==> a) ==> (a <=> b) /\ (a <=> c)`) THEN
  REPEAT CONJ_TAC THENL
   [REPEAT STRIP_TAC THEN MATCH_MP_TAC CONVEX_ON_DERIVATIVE_SECANT_IMP THEN
    EXISTS_TAC `s:real^N->bool` THEN ASM_SIMP_TAC[ETA_AX] THEN
    ASM_MESON_TAC[CONVEX_CONTAINS_SEGMENT];
    DISCH_TAC THEN MAP_EVERY X_GEN_TAC [`x:real^N`; `y:real^N`] THEN
    STRIP_TAC THEN FIRST_X_ASSUM(fun th ->
     MP_TAC(ISPECL [`x:real^N`; `y:real^N`] th) THEN
     MP_TAC(ISPECL [`y:real^N`; `x:real^N`] th)) THEN
    ASM_REWRITE_TAC[] THEN MATCH_MP_TAC(REAL_ARITH
     `f''' = --f'' ==> f''' <= x - y ==> f' <= y - x ==> f' <= f''`) THEN
    GEN_REWRITE_TAC (LAND_CONV o RAND_CONV) [GSYM VECTOR_NEG_SUB] THEN
    GEN_REWRITE_TAC I [GSYM LIFT_EQ] THEN REWRITE_TAC[LIFT_NEG] THEN
    SPEC_TAC(`y - x:real^N`,`z:real^N`) THEN
    MATCH_MP_TAC(REWRITE_RULE[RIGHT_FORALL_IMP_THM] LINEAR_NEG) THEN
    REWRITE_TAC[GSYM o_DEF] THEN REWRITE_TAC[GSYM I_DEF; I_O_ID] THEN
    ASM_MESON_TAC[has_derivative];
    ALL_TAC] THEN
  DISCH_TAC THEN REWRITE_TAC[convex_on] THEN
  MAP_EVERY X_GEN_TAC [`a:real^N`; `b:real^N`] THEN
  ONCE_REWRITE_TAC[SWAP_FORALL_THM] THEN
  REWRITE_TAC[TAUT `a /\ b /\ c /\ d /\ e <=> e /\ a /\ b /\ c /\ d`] THEN
  REWRITE_TAC[IMP_CONJ; REAL_ARITH `u + v = &1 <=> u = &1 - v`] THEN
  REWRITE_TAC[FORALL_UNWIND_THM2; REAL_SUB_LE] THEN X_GEN_TAC `u:real` THEN
  REPEAT STRIP_TAC THEN
  ASM_CASES_TAC `u = &0` THEN
  ASM_SIMP_TAC[REAL_SUB_RZERO; VECTOR_MUL_LZERO; VECTOR_MUL_LID; REAL_LE_REFL;
               REAL_MUL_LZERO; REAL_MUL_LID; VECTOR_ADD_RID; REAL_ADD_RID] THEN
  ASM_CASES_TAC `u = &1` THEN
  ASM_SIMP_TAC[REAL_SUB_REFL; VECTOR_MUL_LZERO; VECTOR_MUL_LID; REAL_LE_REFL;
               REAL_MUL_LZERO; REAL_MUL_LID; VECTOR_ADD_LID; REAL_ADD_LID] THEN
  SUBGOAL_THEN `&0 < u /\ u < &1` STRIP_ASSUME_TAC THENL
   [ASM_REWRITE_TAC[REAL_LT_LE]; ALL_TAC] THEN
  MP_TAC(ISPECL
   [`lift o (f:real^N->real) o (\u. (&1 - drop u) % a + drop u % b)`;
    `\x:real^1. lift o f'((&1 - drop x) % a + drop x % b) o
     (\u. --(drop u) % a + drop u % b:real^N)`] MVT_VERY_SIMPLE) THEN
  DISCH_THEN(fun th ->
    MP_TAC(ISPECL [`vec 0:real^1`; `lift u`] th) THEN
    MP_TAC(ISPECL [`lift u`; `vec 1:real^1`] th)) THEN
  ASM_REWRITE_TAC[LIFT_DROP; o_THM] THEN
  ASM_SIMP_TAC[DROP_VEC; VECTOR_MUL_LZERO; REAL_SUB_RZERO; REAL_LT_IMP_LE;
               VECTOR_ADD_RID; VECTOR_MUL_LID; VECTOR_SUB_RZERO] THEN
  MATCH_MP_TAC(TAUT
   `(a1 /\ a2) /\ (b1 ==> b2 ==> c) ==> (a1 ==> b1) ==> (a2 ==> b2) ==> c`) THEN
  CONJ_TAC THENL
   [CONJ_TAC THEN X_GEN_TAC `v:real^1` THEN DISCH_TAC THEN
    (REWRITE_TAC[o_ASSOC] THEN MATCH_MP_TAC DIFF_CHAIN_WITHIN THEN
     REWRITE_TAC[] THEN CONJ_TAC THENL
      [MATCH_MP_TAC HAS_DERIVATIVE_ADD THEN CONJ_TAC THENL
        [ONCE_REWRITE_TAC[VECTOR_ARITH `(&1 - a) % x:real^N = x + --a % x`;
                          VECTOR_ARITH `--u % a:real^N = vec 0 + --u % a`] THEN
         MATCH_MP_TAC HAS_DERIVATIVE_ADD THEN
         REWRITE_TAC[HAS_DERIVATIVE_CONST];
         ALL_TAC] THEN
       MATCH_MP_TAC HAS_DERIVATIVE_LINEAR THEN
       REWRITE_TAC[linear; DROP_ADD; DROP_CMUL] THEN VECTOR_ARITH_TAC;
       MATCH_MP_TAC HAS_DERIVATIVE_WITHIN_SUBSET THEN
       EXISTS_TAC `s:real^N->bool` THEN CONJ_TAC THENL
        [FIRST_X_ASSUM MATCH_MP_TAC;
         REWRITE_TAC[SUBSET; FORALL_IN_IMAGE] THEN GEN_TAC THEN DISCH_TAC] THEN
       FIRST_ASSUM(MATCH_MP_TAC o GEN_REWRITE_RULE I [CONVEX_ALT]) THEN
       RULE_ASSUM_TAC(REWRITE_RULE[IN_INTERVAL_1; LIFT_DROP; DROP_VEC]) THEN
       ASM_REWRITE_TAC[] THEN ASM_REAL_ARITH_TAC]);
    REWRITE_TAC[REAL_SUB_REFL; VECTOR_MUL_LZERO; VECTOR_ADD_LID] THEN
    REWRITE_TAC[EXISTS_LIFT; LIFT_DROP; IN_INTERVAL_1; DROP_VEC] THEN
    REWRITE_TAC[GSYM LIFT_SUB; LIFT_EQ] THEN
    REWRITE_TAC[DROP_SUB; DROP_VEC; LIFT_DROP] THEN
    REWRITE_TAC[VECTOR_ARITH `--u % a + u % b:real^N = u % (b - a)`] THEN
    REWRITE_TAC[LEFT_IMP_EXISTS_THM; RIGHT_IMP_FORALL_THM] THEN
    MAP_EVERY X_GEN_TAC [`w:real`; `v:real`] THEN
    DISCH_THEN(CONJUNCTS_THEN2 STRIP_ASSUME_TAC MP_TAC) THEN
    ONCE_REWRITE_TAC[TAUT `a ==> b /\ c ==> d <=> b ==> a ==> c ==> d`] THEN
    STRIP_TAC THEN REWRITE_TAC[IMP_IMP] THEN
    DISCH_THEN(CONJUNCTS_THEN2 (MP_TAC o AP_TERM `(*) (u:real)`)
                               (MP_TAC o AP_TERM `(*) (&1 - u:real)`)) THEN
    MATCH_MP_TAC(REAL_ARITH
     `f1 <= f2 /\ (xa <= xb ==> a <= b)
      ==> xa = f1 ==> xb = f2 ==> a <= b`) THEN
    CONJ_TAC THENL [ALL_TAC; REAL_ARITH_TAC] THEN
    SUBGOAL_THEN
     `((&1 - v) % a + v % b:real^N) IN s /\
      ((&1 - w) % a + w % b:real^N) IN s`
    STRIP_ASSUME_TAC THENL
     [CONJ_TAC THEN
      FIRST_X_ASSUM(MATCH_MP_TAC o GEN_REWRITE_RULE I [CONVEX_ALT]) THEN
      ASM_REWRITE_TAC[] THEN ASM_REAL_ARITH_TAC;
      ALL_TAC] THEN
    SUBGOAL_THEN
     `linear(lift o (f'((&1 - v) % a + v % b:real^N):real^N->real)) /\
      linear(lift o (f'((&1 - w) % a + w % b:real^N):real^N->real))`
    MP_TAC THENL [ASM_MESON_TAC[has_derivative]; ALL_TAC] THEN
    DISCH_THEN(CONJUNCTS_THEN(MP_TAC o MATCH_MP LINEAR_CMUL)) THEN
    ASM_REWRITE_TAC[o_THM; GSYM LIFT_NEG; GSYM LIFT_CMUL; LIFT_EQ] THEN
    REPEAT DISCH_TAC THEN ASM_REWRITE_TAC[] THEN
    ONCE_REWRITE_TAC[REAL_ARITH `(&1 - u) * u * x = u * (&1 - u) * x`] THEN
    REPEAT(MATCH_MP_TAC REAL_LE_LMUL THEN
           CONJ_TAC THENL [ASM_REAL_ARITH_TAC; ALL_TAC]) THEN
    FIRST_X_ASSUM(MP_TAC o SPECL
     [`(&1 - v) % a + v % b:real^N`; `(&1 - w) % a + w % b:real^N`]) THEN
    ASM_REWRITE_TAC[VECTOR_ARITH
     `((&1 - v) % a + v % b) - ((&1 - w) % a + w % b):real^N =
      (v - w) % (b - a)`] THEN
    ASM_CASES_TAC `v:real = w` THEN ASM_SIMP_TAC[REAL_LE_REFL] THEN
    SUBGOAL_THEN `&0 < w - v` (fun th -> SIMP_TAC[th; REAL_LE_LMUL_EQ]) THEN
    ASM_REAL_ARITH_TAC]);;

let CONVEX_ON_SECANT_DERIVATIVE = prove
 (`!f f' s:real^N->bool.
        convex s /\
        (!x. x IN s ==> ((lift o f) has_derivative (lift o f'(x)))
                        (at x within s))
        ==> (f convex_on s <=>
             !x y. x IN s /\ y IN s ==> f y - f x <= f'(y)(y - x))`,
  REPEAT GEN_TAC THEN DISCH_TAC THEN
  FIRST_ASSUM(SUBST1_TAC o MATCH_MP CONVEX_ON_DERIVATIVE_SECANT) THEN
  GEN_REWRITE_TAC RAND_CONV [SWAP_FORALL_THM] THEN
  AP_TERM_TAC THEN GEN_REWRITE_TAC I [FUN_EQ_THM] THEN
  X_GEN_TAC `x:real^N` THEN REWRITE_TAC[] THEN
  AP_TERM_TAC THEN GEN_REWRITE_TAC I [FUN_EQ_THM] THEN
  X_GEN_TAC `y:real^N` THEN REWRITE_TAC[] THEN
  MAP_EVERY ASM_CASES_TAC [`(x:real^N) IN s`; `(y:real^N) IN s`] THEN
  ASM_REWRITE_TAC[] THEN
  MATCH_MP_TAC(REAL_ARITH
   `f' = --f'' ==> (f' <= y - x <=> x - y <= f'')`) THEN
  GEN_REWRITE_TAC (LAND_CONV o RAND_CONV) [GSYM VECTOR_NEG_SUB] THEN
  GEN_REWRITE_TAC I [GSYM LIFT_EQ] THEN REWRITE_TAC[LIFT_NEG] THEN
  SPEC_TAC(`x - y:real^N`,`z:real^N`) THEN
  MATCH_MP_TAC(REWRITE_RULE[RIGHT_FORALL_IMP_THM] LINEAR_NEG) THEN
  REWRITE_TAC[GSYM o_DEF] THEN
  REWRITE_TAC[GSYM I_DEF; I_O_ID] THEN ASM_MESON_TAC[has_derivative]);;