The Exercise
Two probability distributions and are given on the same finite set of outcomes . A subset of the outcomes is an event, and each distribution gives it the sum of the probabilities of its outcomes, (1) The exercise asks to show that the trace distance of the two distributions, half the sum of the absolute differences of their values, is the largest difference between the probabilities they give to a single event.
The Classical Trace Distance
The classical trace distance of two real functions and on a finite index set is (2)✦ For two probability distributions it is the trace distance of the exercise.
The Claim
Theorem 1. Let and be real functions on a finite index set whose values have the same sum, , and let and be their sums (1) over a subset . Then (3)✦ the maximum taken over all subsets of the index set.
Two probability distributions satisfy the hypothesis, both totals being one, and for them the theorem is the exercise.
What Is Checked
The claim is stated over the classical trace distance (2) of two real functions on a finite index set and over their sums on the subsets of that set. What the library proves about these constructions is the identity (3) itself, on every finite index set.