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Let $S$ be an uncountable set of indexed real numbers. So the same number can occur more than once in the set (although with a different index). I don't assume that there is any ordering on $S$. Is there a simple necessary and sufficient condition for $S$ to have a well-defined average?

I take it that a sufficient condition for there to be a well-defined average is if all but a finitely many of the indexed numbers are identical. Is this necessary as well?

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    What's the average value of all real numbers (an uncountable set)? There are some power law probability distributions, eg Cauchy, that converge so slowly that even first moment (mean) doesn't converge.2012-12-18
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    Quite interesting question. All but countably many should be enough. The challenge would be to pin down the question enough to be able to give a precise answer. For sets, as opposed to multisets, there is a literature.2012-12-18

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If there is a measure $\mu$ on a $\sigma$-algebra over the index set $I$ such that $\mu(I)=1$ and if the indexing function $f\colon I\to S$ is measureable, then you can define $\operatorname{avg}(S)=\int f d\mu$.

Your case "all, but finitely many are identical" corresponds to any measure for which $\mu(A)=0$ if $A$ is finite. Though one might have $\mu(\{a\})>0$ for finitely many indexes $a\in I$, this would not fit with your requirements that there be no ordering on $S$, which I read to mean that we want our measure to be invariant under arbitrary(?) permutations of $I$. In that case, $\mu(A)$ should only depend on $|A|$, hence $\mu(I)=1$ and $|I|=\infty$ does indeed imply $\mu(A)=0$ for all finite sets and in fact even for countable sets (because the union of two disjoint countables is still countable). That would indeed make all functions measurable that are constant on the uncountable index set up to at most countably many exceptions (and the average is then the value taken on the remaining vast majority of index positions).

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    Thanks. That helps make things more precise. So it sounds like a sufficient condition then is that it take the same value for all but perhaps countably many members of I. But am I right in thinking that what you say still leaves it open whether this is a necessary condition?2012-12-18
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    I wanted to elaborate on the possibility of various different measures when I remmembered your "no order" requirement (whithoout which the condition is not even sufficient!). With that requirement, all that measure thory boils down to cardinality conditions. In fact, the continuum hypotheses may play a role :)2012-12-18