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I find some descriptions http://en.wikipedia.org/wiki/Index_set and http://mathworld.wolfram.com/IndexSet.html . But can't find any definition.

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What part is not clear from those two links? –  response May 22 '13 at 3:51
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up vote 5 down vote accepted

An index set is just the domain $I$ of some function $f:I\to X$. It's just a notational distinction between a function domain and an index set - when we think if it as an index set, we write $f_i$ rather than $f(i)$.

Both the Wikipedia and Wolfram links you provide indicate that the function $f$ should be $1-1$ and onto, but I don't actually think that is necessary. For example, if we have a sequence $a_1,\dots,a_n,\dots$ then the index set is $\mathbb N$ whether or not the $a_i$ are distinct.

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Agreed. There is no reason that an indexing function must be one-to-one (or onto any set in particular unless it is called an enumeration of that set.) –  Trevor Wilson May 22 '13 at 5:57
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