First I think it would be necessary to define what you mean by "proof," what you mean by "depression," what you mean by "relieved," and what you mean by "cheering up." Here are some scenarios:
A mild depressive mood swing caused by situational stresses combined with poor eating, sleeping and exercise habits could be fairly rapidly and permanently alleviated through eliminating the stressors and engaging in healthier diet, sleep and exercise routines. In this sense, specific steps can be taken to rapidly "cheer oneself up."
A severe, chronic, structural depression (i.e. caused by physiological factors that may be hereditary) will often require intervention with antidepressants, coupled with intensive cognitive retraining such as CBT, followed (when the downward spiral has been interrupted and mood stabilized through this intervention) by rigorous preventative measures involving diet, sleep, exercise and other positive self-care habits. Over time, the capacity to manage depressive tendencies may be improved with all of these factors, and pharmaceutical intervention attenuated to whatever degree the depression sufferer can tolerate, but only in some cases; for others the structural depression is so strong that no amount of cognitive restructuring or self-nurturing habits will alleviate the downward spiral without additional long term treatment.
In an acute depressive state brought on by tragedy and grief, it is my observation and experience that engaging the grief over time, and slowly working one's way through the emotional process of grieving, is the only reliable remedy. Short term relief may be afforded by pharmaceuticals masking the intensity of pain, but those drugs will also interfere with requisite emotional processing. In the case of grief, it seems to be that "feeling the pain" is the only avenue back to cheerfulness. At the same time, some people will nurture, deepen and extend their pain, which may then require intervention from a professional who can help them learn new cognitive tools to let go of a particular stage of grief in which they have become arrested.
In all of these cases, however, it is my view that the long term, qualitative "proof" of relieved depression can really only be measured via the subjective, ongoing emotional experiences of the person who has suffered depression. Sure, there are studies that demonstrate how various methodologies reduce self-limiting, negative and destructive emotions and thought patterns associated with depression, but to my knowledge very few have been able to capture any long term qualitative results other than with fairly extreme metrics (such as suicide prevention).
By the way, you may want to take a look at research on treatment of depression with CBT to further explore the correlations between cognitive habits and depressive mood swings. Dennis Greenberger's book "Mind over Mood" is an excellent starting point for exploring and practicing these techniques.
My 2 cents.
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