Introductory university-level calculus, linear algebra, abstract algebra, probability, statistics, and stochastic processes.
Fourier series: Introduction
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The theory of the Fourier series is based on a wild assumption: any "well-behaved" periodic function can be represented as a linear combination of sine and cosine functions, and that expression is unique for the given function. This theory (eventually) provided much of the foundations of modern mathematics. But it is also of tremendous practical importance.
Trigonometric functions are periodic. But what is a periodic function in general?
Definition (Periodic function)
A function \(f(x)\) is said to be a periodic function if there exists a real number \(T > 0\) such that
\[f(x + T) = f(x).\]
In this case, \(T\) is called a period of the function. Note that if \(T\) is a period of \(f(x)\), then \(2T\), \(3T\), \(\cdots, nT\) (\(n \in \mathbb{N}\)) is are also periods of \(f(x)\). In fact,
The smallest (non-zero) period is called the fundamental period.
Remark. If we say simply a period, we usually mean the fundamental period. □
Example. For any \(n\in \mathbb{N}\), \(\cos(nx)\) and \(\sin(nx)\) have a period of \(2\pi\), their fundamental periods are \(\frac{2\pi}{n}\) for each \(n\). □
where \(a_n\) (\(n = 0, 1, \cdots\)) and \(b_n\) (\(n=1, 2,\cdots\)) are (usually) real constants.
The factor \(\frac{1}{2}\) in the constant term (\(\frac{1}{2}a_0\)) is by convention as well as for convenience. Each term of the series has a period of \(2\pi\), so the domain of the above function of \(x\) may be \(\mathbb{R}\) or \([-\pi, \pi]\) or \([0, 2\pi]\).
Definition (Fourier expansion of a function)
Let \(f(x)\) be a function on \(\mathbb{R}\) that has a period of \(2\pi\). If
holds for all except for finitely many \(x \in \mathbb{R}\), the right-hand side is said to be
a Fourier expansion or Fourier series expansion of the function \(f\).
If term-wise integration is allowed, the coefficients \(a_n\) and \(b_n\) are readily determined. Note the following formulae: For any \(m, n \in \mathbb{N}\),
where \(\delta_{m,n}\) is Kronecker's delta. That is, the functions \(\cos x, \cos(2x), \cdots, \sin x, \sin(2x), \cdots\) are orthogonal. By multiplying (eq:FF) by \(\cos(mx)\) or \(\sin(mx)\) and then integrating, we have
Since we are assuming the period of \(2\pi\) for \(f\), the range of integration can be \([-\pi, \pi]\) instead of \([0, 2\pi]\).
The sequences \(\{a_m\}\) and \(\{b_m\}\) defined by (eq:fab) are called the Fourier coefficients of \(f\). The Fourier coefficients of \(f\) can be determined if \(f\) is integrable on \([0,2\pi]\). Given the Fourier coefficients of \(f\), we can formally define the following series, which is called the Fourier series of \(f\), denoted by \(S[f]\):
Note that, in this case, \(S[f]\) may not be the same function as \(f\). In fact, whether and/or when \(f = S[f]\) (note it's "\(=\)", not "\(\sim\)") is a fundamental question in the theory of Fourier series.
The fundamental problems in the theory of the Fourier series are
Under what conditions on \(f\) does \(S[f]\) converge?
What does the sum \(S[f]\) represent?
The continuity of \(f\) alone is known to be insufficient. To state the sufficient condition, we need the language of Lebesgue integral, or the measure theory, which is far beyond the scope of this post. We give it below anyway without proof.
Theorem (Carlson (1966))
Let \(f\) be a function that is measurable on \([0, 2\pi]\) and \(L^2\)-integrable, i.e.,
\[\int_0^{2\pi}|f(x)|^2dx < +\infty,\]
then the Fourier series \(S[f]\) converges to \(f\) almost everywhere.
Remark. The technical terms such as measurable, \(L^2\)-integrable, and almost everywhere come from the theory of Lebesgue integral. The Lebesgue integral is a generalization of the Riemann integral. Much of modern mathematics depends on the Lebesgue integral. □
Open sets In \(\mathbb{R}\), we have the notion of an open interval such as \((a, b) = \{x \in \mathbb{R} | a < x < b\}\). We want to extend this idea to apply to \(\mathbb{R}^n\). We also introduce the notions of bounded sets and closed sets in \(\mathbb{R}^n\). Recall that the \(\varepsilon\)-neighbor of a point \(x\in\mathbb{R}^n\) is defined as \(N_{\varepsilon}(x) = \{y \in \mathbb{R}^n | d(x, y) < \varepsilon \}\) where \(d(x,y)\) is the distance between \(x\) and \(y\). Definition (Open set) A subset \(U\) of \(\mathbb{R}^n\) is said to be an open set if the following holds: \[\forall x \in U ~ \exists \delta > 0 ~ (N_{\delta}(x) \subset U).\tag{Eq:OpenSet}\] That is, for every point in an open set \(U\), we can always find an open ball centered at that point, that is included in \(U\). See the following figure. Perhaps, it is instructive to see what is not an open set. Negating (Eq:OpenSet), we have \[\exists x \in U ~ \forall \delta > 0 ~ (N_{\delta}(x) \not
We would like to study multivariate functions (i.e., functions of many variables), continuous multivariate functions in particular. To define continuity, we need a measure of "closeness" between points. One measure of closeness is the Euclidean distance. The set \(\mathbb{R}^n\) (with \(n \in \mathbb{N}\)) with the Euclidean distance function is called a Euclidean space. This is the space where our functions of interest live. The real line is a geometric representation of \(\mathbb{R}\), the set of all real numbers. That is, each \(a \in \mathbb{R}\) is represented as the point \(a\) on the real line. The coordinate plane , or the \(x\)-\(y\) plane , is a geometric representation of \(\mathbb{R}^2\), the set of all pairs of real numbers. Each pair of real numbers \((a, b)\) is visualized as the point \((a, b)\) in the plane. Remark . Recall that \(\mathbb{R}^2 = \mathbb{R}\times\mathbb{R} = \{(x, y) | x, y \in \mathbb{R}\}\) is the Cartesian product of \(\mathbb{R}\) with i
We can use multiple integrals to compute areas and volumes of various shapes. Area of a planar region Definition (Area) Let \(D\) be a bounded closed region in \(\mathbb{R}^2\). \(D\) is said to have an area if the multiple integral of the constant function 1 over \(D\), \(\iint_Ddxdy\), exists. Its value is denoted by \(\mu(D)\): \[\mu(D) = \iint_Ddxdy.\] Example . Let us calculate the area of the disk \(D = \{(x,y)\mid x^2 + y^2 \leq a^2\}\). Using the polar coordinates, \(x = r\cos\theta, y = r\sin\theta\), \(dxdy = rdrd\theta\), and the ranges of \(r\) and \(\theta\) are \([0, a]\) and \([0, 2\pi]\), respectively. Thus, \[\begin{eqnarray*} \mu(D) &=& \iint_Ddxdy\\ &=&\int_0^a\left(\int_0^{2\pi}rd\theta\right)dr\\ &=&2\pi\int_0^a rdr\\ &=&2\pi\left[\frac{r^2}{2}\right]_0^a = \pi a^2. \end{eqnarray*}\] □ Volume of a solid figure Definition (Volume) Let \(V\) be a solid figure in the \((x,y,z)\) space \(\mathbb{R}^3\). \(V\) is sai
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