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Tung K.K. Partial Differential Equations and Fourier Analysis, A Short Introduction
Tung K.K. Partial Differential Equations and Fourier Analysis, A Short Introduction
Preface
This short book is intended for a one-semester course for students in the
sciences and engineering after they have taken one year of calculus and one
term of ordinary differential equations. For universities on quarter systems,
sections labelled optional can be omitted without loss of continuity. A
course based on this book can be offered to sophomores and juniors.
Examples used in this book are drawn from traditional application areas
such as physics and engineering, as well as from biology, music, finance
and geophysics. I have tried, whenever appropriate, to emphasize physical
motivation and have generally avoided theorems and proofs. I also have
tried to teach solution techniques, which will be useful in a students other
courses, instead of the theory of partial differential equations.
I believe that the subjects of partial differential equations and Fourier
analysis should be taught as early as feasible in an undergraduates curriculum. Towards this end the book is written to present the subject matter
as simply as possible. Ample worked examples are given at the end of
the chapters as a further learning aid. Exercises are provided for the purpose of reinforcing standard techniques learned in class. Tricky problems,
whose purpose is mainly to test the students mental dexterity, are generally
avoided.
ii
Contents
1 Introduction
1.1 Review of Ordinary Differential Equations . . . . .
1.1.1 First and Second Order Equations . . . . .
1.2 Nonhomogeneous Ordinary Differential Equations .
1.2.1 First-Order Equations: . . . . . . . . . . . .
1.2.2 Second-Order Equations: . . . . . . . . . .
1.3 Summary of ODE solutions . . . . . . . . . . . . .
1.4 Partial Derivatives . . . . . . . . . . . . . . . . . .
1.5 Exercise I . . . . . . . . . . . . . . . . . . . . . . .
1.6 Solutions to Exercise I . . . . . . . . . . . . . . . .
1.7 Exercise II . . . . . . . . . . . . . . . . . . . . . . .
1.8 Solutions to Exercise II . . . . . . . . . . . . . . .
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CONTENTS
iv
2.9 Exercises
2.10 Solutions
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5 dAlemberts Solution
5.1 Introduction . . . . . .
5.2 dAlemberts approach
5.3 Example . . . . . . . .
5.4 Reflection . . . . . . .
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CONTENTS
5.5
Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6 Separation of Variables
6.1 Introduction . . . . . . . . . . . . . . . .
6.2 An example of heat conduction in a rod:
6.3 Separation of variables: . . . . . . . . .
6.4 Physical interpretation of the solution: .
6.5 A vibrating string problem: . . . . . . .
6.6 Exercises . . . . . . . . . . . . . . . . .
6.7 Solutions . . . . . . . . . . . . . . . . .
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103
. 103
. 103
. 105
. 109
. 110
. 110
. 111
. 113
. 115
Equations
135
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. . . . . . . . . . . . . . 135
. . . . . . . . . . . . . . 137
11 Collapsing Bridges
141
11.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
11.2 Marching soldiers on a bridge, a simple model . . . . . . . . . 141
11.3 Solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
CONTENTS
vi
11.4
11.5
11.6
11.7
11.8
Resonance . . . . . . . . . .
A different forcing function
Tacoma Narrows Bridge . .
Exercises . . . . . . . . . .
Solution . . . . . . . . . . .
12 Fourier Series
12.1 Introdution . . . . . . .
12.2 Periodic Eigenfunctions
12.3 Fourier Series . . . . . .
12.4 Examples . . . . . . . .
12.4.1
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12.4.2
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12.4.3
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12.5 Complex Fourier series .
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145
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151
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Transform 165
. . . . . . . . 165
. . . . . . . . 165
. . . . . . . . 166
. . . . . . . . 167
. . . . . . . . 168
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ii
Contents
1 Introduction
1.1 Review of Ordinary Differential Equations . . . . .
1.1.1 First and Second Order Equations . . . . .
1.2 Nonhomogeneous Ordinary Differential Equations .
1.2.1 First-Order Equations: . . . . . . . . . . . .
1.2.2 Second-Order Equations: . . . . . . . . . .
1.3 Summary of ODE solutions . . . . . . . . . . . . .
1.4 Partial Derivatives . . . . . . . . . . . . . . . . . .
1.5 Exercise I . . . . . . . . . . . . . . . . . . . . . . .
1.6 Solutions to Exercise I . . . . . . . . . . . . . . . .
1.7 Exercise II . . . . . . . . . . . . . . . . . . . . . . .
1.8 Solutions to Exercise II . . . . . . . . . . . . . . .
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CONTENTS
iv
2.9 Exercises
2.10 Solutions
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53
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74
5 dAlemberts Solution
5.1 Introduction . . . . . .
5.2 dAlemberts approach
5.3 Example . . . . . . . .
5.4 Reflection . . . . . . .
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CONTENTS
5.5
Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6 Separation of Variables
6.1 Introduction . . . . . . . . . . . . . . . .
6.2 An example of heat conduction in a rod:
6.3 Separation of variables: . . . . . . . . .
6.4 Physical interpretation of the solution: .
6.5 A vibrating string problem: . . . . . . .
6.6 Exercises . . . . . . . . . . . . . . . . .
6.7 Solutions . . . . . . . . . . . . . . . . .
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83
89
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100
100
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103
. 103
. 103
. 105
. 109
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. 110
. 111
. 113
. 115
Equations
135
. . . . . . . . . . . . . . 135
. . . . . . . . . . . . . . 135
. . . . . . . . . . . . . . 137
11 Collapsing Bridges
141
11.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
11.2 Marching soldiers on a bridge, a simple model . . . . . . . . . 141
11.3 Solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
CONTENTS
vi
11.4
11.5
11.6
11.7
11.8
Resonance . . . . . . . . . .
A different forcing function
Tacoma Narrows Bridge . .
Exercises . . . . . . . . . .
Solution . . . . . . . . . . .
12 Fourier Series
12.1 Introdution . . . . . . .
12.2 Periodic Eigenfunctions
12.3 Fourier Series . . . . . .
12.4 Examples . . . . . . . .
12.4.1
. . . . . . . .
12.4.2
. . . . . . . .
12.4.3
. . . . . . . .
12.5 Complex Fourier series .
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145
145
147
148
148
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151
151
151
153
156
156
158
160
162
Transform 165
. . . . . . . . 165
. . . . . . . . 165
. . . . . . . . 166
. . . . . . . . 167
. . . . . . . . 168
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Chapter 5
dAlemberts Solution
5.1
Introduction
(5.1)
BCs:
u(x, t) 0, x , t > 0
(5.2)
ICs:
(5.3)
(5.4)
The problem can be solved using a Fourier transform, as we will show later.
However, the first person to solve this problem was not Fourier (1768-1830),
but dAlembert (1746). dAlembert had a simpler method, which works only
on the wave equation. It also works whether or not the domain is infinite,
but it can get complicated quickly when finite boundaries are included.
5.2
dAlemberts approach
(5.5)
satisfies the PDE (5.1) for any functions L and R (which have second derivatives, of course).
To show this, let us write
x + ct
x ct,
77
78
and
d
d
L(), R0 ()
R().
d
d
L() = L0 ()
= cL0 ()
t
t
L() = L0 ()
= L0 ()
x
x
2
=
(L0 ()) = (L0 ())
= L00 ().
x
d
x
Similarly,
R() = R0 ()
= cR0 ()
t
t
R() = R0 ()
= R0 ()
x
x
2
d
R() =
(cR0 ()) = c2 R00 ()
2
t
t d
2
d
R() =
(R0 ()) = R00 ().
2
x
x d
It is seen that both L() and R() satisfy the wave equations, i.e.
and
c2 2
2
t
x
2
2
2
c
t2
x2
L() = 0,
R() = 0.
5.3. EXAMPLE
79
Since
u(x, t) = L(x + ct) + R(x ct), ut (x, t) = cL0 (x + ct) cR0 (x ct),
it follows from the initial conditions that,
u(x, 0) = L(x) + R(x) = f (x), < x <
0
(5.6)
(5.7)
(5.9)
g(x)dx
K
.
2
(5.10)
x+ct
g(x)dx .
xct
(5.11)
This is the full solution to the wave equation in an infinite spatial domain.
5.3
Example
Solve:
PDE:
ICs:
80
ct=0
2.5
u(x,t)
1.5
0.5
0
6
0
x
ct=0.5
2.5
u(x,t)
1.5
0.5
0
6
0
x
5.4. REFLECTION
81
ct=1
2.5
u(x,t)
1.5
0.5
0
6
0
x
ct=2
2.5
u(x,t)
1.5
0.5
0
6
0
x
5.4
Reflection
(5.12)
BCs:
u(0, t) = 0, u(x, t) 0 as x .
(5.13)
ICs:
(5.14)
(5.15)
82
(5.16)
(5.17)
An important difference between these ((5.16), (5.17)) and the earlier ((5.6),
(5.7)) is that (5.16) and (5.17) define L(x) and R(x) only for x > 0. We do
not know L(x) and R(x) for x < 0; hence we do not know R(x ct) when
ct > x.
For ct < x, we can proceed as before. Integrate (5.17) and add to or
subtract from (5.16) to obtain (5.9) and (5.10).
So far we have not used the boundary conditions. These provide the
missing information
u(0, t) = 0 = L(ct) + R(ct), t > 0.
(5.18)
(5.19)
(5.20)
where
1
1
L(x) = f (x) +
2
2c
g(x)dx, x > 0,
(5.21)
g(x)dx, x > 0.
(5.22)
and
1
1
R(x) = f (x)
2
2c
x
0
In addition,
R(x) = L(x), x < 0.
(5.23)
5.5. EXAMPLE
83
for x > ct
for x < ct.
(5.24)
A simpler way of writing (5.24) is to define the initial condition for negative
values of x by
f (x) = f (x) for < x < 0
(5.25)
(5.26)
5.5
Example
PDE: utt = c2 uxx , 0 < x < , t > 0
BCs:
ICs:
u(0, t) = 0, u(x, t) 0, as x
(
2 if 1 < x 4 < 1
u(x, 0) = f (x) =
0 elsewhere
ut (x, 0) = 0, 0 < x < .
dAlemberts solution is
u(x, t) =
1
[f (x + ct) + f (x ct)].
2
This solution is valid for all x > 0, ct > 0, provided that the initial condition
is redefined so that
f (x) = f (x) for negative x.
84
1.5
0.5
0.5
1.5
2
10
10
10
1.5
0.5
0.5
1.5
2
10
5.5. EXAMPLE
85
u(x,t) at ct=3. Ignore x < 0
1.5
0.5
0.5
1.5
2
10
10
10
ct=4
2
1.5
0.5
0.5
1.5
2
10
86
ct=4
2
1.5
u(x,t)
0.5
0.5
1.5
2
10
0
x
10
At this time part of the image initially at x < 0 moves to the real domain
at x > 0, and cancels with the left going wave initially from x > 0.
ct=5. Ignore x < 0.
2
1.5
0.5
0.5
1.5
2
10
10
5.5. EXAMPLE
87
ct=6. Ignore x < 0.
1.5
0.5
0.5
1.5
10
10
88
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Chapter 8
Introduction
X
n=0
bn cos
nx
, 0 < x < L.
L
(8.1)
8.2
X
mx
mx
nx
f (x) cos
bn
cos
dx =
cos
dx.
(8.2)
L
L
L
0
0
n=0
There is an orthogonality condition for the cosines which can be written as
Z L
0 if m 6= n
mx
nx
Imn
cos
(8.3)
cos
dx = L2 if m = n 6= 0
L
L
0
L if m = n = 0.
121
122
Z
(m n)x
(m + n)x
1 L
cos
cos
dx +
dx
L
2 0
L
0
L
(m+n)x L
sin (mn)x
sin
L
L
=
+
2(m n)/L
2(m + n)/2
mx
nx
1
cos
cos
dx =
L
L
2
1
1
cos(a b) + cos(a + b),
2
2
L
=0
if m 6= n.
When n = m 6= 0
mx
nx
1
cos
cos
=
L
L
2
2mx
1 + cos
L
.
The integral from 0 to L of the first term, 12 , is L/2, while the integral of
the second term, 12 cos 2mx
L , is zero. When m = n = 0,
cos
mx
nx
cos
= 1,
L
L
X
n=0
bn cos
nx
, 0<x<L ,
L
where,
Z
1 L
b0 =
f (x)dx
L 0
Z
2 L
nx
bn =
f (x) cos
dx, n = 1, 2, 3, 4, . . . .
L 0
L
(8.4)
8.3
(8.5)
Find the evolution of u(x, t) for t > 0 if the ends of the rod are insulated,
i.e.
BCs: ux (0, t) = 0, ux (L, t) = 0, t > 0 .
(8.6)
(8.7)
(8.9)
The only difference between this case and the previous one in Chapter 3,
section 2, is the boundary conditions. Here the Neumann condition. (8.6)
implies
d
d
Xn (0) = 0,
Xn (L) = 0.
dx
dx
(8.10)
(8.11)
provided
n
, n = 0, 1, 2, 3, . . . .
L
The Tn (t) satisfies, as in section 3.2:
n =
d
Tn (t) + 2 2n Tn (t) = 0.
dt
(8.12)
124
So
2 2 t
n
Tn (t) = Tn (0)e
(8.13)
nx
.
L
(8.14)
nx
, 0 < x < L.
L
(8.15)
2 2 t
n
Tn (0)e
n=0
cos
Tn (0) cos
n=0
(8.15) implies that the constants, Tn (0)s, are the Fourier cosine coefficients
for f (x). Thus
Z
2 L
nx
Tn (0) = bn =
f (x) cos
dx, n = 1, 2, 3, . . .
L 0
L
Z
1 L
T0 (0) = b0 =
f (x)dx.
L 0
The problem is now completely solved, assuming f (x) is given.
An Example:
Solve
PDE: ut = uxx , 0 < x < 1, t > 0
BCs: ux (0, t) = 0, ux (1, t) = 0, t > 0
IC: u(x, 0) = x, 0 < x < 1.
Since the boundary conditions are homogeneous Neumann, try a cosine
series expansion of the solution
u(x, t) =
Tn (t)Xn (x),
(8.16)
n=0
where Xn (x) = cos nx. Substituting the assumed form (7.16) into the PDE
yields:
d
Tn (t) = (n)2 Tn (t), n = 0, 1, 2, 3, . . . .
dt
(8.17)
Tn (t) = Tn (0)e(n) t .
Therefore,
u(x, t) =
n=0
n=0
So the Tn (0)s are the Fourier cosine coefficients of the function x, and thus
Z
Tn (0) =
xdx =
0
Tn (0) = 2
Finally,
1
0
1
2
(
0
x cos nxdx =
4
(n)
2
if n = even
if n = odd.
1
4 X 1 (n)2 t
u(x, t) = 2
e
cos nx.
2
n2
n=1
n odd
126
Chapter 9
Eigenfunction Expansion
9.1
Introduction
The Fourier sine and cosine series discussed in the previous two chapters are
special cases of a more general method of eigenfunction expansions. In
this method, the eigenfunctions Xn (x) obtained from separation of variables
are used to expand any function of x as a linear combination of the Xn (x)s:
f (x) =
which we re-write as
u(x, t) =
[We write Tn (t) instead of an (t) simply to be consistent with our previous
notation]
What eigenfunctions Xn (x) to use depends very much on the type of
boundary conditions and the type of PDE we are given. Below we shall
review different cases using the diffusion equation as an example.
127
128
9.2
PDE:
IC:
(9.1)
Case A.
Step (1) If the boundary conditions are of the homogeneous Dirichlet type,
i.e.:
u(0, t) = 0, u(L, t) = 0, t > 0
(9.2)
u(x, t) =
Tn (t) sin
n=1
nx
, 0 < x < L.
L
(9.3)
X
nx
ut =
Tn0 (t) sin
L
n=1
uxx =
X
n=1
nx
n 2
sin
Tn (t)
.
L
L
X
n=1
n 2
X
nx
nx
2
Tn (t) sin
=
, 0 < x < L.
L
L
L
n=1
n 2
L
Tn (t), for n = 1, 2, 3, . . . .
(9.4)
2 n
Tn (t) = Tn (0)e ( L ) t ,
129
X
n=1
2 n
nx
Tn (0)e ( L ) t sin
.
L
Tn (0) sin
n=1
nx
, 0 < x < L.
L
Thus the Tn (0) are the Fourier sine series coefficients of the given
function f (x), i.e.
Z
2 L
nx
Tn (0) =
f (x) sin
dx.
(9.5)
L 0
L
Step (4) Find Tn (0) by evaluating the integral in (9.5). This then completes the solution.
Case B.
Step (1) If the boundary conditions are of the homogeneous Neumann
type, i.e.
u
u
= 0 at x = 0,
= 0 at x = L,
x
x
(9.6)
Tn (t) cos
n=0
nx
, 0 < x < L.
L
(9.7)
X
n=0
X n 2
nx
nx
2
Tn (t) cos
=
, 0 < x < L.
L
L
L
n=0
(9.8)
130
The solution
2 n
Tn (t) = Tn (0)e ( L ) t .
X
n=0
2 n
nx
Tn (0)e ( L ) t cos
, 0 < x < L.
L
(9.9)
(9.10)
Case C.
A more systematic way to proceed is to use the method of separation of
variables. Here we shall emonstrate this method on a more general boundary
condition (Robin condition):
u(0, t) + 1 u(0, t) = 0
x
2 u(L, t) + 2 u(L, t) = 0.
x
1
(9.11)
T 0 (x)
X 00 (x)
= 2
.
T (t)
X(x)
131
Step (2) LHS being a function of t only and the RHS being a function of
x only, the only way that the LHS can be equal to the RHS is for
each to be equal to a constant. Let that constant be denoted by
2 2 , so
T 0 (t)
2 X 00(x)
=
= 2 2 ,
T (t)
X(x)
and
T 0 (t) = 2 2 T (t)
X 00 (x) = 2 X(x).
(9.12)
(9.13)
(9.14)
2 X (L) + 2 X(L) = 0.
(9.15)
(9.16)
1
[2 sin L 2 cos L]} = 0.
1
1
[2 sin L 2 cos L]} = 0.
1
(9.18)
(9.19)
132
These are called eigenvalues. For each eigenvalue there is a corresponding eigenfunction
X(x) = Xn (x) = An sin n x + Bn cos n x.
(9.20)
The explicit forms of n and Xn are obtainable for specific values
of 1 , 2 , 1 and 2 .
Step (4) The most general solution is obtained by superimposing all separated solutions Tn (t)Xn (x):
u(x, t) =
Tn (t)Xn (x),
(9.21)
n=0
Tn (t) = Tn (0)e
Tn (0)Xn (x),
n=1
so
Tn (0) = R L
0
1
Xn2 dx
Z
0
f (x)Xn (x)dx.
(9.22)
9.3
(9.23)
133
(9.24)
+ 2 Xn (L) = 0.
(9.25)
2 Xn0 (L)
0
2 Xm
(L)
(9.26)
(9.27)
+ 2 Xm (L) = 0.
(9.28)
d2
d2
X
X
Xm = (2m 2n )Xm Xn .
n
n
dx2
dx2
d
d2
(Xm 2 Xn Xn 2 Xm )dx = (2m 2n )
dx
dx
L
0
Xm Xn dx.
(9.29)
2n )
Xm Xn dx = 0,
(9.30)
Xm Xn dx = 0 if m 6= n.
(9.31)
so
Z
0
134
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plot of the resonating mode
1
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sin(2*pi*x)
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0.4
0.5
x
0.6
687D9B;<>%??BADBAX+>ILBK8NQJ7DK=9^S^LY>`A
0.7
0.8
0.9
Chapter 12
Fourier Series
12.1
Introdution
We discussed the Fourier sine series in Chapter 7 and the Fourier cosine
series in Chapter 8. Now, we shall combine the two to form a periodic Fourier
series (or simply called the Fourier series). Before we do so however, we first
try to motivate the need for such a series by looking for the eigenfunctions
satisfying periodic boundary conditions.
12.2
Periodic Eigenfunctions
(12.1)
BCs:
u(L, t) = u(L, t)
(12.2)
ux (L, t) = ux (L, t)
(12.3)
(12.4)
IC:
(12.5)
152
(12.6)
0
(12.7)
The boundary conditions for X comes from (12.2) and (12.3). The solution
to (12.6) is
X(x) = a sin x + b cos x,
(12.8)
(12.9)
(12.10)
(12.11)
153
Superposition over all n then yields the general solution of the PDE in the
form
X
u(x, t) =
Tn (t)Xn (x).
n
Thus
u(x, t) =
[an sin
n=0
nx
nx (n/L)2 t
.
+ bn cos
]e
L
L
(12.13)
[an sin
n=0
nx
nx
+ bn cos
], L < x < L .
L
L
(12.14)
The right-hand side of (12.14) is the Fourier series expansion of f (x) in the
domain L < x < L. It is periodic with period 2L in < x < L.
12.3
Fourier Series
[an sin
n=0
nx
nx
+ bn cos
], L < x < L.
L
L
(12.15)
If f (x) is itself periodic with period 2L, then the representation is good for
all x, < x < . If f (x) is not periodic outside the interval L < x < L,
or if f (x) is not defined beyond this interval, the representation is good only
in the restricted interval.
There are two ways to find the coefficients an and bn of the Fourier series.
The standard way is to use the orthogonality conditions between sines and
cosines. They are, for integers m and n:
(
Z L
0 if m 6= n
mx
nx
sin
sin
dx =
(12.16)
L
L
L if m = n
L
if m 6= n
Z L
0
mx
nx
cos
cos
dx = L
if m = n 6= 0
L
L
L
(12.17)
2L if m = n = 0
Z L
mx
nx
sin
cos
dx = 0 for all m and n
(12.18)
L
L
L
154
Of the three orthogonality relations (12.16), (12.17) and (12.18), only the
last one is really new. We derived the first two previously when the integration was over half the domain, from 0 to L. Since sines are odd functions of
x and cosines are even function of x, the integrands in (12.16) and (12.17)
are even in x. Thus,
Z L
Z L
mx
mx
nx
nx
sin
sin
sin
dx = 2
sin
dx
L
L
L
L
L
0
Z L
Z L
mx
mx
nx
nx
cos
cos
cos
dx = 2
cos
dx.
L
L
L
L
L
0
(12.16) then follows from our previous results, namely (6.7), and (12.17)
follows from (8.3). The last identity, (12.18) follows from the fact that the
integrand in (12.18) is odd in x and so the integral over positive and negative
values of x yields zero.
Using these orthogonality relations, we can now obtain the coefficients
an and bn in the following way. Multiply both sides of (12.15) by sin mx
L
and integrate with respect to x from L to L to get
Z L
Z L
X
mx
mx
nx
f (x) sin
[an
sin
dx =
sin
dx
L
L
L
L
L
n=0
Z L
mx
nx
+ bn
sin
cos
dx]
L
L
L
= am L.
so
am
1
=
L
f (x) sin
L
mx
dx, m = 0, 1, 2, 3, . . . .
L
[an sin
n=0
nx
nx
+ bn cos
], L < x < L ,
L
L
(12.19)
155
where
1
an =
L
f (x) sin
L
L
nx
dx
L
1
f (x)dx
2L L
Z
1 L
nx
bn =
f (x) cos
dx, n = 1, 2, 3, . . . .
L L
L
b0 =
X
n=1
where
1
an =
L
an sin
nx
, L < x < L,
L
nx
2
f (x) sin
dx =
L
L
L
f (x) sin
0
nx
dx
L
X
nx
f (x) =
bn cos
, L < x < L,
L
n=0
where
Z
nx
nx
2 2
f (x) cos
f (x) cos
dx =
dx
L
L 0
L
L
Z L
Z
1
1 L
b0 =
f (x)dx =
f (x)dx.
2L L
L 0
1
bn =
L
(iii) The above discussion suggests a second way for obtaining the coefficients
of the Fourier series (12.19). Since any function f (x) can be written as
f (x) = fsym (x) + fanti (x),
(12.20)
156
X
nx
fsym (x) =
bn cos
,
(12.21)
L
n=0
1
L
fsym (x)dx =
1
2L
fsym (x)dx =
1
2L
f (x)dx.
L
X
nx
fanti (x) =
an sin
,
(12.22)
L
n=1
12.4
Examples
12.4.1
(a) Represent f (x) = 1, as a Fourier sine series in 0 < x < L. We let
fs (x)
an sin
n=1
2
an =
L
nx
,
L
f (x) sin
0
nx
2
dx =
[1 cos n].
L
n
12.4. EXAMPLES
157
f(x)=1
0.5
0.5
1.5
4
0
x/L
Figure 12.1 Fourier series representation of f (x) = 1, as a function of x/L; 50 terms used
in the sum.
Thus, fs (x) looks like f (x) only in the interval 0 < x < L. It is
antisymmetric about x = 0 and periodic with period 2L.
(b) Represent f (x) = 1 as a Fourier cosine series in 0 < x < L. We let
fc (x)
X
n=0
bn cos
nx
,
L
Z
2 L
nx
bn =
f (x) cos
dx = 0, n 6= 0
L 0
L
Z
1 L
b0 =
1dx = 1.
L 0
fc (x) = b0 is actually a one-term cosine series. With b0 = 1 it is a
perfect representation of f (x) in 0 < x < L.
158
[an sin
n=0
an =
bn =
b0 =
1
L
1
L
nx
nx
+ bn cos
],
L
L
f (x) sin
nx
dx = 0
L
f (x) cos
nx
dx = 0
L
L
L
1
2L
L
L
f (x)dx = 1.
L
f(x)=1
1.2
1
0.8
0.6
0.4
0.2
0
4
0
x
12.4.2
(a) Represent f (x) = 1 + x as a Fourier sine series in 0 < x < 1.
The sine series representation, fs (x), is plotted in Figure 12.3, for all
x.
12.4. EXAMPLES
159
Fs
2.5
2
1.5
1
f(x)=1+x
0.5
0
0.5
1
1.5
2
2.5
4
0
x
Figure 12.3 Fourier sine series representation of f (x) = 1 + x; 50 terms used in the sum.
f(x)=1+x
1.6
1.5
1.4
1.3
1.2
1.1
1
4
0
x
Figure 12.4 The Fourier cosine series representation of f (x) = 1 + x; using 50 terms in
the sum.
160
Fsc
2.5
f(x)=1+x
1.5
0.5
0.5
4
0
x
Figure 12.5 Fourier series representation of f (x) = 1 + x; 50 terms used in the sum.
12.4.3
(a) Represent f (x) = ex as a Fourier sine series in 0 < x < 1. fs (x) is
plotted for all x in Figure 12.6
Fs
4
f(x)=exp(x)
4
4
0
x
Figure 12.6 Fourier sine series representation of f (x) = ex ; 50 terms used in the sum.
12.4. EXAMPLES
161
f(x)=exp(x)
2.2
2
1.8
1.6
1.4
1.2
1
4
0
x
Figure 12.7 Fourier cosine series representation of f (x) = ex ; 50 terms used in the sum.
2.5
f(x)=exp(x)
1.5
0.5
0
4
0
x
Figure 12.8 Fourier series representation of f (x) = ex ; 50 terms used in the sum.
162
12.5
1 X
nx
nx
[an sin
+ bn cos
], L < x < L,
2 n=
L
L
(12.23)
n=
where
1
cn =
2L
f (x)einx/L dx.
(12.24)
163
sin =
nx
inx/L . (12.23) beWe now also rewrite sin nx
L and cos L in terms of e
comes
f (x) =
1 X
1
[bn (einx/L + einx/L )
2 n= 2
1 inx/L
einx/L )]
(e
2i
1 X 1
1 X 1
=
(bn ian )einx/L +
(bn + ian )einx/L .
2 n= 2
2 n= 2
+ an
f (x) =
(12.25)
n=
where
1
1
cn = (bn + ian ) =
2
2
1
L
nx
nx
f (x)(cos
+ i sin
)dx .
L
L
L
Thus,
cn =
1
2L
f (x)einx/L dx, n = 0, 1, 2, . . . .
(12.26)
164
12.6
2
1
1 2
+
,
+
r 2
r r r 2 2
X
f () =
cn ein ,
n=
1
2
f ()ein d.
Since the solution u(r, ) should also be periodic with period 2, it too can
be expanded in a periodic Fourier series:
u(r, ) =
Rn (r)ein .
n=
cn (r/a)|n| ein
n=
where
1
cn =
2
f ()ein d.
166
Chapter 13
Introduction
(13.1)
n=
1
2L
f (x)einx/L dx.
(13.2)
Previously, when sine and cosine series were discussed, we alluded to Dirichlets Theorem, which tells us conditions under which Fourier series is a satisfactory representation of the original function f (x). The full Dirichlets
Theorem is stated below.
13.2
Dirichlet Theorem
13.3
Fourier integrals
Unless f (x) is periodic, the Fourier series representation of f (x) is an appropriate representation of f (x) only over the interval L < x < L. Question:
Can we take L , so as to obtain a good representation of f (x) over
the whole interval < x < ? The positive answer leads to the Fourier
integral, and hence the Fourier transform, provided f (x) is integrable over
the whole domain.
We first rewrite (13.1) as a Riemann sum by letting
= /L and n = n/L.
Thus, (13.1) becomes
1 X
f (x) =
Fn ein x ,
2 n=
(13.3)
where
Z
Fn (2Lcn ) =
(13.4)
169
F () =
(13.5)
1
f (x) =
2
F ()eix d.
(13.6)
Z
ix0
f (x )e
dx eix d .
(13.7)
The validity of the formula (13.7) is subject to the integrability of the function f (x) in (13.5). Furthermore, the left-hand side of (13.7) must be modified at points of discontinuity of f (x) to be the average of the left- and righthand limits at the discontinuity, because the Fourier series, upon which the
(13.7) is based, has this property.
The formula shows that the operation of integrating f (x)eix over all x
is reversible, by multiplying it by eix and integrating over all . (13.7)
allows us to define Fourier transforms and inverse transforms.
13.4
Let the Fourier transform of f (x) be denoted by F[f (x)]. We should use
(13.5) for a definition of such an operation:
Z
F () = F[f (x)]
f (x)eix dx .
(13.8)
Let F 1 be the inverse Fourier transform, which recovers the original function f (x) from F (). (13.6) tells us that the inverse transform is given
by
f (x) = F
1
[F ()]
2
F ()eix d .
(13.9)
f (x)dx.
Once integrated, the information about f (x) is lost and cannot be recovered.
Therefore the relationships such as (13.8) and (13.9) are rather special and
have wide application in solving PDEs.
Note that our definition of the Fourier transform and inverse transform
1
is not unique. One could, as in some textbooks, put the factor 2
in (13.8)
1
1
instead of in (13.9), or split it as 2 in (13.8) and 2 in (13.9). The
only thing that matters is that in the Fourier integral formula there is the
1
factor 2
when the two integrals are both carried out. Also, in (13.7), we
can change to without changing the form of (13.7). So, the Fourier
transform in (13.8) can alternatively be defined with a negative sign in front
of in the exponent, and the inverse transform in (13.9) with a positive
sign in front of in the exponent. It does not matter to the final result as
long as the transform and inverse transform have opposite signs in front of
in their exponents.
13.5
L[f (t)] =
f (t)est dt f(s) .
(13.10)
Mathematically, it does not matter whether we denote our independent variable by the symbol t or x; nor does it matter whether we call t time and
x space or vice versa. What does matter for Laplace transforms is the integration ranges only over a semi-infinite interval, 0 < t < . We do not
consider what happens before t = 0. In fact, as we will see, we need to take
f (t) = 0 for t < 0.
Functions which are zero for t < 0 are called one-sided functions. For
one-sided f (t), we see that the Laplace transform (13.10) is the same as the
Fourier transform (13.8) if we replace x by t and by is. That is, from
171
(13.8)
Z
F (is) =
st
f (t)e
dt =
f (t)est dt
f(s).
(13.11)
Since the Laplace transform is essentially the same as the Fourier transform,
we can use the Fourier inverse transform (13.9) to recover f (t) from its
Laplace transform f(s). Let
f (t) = L1 [f(s)].
Then the operation L1 , giving the inverse Laplace transform, must be
defined by
1
f (t) =
2i
f(s)est ds.
(13.12)
This is because
Z
1
f (t) = F [F ()] =
F ()eit d
2
Z i
1
=
f(s)est ds
2i i
1
through the change from to is. Since the inverse Laplace transform involves an integration in the complex plane, it is usually not discussed in
elementary mathematics courses which deal with real integrals. Tables of
Laplace transforms and inverse transforms are used instead. Our purpose
here is simply to point out the connection between Fourier and Laplace
transform, and the origin of both in Fourier series.
Note: The inverse Laplace transform formula in (13.12) was obtained
from the Fourier integral formula, which applies only to integrable functions.
For nonintegrable, but one-sided f (t), (13.12) should be modified, with
the limits of integration changed to i and + i, where is some
positive real constant bounding the exponential growth of f allowed.
To show this, suppose f (t) is not integrable because it grows as t .
Suppose that for some positive the product
g(t) f (t)et 0 as t
Thus if
fe(s) = L[f (t)] =
f (t)est dt,
then
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