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You are on page 1of 39

Ulrik Egede

Physics Department, Imperial College London, SW7 2AZ

First Term (2016-2017)

October 6, 2016

Copyright

License CC-BY-4.0

Contents

1

Introduction

1.1 Aims and objectives

1.1.1 Aims . . .

1.1.2 Objectives .

1.2 Lectures . . . . . .

1.3 Literature . . . . .

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Mathematical prerequisites

2.1 Complex functions . . . . . . . . . .

2.2 Orthogonal and orthonormal functions

2.3 Even and Odd functions . . . . . . . .

2.4 Dirac delta function . . . . . . . . . .

Fourier Series

3.1 Definition . . . . . . . . . . . . . . .

3.2 Dirichlet conditions of convergence .

3.3 Properties of Fourier series . . . . . .

3.3.1 Different intervals . . . . . .

3.3.2 Differentiation and integration

3.3.3 Power spectrum . . . . . . . .

3.3.4 Parsevals identity . . . . . .

3.3.5 Gibbs phenomena . . . . . .

3.4 Applications . . . . . . . . . . . . . .

3.4.1 Low and high pass filters . . .

3.4.2 Ordinary differential equations

Fourier transforms

4.1 Definition . . . . . . . . . . . . . .

4.2 Specific Fourier transforms . . . . .

4.2.1 The Gaussian . . . . . . . .

4.2.2 The delta function . . . . .

4.3 Properties . . . . . . . . . . . . . .

4.4 Applications . . . . . . . . . . . . .

4.4.1 Partial differential equations

4.4.2 Fraunhofer diffraction . . .

4.4.3 Resonance shape . . . . . .

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ii

5

CONTENTS

Convolution

5.1 Applications . . . . . . . . . . . . . . . . . .

5.1.1 Measurement of a resonance . . . . .

5.1.2 Measurement of oscillation amplitude

5.1.3 Weighting . . . . . . . . . . . . . . .

5.1.4 Filters . . . . . . . . . . . . . . . . .

5.1.5 Sharpening of images . . . . . . . . .

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35

Chapter 1

Introduction

Waves are behind phenomena in almost every area of physics. In this course examples will

be given from areas as different as quantum mechanics, aucustics, particle physics, mechanics,

solid state physics and cosmology. Fourier transforms are also essential for modern day life

where mobile phones, televisions and cameras would not be possible without them.

Often differential equations can be formulated that describe the physical behaviour of a system. For boundary conditions that describe simple plane wave situations, the system can often

be solved analytically. But in real life boundary conditions are complicated and the solutions

are no longer simple. This is where Fourier analysis comes into the picture. It allows for a

problem to be broken down to the behaviour of the individual plane wave components and then

from using the principle of superposition, the full solution can be found.

1.1

1.1.1

Aims

To give students an understanding of Fourier series and Fourier transforms, and provide students

with practice in their application and interpretation in a range of situations.

1.1.2

Objectives

Be able to express a function as a sum of an even function and an odd function.

Understand the concept of sets of orthogonal functions and appreciate that the Fourier

series component functions are orthogonal.

Understand the relationship between the complex exponential and trigonometric Fourier

series.

Know that periodic functions satisfying the Dirichlet conditions may be expressed as

Fourier series.

Be able to compute the Fourier coefficients of the complex exponential and the trigonometric Fourier series.

1

Introduction

Know and be able to apply Parsevals theorem and understand how it can be applied to

physical situations.

Know about the Gibbs phenomenon at discontinuities.

Understand that if a Fourier series is constructed to represent an arbitrary function over

a given range then the series represents that function periodically extended beyond that

range.

Know the defining properties for the Dirac delta function and be able to apply the sifting

property of delta functions.

Know and be able to apply expressions for the forwards and inverse Fourier transform to

a range of non-periodic waveforms.

Be able to calculate the Fourier transform and inverse Fourier transform of common functions including (but not limited to) top hat, Gaussian, delta, trigonometric, and exponential decays.

Appreciate that Fourier transforming a Gaussian function produces another Gaussian.

Know fundamental mathematical properties of the Fourier transform including linearity,

shift, scaling, and convolution.

Be able to express a convolution mathematically and explain its function and relationship

to measurement processes.

Be able to describe to give multiple examples of where Fourier series, Fourier transforms

and convolutions are used in physics.

1.2

Lectures

1. Introduction, even and odd functions, orthogonality, integral of complex function of a real

variable.

2. Fourier series of periodic functions.

3. Complex and trigonometric notation of Fourier series.

4. Discontinuous functions, Diriclet conditions, Gibbs phenomenon, derivatives.

5. Fourier transforms, Parsevals theorem.

6. Evaluating the Fourier transform.

7. Dirac delta function, Properties of the Fourier transform.

8. Applications of Fourier transforms.

9. Convolutions.

10. Applications of convolutions.

1.3. LITERATURE

1.3

Literature

While lecture notes are provided for this course, they should not be seen as a replacement for

reading up independently in a text book. Two books are recommended for this course.

Arfken, G. B., Weber, H.J., Harris, F. E., Mathematical Methods for Physicists: a comprehensive guide, 7th edition, Elsevier publishers.

Boas, M. L., Mathematical Methods in the Physical Sciences, 3rd edition, Wiley publishers.

The first one of these is the most rigorous and provides for discussions with more insight than

in the second.

Concerning Fourier series and Fourier transforms there is a great variation in notation. I

will in the course make it clear what notation I use and attempt to be consistent. However, there

might be variations for some of the examples. In general you should always be aware of the

exact notation used in a given situation. The convention used across the year 2 courses is not

(and cant be) consistent.

Introduction

Chapter 2

Mathematical prerequisites

2.1

Complex functions

A complex function is a function that takes a complex number as an argument and the value

of the function is a complex number as well. We can divide a complex function into a real

function and an imaginary function,

f (z) = u(z) + iv(z),

u(z) =

f (z) + f (z)

,

2

v(z) =

f (z) f (z)

,

2i

(2.1)

where u and v are real valued functions that take a complex argument.

In this course, complex exponential functions will often be used as they provide for an

easier notation than using trigonometric functions when representing wave phenomena. The

translation between the two notations make use of Eulers formula,

ei = cos + i sin .

(2.2)

If we consider complex functions that only take a real argument, then integrating and differentiating them is exactly as for real functions. So

f 0 (x) = u0 (x) + iv0 (x)

and

f (x)dx =

2.2

(2.3)

u(x)dx + i

v(x)dx .

(2.4)

From vector analysis we know that two vectors A and B are orthogonal if their scalar product

is zero, that is if

A B = Ai Bi = 0 ,

(2.5)

i

where the index i refer to the individual components in a Cartesian coordinate system. The

concept of orthogonality can be extended to an arbitrary number of vectors Vn which make an

orthogonal set if

Vn Vm = 0 , if m 6= n .

(2.6)

5

The set of functions is called a complete orthogonal set if the size of the orthogonal set is the

same as the number of dimensions in the space considered. The set is called orthonormal if the

vectors are normalised. In that case we have

(

0 if n 6= m

Vn Vm = mn =

(2.7)

1 if n = m .

Notice how the Kronecker delta notation, mn was used here.

If we have a complete orthonomal set of N vectors Vn , then we can in a unique way write

an arbitrary vector A as a sum of those,

N

A=

(2.8)

n=1

By taking the scalar product of this expression with the vectors Vn in turn and using the definition (2.7), we have

an = A Vn

(2.9)

for the individual coordinates.

Example 2.1. In 3-dimensional space the three unit vectors i, j, k form a complete orthonormal

set. If we take a vector A = (3, 7, 5) and apply Eq. (2.9), we see that

A = 3i + 7j + 5k .

(2.10)

The definition of orthonormal vectors can be extended in several ways. Firstly, if we consider the vectors to be complex, the definition of an orthonormal set is

Vn Vm = mn .

(2.11)

As the complex conjugate of a real function is the function itself, we can just consider this as the

definition of an orthonormal set of vectors as it includes the real case. Secondly we can extend

the definition of orthogonal or orthonormal to any kind of expression where we can formulate a

scalar (or inner) product. In particular for complex functions, we define the inner product h f , gi

between two (complex) functions f and g on an interval (a, b) as

h f , gi =

Z b

a

f (x)g(x)dx .

(2.12)

h fn , fm i = mn .

(2.13)

1

ein with n Z

2

defined on the interval (, ). The scalar product is

hein , eim i =

1

2

ein eim d = mn

(2.14)

1

ein with n Z

(2.15)

2

form a complete set on the very large collection of square integrable functions, f , where

hf, fi =

f ( ) f ( )d < .

This set of functions (scaled to appropriate intervals) include just about any function you will

ever consider in physics. Notice that the function space that is considered here has an infinite

number of dimensions.

Returning to Eqs. (2.8) and (2.9) and applying them to functions, we see that if we have a

complete set of orthonormal functions gn , we can expand an arbitrary function f (x) on a closed

interval as

f (x) = an gn (x) ,

(2.16)

nZ

with

an = h f , gn i =

Z b

a

f (x)gn (x)dx

(2.17)

for the individual coordinates. Using complex exponentials as the complete orthonormal set is

the essential part of a Fourier series expansion.

2.3

To be able to spot if a function is even or odd, and indeed how it can be decomposed into an

even and an odd part is of great advantage when it comes to considering periodic functions. If

we consider a function of a real variable x that is defined on a symmetric interval around zero,

we have

f (x) = f (x) if f is even

(2.18)

f (x) = f (x) if f is odd .

Just as a complex function can be decomposed into a real and imaginary part, an arbitrary

function f (x) defined on a symmetric interval around zero can be decomposed into a sum of an

even part, e(x), and an odd part, o(x). We have

f (x) = e(x) + o(x) ,

(2.19)

f (x) + f (x)

2

f (x) f (x)

o(x) =

,

2

(2.20)

with

e(x) =

Example 2.3. Consider the function f (x) = ex on the interval (, ). Decomposing it into an

even and an odd part we have

ex + ex

= cosh(x)

2

ex ex

o(x) =

= sinh(x) ,

2

e(x) =

(2.21)

2.5

2.5

2.5

2.0

2.0

2.0

1.5

1.5

1.5

1.0

1.0

1.0

0.5

0.5

0.5

0.0

0.0

0.0

0.5

Top hat (n=2)

0.5

Gaussian (n=2)

0.5

Exponential (n=5)

Figure 2.1: The top hat, Gaussian and complex exponential functions that each in the limit

n approach the delta function.

2.4

Consider a real function (x), called the (Dirac) delta function, that is defined by the criteria

Z b

f (x) = 0 if x 6= 0, and

f (x) (x)dx = f (0) if x = 0, a < 0 and b > 0,

(2.22)

(2.23)

where f (x) is an arbitrary real function. Trying to use the definition with f (x) = 1 we see that

we have the trivial result

Z

(x)dx = 1 .

(2.24)

The delta function must be infinitely high at the origin, but somehow still adjusted such that its

integral takes on the unit value. In fact it is not a function at all but rather has to be thought of

as the limit of a sequence of functions. In this way the delta function itself only makes sense

when considered under an integral sign. We can use the delta function to express the value of a

function f (x) as an integral,

Z

f (x) =

f (t) (t x)dt .

(2.25)

There are many different sequences that define the Dirac delta function and which one to use

will depend on the situation. Here the top hat function, a complex exponential and a Gaussian

are considered. In each case we consider

(x) = lim n (x) ,

n

(

1

n if |x| 2n

n (x) =

1 ,

0 if |x| > 2n

Z

1 n ixt

n (x) =

e dt ,

2 n

or

2 2

n

n (x) = en x .

(2.26)

(2.27)

(2.28)

(2.29)

All three functions are shown in Fig. 2.1. It is fairly easy to see that the tophat and Gaussian

series in the limit satisfy the definiton of the delta function, Eq. (2.22), while it takes a bit more

thought for the complex exponential. From rewriting the exponential using Eulers formula, we

have

Z

sin nx

1 n ixt

e dt =

,

(2.30)

n (x) =

2 n

x

where we have also used that

Z

sin nx

dx = .

(2.31)

x

1

(t x) =

2

ei(tx) d ,

(2.32)

10

Chapter 3

Fourier Series

3.1

Definition

The complex exponential Fourier series of a periodic function f (x) with period 2 is defined

as

f (x) =

cn einx ,

(3.1)

n=

in which

1

f (x)einx dx .

(3.2)

cn =

2

The set of functions {einx } form a complete orthogonal set (see Sec. 2.2. However, the set

is not an orthonormal set due to the way that the normalisation is defined. Be aware that the

normalisation differs between text books.

If we rewrite the sum in Eq. (3.1) to have pairs with n and n, we get

Z

(3.3)

n=1

cn cn inx

cn + cn inx

(e + einx ) +

(e einx )

2

2

cn + cn

cn cn

=

2 cos(nx) +

2i sin(nx)

2

2

=an cos(nx) + bn sin(nx) ,

(3.4)

an = cn + cn

and bn = i(cn cn ) .

(3.5)

1

1

an =

f (x)einx dx +

2

2

Z

inx

inx

1

e +e

=

f (x)

dx

2

Z

1

=

f (x) cos(nx)dx

Z

11

f (x)einx dx

(3.6)

12

and

i

bn =

2

i

f (x)e

dx

f (x)einx dx

2

Z

inx

inx

i

e e

=

f (x)

dx

2

Z

1

einx einx

=

f (x)

dx

2i

Z

1

=

f (x) sin(nx)dx

inx

(3.7)

With this information in hand we are now ready to write down the Fourier series using trigonometric functions as

a0

(3.8)

f (x) = + (an cos(nx) + bn sin(nx)) ,

2 n=1

with

1

f (x) cos(nx)dx

Z

1

bn =

f (x) sin(nx)dx .

Z

an =

(3.9)

(3.10)

These expressions deserve a few comments. While harder to remember than the expression

of the Fourier series with complex exponentials, it is easier to interpret in terms of different

wave components adding up to the full function. The division by 2 in the first term of the

sum is simply a convinience to make the expression for an work for the term a0 as well. You

can confirm that this is correct by looking at the expression for c0 in the exponential notation.

However, you have to remember this factor when you write down the sum!

Example 3.1. We can use the first terms of a Fourier series to approximate a function. If we

consider the square wave defined as

(

0 if x < 0

f (x) =

(3.11)

1 if 0 < x < ,

we have

1

dx = 1

0

Z

1

an =

cos(nx)dx = 0 , n 1

0

(

Z

a0 =

bn =

and

sin(nx)dx =

0

2

n

if n odd

if n even.

(3.12)

(3.13)

(3.14)

1 2 sin(x) sin(3x) sin(5x)

f (x) = +

+

+

+ .

(3.15)

2

1

3

5

In Fig. 3.1 the Fourier series with an increasing number of terms can be seen. The overshoot

close to the discontinuity that persist even with a very large number of terms will be considered

later.

13

1.2

1.2

1.2

1.2

1.0

1.0

1.0

1.0

0.8

0.8

0.8

0.8

0.6

0.6

0.6

0.6

0.4

0.4

0.4

0.4

0.2

0.2

0.2

0.2

0.0

0.0

0.0

0.0

0.2

10

0.2

10

0.2

10

0

1 terms

10

0

5 terms

10

0

10 terms

10

0.2

10

0

50 terms

10

Figure 3.1: The approximation of the square wave with an increasing number of terms from the

Fourier series. Notice the small spikes present at the discontinuities even with 50 terms used.

This will be returned to later.

3.2

Having defined the Fourier series, it is of interst to examine what is actually meant by the

equal sign in Eq. (3.1). For this we can use the Dirichlet conditions that state that for a function

f (x), if

1. f (x) is periodic of period 2,

2. it is single valued,

3. has a finite number of maxima and minima values in the 2 interval,

4. has a finite number of discontinuities in the 2 interval,

5. and

| f (x)|dx

is finite,

then

the Fourier series converges1 to f (x) at all points where f (x) is continuous,

and the series converges to the midpoint between the values of f (x) from the left and the

right at points of discontinuity.

The Diriclet conditions are sufficient for convergence but not necessary so there will be (pathological) functions where the Fourier series converge despite that they fail the Diriclet conditions.

Example 3.2. If we take

f (x) =

1

1 + exp(sin(x))

, x <

(3.16)

it is easy to see that the first four parts of the Dirichlet conditions are fulfilled but the last one

is a bit tricky. However, we notice that f (x) is bounded such that | f (x)| < 1 for all x and thus

have

Z

Z

| f (x)|dx <

1dx = 2

(3.17)

which is finite. Thus the last condition is fulfilled as well and the Fourier series converges.

1 At

each point x, the series will converge to f (x) but as Gibbs phenomena later illustrates, the convergence is

not guaranteed to be uniform.

14

Z

Z

1 dx = 2 ln x| =

| f (x)|dx =

0

(3.18)

and part five of the Diriclet conditions is not satisfied. On the other hand if we take f (x) = 1/x2 ,

we get

Z

Z

1

1

dx = = 2

(3.19)

| f (x)|dx =

2

x

x

and as the other conditions are trivially satisfied, the series converges.

3.3

3.3.1

Different intervals

The basic idea of expanding a periodic function as a sum of complex exponentials or a sum of

trigonometric functions does not depend on using the interval (, ). For an arbitrary interval

of length 2l, we indeed have

f (x) =

cn einx/l ,

(3.20)

f (x)einx/l dx ,

(3.21)

n=

with

1

cn =

2l

and

f (x) =

Z l

l

a0

+ (an cos(nx/l) + bn sin(nx/l)) ,

2 n=1

(3.22)

with

1 l

f (x) cos(nx/l)dx

l l

Z

1 l

bn =

f (x) sin(nx/l)dx .

l l

Z

an =

(3.23)

(3.24)

The Diriclet conditions are the same as for the standard interval of (, ) apart from the the

function is required to have a period of 2l.

3.3.2

It is possible to take a Fourier series and differentiate it term by term. If this is a valid approach,

depends on if he function that we find the Fourier series of is differentiable everywhere or not.

Take as an example the square wave function from Example 3.1, where the sin(nx) terms

have coefficients proportional to 1/n. When each term is differentiated we get cos(nx) terms

with no 1/n terms. As the original square wave function is not differentiable everywhere, it is

no surprise that this series doesnt converge.

15

f (x) =

4 cos((2n 1)x)

1

2

2 n=1 (2n 1)2

(3.25)

where we see that the coefficients are (in the limit of large n) proportional to 1/n2 . When

differentiated term by term we get a series which has terms proportional to 1/n that is still

convergent. In fact the differentiated series is the series for a square wave as expected.

From the above examples, we can see that there is a direct relationship between the smoothness of the function and the coefficients of the corresponding Fourier series. In fact if a function

has discontinuities in the kth derivative, it will have coeficients in the Fourier series that are

proportional to 1/nk+1 . If deriving a Fourier series, this is a very important cross check that you

can do.

A Fourier series can also be integrated term by term. If the terms an and bn have coefficients

proportional to 1/nk , the result of integrating term by term is a new Fourier series with terms

proportional to 1/n(k+1) that will thus converge faster. A small correction to this is that the a0 /2

term integrates to a0 /2x which is obviously not part of a Fourier series. Thus the integral of a

Fourier series is only itself a Fourier series if a0 = 0.

Tbe ability to differentiate and integrate a Fourier series term by term, opens up a set of

possibilities. If the integrals involved in finding a fourier series for a periodic function f (x) are

difficult to evaluate, maybe we can differentiate f (x), find the Fourier series of f 0 (x), and then

integrate this series term by term to find the Fourier series of f (x).

3.3.3

Power spectrum

The Fourier series can, in addition to the complex exponential form and the trigonometric form

with cos and sin functions that we have already seen, be written on the form

f (x) =

a0

+ n cos(nx n ) .

2 n=1

(3.26)

It can be shown (see Problem Sheet) that this is an equivalent representation with

an = n cos n ,

bn = n sin n

n2 = a2n + b2n ,

tan n = bn /an .

(3.27)

(3.28)

The form here is interesting as it allows for an easier interpretation of the data. The n terms

represents the strength of each frequency term and the n terms represents the phase shift of

the terms with respect to each other. In many applications there is an overall phase which has

no physical meaning and we can see here that if we shift the wave by an overall phase, , the

consequence is that all n are shifted by but the n terms are unchanged. The set represented

by n2 is called the power spectrum of a function. An example of the use of this can be seen in

Fig. 3.2.

3.3.4

Parsevals identity

Let us take a (complex) function and represent it in terms of the complex exponential Fourier

Series

f (x) =

n=

cn einx ,

(3.29)

16

Figure 3.2: The power spectrum of the variation of in the consmic microwave background as

derived from a Fourier Series expansion (on a sphere). Source arXiv:1212.5225.

and we can try to calculate the integral of the magnitude squared of f (x) on each side. We get

2

Z

Z

| f (x)|2 dx =

(3.30)

cn einx dx = 2 |cn |2 .

n=

n=

Make sure to take a bit of time to consider the last equality above (where did all the cross terms

go). Rearranging we have

R

2

| f (x)| dx

= |cn |2 .

(3.31)

2

n=

which is called Parsevals identity and express that the average of the magnitude squared of the

function is equal to the sum of the magnitude squared of the Fourier coefficients. The equivalent

form for the trigonometric Fourier series is

2

| f (x)| dx

a20 1 2

+ (an + b2n ) .

4 2 n=1

(3.32)

Parsevals identity is very useful for considering how good an approximation to the function, a

Fourier series with a given number of terms is. Be aware that it only talks about the quality of

the approximation in the mean and not about how good the approximation is at a given point.

Example 3.4. Consider the square wave and the triangular wave again. We can see that the sum

in Parcevals identity will have 1/n2 terms for the square wave and 1/n4 terms for the triangular

wave. The sum in the triangular wave will thus approach the average of the magnitude squared

much faster than the sum for the square wave, as seen in Fig. 3.3. We learn from this that the

more smooth a function is, the better the approximation of the Fourier series is for a truncation

at a given n.

3.4. APPLICATIONS

17

100

Triangular wave

Square wave

Fraction missing

10-1

10-2

10-3

10-4

10-5

10-6

10-7 0

10

101

Number terms

102

Figure 3.3: The fraction of the total that is missing when only taking the first n terms in the

sum of Parsevals theorrem. IT can be seen how the triangular wave with no discontinuities is a

much better approximation than the square wave (with discontinuities) for a given truncation.

3.3.5

Gibbs phenomena

When a truncated Fourier series is used to approximate a function with discontinuities in, we

get a set of artifacts showing up as an overshoot (undershoot) with respect to the function on

each side of the discontinuity. The effect is very clearly seen in Fig. 3.1 for the square wave.

The overshoot is not reducing in size as we add more terms to our truncated series but rather

just moves closer to the discontinuity. The effect is present for all functions with a discontinuity

and is called Gibbs phenomena.

So why does Gibbs phenomena occur? It is an effect of that a discontinuity represents a

change taking place in zero time and thus includes infinite high frequencies. When we then

approximate this by only finite frequencies as in the truncated Fourier series, we get a ringing

effect around the transition where the first ring is the largest overshoot.

Gibbs phenomena is not just a theoretical oddity but has real implications. In electronics

the ringing can give rise to after pulses that may themselves be detected as signal events, in

compressed images there might be shadowing effects (see Fig. 3.4) and in compressed audio,

it can give rise to what is called pre echo, a faint echo that occurs before a sharp sound like a

drum. In the MP3 algorithm, the effect of this is minimised by having an algorithm where the

frequency cutoff can adapt to the audio that is compressed.

3.4

Applications

Fourier series have a huge number of applications. As it is often easy to understand the behaviour of a system in response to a simple single frequency force, we can use the Fourier

series decomposition to represent any function as a set of such responses. However, this relies completely on that the problem we want to resolve is linear. There is a large number of

applications related to the Fast Fourier Transform (FFT) which will be covered later.

18

Figure 3.4: An illustration of the shadowing that occurs from an image of a sharp edged ellipse

in the JPEG compression algorithm due to Gibbs phenomena. The leftmost picture is compressed with the PNG algorithm and shows no shadowing, while the middle picture is using

a high quality setting for the JPEG algorithm. The rightmost picture uses a low quality JPEG

setting (so high compression) but suffers from shadowing effects.

3.4.1

Modern electronics relies on the fact that we can transfer digital signals around. A digital signal

takes the form of a series of binary values, 0 and 1, transferred down a line. These values are

(in a simplified form) presented by different voltages and thus the signal will look like a square

wave with different step lengths. If the attenuation of the wire is known (see Fig. 3.5) the

behaviour of the line can be completely modelled. In this example it behaves as a low pass filter

and the measured copper cable is quite similar to standard phone wiring in the UK. Examples

of how frequency dependent attenuation can affect a signal are shown in Fig. 3.6.

3.4.2

y00 + 2 0 y0 + 02 y = f (t) ,

(3.33)

where f (t) is a function satisfying the Diriclet conditions with period T . We know that the

way to find the general solution to this ODE is find a single solution to the inhomogenenous

equation and then just add it to the well known general solution of the homogeneous ODE. We

also know that if we can write f as a sum, f (x) = f1 (t) + f2 (t) then we can find separate single

solutions to the inhomogeneous ODE involving just f1 and just f2 and then add them up. This

works because the ODE is linear.

We can now extend the argument, and instead of expressing f as a sum of two functions, we

express it as a Fourier series. We thus instead have to solve

y00 + 2 0 y0 + 02 y =

a0

+ (an cos(nt) + bn sin(nt)) ,

2 n=1

(3.34)

where n = 2n/T . This involves finding specific solutions to ODEs of the type

y00 + 2 0 y0 + 02 y =

F0

sin(t) .

m

(3.35)

3.4. APPLICATIONS

19

Figure 3.5: The attenuation as a function of frequency for different lengths of twisted pair

copper cable. For an ADSL2+ connection (up to 24 Mb/s), very limited attenuation is required

up to 2 MHz. From Analog Dialogue 38-07, July (2004).

1.2

1.2

1.2

1.2

1.0

1.0

1.0

1.0

0.8

0.8

0.8

0.8

0.6

0.6

0.6

0.6

0.4

0.4

0.4

0.4

0.2

0.2

0.2

0.2

0.0

0.0

0.0

0.0

0.2

10

0

No attenuation

10

0.2

10

1/ 4 n

10

0.2

10

0

1/n

10

0.2

10

0

Cutoff (n = 3)

10

Figure 3.6: Example of how attenuation with different forms of attenuation as a function of the

nth term is applied.

20

which are well known and the steady state solutions are of the form

y(t) =

with

r

Z=

F0

sin(t + ) ,

mZ

1

(20 )2 + 2 (02 2 )2

(3.36)

20

= arctan

2 02

.

(3.37)

These solutions can then be summed up. Thus we can see how we can solve the forced harmonic

oscillator for any function where we can find the Fourier series. See the problem sheets for an

example of this.

Chapter 4

Fourier transforms

4.1

Definition

So far we have only considered creating a Fourier series for a function which is periodic.

Using the scaling laws derived in the previous chapter, the period of the function can be extended

to an arbitrary length. If in this extension, the Fourier series is kept to have the same highest

frequency, then the sum will become longer and longer. The limit of this, when the period

is expanded to infinity is that the sum is changing to an integral. Using this description, the

connection can be seen between the Fourier series in the previous example and the Fourier

transform presented here.

We define the Fourier transform of a real or complex valued function f (t), t R as

1

g() =

2

f (t)eit dt

(4.1)

g()eit d .

(4.2)

1

f (t) =

2

Several things should be noted here. The definition of the Fourier transform is not unique. The

notation followed here is the one from Arfken (and thus not the one from Boas). In general we

regard f to be a function of time and g to be a function of angular frequency.

The way to understand the Fourier transform and its inverse is to look a the inverse transfom

first. We can see from Eq. (4.2) that a non-periodic function f can be represented by a superposition of waves eit , each with amplitude g(). The Fourier transform, Eq. (4.1) shows how

to calculate the amplitudes.

Using the exponential form of the delta function (see Appendix 2.4), we have

Z

f (x) =

f (t) (t x)dt

Z

= lim

= lim

n 2

= lim

f (t)n (t x)dt

Z

1

Z n

f (t)

Z Z

1 n

n 2

21

ei(tx) ddt

f (t)ei(tx) dtd; ,

(4.3)

22

where in the last part, the order of integration has interchanged. Further taking the limit n

gives

1

f (t)ei(tx) dtd

f (x) =

2

Z

Z

1 ix

=

e

f (t)eit dtd

2

Z

1

=

eix g()d ,

2

Z

(4.4)

with the definition of g(w) from the Fourier transform, Eq. (4.1), inserted. We have thus proven1

that the inverse Fourier transform, Eq. (4.2) brings us back to the original function.

A few points on notation. If for a function f (x) the function g() is the Fourier transform,

we will write F ( f ) = g, and will often also identify the Fourier transfer of a function by a

capital letter, so in this case F = g. The inverse Fourier transfer, we write as F 1 (g) = f .

4.2

4.2.1

The Gaussian

2

t

1 e 2 2 .

2

1

g(w) =

2

2

1

t

e 2 2 eit dt

2

(4.5)

which we will evaluate by transferring it into an ordinary differential equation where we know

the solution. So first we differentiate the expression above with respect to to give

1

dg

=

d

2

2

1

t

e 2 2 iteit dt .

2

(4.6)

Z

udv = [uv]

(4.7)

vdu

where we identify

u = eit

du = ieit dt

2

t2

2

dv = ite

(4.8)

2

t2

2

v = i 2 e

dt

(4.9)

we get

Z

2

t2

2

it

ite

Z

t2

2 it 2 2

dt = i e e

i 2 e

t2

2 2

ieit dt

Z

2

t 2 it

2

2

e

e dt .

= 0

1 There

is a place in this proof where strict mathematical formality is broken. Can you spot it?

(4.10)

23

dg

= 2 g()

d

which is an ordinary differential equation with the solution

g() = g(0)e

22

2

(4.11)

(4.12)

where we still need to identify the integration constant. Inserting = 0 in the original definition

of the Fourier transform, Eq. (4.5), we get

1

g(0) =

2

2

1

1

t

e 2 2 dt =

2

2

(4.13)

2

1 22

1 2

2

g() = e

= e 2 ,

2

2

(4.14)

with = 1/ . We see from this long derivation that the Fourier transform of a Gaussian is in

itself a Gaussian and the widths of the Gaussian and the transformed Gaussian are reciprocal.

Thus when f becomes narrower, g becomes wider and the other way around and the product of

the two widths is always 1.

4.2.2

In physics we often operate with the notion of an impulse force. This is a force that is applied

in such a short time that the time evolution is not relevant within that time. As an example we

can think of a cricket bat hitting the ball. So what frequencies are involved in such an impulse

force? To answer the question we model the impulse force as a delta function, (t), and find

the Fourier transform.

Z

1

(t)eit dt

(4.15)

g() =

2

Considering the delta function as the limit of a Gaussian (see Eq. (2.29) it is obvious that the

corresponding limit of the Fourier transforms will be a series of Gaussians that are turning wider

and wider.

Findingthe limit is in fact easier the other way around. If we take the identity function

g() = 1/ 2, we see that the inverse transform of g is

1

1

eit d

f (t) =

2 2

Z

1 it

=

e

d

2

= (t) = (t) .

(4.16)

(4.17)

(4.18)

Now taking advantage of the the inverse Fourier transform brings us back to the original function, we can see that

1

(4.19)

g() = F ( (t)) =

2

so the Fourier transform of the delta function is just a constant function. This means that all

frequencies contribute at the same level to the delta function.

24

4.3

Properties

When calculating the Fourier transform, there are a number of properties that can be used to

transform the function in question into a function with an already known transform. The proof

of the individual forms will be left for the problems. In each of the cases below we use the

notation that g() = F ( f (t)) is the Fourier transform of the original function f (t).

Linearity The Fourier transform is linear so the Fourier transform of a linear combination is

just the linear combination of the individual transforms

F ( f1 (t) + f2 (t)) = F ( f1 (t)) + F ( f2 (t))

(4.20)

Change of sign Inverting the function results in inverting the Fourier transform

F ( f (t)) = g()

(4.21)

F ( f (t t0 )) = eit0 g()

(4.22)

the same factor

1

F ( f (t)) =

g(/)

(4.23)

||

Conjugation The transform of the complex conjugate is the complex conjugate of the transform with the sign of the frequency changed.

F ( f (t)) = g ()

(4.24)

F ( f 0 (t)) = ig()

4.4

4.4.1

(4.25)

Applications

Partial differential equations

AWH 20.3

A Fourier transform can be used to change a partial differential equation (PDE) into an

oridinary differential equation (ODE). As ODEs are in general easier to solve than PDEs this

sounds great but it comes at the price of having to make first a Fourier transform and subsequently an inverse Fourier transform. The method will be outlined with an example of the heat

flow equation. It was in fact to solve this problem that Fourier transforms were invented.

Let us consider the heat flow equation in 1 dimension,

u

2u

= a2 2 ,

t

x

(4.26)

4.4. APPLICATIONS

25

where u(x,t) represents the temperature at at the point x and time t. Let us Fourier transfer the

x dependence of this equation and let y be the transformed variable of x. We get

U

= a2 y2U ,

t

(4.27)

where U(y,t) is the Fourier transform of u(x,t). For the second derivative with respect to x, we

have used twice Eq. (4.25) that shows that a derivative transforms as a multiplication.

The great thing about Eq. (4.27) is that it only has derivatives with respect to t so it is an

ODE. Think carefully about how the Fourier transform achieved that trick. The ODE can be

solved by separation of variables and we get

2 y2 t

U = C(y)ea

(4.28)

Here C(y) is the integration constant. It is the Fourier transform of the temperature distribution

at t = 0,

Z

1

u(x, 0)eixy dx .

(4.29)

C(y) =

2

To get the solution in terms of x and t we need to perform an inverse Fourier transform

1

u(x,t) =

2

4.4.2

2 y2 t

C(y)ea

eiyx dy .

(4.30)

Fraunhofer diffraction

When light passes through a small aperture it creates a diffraction pattern. If the pattern is

viewed at a distance that is much greater than the size of the aperture it can be described through

Huygens principle that each point inside the aperture emits a plane wave. If we consider a onedimensional slit in the x direction and the light coming in along the z direction with the slit at

z = 0, then this gives rise to the expression

Z

U(l) =

a(x)ei

2l

x

dx ,

(4.31)

where l = sin is the sine of the angle with respect to the ingoing light, is the wavelength

and a is the amplitude of the light coming through the aperture as a function of x. Expressed in

terms of a Fourier transform we have

U(l) = 2A(2l/ ) ,

(4.32)

with A being the Fourier transform of a. Using this knowledge we can straight away obtain

several results.

A very narrow slit (so much narrower than the wavelength) is represented by the delta

function. Hence the diffraction pattern is just a smooth spread of light in all directions.

If on the other hand the slit is very wide, the light will just pass straight through as the

Fourier transform of a very wide function is the delta function.

To calculate the light from two narrow slits we can just use the Fourier transform of a single slit and then add it with the Fourier transform of the same slit shifted (see Eq. (4.22).

See problem sheets for an example of this.

26

Figure 4.1: A single slit and double slit pattern made with the same aperatus. In the single

slit image the diffraction pattern is seen (the Fourier transform of a top hat). In the double

slit experiment this is overlaid with the narrow interference pattern (resulting as the Fourier

c User:Jordgette / Wikimedia Commons / CC-BY-SA-3.0

transform of two top hat functions).

The interesting point here is actually the other way around. By analysing the diffraction

pattern we can through the inverse Fourier transform say something about the shape of the aperture. This is also how X-ray crystallography works. The pattern arising from Bragg scattering

is the Fourier transform of the scattering centres in the crystal and can thus through the inverse

Fourier transform be used to determine these.

4.4.3

Resonance shape

The electron in the Hydrogen atom can through the absorption of a photon be excited into a

higher energy level if the energy of the photon is matching the difference in energy between the

ground state and the excited state. This is what is observed as spectral lines in a star spectra as

illustrated in Fig. 4.2.

When the electron is in the excited state, it will decay into the ground state with a probability

to decay after a certain time t following an exponentially falling distribution with lifetime ,

(

0

if t < 0

P(t) = t/

(4.33)

e

if t > 0 .

The wave function corresponding to this is

(

0

(t) = i t t/2

e 0e

if t < 0

if t > 0 ,

(4.34)

where 0 = E/h with E the energy of the excited level. To get the distribution of angular

frequencies (and thus energies) of the photns emitted, we have to perform the Fourier transform

4.4. APPLICATIONS

27

15

10

0

9.0

9.5

10.0

10.5

11.0

Figure 4.3: To the left a plot of the Breit-Wigner function. To the right a plot of the invariant

mass distribution of kaons and pions coming from the decay K K + . The short lifetime

of the K gives a clear Breit-Wigner shape to the resonance with a mass of 896 MeV/c2 and a

width of 47 MeV/c2 . Source S. Cunliffe, LHCb collaboration.

of the wave function. A bit of manipulation gives

() = F ((t)) =

i

,

0 + i 2

(4.35)

I() = | ()|2 =

1

2

( 0 )2 + 4

(4.36)

atomic physics, nuclear physics and particle physics. It shows that the emitted (or absorbed)

energies follow a distribution given by I() above where corresponds to the Full Width Half

Maximum of the distribution. Thus the shorter the lifetime of an excited state, the less well

defined its energy. The effect is clearly illustrated in Fig. 4.3.

28

Chapter 5

Convolution

When we make a measurement of a physical phenomena, we always have to bear in mind the

precision of the instruments we use for making the measurement. First imagine that we with a

ruler measure the length of a box that has a true length of 100.0 mm. If the individual measurements we make have a resolution of 0.5 mm, we know that we from repeated measurements will

get a Gaussian distribution with a mean of 100.0 mm and a width of 0.5 mm. More complicated

examples are not so easy to comprehend though. Imagine that we look at the diffraction pattern

that arises from a double slit experiment. The intensity of the beam coming through is so low

that photons are counted individually as they interact with the detection plane. We know that

our detector has a certain uncertainty in detecting the position of each photon so we will somehow see a smeared version of the true distribution. But how will it be smeared and is it possible

to recover the true distribution? Likewise, is it possible in seismologi to understand the signals

that are produced when a sound pulse is sent into the ground and multiple reflections occur.

Shared for all of these phenomena is that they can be understood through a process called

convolution of the original signal. Starting from a very simple example, we will then afterwards

introduce convolutions in the formal way. In Fig. 5.1, we have in (a) a true distribution and in (b)

the resolution of our measurements. It is on purpose that this resolution is asymmetric (i.e. we

are more likely to measure a too large value than to measure a too small value). To get the

measured distribution, we can then for each true value distribute it in the measured distribution

according to the resolution function. This is illustrated in (c). We achieved this by going through

the true distribution and then redistribute the signal according to the resolution function. But

we could also chosse to start with the expected signal and then for each bin ask which bins in

the true signal contribute to it. To do this we need to overlay the resolution function at each bin

and reverse the distribution. The concept is illustrated in (d) where the different parts of the

true function now arrive in each bin in a different order.

If we let f be the signal and g the resolution function, then the generalisation of the above

example leads us to define the convolution of f with g, f g, as

1

( f g)(t) =

2

g() f (t ) d .

(5.1)

As the definiton is identical (use a simple substitution to verify), the convolution is in many

places defined as

Z

1

( f g)(t) =

f ()g(t ) d .

(5.2)

2

It can be seen that Eq. 5.1 exactly replicates the method of having the inverted resolution function sliding across f as part of the integral. Often the same dependent variable is used in both

29

30

CHAPTER 5. CONVOLUTION

(a)

(b)

0.5

5

0.4

4

0.3

3

0.2

2

0.1

10

convolution

2.0

12

(c)

0.0

1.5

1.0

1.0

0.5

0.5

10

12

0.0

10

convolution

2.0

1.5

0.0

12

(d)

10

12

Figure 5.1: The convolution of f with g on a very simple discrete example. The two bottom

parts of the figure illustrate how the convolution is built up following two different ways of

obtaining it. See main text for details.

31

f (x) and ( f g)(x). From a physics point of view this makes sense as the smearing of a distribution (lets say a distance) is still a distance and is still measured in the same units. However,

from a mathematical point of view this can cause confusion.

Example 5.1. Let us consider the two top hat functions defined as

(

1

if |x| 0.5

f (t) =

,

0

if |x| > 0.5

(

0.5 if |x| 0.25

g(t) =

.

0

if |x| > 0.25

(5.3)

(5.4)

1

g() f (t ) d

( f g)(t) =

2

Z 0.25

1

1

=

f (t ) d .

2 0.25 2

(5.5)

(5.6)

Now, keeping in mind that t is a constant in terms of the integration, we can make the substitution s = t to get

Z t+0.25

1

1

( f g)(t) =

f (s) ds .

(5.7)

2 t0.25 2

The evaluation of the integral requires that f is evaluated in the interval from t 0.25 to t +0.25

and will take different forms depending on how this interval of length 0.5 overlaps with the top

hat function. In detail we have

0

if |t| 0.75

R t+0.25

1

1

2 0.5

( f g)(t) =

1

2

R t+0.25

1

t0.25 ds = 4 2

R t0.5

1

t0.25 ds = 2 2 (0.75 t)

(5.8)

if |t| 0.75 .

The two functions f and g as well as the convolution are shown in Fig. 5.2.

If we let F and G denote the Fourier tranform of f and g, respectively, we can consider what

happens when we Fourier transfer a convolution. We have

Z

Z

1

1

F ( f g)() =

f ()g(t ) d eit dt ,

2

2

which after writing eit = ei ei(t) gives

Z

Z

1

1

i

i(t)

F ( f g)() =

f ()e

g(t )e

dt d ,

2

2

Z

Z

1

1

i

is

=

f ()e d

g(s)e ds

2

2

= F()G() ,

(5.9)

32

CHAPTER 5. CONVOLUTION

1.0

1.0

0.8

0.8

0.6

0.6

0.4

0.4

0.04

0.2

0.2

0.02

0.0

1.0

0.0

1.0

0.5

0.0

f(x)

0.5

1.0

0.10

0.08

0.06

0.5

0.0

g(x)

0.5

0.00

1.0

1.0

0.5

0.0

0.5

Convolution

1.0

where the splitting of the integrals comes from making the substitution s = t and then noting

that no longer appears in the inner integral. So we have the amazing result that the complicated

convolution of two funtions after a Fourier transform simply turns into multiplication.

As the Fourier transform and the inverse Fourier transform are almost identical, we can in

the same way look at the Fourier transform of a product. The result is

F ( f (x)g(x))() = (F G)() ,

(5.10)

f (g h) = ( f g) h = f g h ,

(5.11)

which is easy to prove by starting with the convolution of F and G and then with the use of the

inverse Fourier transform going through the same steps as in Eq. (5.9).

We have already when we introduced the convolution seen that the order doesnt matter,

such that f g = g f . When the convolution is regarded as a smearing the two functions take

on very different roles though. We can also have repeated convolutions of the type f (g h),

where we have the result that

where the last notation simply indicates that the order doesnt matter. See problem sheets for a

proof of this.

There are two specific convolutions that should be known. The first one is that a function

convoluted with the delta function is the function itself, apart from an overall normalisation

constant. With the definition used here, we have

1

f = f = f .

2

(5.12)

The second important convolution is a Gaussian function convoluted with another Gaussian

function is itself a Gaussian function with the variance and the means added,

q

g(1 , 1 ) g(2 , 2 ) = g(1 + 2 , 12 + 22 ) .

(5.13)

5.1

5.1.1

Applications

Measurement of a resonance

A quark and anti-quark pair can form a bound resonance state which decays through the strong

force. An example is the meson that decays to a pair of opposite sign kaons. The lifetime of

5.1. APPLICATIONS

33

the is so short that it cant be meaasured directly. However, from measuring the distribution in

invariant mass of many decays, we can indirectly measure the lifetime through a measurement

of the width of the resonance as discussed in section 4.4.3. However if the width is just a few

MeV and the resolution in the individual measurements maybe 10 MeV care has to be taken.

The observed mass distribution will be Breit-Wigner distribution convoluted with a Gaussian

resolution function. The convoluted function itself look quite a bit like a wider version of the

original Breit-Wigner disitrbution making meaning that the resolution function should be very

well understood to avoid making a biased measurement.

5.1.2

Imagine an experiment where we trap cosmic ray muons in an aluminium bar inside a magnetic

field. When the muon is trapped within the magnetic field its spin will undergo Larmor precession and the direction of the electron from the eventual decay depends on the spin direction

at that time. If the initial spin direction is not random (i.e. the muons are polarised), then the

number of electrons observed in a given direction will on top of the general exponential decay

time show an oscillation. The period of the oscillation is given by the magnetic field and is not

intresting, but the amplitude of the oscillation tells us the level of the initial polarisation.

If the time resolution for the decay time of the individual muon decays measured is not

perfect, the expected amplitude of the oscillation will be smeared out giving the wrong result

if not taken into account. The effect is illustrated in Fig. 5.3. Here the true net polarisation

was p = 0.50 and a smearing of the lifetime of 0.2 was made. As can be seen this leads to an

apparent polarisation of around 0.38 instead if not corrected for. With the correct knowledge

about the time resolution function that convoluted the true signal, we can avoid making a biased

measurement.

5.1.3

Weighting

When waiting in the passport queue to get into the UK, you might be interested in an estimate

for how long it takes before you reach the front. For this we need an estimate of the average

time it takes to treat a person in the queue. Several ways can be used to be used to reach this

estimate, some meight be:

the average time taken per person over the past month;

the average time taken in the past hour;

some kind of weighted average where recent measurements are given more weight than

historical ones.

All of these could be implemented in a fully predictable system through a convolution. The first

two would take the hourly measurements and convolute them with a box function of width a

month or an hour, respectively. For the last option we could use a falling exponential for positive

values. To understand the frequencies in the variation of rate that the prediction is sensitive to,

we can just calculate the Fourier Transform of our convolution function.

Similar types of weighting to provide a prediction for the current status based on the past

can be used in signal processing or indeed for giving a status message on your computer about

how busy the CPU or the network interface is.

34

CHAPTER 5. CONVOLUTION

1.0

true (P=0.50)

fake (P=0.38)

smeared

0.9

0.8

0.7

0.6

0.5

0.4

0.3

0.2

10

Time

Figure 5.3: An example of how a smearing can lead to an incorrect result if not taken into

account. A simulation is made of a polarisation measurement and it is illustrated how a biased

measurement can be made if the time resolution of measurements is not taken into account

correctly.

5.1. APPLICATIONS

5.1.4

35

Filters

When we in section 3.4.1 discussed low and high pass filters, we applied them as a mutiplicative

factor to the individual frequency components1 . The filter efficiency thus takes the role of G in

Eq. (5.9). Using the equation backwards then means that we can interpret a filter as applying a

convolution to the signal with the inverse Fourier transform of the filter.

We know that the Fourier transform of a Gaussian is another Gaussian with the two width

and related by = 1/ . We thus have that a smearing with a Gaussian of width ,

corresponds to applying a low pass filter with an efficiency shaped like a Gaussian with width

. This corresponds quite well to our intuition that a Gaussian smearing wash out the high

frequency components. It is also clear from this that a convolution leads to information loss.

If the Fourier transform of the smearing function is zero (or very small) for some frequencies,

then any component of the signal with those frequencies can never be recovered.

5.1.5

Sharpening of images

A photo will often under magnification show artefacts like diffraction rings from the limitations

of the optics. The convolution that this represents is called the point spread function (PSF).

Images of stars are particulary good at illustrating this2 . Much of the information about the

true image can be recovered through what is called deconvolution. It works the best if the

convolution causing the image artefacts is well known. If our true image is f (x) and it is

distorted by a convolution with p(x) to give the recorded image r(x), we have in terms of their

corresponding Fourier transforms that R() = F()P() and thus F() = R()/P(). We

can apply the inverse Fourier transform to this and get

1

f (x) =

2

Z

R() ix

e

d .

P()

(5.14)

While this in principle fully recovers the original image it is obvious that this only works if P()

is non-zero everywhere. As this is in general not the case, some adaptions of the algorithm are

required in order to make sure that results do not diverge. An example of sharpening in terms

of a deconvolution can be seen in Fig. 5.4.

1 The

discussion in that section was on Fourier series but it might just as well be applied to Fourier transforms.

star represents a delta function and as the delta function convoluted with a function g is g itself, we get a

direct recording of the convolution function.

2 The

36

CHAPTER 5. CONVOLUTION

Figure 5.4: An illustration of the process of image sharpening on an image of solar corona. The

left image illustres the originally recorded image, the middle one is the point spread function

c 2007. Source J. Sylwester

and the right image is after image sharpening has been applied.

and B. Sylwester, Cent. Eur. Astrophys. Bull. 31 2007 1, 229-43.

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